Converting market replay data to historical data

December 4th, 2019, 07:34 AM

logindejavu27

Hi Andrea,

Yes, this is how I started, but I found that it takes forever to save ticks from market replay when it comes something more than month or few month even with Max speed of the replay. Of course if you need only couple days than sawing manually can work.

Wow, I see: you implemented a real tool indeed. I will test it today... the description is juicy and it seems to me you already worked around every issue I found out myself!! Thanks for sharing.
Andrea

November 7th, 2022, 11:49 AM

logindejavu27 thanks for sharing your strategy, much appreciated. I tried to use it to convert CL market replay to historical and I noticed some of the csv files are empty, i.e. file size 0. Any ideas what might be causing this and how to work around it? Thanks.

Converting market replay data to historical data

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Converting market replay data to historical data