Create custom tick-based bars

Author: Rebelion

Creation Date: 5/8/2013 8:29 AM

Wealth Lab » WealthScript (.NET) » Create custom tick-based bars

Rebelion

5/8/2013 8:29 AM

Hello, guys.

I want you to ask a dummy question, but... Is it any way to get interim (ticks) data used for a different time-scale candles creation? For example, I have a provider which cannot give me ticks data, but I strongly need to create my own candles based on the other principles (not a time-scale candles like renko). Is this a way to create my candles through this way for historical/real-time data?

Thnxs.

Eugene

5/8/2013 9:59 AM

If my understanding is correct, and I'm not sure it is, you want to create a custom chart style:

* Wealth-Lab Development Guide > "Creating ChartStyles"
* Home - Community ChartStyles > Download "Community ChartStyles" project source

Rebelion

5/8/2013 10:04 AM

Emm... Eugene, this is more widely problem - I want to get a List of my own candles based on ticks (for example, candles, formed through this simple dummy rule "high - low >= candlesize"). I have no direct way to get ticks data through the data provider I have (IQFeed), but I though that it's a alternate route to get ticks data when data provider forming time-scale candles (like 1 min, 5 min, etc). And when I will have these ticks, I could form my own candles... Is it possible?

Rebelion

5/8/2013 10:09 AM

That's not a idle question (as russian says) - I try to research different types of candles I can form for better market price prediction, and I need ticks data for my own types of candles form...

Eugene

5/8/2013 10:59 AM

On how Wealth-Lab Strategies work, please refer to this FAQ:

Is it necessary to have access to intra-bar tick data to daytrade with Wealth-Lab?

The data provider itself has internal access to streaming tick- or snapshot-based updates but they are not 'exposed' to Wealth-Lab Strategies i.e. not available.

Rebelion

5/9/2013 12:55 PM

Damn... And is there an API for IQFeed avalible to write my own data static/streaming provider? :-(

Eugene

5/9/2013 1:35 PM

In the future, we may consider adding tick/second data support to the IQFeed provider.

Rebelion

5/9/2013 1:41 PM

Heh... Hope, It will be in 6.5 version... :-) :-P
It's not a bad idea to add ticks data for any provider, cause Wealth-Lab is a powerful instrument of analyse, but it's limited by time-scaled candles, unfortunatelly...

Eugene

5/9/2013 1:59 PM

High frequency trading and/or tick-based charts has never been in our focus, and frankly, there is no plan to move in this direction. You can't trade second/tick bars in the SM anyway.

Rebelion

#10

5/9/2013 2:07 PM

Yeah, I don't need to trade every tick or second - I just need to form candles by myself, for example, through the volatility I estimate via the spectral analyse. It's not a bad idea to have an instrument for creating it. Current time-scale model is a bottle-neck, it's my opinion...