The Data Manager component of TheBooks provides a repository of market price data for research and order generation purposes. It integrates data from a wide range of vendors into a single, consistent format. Combined with flexible continuous contract building and an automatic daily data down-loader, the Data Manager is the tool for the systematic trader.
A unified price data repository
A single, server-based data store for all of your historic price data and continuous contracts, regardless of source, using your symbols and price conventions available from anywhere in your network. This is a unified data repository. Native support is provided for obtaining data from DTN, CQG, CSI, and TickData but you can import data from any text file by defining the format of the file to TheBooks. Data can be stored in any bar interval desired, from minute bars un to monthly bars. TheBooks Data Manager can be configured to virtualize the data to any larger bar interval required.
Data can be imported most major data vendors. During the import operation, the vendor’s market symbols are mapped to your market symbols and price data can be scaled and inverted.
Flexible continuous contract building
The Data Manager provides multiple options for linking contracts and selecting roll dates. You can roll on specific dates, offsets from contract dates, and based on open interest. You can even roll based on your actual trading history. Continuous contracts can be forward or backward adjusted, and price series can be automatically shifted up to ensure positive prices.
Sometimes your research may require the construction of data streams that are hybrids; built from the combination of one or more other data streams. In TheBooks, these are called Derived Data Sources.
There are five pre-defined types:
as well as a user-defined type which allows you to define the transformations on the input data streams to produce the output stream.
Once defined, Derived Data Sources can be used in the same way as Historic and Continuous Contracts. They can even be used as inputs into other derived data sources.
Exporting data for research and order generation purposes
Historic price and continuous contract data can be exported to a variety of formats for use by the most popular research and order generation tools. Pre-defined export formats are provided for TradeStation and Mechanica, but the Data Manager is able to export data in formats that virtually any tool can accept, including proprietary ones. You simply point and click to define the format of the output files and TheBooks will generate your data in the format specified.
When you define a data stream, you can define a location and format to export the data each time the data is updated. This is true of historic prices, as well as continuous contracts.
Updating daily data
You define the daily data source for each historic data stream and continuous contract. Then, either on demand or using the scheduler, the data is updated. If you defined the data as export on change, the data is automatically exported in the format and to the location you defined, anywhere in your network, for use by research and order generation tools.
The Data Manager ensures that your research and order generator always use the most current data without the need for intervention by you.
The Data Manager’s data viewer not only provides charting with the ability to quickly pan and zoom through the price stream, but it also provides:
the overlay of additional studies
the overlay of actual trading with running positions and P&L
OHLC Bars or Candlesticks
Simultaneous display of data in a grid as well as on a chart
Virtualization of data from minute bars up to monthly bars