Guest post by Alex Boykov, WFAToolbox
Hello, my name is Alex Boykov. I am a member of a team of developers for the WFAToolbox. This application provides the easiest way to develop algorithmic trading strategies in MATLAB. Today, I will try to give you a tool that will help you solve the problem of getting free daily and intraday historical stock prices from 20+ Stock Exchanges, including Shanghai Stock Exchange (SSE), Bombay Stock Exchange (BSE) etc.
Have any of you encountered the following problem before? You heard from someone, or read on the Internet, about an interesting strategy for some assets (for example, pairs trading for oil companies on emerging markets that are highly cointegrated amongst themselves, and have enough liquidity) and you exclaim: “Oh my god, here it is, of course! Ah, if only I had the intraday historical data for those “Gazprom” and “Lukoil”, I could test it! “. Right then, you start frantically pouring your way through all the websites that you know to get free historical data, starting with a fierce search on Google, on forums, blogs etc. Then you turn on the waterworks, visiting the “Pricing” page of some expensive datafeed company; and, in the end, after a long and tiresome day spent searching for quotes, you get desperate. You decide to go to the Google Finance website, and you see the data that you are requiring. You hysterically exclaim: “Why! Why can I not just download it from Google Finance … ”
At WFAToolbox, we face this exact scenario on a constant basis … As long as we still have not yet decided to change this situation. At the same time that we have developed an application that dramatically simplifies the testing and analysis of algorithmic trading strategies on MATLAB, we have also added to it a special module that allows you to download 100’000+ daily and intraday historical prices from 20+ Stock Exchanges from America, Europe, Asia and Australia.
Especially for the QuantInsti blog, we compiled a standalone application from MATLAB that allows any user (having MATLAB or not) to upload quotes in csv format from Google Finance for further import to other programs and for working in Excel. We have tried our best to make the application as easy as possible for the job. You can download it here: http://wfatoolbox.com/quantinsti
We use MATLAB in creating algorithmic trading strategies. We believe that it has a lot of advantages over R and other solutions, the main one of which is the ability to add modules from both Mathworks and third-party developers (for example, our application – WFAToolbox – Walk-Forward Analysis Toolbox).