'Volume' information on Exported data

General discussion about the Tickstory Lite software package.
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ron2464
Posts: 4
Joined: Sun May 07, 2017 4:46 pm

'Volume' information on Exported data

Post by ron2464 »

Hi,

I have just downloaded TickStory and have exported data to a file. The volume data doesn't look as I would expect, so I have had a look on-line and the general consensus would appear to be that the volume is expressed in millions. Now, this would be fine, but the values don't seem to match this, e.g. 94.8000018612871. 94.800001 would be fine as this would equate to a real value expressed in millions, but there are another 7 digits (8612871) after this value, which would make them fractional, and that is the part that I do not understand. Are the last 7 digits to be ignored and assumed to be rounding errors?

Also, is it possible to export the bid and ask prices to a file so that each bar contains the true bid and ask values for that bar. Basically, can the historic bid and ask prices be exported with the data and not just the latest bid and ask prices?

Regards

tickstory
Posts: 4883
Joined: Sun Jan 06, 2013 12:27 am

Re: 'Volume' information on Exported data

Post by tickstory »

Hi Ron,

Please check out a similar question which will hopefully answer your question here:

https://tickstory.com/forum/viewtopic.php?f=4&t=304

As mentioned in the thread, bid/ask volumes are summed for each candle (1m, 5m, etc) and output in the final OHLC summary line.

Hope this helps.

ron2464
Posts: 4
Joined: Sun May 07, 2017 4:46 pm

Re: 'Volume' information on Exported data

Post by ron2464 »

OK, thanks for the feedback, but as there are too many decimal places to be fractions of a million, I'll assume that they are rounding errors.

With regards to the bid and ask values, I have just exported all 1 minute bars for the GBP/USD between 01/01/2008 and 01/03/2008, and all ask prices are the same at 1.24231, and all bid prices are the same at 1.24273!

tickstory
Posts: 4883
Joined: Sun Jan 06, 2013 12:27 am

Re: 'Volume' information on Exported data

Post by tickstory »

Hi Ron,

Please ensure you have selected 'Tick' as your export time-frame. Here is a video that outlines the tick export process:

https://www.youtube.com/watch?v=6PzXNF3OlG8

Regards.

ron2464
Posts: 4
Joined: Sun May 07, 2017 4:46 pm

Re: 'Volume' information on Exported data

Post by ron2464 »

So to clarify, am I right in thinking that if I want to export 1 minute bars with their correct bid and ask prices, then I will need to export the data as tick data, and then create the 1 minute bars myself?

tickstory
Posts: 4883
Joined: Sun Jan 06, 2013 12:27 am

Re: 'Volume' information on Exported data

Post by tickstory »

Hi Ron2464,

Tickstory automatically creates the bar data from the underlying tick data. Just select the time-frame you need (eg. 1-minute, 5-minute) and export. This video shows how to export bar data:

https://www.youtube.com/watch?v=GlGoGvshKZw

Regards.

ron2464
Posts: 4
Joined: Sun May 07, 2017 4:46 pm

Re: 'Volume' information on Exported data

Post by ron2464 »

Sorry if I'm repeating myself, but I did export the data as 1 minute bars (including the bid/ask prices), but the bid/ask prices in the exported file were all the same values...see previous post. So what I was asking is, "If I want to export 1 minute bars with the correct bid/ask prices, should I export as tick data and then create the 1 minute bars myself from the tick data that I have exported?".

tickstory
Posts: 4883
Joined: Sun Jan 06, 2013 12:27 am

Re: 'Volume' information on Exported data

Post by tickstory »

Hi Ron,

If you want only tick data (bid/ask prices) (i.e. information of every individual price that has occurred):
- Use the "tick" timeframe. In this mode, you can export the "BidPrice" and "AskPrice" fields. Using the fields "Open", "High", "Low" or "Close" in this mode is not applicable and should not be used.
See video https://www.youtube.com/watch?v=6PzXNF3OlG8

If you want to create a file with bar (OHLC) data:
- Use the "1-minute", etc bar time-frame. In this mode, you can export the "Open", "High", "Low" and "Close" fields. Using fields "BidPrice" or "AskPrice" in this mode is not applicable and should not be used.
See video https://www.youtube.com/watch?v=GlGoGvshKZw

In the case of bar/OHLC data, there is no such thing as "bid" or "ask" prices - all you have is the open price, high price, close price and low price of that bar. This information is constructed by using the bid price and registering the OHLC price in the given bar time-frame.

Hope this helps.

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