Problem with historical tick data

[hilton]

Hi, I need help in getting historical tick data
I am trying to get the historical tick data with:

lHistoryHandle = esignal.RequestHistory(sSymbol, "T", bt, nNumBars, -1, -1)

from this I got the tick data, however, it only has ask, bid, trade, and it's missing the volume.
then I tried it with:

lHistoryHandle = esignal.RequestHistory(sSymbol, "10T", bt, nNumBars, -1, -1)

this time it only gives me the volume, but there is no ask, bid and trade price.

Anyone know a way that I can get all the ask,bid,trade and volume altogether ?

Also, there are some weird number with the historical tick data, like some very small number
(like 4.032 *e^-313)

Any help will be appreciated, Thank you : )

[JayF]

What symbol or symbols have you been seeing this with?

Anyone else seeing this problem or have any further insight?

[GenSpoo]

Re: Problem with historical tick data

Maybe it's just me, but it makes a certain sort of sense that you wouldn't get bid/ask/trade price for:

lHistoryHandle = esignal.RequestHistory(sSymbol, "10T", bt, nNumBars, -1, -1)

bid/ask/trade only make sense in real-time updates for a given bar or for tick-by-tick data. You are aksing for groups of ticks here and the bid/ask/trade for each of those 10 ticks could be very different, so, what value should be returned if they are all different? I suppose you could say the very last valid values.

Not sure if this is the reason for your results and I haven't tried it yet myself, just thinking out loud.

[hilton]

Thank you GenSpoo, I have thought of this issus too, and I have try it with "1T" as well, but it still didn't work.

My goal is to get historical TICK data like the one we can get in advance chart. (have all bid ask trade and volume)

JayF, I have tried it with IWO

Thank you

[danharp]

It looks like what you really want is the time and sales data. I haven't used it, but there is a RequestTimeSales() method that would appear to give you what ou want.

Dan

[hilton]

Thank you Dan,
yes, you are right, I tried requesttimesale and I think it can do the thing I want, but since it only gives either bid, or ask, or trade at a time, it may require a lot of work to convert it to the csv format that they use for the tick data history, since I already have a database for those data, I don't want to change the format of it. The requesthistory can do it very easily if I can get the ask bid trade and volume altogether.

However, it is so weird that I can only get ask bid trade with "T", on the other hand, can only get volume for "1T", isn't "1T" means 1 trade per bar? so I should get the trade price as well, right?

[danharp]

I am seeing the same behavior with the historical data methods. If I request "T" data, I get the trade price, but no volume. If I request "1T", I get the volume, but no prices.

It's really quite useless for tick data at this point. I was able to get the data by using the time/sales function.

I'm not sure about the format you are trying to convert for. If you need to have bid/ask/and trade/volume data for each data point, how do you determine the data points? Is it one data point per trade? There may have been multiple bid/ask changes before a trade. In order to do this, you would (unfortunately) need to do a bit of work to keep track of the bid/ask and write it out whenever a trade comes through.

I agree though, that the historical methods need to be looked at. The real problem for me is that I do not get price and volume data together with "T" or "1T".

Dan

[JayF]

Originally posted by hilton
... it may require a lot of work to convert it to the csv format that they use for the tick data history, ...

However, it is so weird that I can only get ask bid trade with "T", on the other hand, can only get volume for "1T", isn't "1T" means 1 trade per bar? so I should get the trade price as well, right?

Hilton, regarding the first part, why is it that csv format is needed?

To the forum...
RequestHistory was only intended to return bars down to the "T" level. If it is returning Bid/Ask data then that's a bug. Could someone post a brief log file and source file demonstrating this? Same for the "1T" not returning a trade price. Any help is greatly appreciated.

[hilton]

Yes Dan, I agree with you, the real problem is that it cannot get the price and volume data together with "T", "1T".

Jay, I want to convert to csv format because I need to use the data in excel and my database, I used to download the data from esignal->default chart->tick->right click->tools->data export->and then save as csv

Actually, I don't really need it in csv format, I can convert the data myself easily but I just want to get the volume and the price show at the same times, otherwise I will need to did a lot of work to convert that, (like run "T" once and store it, then run "1T" again and match the volume with "T"). If I use time/sale function, it may requires even more work to match the time, and convert to my original format which is the format from esignal data export.

