I need some advice about historical data requests and management. I currently use an Interactive Brokers account.
1) I have a trend-following strategy (Strategy A) which requires me to constantly scan through a set of about 50 tickers (FX pairs and mini-futures contracts) for tickers that meet a set of TA-based criteria. Each TA indicator relies on multi-timeframe confirmation over 6 different timebar intervals (5 min, 10 min, 30min, 60min, 240min, 1 day). Eg: I would need 6 different 20 period SMA values alone!
Does this mean that if I wish to recalculate all my TA indicator values at the close of every 5 minute bar, I would need to make at least**:
i) 50 tickers * 2 occurrences in 10 mins = 100 requests of 5 min bar data +
ii) 50 tickers * 1 occurrence in 10 mins = 50 requests of 10 min bar data
= a total of 150 different historical data requests every 10 minutes?
**At half hour intervals, I'd need historical bar data on a 30 minute time series as well! At the close of each day, I would in fact be making more than 300 historical bar data requests per 10 minutes! (50 tickers over 6 different time bar intervals)
If this is so, would I be running into a brick wall, given that my preferred broker (IB) limits historical data requests to 60 per 10 minutes, and I would be requesting them at 5 times the allowed limit. Is this analysis correct?
Could someone advise me on how I can tackle this problem as cheaply as possible? For example, (a) is there a way I can use 1 min bar data to calculate longer term TA indicator values? (b) Or would I need to subscribe to a data provider? (c) Or could someone recommend other brokers out there who are much more generous with historical data requests than Interactive Brokers?
2) I have a second mean-reversion based strategy (Strategy B) covering the same 50 instruments. Can strategy B access the TA values calculated in strategy A? If not, can both strategies access the same historical data file at the same time to make independent (and sadly identical) TA calculations? Or do the strategies have to make separate historical data requests? (Hope not!!)
Thanks and Kudos to you guys!
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