I've been trading EOD for the last couple of years and I'm just starting to play with intra-day trading; I've got the trading side of things ready to go, I'm just a little clueless with regards to the administrative side of things - specifically dealing with the data feed as it comes from the supplier. I trade using IB, so I've got access to live data if I want it, but only on-demand; in other words, I've got to go and specifically call up a stock to check it's intra-day activity.
What I'm after is a similar setup to my EOD supplier (I use Paritech), where my entire database is updated in one go - then I can feed that data into Amibroker and run whatever custom exploration I want. I've been asking questions of the data providers, but I get really ****ty, basic responses. I get the feeling retail investors generally aren't where the money's at. Anyway, I was hoping some of the guys and gals on here could save me many many hours of scouring the interwebs and answer a couple of questions for me.
1. Does intraday data come from the supplier in some minimum periodicity (1 minute bars for example) and then you alter the level of focus in your QA software, or do you have to specify what level of periodicity (1 min, 5 min, hourly etc) that you want from them?
2. If you do specify the level of focus, do you pay more for a higher level (tick data must be higher than hourly I'd assume)?
3. Is it possible to update the entire database in one go, in a similar manner to EOD and then run your own custom explorations on that data using Amibroker or Metastock for example? As opposed to the on-demand style whereby you can see intra-day activity but only as you search it out.
Ideally, I'd like to update all of my data five mins before the close and treat the OHCLV values as if they were the values for the entire day, then run some explorers to identify patterns that I've defined previously and trade the close based on those patterns. In other words, I'd be using the current bar's OHCLV values 5 mins before the close as if they were EOD data, identifying some candidates and then manually trading the close as it happened.
4. Has anybody used this approach before, and if so, how did you go about it? Have you found any specific data suppliers who have products that suit this style of trading?
Any input would be greatly appreciated.