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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 local file containing a list of symbols

The name of one of a watchlist from the NDU Watchlist Library (precede name with dot)

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 include list number that a given symbol came from can be referenced in any formula via the ListNum variable. This provides a convenient way, for example, to combine strategies that each use different 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 "CapitalSpecial". 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.

A number of 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

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.

 

 

 

 

 

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