Importing Tick Data  [SOLVED]

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TrendFirst
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Importing Tick Data

Postby TrendFirst » 26 Nov 2016

I am attempting to import tick data from http://www.HistData.com. The data is in the format shown below.

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
I am using ASCII mapping to define the columns, but I'm having an issue with the time and the Bid/Ask. As you can see there are two prices in the dataset, the Bid Quote and the Ask Quote. But in MC ASCII mapping, I only get one choice - "Price". There is no Bid or Ask. I labelled them both "Price", but the second one always changes to "Undefined". What should I do with this?

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.

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Kristina MultiCharts
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Re: Importing Tick Data

Postby Kristina MultiCharts » 30 Nov 2016

Hello,

If you need to map 1 tick data in QuoteManager, you will see only one Price column, as for 1 tick charts, there is only 1 Price, i.e. Close price. You need to divide this data into two files: first file will contain Ask data and second file will contain Bid data. Then you need to map those two files into MC using different names, for example EUR.USD ASK and EUR.USD BID. As for the time format, please try the following one - *h:*m:*s.*f
Then you should be able to create 2 separate charts with Ask data and Bid data or a chart with 2 subcharts.

TrendFirst
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Re: Importing Tick Data

Postby TrendFirst » 02 Dec 2016

Thanks Kristina. I did a little more digging on the histdata.com website, and they mention using only the bid data to create their OHLC bars. So perhaps I can just import the bid data. I will test this versus my IQFeed tick data and see how it compares. Anyone else have any experience importing tick data into MC?

TrendFirst
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Re: Importing Tick Data

Postby TrendFirst » 03 Dec 2016

More questions about the ASCII Mapping dialog.

There is a "Resolution" header with n/a in every cell under it. I can't change this - what goes here, and how do I input it?

On the right of the "Resolution" column is a column with no header. What is this column? If I click on the cells under this blank header, I see Tick, Tick Bar, Volume Bar, Minute, Day. If I select one of them, say Tick, I get an error message: "The file xxx.csv can't be recognized as n/a Tick bars." I get this message on everything except "Day", which for some reason it accepts. It's wrong, of course, as the file contains tick data.

It seems something is missing/incomplete here. Can you explain how to use this?

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Kristina MultiCharts
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Re: Importing Tick Data

Postby Kristina MultiCharts » 06 Dec 2016

Hello TrendFirst,

Please come to our Live Chat (Mon - Fri 6:30 AM - 1 PM EST) so we could demonstrate you via remote connection how to use ASCII Mapping functionality in MultiCharts.

TrendFirst
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Re: Importing Tick Data  [SOLVED]

Postby TrendFirst » 06 Dec 2016

Kristina, thanks for the help today, I was able to generate charts with the imported tick data after I restarted MC at the end of the trading day.

For other traders that might be interested in using this data, I would proceed with caution. After uploading Oct 2016 Crude Futures from Histdata.com in a chart, I compared it to the data I get from IQFeed. In terms of density of data, there was significantly more data from IQFeed. I have to conclude that the Histdata.com data is heavily filtered. I did not bother to do any backtesting, but I would venture to say that it would not be useful. What can I say, I guess you expect much for free.....


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