Norgate Data latest version has now been officially released. This includes the NDU software and historical constituents databases. This is a great service that I use for all my backtesting in Amibroker. More details are available at the Norgate Data website.
Users of Norgate Premium Data are likely aware that some changes are taking place with regards to their historical data subscriptions. These changes have been made to better serve users and eliminate confusion.
I was made aware a couple of weeks ago that the ‘Alpha’ product PDU was being phased out and replaced with something new called NDU (Norgate Data Updater).
Having built most of my trading systems around PDU this news was a bit disconcerting, however, after some time with the new product I can say that this is a good step forward.
To set it up is straightforward too. Just make sure you follow the instructions on the website which are very clear and simple. Create a new database and keep your PDU database intact. If anything goes wrong, you will still have your old database there.
Norgate NDU is still in beta testing mode so the service is subject to a typical disclaimer before it is fully released.
But what has changed from PDU? It seems that most things, like the data and setup of watchlists are unchanged, apart from a few differences in naming conventions.
The biggest change is that NDU can now run in the background while keeping Amibroker open at the same time. This allows NDU to deliver data updates automatically as soon as new data becomes available.
This is a great move. One of the things I didn’t like about PDU was having to run updates every evening as they often took a long time to go through.
Right now, NDU is in beta-testing phase before commercial release. For more details see: http://www.norgatedata.com/beta-testing-program/
Because of the changes, I have updated all of my trading systems formulas so that they can now be used with either NDU or PDU. (Or free data).
Following are some of the major changes that I had to fix:
To use Norgate-provided functions, you will need to add the following line to the top of any AFL file you use for scanning/backtesting/indicator plots.
#include_once "Formulas\Norgate Data\Norgate Data Functions.afl"
To determine whether a stock was in a particular index on a given date, use the function NorgateIndexConstituentTimeSeries by adding it to your “Buy” condition:
AND NorgateIndexConstituentTimeSeries("index symbol or name")
This is instead of the previous AND IsIndexConstituent.
If your trading system needs to reference the original unadjusted closing price of a security, use the function shown below.
oc = NorgateOriginalCloseTimeSeries();
Likewise, if you need to reference the unadjusted volume, use:
ov = NorgateOriginalVolumeTimeSeries();
Many watchlist names have been changed to eliminate confusion. For example, S&P 500 Historical Constituents has now been replaced by S&P 500 Current & Past. The same goes for the other watch lists like S&P 1500 and Russell 3000. This makes sense.
In addition, Norgate data no longer make use of the open interest field in stocks. Whereas it was previously used to store the unadjusted close price, this can now be referred to using the formula above.
There are few more changes for Amibroker that can be found by visiting the NDU website: http://norgatedata.com/beta-testing-program/amibro…
It seems that NDU is now closed to new Norgate customers. This is in preparation for the commercial launch of the service scheduled for September 2017. It will be worth subscribing to the service once it is launched of course we don’t know yet what the cost will be.