Historical tick data with RAPI+

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Geonss
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Historical tick data with RAPI+

Postby Geonss » 14 Feb 2020

Hi to all!

I am trying to plot ES tick data from the inception of the future contract. I have enabled RAPI+, so I am ok to receive historical tick data. I want eg. 10000 ticks for my chart. So, I just open a ES chart, set the resolution to 10000 ticks, and format the instrument with data range from 1997 (inception) until now. But this method is very slowly. If load first some smaller data range eg. from 2015 until now, then shut down MC, the next time that I want to re-plot the same chart with 10K ticks, MC starts to download again all from the beginning. Is this right? Am I missing something in the settings? Which is the most properly way to download all the tick history data in a fast way, and to store that data on my local computer? So after that, to be able to open it from it, and re-plot my chart without must to wait much time... :?

Please tell me your thougths and suggestions about it.

Some extra thoughts:
1. Can I try to load data range in groups, and then File->export data? Groups are data ragne 1. 1997 ~ 2000, 2. 2000~2005, 3.2005~2010, 4.2010~2015, 5.2015~2020. And then all that files to import manually with Quote Manager.

Gregorian
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Postby Gregorian » 15 Feb 2020

How are you able to retrieve tick data prior to the inception of the current contract? Rithmic does not have continuous futures, nor do they allow historical data download from expired contracts. Once a contract expires, it's dead...no data can be pulled up. What you are describing is possible with, for example, IQFeed, but not with RAPI+. Unless you know a secret solution, of course!

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Svetlana MultiCharts
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Re: Historical tick data with RAPI+

Postby Svetlana MultiCharts » 06 Mar 2020

Hello Geonss,

1) According to our information, RAPI+ provides ~8 years of minute data for ES (from December 2011); ~7 years of tick data for ES (from February 2013).

2) Current versions of MultiCharts (МС12 R10 and МС14 OpenBeta 3) do not allow to download more than 5 years of tick data from RAPI+. If you want to download more, please send us request to our support email address to get the updater.

3) Once the historical data is downloaded from the data feed server and plotted on the chart - it is stored in the cache.
In 64 bit MultiCharts by default the cache is in PC's RAM. You can see the process TsServer.exe in the processes list for that.
Next time you plot a chart the required historical data is loaded from the cache or data base first, then the missing historical data and realtime data are requested from the data provider.
When you close MultiCharts, QuoteManager and Portfolio Trader, the cached data is compressed and saved to the local database.
In MultiCharts 12 we have also added an option to “Flush Cached Data to Database” manually (MultiCharts->File tab, QuoteManager->Edit tab).
When data is loaded from the database it is being decompressed, that is why it might take some time to load it if a lot of data is utilized.
All requests for missing data that are sent to the data feed are logged in the Event Log of QuoteManager. You can see the instrument, resolution, interval that is being requested to fill the gaps.
For more information please see this page:
http://www.multicharts.com/trading-soft ... s_Database

MC can start to download the same period of historical data in case of emergency shutdown, or if you initiated the Reload command.
If MC does not behave as I described above, please contact us via live chat MON-FRI from 7:00 AM till 12:00 PM EST to demonstrate it.

4) In MultiCharts 14 we introduce the new feature, Historical Data Download Scheduler, that allows to download historical data without plotting a chart:
https://www.multicharts.com/trading-sof ... _Scheduler

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Svetlana MultiCharts
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Re: Historical tick data with RAPI+

Postby Svetlana MultiCharts » 06 Mar 2020

Please be aware that Rithmic may ban your account if large period of tick data is requested. It is recommended to avoid requesting large tick intervals. You can use Historical Data Download Scheduler to download the required period of data in several smaller intervals.

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Svetlana MultiCharts
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Re: Historical tick data with RAPI+

Postby Svetlana MultiCharts » 06 Mar 2020

Hi Gregorian,
Rithmic does not have continuous futures
RAPI+ provides continuous contracts, for example ES. You can add it via Lookup.
If you cannot use them, please check if your subscription allows to do it with your broker.
RAPI_cont_fut.png
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Gregorian
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Re: Historical tick data with RAPI+

Postby Gregorian » 06 Mar 2020

RAPI+ provides continuous contracts, for example ES.
No, the symbol ES which you gave as an example of a Rithmic continuous contract is only a synonym for the current contract. It is not a continuous link to historic data like IQFeed's @ES, for example. Rithmic themselves state that they do not offer continuous contracts of this sort, nor do they provide historic data prior to the current contract.

Their new policy of blocking accounts that request too much historic data (I got shut down for requesting *one* chart with 180 days of data) means they really don't want your business if you need history. Users with this need will have to consider CQG or someone else.


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