Re: Constructing tick/time bars in ASCII files

["Patrick White" <spy@xxxxxxxxxxxxxx>]

Gary,

Here is a snippet from a file I exported out of TS. You may
need to change the date format to MM/DD/YY also to get it to
work in addition to the up/ down tick info that Dennis H
mentioned.

"Date","Time","O","H","L","C","U","D"
12/07/95,0831,624.80,624.80,624.00,624.00,3,8


Patrick White

-----Original Message-----
From: Gary Fritz <fritz@xxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Wednesday, April 21, 1999 4:04 PM
Subject: Constructing tick/time bars in ASCII files


I have a bunch of tick data in ASCII files.  I wanted to
display it
in TS4.0 and run some systems on it, but it appears that TS
barfs if
you try to feed it too many ticks, even if you're not
displaying more
than 13k bars.  (E.g. maybe there are 50k ticks in the file,
but
you're displaying it as 5min bars, so it's less than 13k
bars.)

Any guesses what is the maximum # of ticks TS4 can handle in
an ASCII
file?

To work around this problem, I wrote a perl script to
condense the
ticks into minute or tick bars.  The data I'm generating
looks right
to me, but I'm getting weird results with both tick and
minute bars.

If I generate a 10-minute file, the file has the proper
(different)
values for O/H/L/C.  But if I tell TS to display a 10-min
chart, it
only shows a dot at the close value!

Furthermore, I seem to have trouble getting the 940 line to
plot in
the 9:40 bar.  In all my other ASCII data files, the "0940"
line
plots on the 9:40 bar.  But if I chart my file, its "940"
line plots
on the 9:50 bar!  (When I created the chart, I specified it
to be a
non-delayed symbol, so I don't think that's it.)

Here's a sample of my 10min file:

Date,Time,Open,High,Low,Close
990111,940,189.00000,189.00000,188.56250,188.56250
990111,950,188.62500,189.25000,188.31250,188.75000
990111,1000,188.68750,189.00000,188.56250,188.81250
990111,1010,188.75000,189.12500,188.50000,189.12500
990111,1020,189.06250,189.06250,188.56250,189.00000

I'm also having trouble with tick bars.  Let's say I
compress the 1-
tick file into 100-tick bars.  (In other words, I read 100
ticks out
of my 1-tick file, figure the O/H/L/C of those 100 ticks,
and write
out one line in a new ASCII file with that Date/Time/O/H/L/C
info.)
How do I display that file on a chart?  If I display
100-tick charts,
it apparently reads the Close values from 100 100-tick
entries in my
output file and builds a bar from that.  If I display 1-tick
charts,
it reads the Close from the 100-tick bar and displays that
as a
single tick.

Is there any way to get TS to properly display these
compressed tick
bars?  I'd like to be able to compress the data into, say,
10-tick
bars and then display any 10*N-tick chart, the same way you
can
display 10*N-minute charts with a 10-minute input file.

Thanks,
Gary