Support Board
Date/Time: Sat, 23 Nov 2024 11:45:08 +0000
How to interpret CSV data
View Count: 138
| [2024-11-11 20:29:19] |
| feed_me_beef - Posts: 7 |
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I've exported intraday MNQ data into a CSV, it has the following columns: Date, Time, Open, High, Low, Last, Volume, NumberOfTrades, BidVolume, AskVolume I think each row corresponds to a tick? I'm really not sure, there're multiple rows occurring within the same millisecond. I'm also not sure what exactly the BidVolume and AskVolume columns represent, are these limit orders that were placed or are these orders that were fulfilled etc... The documentation is not very clear to me but I presume I'm not looking in the correct place. Could you please help me clear this up! Thank you. |
| [2024-11-11 21:01:47] |
| John - SC Support - Posts: 36238 |
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As to what exactly the data is depends on how you exported it. But, from what you state, it sounds like you must have selected "Export Intraday Data To Text File". In this case, what you are seeing is the stored data, which is stored at the increment you define in your setting for "Intraday Data Storage Time Unit". Assuming your time increment in 1 tick, then what you are seeing is every individual trade for that symbol. Items with the same millisecond were traded within the same millisecond and then are denoted by a counter that is added at the microsecond level, which is why you might see things like .123001 .123002, etc. The BidVolume and AskVolume are the trade quantity traded at that bid or ask, meaning it was either a Buy (Ask) or a Sell (Bid). For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-11-12 19:46:44] |
| feed_me_beef - Posts: 7 |
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Thanks for your help John, I now understand what the numbers mean. I was able to find and read this documentation as well which further clarified: Exporting and Importing Intraday Data Files: Format of Exported Data I'm running into a few problems though, I have "Intraday Data Storage Time Unit" set to 1 tick but when I download the data the NumberOfTrades value is not always 1, which is confusing me. I'm doing this in the global setting, is there somewhere else I need to make any changes? Thanks |
| [2024-11-12 21:26:23] |
| John - SC Support - Posts: 36238 |
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Are you certain that you are looking at the "Number of Trades" and not at the Volume? Can you show us an example of what you are seeing and tell us the symbol. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-11-12 21:53:28] |
| feed_me_beef - Posts: 7 |
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I have attached a snippet of the CSV with two examples highlighted, and also of the settings. This was MESZ24-CME, but I'm seeing the same thing on all of the tickers I've tried. Thanks |
 Capture1.PNG / V - Attached On 2024-11-12 21:51:30 UTC - Size: 44.12 KB - 17 views Capture.PNG / V - Attached On 2024-11-12 21:51:43 UTC - Size: 46.52 KB - 14 views |
| [2024-11-13 08:51:35] |
| feed_me_beef - Posts: 7 |
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I am using the method here and it seems to be working now: Edit Menu: Procedure to Export Bar Data for Use in Spreadsheet Programs If you know of a better way to export the tick data please let me know. Thanks |
| [2024-11-13 17:00:02] |
| John - SC Support - Posts: 36238 |
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So you are using the option for "Edit >> Export Bar Data to Text File", is that correct? If so, then what is the Bar Period set to for that chart? For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-11-13 17:42:22] |
| feed_me_beef - Posts: 7 |
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I set the chart to volume per bar with a period of 1
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| [2024-11-13 19:06:33] |
| John - SC Support - Posts: 36238 |
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The information is not matching up. If you have your bar period set to "Volume per Bar" with a period of "1", then if you exported your data with "Edit >> Export Bar Data to Text File" you should only have volumes of 1 showing. Please verify the Bar Period settings as well as the specific item you are selecting to export the data. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-11-13 19:22:28] |
| feed_me_beef - Posts: 7 |
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Sorry I wasn't clear, when I made post #5 I was doing it as previously described. I realised I could export using the bar data after posting that and so made post #6 to let you know I'd resolved the problem. The data I have now is as you expect. |
| [2024-11-13 20:16:32] |
| John - SC Support - Posts: 36238 |
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So you are fine now?
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-11-13 21:19:41] |
| feed_me_beef - Posts: 7 |
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Yes I can work with the data now. Thank you for your assistance, sorry for the confusion. |
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