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Quant Macro's avatar

Great post, thanks for sharing. Mind elaborating on why you use both TradeStation and CSI for futures data? If you can get intraday data from TradeStation, you surely can resample it down to daily and remove the need for CSI, no? Perhaps I am missing something that CSI is giving you that TradeStation does not. Perhaps roll schedules, settle prices, or holiday calendars etc?

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Dave's avatar

New here, but loving what I see so far. My stack is python/zipline/vectorbt/IB and I also use Norgate data. I'm curious why you use CSI vs. Norgate for futures? Although slow, I especially like zipline for futures backtest simulations because it deals in individual contracts and makes its own continuatiuons when needed. Before python I used Rightedge (dead), quantshare, and amibroker. A long time ago I used Tradestation but just found Easy Language too limiting.

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