Code: Select all
As example, in DAT_ASCII_EURUSD_T_201202.csv:
20120201 000003660,1.306600,1.306770,0
20120201 000003973,1.306580,1.306750,0
20120201 000005003,1.306590,1.306760,0
20120201 000005707,1.306600,1.306770,0
20120201 000006397,1.306590,1.306760,0
20120201 000007083,1.306600,1.306770,0
20120201 000014660,1.306560,1.306730,0
20120201 000014990,1.306570,1.306740,0
Row Fields:
DateTime Stamp,Bid Quote,Ask Quote,Volume
DateTime Stamp Format:
YYYYMMDD HHMMSSNNN
Legend:
YYYY – Year
MM – Month (01 to 12)
DD – Day of the Month
HH – Hour of the day (in 24h format)
MM – Minute
SS – Second
NNN – Millisecond
Second, the time format is HHMMSSNNN, where NNN is milliseconds. I don't see a way to specify milliseconds in MC ASCII mapping, even tho I can specify custom date formats. I'm getting an error "Invalid time interval for conversion".
Any assistance on these two items would be appreciated.
By the way, if it works, this is a free source of tick data for backtesting. I use IQFeed, and they only provide 6 months of historical data, so this can fill in the blanks when I need more.