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Hi
I recently got some data given to me- it is a record of each and every
trade for the NQ. I couldn't import it and when I asked Marcin about it,
he said
"The problem is that the minimum interval accepted by ASCII importer is
5sec. The tick data can be obtained only via DLL plugin."
I bother Marcin enough with coding questions, so I was wondering if
someone could help me out with this, because being a non-geek, I'm not
sure what it means. I have already "obtained" the data - does he mean
that I can't import it without a DLL plugin? Probably not - he would
have said that if that's what he meant. I downloaded the files with a
utility called WINRAR - do I have to "obtain" or download the files with
a "DLL plugin" instead? What is a DLL? lol
The data is in the format
Time Last Bid Ask Vol(cumulative) Bid Size Ask size
I will provide the information that was given with the data. Please read
it as it contains some information about the timestamp format and Excel.
Can anyone help me out with a solution for getting this data into AB?
The columns are:
Timestamp (CST, HHMMSS format, without padding zeros. Thus 101 is
00:01:01, or 1 second after 12:01 AM).
Last traded price (sometimes this may be established many minutes ago.)
Bid price (current inside, best bid. This is always current as of the
timestamp)
Ask price (similar to bid price)
Volume (cumulative volume traded. A trade occurs when volume increments.
The size of the trade for the current tick is the difference between the
current tick and the previous tick)
Bid size (current inside bid depth. This is always current as of the
timestamp)
Ask size (simlar to bid size)
Sorry the timestamp HHMMSS format may not be compatible with Excel. It
would have been better to use HH:MM:SS. I generated this tick data to be
best compatible with Matlab. You may need to apply "mod" and "fix"
functions to extract the number of seconds, minutes and hours:
seconds=mod(timestamp,60);
minutes=mod(fix(timestamp/100),60);
hours=fix(timestamp/10000);
So you'll notice a variety of situations depending on time of day and
market activity. You'll see "trade" ticks where volume is incrementing,
where the last price may stay the same or switch between bid and ask.
You'll see trade ticks where everything changes all at once. You'll see
ticks where volume is holding steady (no trades) and the only thing
changing is the bid or ask sizes or prices.
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--
The majority meet with failure because of their lack of persistence in
creating new plans to take the place of those which fail.
--
The majority meet with failure because of their lack of persistence in creating new plans to take the place of those which fail.
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