Importing Tick Data as M1 Data

Sources of data to import to the program
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Tantalus
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Importing Tick Data as M1 Data

#1 Postby Tantalus » Mon Jun 15, 2009 12:42 pm

Mike, perhaps you can help a little here.

I want to try out some ideas of working directly with tick data for strategy testing. I don't want FT to treat the tick data as tick data, though; I want it to treat is as if it was M1 data. Here is the reason.

I'd like to try some ideas of applying indicators and other analyses directly to the tick stream - there are some MT4 indicators available for this, and I have found the idea intriguing. Since FT prefers to work from M1 data (and create it's own synthetic tick data) this won't work... I thought I would try to take tick data and reformat it to look like M1 data. That way I could trade on the ticks directly, and have FT apply the indicators directly to that imported tick stream.

I know there are others who are working on creating tick data files directly from their own tick source, but in that case, FT would still convert those ticks to M1 (or higher) timeframe before allowing you to trade on it. I want to trade directly on the tick data, so I'm trying to trick FT into thinking that the tick data _is_ M1 data. I hope you follow me.

Here is what I tried:

1. I exported M1 data from MT4 as a .csv file.
2. I left the date, time and volume columns intact, but I copied and pasted my tick data in where the price columns are. I used the same numbers for the Open, High, Low and Close columns, effectively creating data wherein the Open High Low and Close for each bar are exactly the same. Bars like this occasionally occur in real data (usually at short timeframes) so I hoped that it would not cause a problem for FT.
3. I deleted any extra bars beyond what I had tick data for. Essentially I created a M1 .csv file but put in tick data where the M1 data had been. FT should have seen this as M1 data.
4. I imported this file into FT (v1) and the data was recognized as M1 data. The import went without any errors.

Now I ran into problems... First, FT would only display this data as D1 bars, no matter what timeframe I specified. Sometimes it would let me view the raw tick data as M1 (which is what I want), but if I viewed it in any other TF, it would default to D1 display, even though it said on screen that it was in a different timeframe.

Also, When I used the crosshair mode, it displayed only the horizontal line and not the vertical one. This was a consistent problem and occurred in both edit mode and testing mode.

Can you think of any reason off-hand why this method should have problems?

I will try to get some screen shots later and post them along with my pseudo-M1 data file (tick data as M1).

Any thoughts or suggestions would be appreciated..

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Tantalus Research - Developing 21st Century Trading Systems.

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#2 Postby Tantalus » Mon Jun 15, 2009 2:55 pm

AHA! I found the problem!

Excel (a Microsoft product) is screwing up my data by changing the format of the time of day data without asking my permission.

Original TOD:

03:04

After Excel changes it:

3:04

Dropping the leading zero is not acceptable to the FT data importer, but Excel does it automatically. I futzed around and figured out how to get Excel to leave the data in the original format (I'll share if anyone asks) so now I can pull in my tick data and work with it directly, as I intended.

Here's a screen shot of my tick data with some indicators applied... Fun!

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ghamm
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#3 Postby ghamm » Mon Jun 15, 2009 9:37 pm

I too spend a lot of time building real time tick algorithms.
If Im understanding your problem.. Id just build my own Tick file, and copy it into the respective FT directory.. That way, you can Use native data , real ticks, or of course build interpolated data.

Gordon

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#4 Postby Tantalus » Tue Jun 16, 2009 12:42 am

The problem with building a tick file (like FT uses for the ticks it generates) is that the only way you can analyze and trade with it is to let FT cast it into timeframes, which means you're trading with M1 and higher data. I want to work with the pure tick data.

I have the import issue figured out, now let's see if there's something useful I can do with it...

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ABC
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#5 Postby ABC » Tue Jun 16, 2009 5:58 am

Tantalus

where do you come from?I think you are very ingenious.I like you. :lol:
Last edited by ABC on Thu Jun 25, 2009 11:09 am, edited 1 time in total.

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#6 Postby ABC » Tue Jun 16, 2009 6:25 am

:lol:
Last edited by ABC on Thu Jun 25, 2009 11:08 am, edited 1 time in total.

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#7 Postby Tantalus » Tue Jun 16, 2009 7:56 am

No problem! I'm just glad someone is listening to me babble!! :D

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