NZX / NZDX - Trading History Availability?

Hi All,

Is there anywhere we can download the trading history for a given security listed on the NZX and / or NZDX?

For example, is it possible to get a history of all trades in, say, TEL over the last month (or any other period) showing the volume (if possible) or at least each traded price?

Thanks,

Alan.

this sort of info is available on NZX see pic and also recent prices etc as per pic 2 on findata. not precisely what you asked but getting there

Hi Peat,

Quote:

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Originally Posted by peat

this sort of info is available on NZX see pic and also recent prices etc as per pic 2 on findata. not precisely what you asked but getting there

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Thanks for that.

Unfortunately, it doesn't show me all the individual prices that were traded, only the final (close) trade of the day.

I am after the individual traded prices through the trading days.

Is there anywhere I can get that?

Thanks,

Alan.

Alan, I'm curious. Why do you want such detailed data? How, exactly, would you make use of it?
All TEL trades over the last month would be a lot of numbers to crunch!

Quote:

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Originally Posted by Phaedrus

Alan, I'm curious. Why do you want such detailed data? How, exactly, would you make use of it?
All TEL trades over the last month would be a lot of numbers to crunch!

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You would need a week just to go through a day of trades. You've obviously got plenty of time on your hands, wanna come and mow my lawns? ;)

Quote:

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Originally Posted by Phaedrus

Alan, I'm curious. Why do you want such detailed data? How, exactly, would you make use of it?
All TEL trades over the last month would be a lot of numbers to crunch!

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LOL - You are probably right.

It was 'academic interest'.

I wanted to play around with some 'systems' that people tout to see how effective they have been in predicting short term price movements (as opposed to medium to longer term trends).

I had figured to take the data and apply the system (e.g. a 'charting' system, or a 'momentum' system) and see how well they predict the movements.

I don't expect it to yield much of value, but I was interested.

Perhaps TEL was a bad example to give. For a smaller (less traded security) the data set would be more manageable.

Alan.

What do you mean by "short term", Alan? Are you talking about day trading? I would suggest that to attempt this in such a small market as NZ would be an exercise in futility that is doomed to failure.
If you are interested in short-term swing trading (holding for days to perhaps weeks) then daily candlesticks and volume are all you really need, in my opinion. These are readily available (free) and you can go back as far as you like to test your theories. You could add in other indicators from there. I would suggest On Balance Volume, Stochastic oscillator, Momentum and Relative Strength Index for a start.

Quote:

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Originally Posted by Phaedrus

What do you mean by "short term", Alan? Are you talking about day trading? I would suggest that to attempt this in such a small market as NZ would be an exercise in futility that is doomed to failure.
If you are interested in short-term swing trading (holding for days to perhaps weeks) then daily candlesticks and volume are all you really need, in my opinion. These are readily available (free) and you can go back as far as you like to test your theories. You could add in other indicators from there. I would suggest On Balance Volume, Stochastic oscillator, Momentum and Relative Strength Index for a start.

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To be honest, I don't really know.

It was a conversation where someone else was talking about trading systems.

My (general) view is that no 'system' is going to result in ongoing gains (above the market average), since if it did, everyone would jump on it, and the system would no longer work due to market forces.

I am talking here about the chartists etc, I'm not referring to 'value investing' (for example), but I'm not looking to start a holy war about systems!


Let's just say it got a little involved, and so I said, okay it would be easy to see if a system had performed in the past, just replay actual events using whatever you like, and see if it would have yielded a consistent gain above market.

The conversation then turned to how you would do that, and I said, well, you couldn't just look at the close each day, since the system might have told you to sell at a certain price, and perhaps that price was actually achieved (or beaten) intra-day, but the close might be outside the range both the day before and the day after, and the high or low might not have been at sufficient volume for you to fully buy or sell the volume you have or wanted (selling in full being more what I was thinking about).

For example, lets say you used SystemBob and it told you to buy 50,000 TEL at $2.00 which you did. Sometime later, it told you to sell all 50,000 at $2.10, so you set a limit order (?) at that price.

Close on Monday is $2.08. Close on Tuesday, is $2.09 with an intra-day low of $2.06 and a high of $2.11. However, the $2.11 was for 5,000 units. That would mean you could only have been sure to have exited 5,000 at that price, not necessarily all 50,000 (of course you don't know if the volume was limited by the bidder or offeror) so you can't be sure either way.

Hence my wondering if it is possible to access data to see the actual prices and volumes for every trade.

In terms of the data set, even for the largest traded securities, I don't see that it would be too large to analyse.

How many individual trades would TEL do in a day (10,000)? Excel can handle a data set of 1m records (with multiple fields in each), subject to your machine's limitations only of course.

