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Accessing $PLAYBACK Data in an EFS

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  • Accessing $PLAYBACK Data in an EFS

    Two questions:
    1. How does one access the size data in the $PLAYBACK file? I tried getMostRecentBidSize(), ...AskSize(), ...TradeSize() with the following results.
    2. How does one access all of the trades and quotes? The statement I used to dump the data is at the top of my real time section. Presumably it executes on every tick. However, as the data below shows, this is not the case.

    Any enlightenment on this subject would be appreciated.

    From data dump:
    10:50:00 Bid: null @ 10575
    10:50:00 Ask: null @ 10576
    10:50:00 Trade: -1 @ 10575
    10:50:00 OHLC: O:10575, H:10575, L:10575, C:10575
    10:50:00 Bid: null @ 10575
    10:50:00 Ask: null @ 10576
    10:50:00 Trade: -1 @ 10576
    10:50:00 OHLC: O:10575, H:10576, L:10575, C:10576
    10:50:00 Bid: null @ 10576
    10:50:00 Ask: null @ 10577
    10:50:00 Trade: -1 @ 10577
    10:50:00 OHLC: O:10575, H:10577, L:10575, C:10577
    10:50:00 Bid: null @ 10576
    10:50:00 Ask: null @ 10577
    10:50:00 Trade: -1 @ 10576
    10:50:00 OHLC: O:10575, H:10577, L:10575, C:10576

    From $PLAYBACK file:
    Q,040305,105000,10575,10576,4,10,,
    Q,040305,105000,10575,10576,4,7,,
    Q,040305,105000,10575,10576,4,7,,
    T,040305,105000,10575,1,
    Q,040305,105000,10575,10576,3,11,,
    Q,040305,105000,10575,10576,4,11,,
    Q,040305,105000,10575,10576,4,11,,
    T,040305,105000,10575,1,
    Q,040305,105000,10575,10576,4,11,,
    Q,040305,105000,10575,10576,4,11,,
    T,040305,105000,10575,1,
    Q,040305,105001,10574,10576,19,14,,
    Q,040305,105001,10574,10576,19,13,,
    Q,040305,105001,10574,10576,22,13,,
    Q,040305,105001,10574,10576,22,10,,
    Q,040305,105001,10574,10576,23,10,,
    Q,040305,105001,10575,10576,2,10,,
    Q,040305,105001,10575,10576,2,10,,
    T,040305,105001,10576,10,
    Q,040305,105002,10575,10577,5,24,,
    Q,040305,105002,10575,10576,5,3,,
    Q,040305,105002,10575,10577,5,24,,
    Q,040305,105002,10575,10577,10,24,,
    Q,040305,105002,10575,10576,10,3,,
    Q,040305,105002,10575,10576,12,3,,
    Q,040305,105002,10575,10576,13,3,,
    Q,040305,105002,10575,10576,14,3,,
    Q,040305,105002,10575,10576,18,3,,
    Q,040305,105003,10575,10577,18,20,,
    Q,040305,105003,10575,10577,19,20,,
    Q,040305,105003,10575,10577,29,20,,
    Q,040305,105003,10576,10577,2,20,,
    Q,040305,105003,10576,10577,6,20,,
    Q,040305,105003,10576,10577,6,15,,
    Q,040305,105003,10576,10577,6,15,,
    T,040305,105003,10577,1,
    Q,040305,105003,10576,10577,9,14,,
    Q,040305,105003,10576,10577,13,14,,
    Q,040305,105003,10576,10577,13,14,,
    T,040305,105003,10577,1,
    Q,040305,105004,10576,10577,13,14,,
    Q,040305,105004,10576,10577,14,14,,
    Q,040305,105004,10576,10577,14,4,,
    Q,040305,105004,10576,10577,13,4,,
    Q,040305,105004,10576,10577,11,4,,
    Q,040305,105004,10576,10577,11,2,,
    Q,040305,105004,10576,10577,7,2,,
    Q,040305,105004,10576,10577,13,5,,
    Q,040305,105004,10576,10577,13,4,,
    Q,040305,105004,10576,10577,12,4,,
    Q,040305,105004,10576,10577,14,4,,
    Q,040305,105005,10576,10577,18,4,,
    Q,040305,105005,10576,10577,9,1,,
    Q,040305,105005,10576,10577,9,1,,
    T,040305,105005,10576,1,

  • #2
    Hello Gavishti,

    The getMostRecent... functions only work in real time. We don't have historical bid/ask data exposed for these functions so they won't work with $PLAYBACK or back testing formulas.
    Jason K.
    Project Manager
    eSignal - an Interactive Data company

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