Support Board
Date/Time: Tue, 26 Nov 2024 09:34:50 +0000
Post From: Replay is skipping days?
| [2023-12-19 19:09:58] |
| sgne - Posts: 105 |
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Yes, I think it will be quite hard to use Excel for this task. Here are some more details on what I do. First I extract the tick data to large text files from binary 1-tick SCID files, using either Python (see the relevant thread on this board), or the language I'm most familiar with, which happens to be AHK. This gives you large files for each 3-month period (in the case of NQ or ES). Then, based on the bars of the strategy I'm working on, I make text files from the extracted tick data, one text file for each bar. That's what I mean when I use the term bar tick file. So now we have many smaller text files with tick data. As of now I use a custom chart bar DLL file to write bar data to a file, but the Write Bar Data study can do this as well. The price values and timestamps are used to assemble matching bar tick files. Then I write code to simulate trading replay, which reads and runs through the bar tick files. |