There are plenty of DBs that can be run on the desktop that can analyse much larger data sets to test a system. How large is large enough? BP in London - maybe 1m trades in a day? I woudn't have a clue, but we are still only talking about a few billion data points - its just not that big a problem with modern systems if you can get the raw data, and the size is trivial.

Lets say, 100 bytes of data, per trade, and go with 365m trades of data in a year.

That is 365,000,000 x 100

= 36,500,000,000 Bytes

~ 36,500,000 kB

~ 36,500 MB

~ 36.5 GB


I could be out by a factor of 10 for the most traded securities in the world, but the point is that the data sets are quite feasibly handled, if you can get them.


Anyway, that is the full background, to my OP.

:D

Alan.

Alan, if a stock or an index is in a steady uptrend, it is very, very hard to beat "the market", to beat simply "buying and holding". If, as usually happens, uptrends and downtrends alternate, then it is quite easy to beat "the market".

The bluntest, simplest TA tool is a 200 day moving average. This is commonly used by many conservative investors to keep them on the right side of major trends. Backtesting this ma against 7 years of AllOrds data shows that it gave an overall return of 134%. That's a profit of $134,000 on an initial investment of $100,000. The market average over this same period gave a profit of just $59,000. No contest eh? In fact, of course, it is not hard to outperform such a simple, crude "system" - I discuss another system giving a profit of $259,000 over the same period in the "All Ords Index" thread, for example. Your claim "if it worked everyone would use it so it wouldn't work" is specious logic. The 200 day ma is almost an "industry standard" benchmark that works today just as well as it ever has - in spite of many people using it.

You are, of course, re-inventing the wheel in your quest to develop a way to backtest ideas and systems. Most any decent TA software package includes comprehensive backtest abilities giving you all the functionality you are ever likely to need.

Is this what you are looking for

11:37:51 a.m.,2.250,,,3324,
11:28:00 a.m.,,2.240,2.250,,
11:28:00 a.m.,2.250,,,25000,
11:28:00 a.m.,2.250,,,21676,
11:27:00 a.m.,2.250,,,28324,
11:27:00 a.m.,2.250,,,21676,
11:13:18 a.m.,2.250,,,3324,
11:13:18 a.m.,2.250,,,16826,
11:11:45 a.m.,2.250,,,32889,ts
11:09:57 a.m.,,2.250,2.260,,
11:09:57 a.m.,2.250,,,33174,
11:09:51 a.m.,,2.240,2.250,,
11:09:51 a.m.,2.250,,,226,
11:09:15 a.m.,2.250,,,24000,
11:09:15 a.m.,2.250,,,1000,
11:06:15 a.m.,2.250,,,10200,ts
11:00:18 a.m.,2.250,,,9232,
10:55:57 a.m.,2.250,,,10323,
10:55:57 a.m.,2.250,,,3487,
10:55:57 a.m.,2.250,,,44900,
10:55:57 a.m.,2.250,,,18956,
10:03:00 a.m.,2.254,,,50000,ts
10:01:48 a.m.,2.250,,,5000,
10:00:42 a.m.,2.250,,,500,
10:00:27 a.m.,,2.250,2.260,,
10:00:21 a.m.,,2.240,2.250,,
10:00:09 a.m.,2.250,,,0,VW
10:00:03 a.m.,2.250,,,25000,
10:00:03 a.m.,2.250,,,544,
9:59:51 a.m.,2.250,,,1956,
9:59:51 a.m.,2.250,,,44,
9:59:51 a.m.,2.250,,,507,
9:59:51 a.m.,2.250,,,9449,
9:59:51 a.m.,2.250,,,10000,
9:59:51 a.m.,2.250,,,5529,
9:59:51 a.m.,2.250,,,22,
9:51:06 a.m.,,2.260,2.210,,
9:35:21 a.m.,2.249,,,379658,ot
9:27:48 a.m.,2.256,,,55000,ot
9:22:03 a.m.,,2.250,2.210,,
9:20:12 a.m.,2.251,,,145253,ot
9:19:57 a.m.,2.251,,,400153,ot
9:15:12 a.m.,,2.250,2.230,,
9:11:54 a.m.,,2.250,2.240,,
9:09:15 a.m.,2.251,,,685783,ot
9:08:57 a.m.,2.256,,,161674,ot
9:05:21 a.m.,,2.250,2.250,,
7:34:15 a.m.,,2.240,2.250,,

this is some of tel trades today , I dont think it is available free any where you need a platform that gives time and sales data

Hi Guys,

Thanks for the posts.

Bull: Yes - that is the kind of thing.

So what are options for Trading Platforms?

I know nothing about them at this point.

Thanks,

Alan.