FUll Tick Based ES Range Bar history

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oddRun
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FUll Tick Based ES Range Bar history

Postby oddRun » 29 Aug 2012

I have MC8 and MC.net
I currently have IQfeed as my primary real time data feed.
..this currently gives 120 calender days of tick history.
This works great for RealTime charting and limited development and testing ...

My question is if anyone knows of a good way to create a complete tick history for the S&P 500 Emini continuous contract..AND...a good way to create any kind of bar series from that history.

The best service Ive found is tickdata.com which does proved complete history in ascii downloadable form.
The only issue is that their data management tool...tickWriter..which is used to create the actual bar series ascii files from the raw tick data...only supports time based intervals.

It is very important to me to be able to create full history for non time based bars also...especially Range bars.

If I were to create a serioes of files date series with single tick ascii bars from the raw data would it be possible to bring these all in to MC and create the Range bars from them ?

Or is there some other tool that would be good for solving this problem and flexibly creating ascii series of any type from the raw tick data history. ?

Thanks for any help

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Henry MultiСharts
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Re: FUll Tick Based ES Range Bar history

Postby Henry MultiСharts » 29 Aug 2012

Hello OddRun,

All chart resolutions and types are plotted out of 3 base data types: tick, minute, day.
You can import tick data and build the data series based on tick data in MultiCharts.
Please check this article for more information.
Once the data series is plotted that is possible to export this data into an Ascii file (MultiCharts->File tab->Export data).

oddRun
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Joined: 29 Aug 2012

Re: FUll Tick Based ES Range Bar history

Postby oddRun » 29 Aug 2012

Thanks for the reply
I do understand that the charts are built from tick data.
I guess what Im asking is..
because the real-time data vendors only supply limited backfill...about 120days for my IQfeed...if I want to create a complete history for something like the ES I need to go to a dedicated tick history supplier

the one Ive found so far supplies in ascii format but only exports OHLC .csv bars for time series..ie secs, mins, days etc
They do not currently allow you to export actual ohlc.csv bar series for Range bars.

You can export .csv series of individual ticks...but these files are enormous.
So...my question is if I subscribe to this historical data vendor can I export the individual tick series files...perhaps in manageable chunks...and will MC be able to use that ascii data to build complete Range bar series going back say 20years for the ES ...

Thanks again for the help

A

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Henry MultiСharts
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Re: FUll Tick Based ES Range Bar history

Postby Henry MultiСharts » 30 Aug 2012

oddRun wrote:So...my question is if I subscribe to this historical data vendor can I export the individual tick series files...perhaps in manageable chunks...and will MC be able to use that ascii data to build complete Range bar series going back say 20years for the ES ...


Yes you can import data from multiple files into one instrument. Here is how to do that. There is no file size limit for import feature in MultiCharts 64 bit.
You will also need 64 bit version in order to plot 20 years of tick data.

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MAtricks
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Re: FUll Tick Based ES Range Bar history

Postby MAtricks » 07 Nov 2012

Oddrun,

How was your experience with tickdata.com? I'm looking for tick historical data for several futures and saw them, but it looked incredibly expensive.


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