Norgate Data Import

RealTest is fully integrated with Norgate Data as a "3rd-Party [that's me] Supported Plugin".

Norgate is the preferred data provider for use with this software.

To import data from Norgate, the Norgate Data Updater (NDU) application must be currently running (open) on the same machine as RealTest.

With Norgate import, each IncludeList in the Import script section can be any of the following:

•One or more symbols, separated by commas

•A path to a TXT file containing a list of symbols

•A path to a CSV file in which a column of symbols has a name that contains "symbol" or "ticker" or "underlying"

•The name of a watchlist from the NDU Watchlist Library (prefix the name with a dot to indicate this usage)

Use of the Watchlist Library is highly recommended. You can define any number of dynamic watchlists in NDU, each of which is automatically maintained every time data is updated.

For example, I use the following Watchlist definition for my daily trading candidate scans:

This only needs to be set up once, and is referenced in my import script as follows:

There can be any number of include lists in an import. The first include list number that a given symbol came from can be referenced in any formula via the ListNum variable, and the InList function can be used to check whether the current symbol was in any specific list. This provides a convenient way, for example, to combine strategies that each use different and possibly overlapping sets of symbols.

Norgate makes it easy to specify the kind of data adjustment that you want. RealTest supports data adjustment specification via the Adjustment element of the import definition. The default and recommended adjustment to use is "Capital". Regardless of data adjustment, RealTest always models trades in a backtest (or shows data in scans) using as-traded prices, so you never have to think about split adjustment or un-adjustment when writing scripts. See SplitHandling for further details on this topic.

Several symbol information fields are automatically included when Norgate data is imported, specifically:

Item	Description	Content
?Symbol	stock symbol	string
?Name	company name	string
?Type	security type	string
?Exchange	exchange name	string
?Domicile	security country	string
?Currency	security currency	string
?Sector	security sector	string
?Industry	security industry	string
?CII	corresponding industry index	string
InfoTRBC	Thomson Reuters Business Classification code	described here
InfoGICS	Global Industry Classification Standard code	described here
InfoShares	number of shares outstanding	number
InfoFloat	number of shares float	number
InfoDelist	delisting date or futures expiry	date
ListNum	import include list number for this symbol	number
PointValue	point value (futures - always 1.0 for stocks)	value
TickSize	tick size (futures - generally 0.01 for stocks)	value

Norgate also provides a unique feature: historical index constituency. RealTest makes it easy to import this information with your data. Use the Constituency element of the import definition to specify one or more indexes that you want constituency data for ($SPX, $DJI, etc.) After the import, that data is available to all formulas as InSPX, InNDX, etc.

The import_norgate.rts example script shows how this works in an import and scan:

In addition, Norgate offers something called "Corresponding Industry Index", which can be used to calculate, for example, the industry relative strength for any stock. The syntax used to achieve this is shown and explained in detail in the industry_indices.rts example script and is used in the cii_rotate.rts example.

Norgate also provides current fundamental data for each stock. Because these data are not historical time series, they are not useful for backtesting. Nevertheless, RealTest provides two ways to access these current fundamentals:

1.Open a Chart and then select Get Information from the Chart Menu. This will display all available fundamental fields by creating an HTML file and opening it in a new browser tab.

2.Request specific fundamental items to be imported by adding Fundamentals to your Import definition and specifying which items you want. Imported fundamental item values can then be accessed using F.xxx where xxx is the name of a specific field. F.xxx.Date can be used to obtain the date on which Norgate last updated that field.