t&s history

[cgaylord]

We need some help on collecting time and sales historical data.

We are using esignal 7.7 beta 4.

At this point we are trying to use the vb6. We are starting with the TsSample Project provided.

We are open to other platforms.

We are, at this juncture, simply trying to retrieve historical t&s data.

We are unable to do this successfully. We think we should be able to retrieve data even on a weekend when the markets are not trading. Are we wrong?

We would like, for example, to retrieve the last few days of t&s data for ES U4. Even better, we'd like to get the t&s data for ES U4 for a particular day or specific time period.

Can anyone point us to some documentation that would help us with this or sample code on nearly any format, but I guess Vb6 sort of fits right now. We have searched through the postings and documentation. We are posting a new thread because we, probably missing it, couldn't find anything that quite fit.

We have all sorts of suggestions of how this might happen, but since none of them have really worked very well we won't bother enumerating them.

Please help. Thankyou.

[ScottJ]

Hi,

I'm not personally familiar with ActiveX or programming but I do know you should be able to access the last 10 days of time and sales at anytime, weekends included. I see that Robi just posted some new examples (Wed of last week) to the ActiveX FileShare group and one of them (named Multiple History Requests in VB.zip) specifically mentions retrieving T&S.

Hope that helps.

[cgaylord]

thanks, but

You know, we did see that. Tried it and nothing happens. I expect something will happen when the markets start trading.

[cgaylord]

...and

And, of course, that is ohlc and not t&s

[cgaylord]

a bit more information (T&S history)

Clarifying our original post in this thread:

It seems we should be able to simply modify the "TsSample Project" provided in order to get t&s history.

It looks like we should be able to simply change the tsFilter.lNumDays = 1 to tsFilter.lNumDays = 10 and we should get 10 days of history but we get nothing when the markets are not trading.

Is there something else necessary?

[cgaylord]

may esignal.RequestHistory

Maybe we should be using the esignal.RequestHistory with an interval of 1T instead of esignal.RequestTimeSales and setting the tsFilter.lNumDays value to something more than 1 in order to get time and sales tick data for each trade.

We'll try this later.

[cgaylord]

some progress but...

Ok.
Using the vbsample provided, which uses

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

I can modify the "FormatBarData" function to:

sRet = Str$(item.dtTime)
' sRet = sRet + ": " + Str$(item.dOpen)
' sRet = sRet + ", " + Str$(item.dHigh)
' sRet = sRet + ", " + Str$(item.dLow)
' sRet = sRet + ", " + Str$(item.dClose)
sRet = sRet + ", " + Str$(item.dTickTrade)
sRet = sRet + ", " + Str$(item.dVolume)

If i use T1 as the interval I get the trade price, but no volume. If I use 1T i get the volume but no trade price.

Where do we go from here? We need to get as much history as we can one time retrieving Time, Price, Volume.

[cgaylord]

ok

Ok, why doesn't someone, maybe someone from esignal, just tell us how to retrieve historical time and sales data.

We need:

time, price, volume

for each tick.

Is this possible?

We are using esignal 7.7 Beta 4
vb6 platform is most desirable in terms of documentation. We can do vb.net or about any other platform. Whatever would work for getting tick data from esignal.

[ScottJ]

While we wait for a programmer to respond here, have you by chance searched this forum for other threads on Time and Sales? I just ran a search and found close to 70 posts. Many of them seem pretty close to what you're trying to do. Several sample files posted by Genspoo among them.

Any of these help?

[cgaylord]

indeed (t&s history)

Boy, have we searched.

Thank you for your pointers. We have in the past reviewed those. Why should this be so hard?

We are using eSignal 7.7 Beta 4.

At this point, in terms of the documentation, we are working with VB6. We can do about any platform. VB6 is probably preferable but not necessary.

Again, we need Time, Price and Volume for each trade.

We need whatever history is available.

What is necessary to retrieve this information?

[Guest]

Yes, what you are attempting to do is completely possible, using Time and Sales functions. The TsSample Project demonstrates how. You can use C++, VB and the .NET environment.

Please review the sample applications and pages 4-7 to 4-9 for examples and documentation. You will need to pass a TimeSalesFilter data type to the function.

[cgaylord]

thank you, but

Robi, welcome back.

Adding the appropriate SetApplication name to the "TS Sample Project" and then changing the tsFilter.lNumDays = 1 to tsFilter.lNumDays = 4 we still only receive current activity. No history returned.

????

[cgaylord]

clarification

We have searched hard on the documentation and samples.

We've been using the two samples for vb6 provided just to get a start (explored and implemented some of the others).

Remember we are trying to get raw tick data. All trades, Time, Price and Volume. Using the time and sales function in TS Sample Project just seems to give us current data - very nicely. No history even if we change the lNumDays value of the TSFilter.

Using the vb sample project, which allows for history collection of bars, we can indeed retrieve history. If we put in T1 for the interval we get the history we request but only with the price indicated. No volume. If we put in 1T, we get the volume but no price. Both indicate time.

What am i missing here? This works good in esignal if we do the TOOLS | Tick Replay | TickDownloader menu item. It creates a text file with just what we need in it: Time, Price and Volume. It's limited to 10 days.

Again, what am I missing? We have both vb samples. How are they modified to get raw tick data? We have not been negligent in reviewing the documentation, forum posts and samples. Maybe just dumb.

[cgaylord]

clarification

We have searched hard on the documentation and samples.

We've been using the two samples for vb6 provided just to get a start (explored and implemented some of the others).

Remember we are trying to get raw tick data. All trades, Time, Price and Volume. Using the time and sales function in TS Sample Project just seems to give us current data - very nicely. No history even if we change the lNumDays value of the TSFilter.

Using the vb sample project, which allows for history collection of bars, we can indeed retrieve history. If we put in T1 for the interval we get the history we request but only with the price indicated. No volume. If we put in 1T, we get the volume but no price. Both indicate time.

What am i missing here? This works good in esignal if we do the TOOLS | Tick Replay | TickDownloader menu item. It creates a text file with just what we need in it: Time, Price and Volume. It's limited to 10 days.

Again, what am I missing? We have both vb samples. How are they modified to get raw tick data? We have not been negligent in reviewing the documentation, forum posts and samples. Maybe just dumb.

[GenSpoo]

I just tested my C# time and sales history grabber app on eSignal 7.7r5. It grabbed all the historical T&S data as expected. If you are still having problems, I could probably rig up a very simple VB.NET version.

Cheers... George