Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'API'

CSI Raw Contract Data Extractor

June 10th, 2010 · 19 Comments · Code, Data

I have mentioned before that I use CSI as my main provider for Futures data. Overall, I judge CSI’s service as good quality – however one drawback is the closed aspect of the data access. And I decided to write a utility to make it more “open”. To access the historical data, you have to […]

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How-To: CSI Data into TradersStudio

January 12th, 2010 · 4 Comments · Data

Dear readers, I hope you enjoyed the holiday break. I wish you a happy New Year – may it bring you progress and success in your automated trading endeavours! I wanted to start this year with an idea I left off last year, when investigating robustness: Using the median as a more robust tool than […]

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Unfair Advantage API Code (C#): Extract Futures Continuous data

October 4th, 2009 · 2 Comments · Backtest, Code, Data, Futures, Software

As mentioned in the previous post on retrieving Back-Adjusted Contracts using the RetrieveBackAdjustedContract2 function of the Unfair Advantage API, I have coded up this very simple project to read a list of Futures underlying instruments, retrieve a proportionally back-adjusted contract for each of the instruments and oputput it to a file. Getting started with the […]

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Unfair Advantage API: Retrieve Back-Adjusted Contracts function

October 2nd, 2009 · No Comments · Backtest, Development, Futures, Software

Let’s have fun with the CSI UA API! CSI main API document (word doc) is accessible publicly online from their document page along with other docs including the full 300 page manual (great for getting a feel of the app). Pivotal API function This post will focus on is the API function to retrieve Back-Adjusted […]

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