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                                                   How to query quote database and bin symbols by some attribute

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Dave Walton
2013-06-28 09:41:30


Hi, I'd like to know if it is possible to query a quote database (say Russell 3000) and dynamically bin (say 10 buckets) volatility (ATR%) of all symbols for the last 200 days. I'd like to create a function that returns the average next bar return over the last 200 days for a selected bucket.


QuantShare
2013-06-28 20:02:12

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Best Answer
You will have to use the script editor (Tools -> Script Editor). The script should read quotes from a specific list of symbols, bin volatility then store the result in a custom database. After that you can create a custom function to get average next bar return from the new database.

Please contact support [at] quantshare [dot] com if you want to hire a programmer to implement this for you.



Dave Walton
2013-07-12 19:11:17

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I have been working with a QS programmer on this. I'm receiving excellent service so far. Very reasonable and professional.


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