Tick Replay File EPF

[wannabebuzzy]

Hi,

I have found the Tick Replay functionality in eSignal to be useful for re-analyzing busy trading days.

However, I would like to know, when I open up the Tick Replay file in notepad, what do the different lines and parameters mean?

Is there a documentation on this? As I would like to write some programs to test certain strategies for specific periods in the day, and would find it easier to just feed the EPF file into my program for crunching.

I can roughly guess what some of the numbers mean, however, there are quite a few blanks that I cant seem to figure out (particularly the lines starting with Q).

I hope someone could point me to some help on this topic.

Kind regards

[SteveH]

Q records are bid/ask:

Q,date,time,bid,ask,bid size, ask size

It's either a bid or an ask record. They're not combined.

T records are transactions:

T,date,time,price,size

[wannabebuzzy]

Hi Steve,

Thanks a lot, your explanation has helped much.


However, just one more clarification.

In this example:

Q,091030,124506,0,12742,0,1,,HKF
Q,091030,124507,12741,0,1,0,HKF,
T,091030,124507,12741,1,HKF
T,091030,124507,12743,1,HKF

For some reason, some of the lines starting with Q have an extra ,, with nothing in them. Do these signify anything in particular?

Thanks and kind regards.