How to collect historical tick data with DTN IQ Feed

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mefTrader
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How to collect historical tick data with DTN IQ Feed

Postby mefTrader » 12 May 2012

Hi,

According to DTN/IQ Feed after market hourse one should be able to collect 120 days back of historical tick data for say the Russell Index @TFS#?

I have tried this on a saturday by selecting Bar Magnfier = 1 tick for Backtesting purposes but I am getting the message that it cant do this?

What are the steps to collect historical tick data after market hours in MC?

Thanks

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Laurentius
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Re: How to collect historical tick data with DTN IQ Feed

Postby Laurentius » 12 May 2012

Hello MefTrader,

Why don't you just download by first setting up, let's say a 100 tick bar chart, and then set it to show a data range of 130 days. Then you know that you have all available the data. I say 130 days, because I have experienced that I have been able to download as much as 180 days. If this is possible at this moment I do not know, but it can't hurt to set the data range for some extra days :)

Laurentius
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Re: How to collect historical tick data with DTN IQ Feed

Postby mefTrader » 12 May 2012

Okay Laurentius,

I did that and it worked

Think it would be good to put the following in a wiki somewhere;

step1 ) Tools Data Sources > IQ Feed >Settings > Historical Data - Build minute and daily bars based on tick data

step 2) One might have to delete the current tick data > Restart MC > CTRL+R on the chart

step 3) Check in Quote Manager that it gathering ...

Data request for @TFS# 1 Tick Trade [ 01/09/2012 15:25:33 - 01/09/2012 23:49:59 ] (Id= 1001252)

step 4) Backtesting > Bar Magnifier > Tick Enabled
For this to work have to set it to 120 days back max - more than that you get

Message: Not all of the required data has been obtained. Bar Magnifier mode will be disabled.

To work this out as Laurentius inidicated set up a 100 Tick chart and set the days back to 120. This will tell you exactly the starting date for the sim.

I did not notice any difference between Backtesting > Bar Magnifier > Tick Enabled(once it worked)/Disabled. Have I missed something?

Thanks

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Re: How to collect historical tick data with DTN IQ Feed

Postby ABC » 13 May 2012

mefTrader wrote:I did not notice any difference between Backtesting > Bar Magnifier > Tick Enabled(once it worked)/Disabled. Have I missed something?


mefTrader,

this could be caused by the system, as depending on it's logic it might not make a difference. For example a simple stop and reverse system executed at the open or close of a bar should show no difference with or without Bar Magnifier. If you use the same system and add a trailing stop for example you should see a difference, given you test on a long enough time period with enough trades.

Regards,

ABC

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Re: How to collect historical tick data with DTN IQ Feed

Postby Laurentius » 13 May 2012

mefTrader wrote:step1 ) Tools Data Sources > IQ Feed >Settings > Historical Data - Build minute and daily bars based on tick data


MefTrader,

A question. Why do you need to select "Build minute and daily bars based on tick data"? For normal tick data handling one do not need to select this option.

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Re: How to collect historical tick data with DTN IQ Feed

Postby mefTrader » 15 May 2012

I was thinking I would get more accurate minute bars if I did this?

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Re: How to collect historical tick data with DTN IQ Feed

Postby ABC » 15 May 2012

mefTrader wrote:I was thinking I would get more accurate minute bars if I did this?


To my understanding this does only make sense if you are using a certain delta study.
But if you check this option, you limit your amount of minute bars to the amount of tick data you have, besides needing additional ressources to process the same amount of bars compared to minute bars with this option unchecked.

Regards,

ABC

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Re: How to collect historical tick data with DTN IQ Feed

Postby Laurentius » 15 May 2012

mefTrader wrote:I was thinking I would get more accurate minute bars if I did this?


Ahh, I see. I have not been thinking about it that way before, but you are probably right. I just wanted to make sure that you knew that you do not need to check the option to get all the tick data or work with tick data in general.


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