importing second bar data

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faschim
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importing second bar data

Postby faschim » 01 Aug 2012

One can create charts with a resolution of seconds, .g. 5 second bars, but it doesn't appear that one can import data in QuoteManager using a resolution of seconds? Is a "second resolution" option going to be available in the import dialogue at some point?

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Henry MultiСharts
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Re: importing second bar data

Postby Henry MultiСharts » 01 Aug 2012

Hello Faschim,

All chart resolutions and bar types are plotted out of 3 base data types. Second bars are built from tick data. You can import second data as tick data and it will work fine.

faschim
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Re: importing second bar data

Postby faschim » 02 Aug 2012

Thanks Henry. Since it is 5 second OHLC data, one has to reformat the data in order to import properly as tick data, i.e. only "price" is available as an import option and not OHLC (which of course makes sense). Not difficult to reformat the data in R or Matlab.

If I am thinking about this correctly, if I want to use 5 second OHLC bars I can reformat the data so that OHLC are on seperate lines with:

(1) close having a time stamp t which is the same as the 5 second bar (assuming bar times are end of bar and not beginning),
(2) open having a time stamp t-3,
(3) high and low have time stamps t-2 and t-1 if open closer to high (or visa versa if open closer to low ... or if one is aggregating the data up to a lower frequency multiple of 5 seconds then it doesn't matter which order the High and Low ticks are).

5 second bars will not have a large range but nonetheless, there is no reason to throw away the price information.

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Henry MultiСharts
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Re: importing second bar data

Postby Henry MultiСharts » 02 Aug 2012

Yes, the idea is correct.


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