How to make a tick database

[dloomis]

If i wanted to store tick data in a text file, capturing the date and price info, does any one have a helpful suggestion on a general way to do this?

I was thinking of saving each days data in a separate text file, and then reading the correct file as needed with the efs.

Thanks!

[SteveH]

Post deleted

[ScottJ]

I'd have to say QCollector may be the easiest route.

Hope all is well David.

[maxmax68]

Hi dloomis,
excuse my lack of skill,
but how do you use a data text file to run and check a strategy of an efs ?
Very tough question !
Thanks in advance.
Massimo

[dloomis]

Hi Massimo and esp ScottJ

All is well thanks and i hope the Pats do their thing this weekend! hehe

Massimo, an efs can read a text file that has commas between the data. In my example i just want to save the number of contracts traded at a certain price on as certain day. I can daily d/l the tick data into excel and then use a pivot table to sum the volume at a given price, then save this pivot table as a daily 'comma delimited' *.txt file. So far that's easy. I am not trying to check a strategy with this data, just plot their volume at each price on sequential days, starting at, for example, the 5th of July 2011 thru today. Something like a 'poor man's' Market Profile. However once i have the data for the days i am interested, i can use the efs to find the Value Range, the Point of Control etc. Gets confusing to code (but what doesn't these days) but i have done it.
I was looking for some ideas to handle the 'flat file data arrays' in an efficient manner with out resorting to the brute force method i usually use. Brute force means i just do what i want to have done, with out any handy dandy programmer type short cuts.
Any other questions?
Go Pats!
Thx Steve for your 2 cents.

[SteveH]

David,

You can read your daily CSV file into a C# program and then use LINQ queries to derive your MP data.

If you want to do some prototyping first in a scratchpad environment, then try LINQPad (free program).

[maxmax68]

Thank you David for your kind answer.
I'm not a programmer, I only know the '"efs" I've learned from eSignal and I realize that your answer is beyond my ability.
That's why I will not bore you with further questions.
Just a thought and a suggestion for the programmers of eSignal.
When I want to test a strategy with eSignal in realtime I am forced to use replay tick by tick with version 10.6 (When this feature will be implemented in version 11?). This is a very slow process, limited to the last ten days.
It would be really great if eSignal would provide the possibility to feed an Efs program with a data file containing tick by tick data (I mean a tick by tick backtest instead of a bar by bar backtest).
Thanks again and regards.
Massimo