-----------------------------------------------
'Here is the source file
'(just changed the one from the vb example):

Private Function FormatBarData(lIndex As Long, item As BarData)
Dim sRet As String

' currently only deals with intervals of 1 and higher. (or p,v,t,s tick charts)
' this is capapble of doing raw ticks, just not formatting the data out.
sRet = Str$(item.dtTime)
sRet = sRet + ": " + Str$(item.dTickAsk)
sRet = sRet + ", " + Str$(item.dTickTrade)
sRet = sRet + ", " + Str$(item.dTickBid)
sRet = sRet + ", " + Str$(item.dVolume)

FormatBarData = sRet
End Function
-----------------------------------------------
Here is the log file for "T" :

8/19/2003 10:57:50 AM: 52.55, 52.54, 52.33, 0
8/19/2003 10:57:51 AM: 52.55, 52.54, 52.34, 0
8/19/2003 10:57:56 AM: 52.55, 52.54, 52.33, 0
8/19/2003 10:57:59 AM: 52.55, 52.54, 52.33, 0
8/19/2003 10:57:59 AM: 52.55, 52.54, 52.33, 0
8/19/2003 10:58:02 AM: 52.55, 52.54, 52.32, 0
8/19/2003 10:58:15 AM: 52.55, 52.54, 52.33, 0
8/19/2003 10:58:21 AM: 8.83480148082271E-72, 52.55, 0, 0
8/19/2003 10:58:21 AM: 52.55, 52.55, 52.33, 0
8/19/2003 10:58:23 AM: 52.59, 52.55, 52.33, 0
8/19/2003 10:58:47 AM: 52, 52.59, 0, 0
----------------------------------------------
Here is the log file for "1T" :

8/19/2003 10:49:15 AM: 0, 0, 0, 1000
8/19/2003 10:50:03 AM: 0, 0, 0, 100
8/19/2003 10:50:29 AM: 0, 0, 0, 100
8/19/2003 10:51:04 AM: 0, 0, 0, 100
8/19/2003 10:51:14 AM: 0, 0, 0, 100
8/19/2003 10:52:18 AM: 0, 0, 0, 100
8/19/2003 10:52:50 AM: 0, 0, 0, 100
8/19/2003 10:53:06 AM: 0, 0, 0, 200
8/19/2003 10:53:36 AM: 0, 0, 0, 100
8/19/2003 10:53:38 AM: 0, 0, 0, 200
8/19/2003 10:54:34 AM: 0, 0, 0, 200
8/19/2003 10:55:10 AM: 0, 0, 0, 100
8/19/2003 10:56:39 AM: 0, 0, 0, 100
8/19/2003 10:57:13 AM: 0, 0, 0, 400
8/19/2003 10:57:46 AM: 0, 0, 0, 100
8/19/2003 10:58:21 AM: 0, 0, 0, 800
8/19/2003 10:58:47 AM: 0, 0, 0, 500
--------------------------------------------------------------
The One I get from esignal Data export (the format that I want):

Bar,Date,Time,Ask,Trade,Bid,Vol
694,08/19/03,10:56:47,52.55,,52.30,100
695,08/19/03,10:56:49,52.55,,52.29,100
696,08/19/03,10:56:50,52.55,,52.30,100
697,08/19/03,10:56:52,52.55,,52.29,100
698,08/19/03,10:56:53,52.55,,52.30,100
699,08/19/03,10:57:10,52.55,,52.31,100
700,08/19/03,10:57:12,52.55,,52.30,100
701,08/19/03,10:57:13,,52.51,,400
702,08/19/03,10:57:20,52.55,,52.31,400
703,08/19/03,10:57:26,52.55,,52.32,400
704,08/19/03,10:57:46,,52.54,,100
705,08/19/03,10:57:50,52.55,,52.33,100
706,08/19/03,10:57:51,52.55,,52.34,100
707,08/19/03,10:57:56,52.55,,52.33,100
708,08/19/03,10:57:59,52.55,,52.33,100
709,08/19/03,10:57:59,52.55,,52.33,100
710,08/19/03,10:58:02,52.55,,52.32,100
--------------------------------------------------------------

I used symbol IWO for the above log, however, it happens to all the other symbols as well.

Any help will be appreciated,

Hilton

[JayF]

Many thanks, Hilton. I'll pass this along to our dev team right now.

[JayF]

FYI, the development team is now aware of the issue and will look into it.

[danharp]

Although my code is different (C#), I see the same results. Also notice the garbage data that is included in the results, although that may not really matter if you are nly interested in the trade data.

[hilton]

Thanks Jay,
Please inform me if the development team has any reply to this problem.

[JayF]

Hilton,

Essentially, all the developers can commit to right now is that they are aware of it, and will look into it further when a time slice can be found.

Sincerely,
Jay F.
eSignal Community Support