Support Board
Date/Time: Mon, 10 Mar 2025 06:48:48 +0000
etf/futures data
View Count: 1020
| [2022-03-17 17:05:00] |
| Chucky - Posts: 18 |
|
Hi, I am writing my thesis about ETF arbitrage, I would need really high quality ETF, futures, stock data, but don't want to spend lots of money. Do you have a solution? Teton is futures only, IB is garbage, so I'm not sure how do I get good data into excel, so I can start experimenting. Date Time Of Last Edit: 2022-03-17 19:42:51
|
| [2022-03-17 17:11:07] |
| John - SC Support - Posts: 38516 |
|
You can use Sierra Chart with our NASDAQ TotalView data. Refer to the information here: Denali Exchange Data Feed For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-03-17 18:36:23] |
| Chucky - Posts: 18 |
|
What about the historical Sierra data? Wouldn't that work?
|
| [2022-03-17 18:55:31] |
| 1+1=10 - Posts: 270 |
|
Hi Chucky, You can see the historical data SC includes for each asset here: Sierra Chart Historical Data Service: What is Included The only catch is that unless you can program you’ll have to switch to every symbol you’re interested in on a chart and download the data individually. … If you can program there’s a way to automate this process. Of course, if you can program there’s a wealth of historical data APIs to also consider. |
| [2022-03-17 19:44:07] |
| Chucky - Posts: 18 |
|
This would do it, is this free to use with the package 3, or do I have to pay extra? I can code in Python/VBA, I will use Jupyter as well. Thanks a lot man!
|
| [2022-03-17 19:55:57] |
| 1+1=10 - Posts: 270 |
|
It is included with package 3 — no extra cost. These are the notes on exporting intraday data files: Exporting and Importing Intraday Data Files: Introduction If I remember correctly, you have to change file format to .csv as you save each one. How many symbols do you need to analyze? If it more than 50 it might be useful to discuss automating the download process. |
| [2022-03-17 20:08:46] |
| Chucky - Posts: 18 |
|
I will focus on top 10 weighted s&p 500 stocks, and spy etf, also ES futures with different expirations. All I need to do is to choose a day with huge moves, then go into tick charts and start to look for arbitrage opportunities, so I would need to get open, close, low, high datas for like the whole day, where charts went bazooka. I would focus first on March 2020, where market was really volatile. Can I use the spreadsheet study to get data into .csv or .txt files? Then I can load into Jupyter/Excel and do some regression, correlation analysis. 180 days of ETF data wouldn't cover 2020 March, so might need to change to a different datafeed or a different date of events. This intraday download should do I think, thanks for that!
Date Time Of Last Edit: 2022-03-17 20:31:58
|
| [2022-03-17 20:25:24] |
| 1+1=10 - Posts: 270 |
|
Can I use the spreadsheet study to get data into .csv or .txt files?
Yes, that or you can "Edit" -> "Write Bar Data To File" (and save as .csv) 180 days of ETF data wouldn't cover 2020 March, so might need to change a different datafeed or a different date of events.
There is a free API that his stock/etf tick data stretching back 2 years; you can could get definitely get that data into Jupyter or Excel via Pandas: https://www.alphavantage.co/documentation/ (See "Intraday (Extended History)" button at top left). You could also import that data, saved as a .csv, into Sierra Chart for visualization following these instructions: Exporting and Importing Intraday Data Files: Import and Load |
| [2022-03-17 20:29:23] |
| Chucky - Posts: 18 |
|
Thanks a lot sir, I think it's nearly impossible that I will find anything as there is Citadel and other HFT firms making markets.... So, my thesis might be a huge fail or a proof of efficient market hypothesis...
|
| [2022-03-17 20:57:52] |
| 1+1=10 - Posts: 270 |
|
This type of arbitrage is done by professional firms everyday. The ES futures have a fair value compared to the S&P 500 index that can be calculated. The CME explains the formula here: https://www.cmegroup.com/trading/equity-index/fairvalue.html The fair value changes everyday as part of the formula is days to expiration of the front futures contract. For example, if the ES were to stray too far below its fair value, the arbitragers will buy the ES and short all the S&P 500 stocks. If ES is too high, then vice-versa. This is the exact reason why ES tracks the S&P 500 index at all. The inhabiting factor for most investors from following this strategy is they don’t have the capital to buy/sell all the shares of companies in the S&P 500, especially in the proper ratios to construct a proper market-weighted version. By the way, you can also directly download data for the S&P 500 index from SC as well. |
| [2022-03-17 20:59:43] |
| 1+1=10 - Posts: 270 |
|
This site explains a lot more on this style of arbitrage: https://www.indexarb.com/
|
| [2022-03-17 21:09:22] |
| Chucky - Posts: 18 |
|
I'm working at an IB, and we indeed are doing lots of index arbitrage trades. For some reason, I wanted to include ETFs as well, as those can spice things up vs the underlying assets, so futures vs the stock index itself can differ, but what about an ETF vs futures vs the stock components themself. I've read tons of books, and they seem to play the mispricing in the ETF premiums usually, so those will be the first starting points, I'm afraid data quality will be key as these opportunities are rare to find, but will keep you updated. Reading through the site as we speak. Will try Teton as well for futures, moving to another broker just now. You are correct, without huge capital (like investments banks have) you can't run this strategy at all, but with cryptos you could do some stuff, as you can buy 0.0001 BTC for example, while you can only buy 1 TSLA. Date Time Of Last Edit: 2022-03-17 21:13:54
|
| [2022-03-17 21:15:51] |
| 1+1=10 - Posts: 270 |
|
It seems plausible to me there will be mis-pricing between SPY & ES. Go for it! Also, cool job. Date Time Of Last Edit: 2022-03-17 21:16:34
|
To post a message in this thread, you need to log in with your Sierra Chart account: