Reading tick data without OHLC

DenisPolezhaka

#1

5/12/2021 1:46 PM

Hi! How can I open in WL tick history data without OHLC data. Let's say, that file have fields such as trade size, ask size, bid size, but no OHLC. Can WL somehow read it (may be by using C# in Strategy Editor).
The example of table is below, I got it from ICE Data Services company.

I heared that WL can work with ICE Data Services online data provider, may be this can help me, how can I connect to them?

Data history file
_______
##TICKER.PLANT=8
##PRIMARY.FILE.SIGNATURE=841249294+325504988 (Internal Use)
#D=H|<ENUM.SRC.ID>|<SYMBOL.TICKER>|<CURRENCY.STRING>|<ISIN>|<SEDOL>|<CUSIP>|<DISPLAY.PRECISION>|<TRADE.OPEN>|<OPEN_INT>|<YEST.TRADE.CLOSE>|<YEST.TRADE.VOL>|<SETTLE.DATE>|<SETTLE.PRICE>|<EXPIRATION.DATE>|<FRONT.MONTH.CONTRACT>|<ENUM.INSTR.TYPE>|<LOT.SIZE>|<CONTRACT.SIZE>|<VARIABLE.TICK.SIZE>|<MKT.SEGMENT>
#D=T|<TAS.SEQ>|<RNR.END.EXCH.SEQ>|<ACTIVITY.DATETIME>|<TRADE.PRICE>|<TRADE.SIZE>|<TRADE.COND_1>|<PART.CODE>|<VWAP>|<TRADE.DATETIME>|<EXCH.MESSAGE.TIMESTAMP>|<TRADE.COND_2>|<TRADE.COND_3>|<TRADE.OFFICIAL.TIME>|<TRADE.COND_4>|<TRADE.COND_5>|<EXTENDED.TRADE.COND>|<TRADE.OFFICIAL.DATE>|<RETRANSMISSION.FLAG>|<AGGRESSOR.SIDE>|<TRADE.UNIQUE.ID>
#D=Q|<TAS.SEQ>|<RNR.END.EXCH.SEQ>|<ACTIVITY.DATETIME>|<BID.PRICE>|<BID.SIZE>|<ASK.PRICE>|<ASK.SIZE>|<QUOTE.COND_1>|<PART.CODE>|<QUOTE.DATETIME>|<EXCH.MESSAGE.TIMESTAMP>
#D=S|<TAS.SEQ>|<ACTIVITY.DATETIME>|<INSTR.STATUS>|<EXCH.MESSAGE.TIMESTAMP>|<TRADABLE.STATUS>|<MARKET.PHASE>
H|817|F:AF\H21|RUB||||6|6967|69170|6968|24312|1615939200|6964|20210319||1024||100.0|1.00000|0
Q|1||1615952739.0391|0|5|7050|0|||1615952739.0391|
Q|2||1615952739.0391|6900|2|7050|0|||1615952739.0391|
S|3|1615953600.8611|17|40000828|1|4
Q|4||1615953601.3659|6900|2|7079|92|||1615953601.3659|
Q|5||1615953601.4004|6908|111|7079|92|||1615953601.4004|
S|6|1615953603.4038||40003376|1|4
Q|7||1615953612.409|7028|32|7079|92|||1615953612.409|
Q|8||1615953612.409|7028|32|7068|7|||1615953612.409|
Q|9||1615953623.8241|7028|32|7056|48|||1615953623.8241|
Q|10||1615953745.7116|7028|32|7049|20|||1615953745.7116|
T|11||1615954022.1954|7046|1|0||7047.859122|1615954022.1954|40702165|||40702160308251||||20210317||2|307224898174321368
Q|12||1615954022.1954|7046|4|7049|20|||1615954022.1954|
Q|13||1615954327.3543|7046|4|7050|16|||1615954327.3543|
T|14||1615954582.2266|7046|1|0||7047.858264|1615954582.2266|41622195|||40702160308251||||20210317||2|307224898174321368
Q|15||1615954590.4962|7046|4|7050|16|||1615954590.4962|
Q|16||1615954590.4962|7046|4|7050|16|||1615954590.4962|
Q|17||1615955208.9312|7046|2|7050|16|||1615955208.9312|

Thanks!

Size:

Color:

Hi! How can I open in WL tick history data without OHLC data. Let's say, that file have fields such as trade size, ask size, bid size, but no OHLC. Can WL somehow read it (may be by using C# in Strategy Editor).
The example of table is below, I got it from ICE Data Services company.

I heared that WL can work with ICE Data Services online data provider, may be this can help me, how can I connect to them?

Data history file
_______
##TICKER.PLANT=8
##PRIMARY.FILE.SIGNATURE=841249294+325504988 (Internal Use)
#D=H|<ENUM.SRC.ID>|<SYMBOL.TICKER>|<CURRENCY.STRING>|<ISIN>|<SEDOL>|<CUSIP>|<DISPLAY.PRECISION>|<TRADE.OPEN>|<OPEN_INT>|<YEST.TRADE.CLOSE>|<YEST.TRADE.VOL>|<SETTLE.DATE>|<SETTLE.PRICE>|<EXPIRATION.DATE>|<FRONT.MONTH.CONTRACT>|<ENUM.INSTR.TYPE>|<LOT.SIZE>|<CONTRACT.SIZE>|<VARIABLE.TICK.SIZE>|<MKT.SEGMENT>
#D=T|<TAS.SEQ>|<RNR.END.EXCH.SEQ>|<ACTIVITY.DATETIME>|<TRADE.PRICE>|<TRADE.SIZE>|<TRADE.COND_1>|<PART.CODE>|<VWAP>|<TRADE.DATETIME>|<EXCH.MESSAGE.TIMESTAMP>|<TRADE.COND_2>|<TRADE.COND_3>|<TRADE.OFFICIAL.TIME>|<TRADE.COND_4>|<TRADE.COND_5>|<EXTENDED.TRADE.COND>|<TRADE.OFFICIAL.DATE>|<RETRANSMISSION.FLAG>|<AGGRESSOR.SIDE>|<TRADE.UNIQUE.ID>
#D=Q|<TAS.SEQ>|<RNR.END.EXCH.SEQ>|<ACTIVITY.DATETIME>|<BID.PRICE>|<BID.SIZE>|<ASK.PRICE>|<ASK.SIZE>|<QUOTE.COND_1>|<PART.CODE>|<QUOTE.DATETIME>|<EXCH.MESSAGE.TIMESTAMP>
#D=S|<TAS.SEQ>|<ACTIVITY.DATETIME>|<INSTR.STATUS>|<EXCH.MESSAGE.TIMESTAMP>|<TRADABLE.STATUS>|<MARKET.PHASE>
H|817|F:AF\H21|RUB||||6|6967|69170|6968|24312|1615939200|6964|20210319||1024||100.0|1.00000|0
Q|1||1615952739.0391|0|5|7050|0|||1615952739.0391|
Q|2||1615952739.0391|6900|2|7050|0|||1615952739.0391|
S|3|1615953600.8611|17|40000828|1|4
Q|4||1615953601.3659|6900|2|7079|92|||1615953601.3659|
Q|5||1615953601.4004|6908|111|7079|92|||1615953601.4004|
S|6|1615953603.4038||40003376|1|4
Q|7||1615953612.409|7028|32|7079|92|||1615953612.409|
Q|8||1615953612.409|7028|32|7068|7|||1615953612.409|
Q|9||1615953623.8241|7028|32|7056|48|||1615953623.8241|
Q|10||1615953745.7116|7028|32|7049|20|||1615953745.7116|
T|11||1615954022.1954|7046|1|0||7047.859122|1615954022.1954|40702165|||40702160308251||||20210317||2|307224898174321368
Q|12||1615954022.1954|7046|4|7049|20|||1615954022.1954|
Q|13||1615954327.3543|7046|4|7050|16|||1615954327.3543|
T|14||1615954582.2266|7046|1|0||7047.858264|1615954582.2266|41622195|||40702160308251||||20210317||2|307224898174321368
Q|15||1615954590.4962|7046|4|7050|16|||1615954590.4962|
Q|16||1615954590.4962|7046|4|7050|16|||1615954590.4962|
Q|17||1615955208.9312|7046|2|7050|16|||1615955208.9312|

Thanks!

Eugene

#2

5/12/2021 2:49 PM

Hi,

The ASCII provider supports Tick data. In theory you'd have to skip the first 7 lines and type in "|" as the field separator char.

Note that this data sample seems to be irregular which may cause issues (haven't tried it).

DenisPolezhaka

#3

5/12/2021 7:16 PM

I can export any data fields and/or specific lines from this data to a file, what I did (example is below). But still, how to set up reading it in WL and see OHLC price candles in chart? I tried Data Manager, but it requiers OHLC prices.

Exported file with price fields:

<ACTIVITY.DATETIME>,<TRADE.PRICE>,<TRADE.SIZE>
17.03.2021 7:00,73699,1
17.03.2021 7:00,73699,1
17.03.2021 7:00,73700,1
17.03.2021 7:00,73700,3
17.03.2021 7:00,73700,3
17.03.2021 7:00,73700,1
17.03.2021 7:00,73700,1
17.03.2021 7:00,73700,1
17.03.2021 7:00,73700,1
17.03.2021 7:00,73700,1
17.03.2021 7:00,73700,5
17.03.2021 7:00,73700,1
17.03.2021 7:00,73700,1
17.03.2021 7:00,73700,5
17.03.2021 7:00,73702,1
17.03.2021 7:00,73703,1
17.03.2021 7:00,73705,5
17.03.2021 7:00,73705,5
17.03.2021 7:00,73705,1
17.03.2021 7:00,73707,1
17.03.2021 7:00,73710,1
17.03.2021 7:00,73710,1
17.03.2021 7:00,73711,16
17.03.2021 7:00,73712,1
17.03.2021 7:00,73713,5
17.03.2021 7:00,73715,1
17.03.2021 7:00,73715,1
17.03.2021 7:00,73719,1
17.03.2021 7:00,73719,1
17.03.2021 7:00,73720,1

Eugene

#4

5/12/2021 8:14 PM

Only the Close price is mandatory, you can delete the OHL fields for a Tick chart.

DenisPolezhaka

#5

5/12/2021 11:15 PM

Ok, but, may be it wasn't very clear, but the goal that I'm trying to achive is to actually see OHLCV data in WL chart from the database that has not that data directly. How to achive it?

Eugene

#6

5/13/2021 4:31 AM

When setting up the ASCII provider using data in post #3, leave the Date, Close and Volume columns. Take TRADE.PRICE as the Close and TRADE.SIZE as the Volume.