Your AmiBroker Database Is Probably Broken. Here's How Dave Fixed His.

A command-line utility that backfills, split-adjusts, and imports market data without touching the IQ Feed plugin. Plus why Polygon might be the move.

Dave built something on this week’s Line Your Own Pockets that I wish existed three years ago.

When I switched to AmiBroker, I spent three weeks just trying to get data in. All-caps Slack messages to Dave. Multiple databases. Nuking and rebuilding from scratch on weekends. The IQ Feed plugin backfill hits 100%, looks done, and you just hope it worked. No way to verify. No way to audit what actually made it in.

The problem is structural. AmiBroker’s IQ Feed plugin requests a level one quote feed for every symbol during backfill. Hit the 500-symbol limit and your data gets corrupted. You also request a fixed number of bars per symbol, which means Apple goes back 3 years but some illiquid ticker goes back to 2007. Start dates are scattered across every symbol in your database. Run a backtest across “all quotes” and the first few years are Swiss cheese.

Dave’s utility solves this cleanly. One .exe file. No install. Two modes: backfill downloads CSV files from IQ Feed for every symbol back to a specific date (not a bar count). Import creates one file and loads it into a local AmiBroker database. Next time you run it, it only downloads new data. Incremental. Auditable. You can see exactly what went in.

Then it got more interesting. Dave built a Polygon version. Polygon publishes flat files with every minute bar for every symbol that traded each day. Download one file per day, get everything. Including delisted stocks. Automatically. No symbol list needed. The utility also pulls split data from Polygon’s API and adjusts the historical CSVs before import. Split-adjusted intraday data flowing into AmiBroker with zero manual intervention.

That’s the part that caught my attention. We debated delisted stocks last episode. Split adjustment is 10 times more important for day traders. Reverse-split penny stocks that go from $0.05 to $3 overnight, trade like crazy for a week, then drift back to zero. Without split adjustment, your ATR, moving averages, and gap calculations are all garbage on those tickers. And there are way more splits than you’d guess. Dave was shocked by the volume when he pulled the data.

The bonus: Dave is building a Polygon real-time plugin for AmiBroker. Alpha stage, working as of this morning. If that ships, you get the same provider for backtest and live data. One source of truth. No reconciliation nightmares from mismatched feeds.

The systems I run at Stats Edge have gone through every version of this data pain. When the data issues cause missed trades or phantom fills, I publish those in The Drawdown Memo. Clean data is infrastructure, not glamour. But it’s the foundation everything else sits on.

The free 25-Year Backtest PDF at https://www.statsedgetrading.com/the-25-year-backtest covers the data integrity process behind 52,000+ trades. This episode is what that process looks like under the hood.

For real-time alerts built on clean, reconciled data, that’s Stats Edge Pro at $149/month with a 30-day money-back guarantee.

— Michael Nauss, CMT, CAIA, CDMS