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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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Carlos Mata's avatar

Hi Dave. Nice coincidence; I also used RightEdge. It was a great software!.

There are more non-US markets available in CSI vs. Norgate at the moment. For example: SGX Iron Ore, Rubber, MATIF Rapeseed, Milling Wheat, Maize, Bursa Malaysia Palm Oil, etc. So I thought the wider coverage would yield more opportunities.

I settled for R tidyverse because that is the language I used at my day job, and also the language the RobotWealth guys used for strategy research. I learned a lot from them. Making the PnL calculations (backtester) in R was tricky though.

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Carlos Mata's avatar

Hi Quant Macro!. My trend following strategy trades Asian futures which are not available in Tradestation. I have not tried downloading historical individual futures data from Tradestation.. not sure what are the limitations and how many back contracts are available for history. My calendar spread strategies use the several back contracts. I had to stop my Tradestation strategies because my VPS had many issues which made Tradestation crash every day and run slowly. Recently I switched to ChartVPS and it's incredible how much better performance the VPS has now.. so I'll revive those intraday trading strategies now that the tool are working fine.

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