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Working with Tick Data

Posted By DTrader 7 Years Ago
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Posted Thursday September 02 2010
Away for a bit (market got busy!). I'm back with a few new questions.

I'm still trying to find a workaround to supporting my 1-second bars.

I've written a custom database plugin that will read my 1-second bars and convert each into a tickdata structure, but I can't seem to find any method of displaying a list of historical tick data (List) on a chart. Whenever I request historical bars, the only choices I have are to retrieve time-based bars (and of course 1-second is not an option). I see that I can define a custom frequency (eg. 1 tick), but I don't understand how to display it on a chart. And if I cannot display it on a chart, how can I trigger my symbolScript to act on a new tick? (two separate questions?).




Posted Thursday September 02 2010
If I create a custom frequency plugin for 1-second bars can I display them on the chart, add them to a watchlist?


I still don't get how to load historical custom frequency bars from a database (or minutes for that matter). When I select a watchlist symbol and update the data, it immediately reverts to my data provider (which supports historical data).

I’ve also written a custom DataFeed plugin to work with my data provider (Nanex) and my TikFactory class. The IBarDataProvider datafeed interface supports loading historical data, but of course it only supports the int-based frequency enum, so it doesn't seem I can load bars below 1-minute. It looks like I could fool ITickProvider by feeding historical ticks/bars to RE through the feed.
Posted Friday September 03 2010
The custom frequencies are for live systems. When you're running a live system, you will get bars displayed at the system frequency.

What do you mean by loading historical custom frequency from a database? Are you not able to connect to your database or you're not clear how to feed them to RightEdge?

DTrader (9/2/2010)
If I create a custom frequency plugin for 1-second bars can I display them on the chart, add them to a watchlist?


I still don't get how to load historical custom frequency bars from a database (or minutes for that matter). When I select a watchlist symbol and update the data, it immediately reverts to my data provider (which supports historical data).

I’ve also written a custom DataFeed plugin to work with my data provider (Nanex) and my TikFactory class. The IBarDataProvider datafeed interface supports loading historical data, but of course it only supports the int-based frequency enum, so it doesn't seem I can load bars below 1-minute. It looks like I could fool ITickProvider by feeding historical ticks/bars to RE through the feed.
Posted Friday September 03 2010
Bill, thanks; there is a lot I’m doing, but most of it is behind the scenes in my own dll(s). let me see if I can give you a simple requirement for RE.

I have a C# infrastructure that gets 1-second NYSE_Tick index ticks from a real-time feed, and then saves them to a database for later analysis. I have created a custom RE live/historical feed plugin that will feed the ticks to RE in real-time. I have also written a custom RE database plugin that can retrieve the ticks as RE TickData structs. What I want to do is to retrieve these ticks from the database, add them to the watchlist, plot them on RE charts, and use them to generate OnNewTick events when I run RE system simulations.

Posted Friday September 03 2010
...run simulations on historical data, and also real-time.
Posted Tuesday September 07 2010
You can run simulations, you will have to aggregate the ticks. You will not be able to set them up in the watchlist with a frequency of less than 1 minute. The only thing that can be rendered on the chart is bars. With that being said, you can create 1 tick bars. Would this help and are you familiar with how to accomplish this?

DTrader (9/3/2010)
...run simulations on historical data, and also real-time.


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