3. How to change data source of a data feed every day
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How to change data source of a data feed every day

  • B

    Hi there!

    Let's say I want to trade US stocks based on earnings announcements. This means there are approximately 5000 stocks in the universe. My current understanding of BT is that to backtest or trade a strategy that uses earnings announcements for any of the stocks in the universe I have to setup a data feed for each stock. That's a lot of data feeds!

    In this post Add and remove data feeds on the flyt there is some hope...

    "nothing prevents a feed from switching to delivering data from a different underlying source."

    Is there an example of this anywhere?

    Here's what I'm thinking... I pre-create a certain number of data feeds (say 5) and everyday I get the list of announcements, pick 5 that are interesting, and attach each to one of the data sources.

    I would have to liquidate on close every night which is fine. I also understand indicators won't work, which is also fine. Anything else I should be aware of?

    Thanks!

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    B
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  • B
    administrators

    @brettelliot said in How to change data source of a data feed every day:

    Is there an example of this anywhere?

    No. You would have to develop it and have an API in the data feed itself to allow changing what it actually delivers.

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  • B

    OK thanks!

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