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Need Help extracting bid/ask volume at every tick from posted files.
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Need Help extracting bid/ask volume at every tick from posted files.

  #1 (permalink)
Elite Member
Toronto, Canada
Futures Experience: Advanced
Platform: MultiCharts, TradeStation
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Need Help extracting bid/ask volume at every tick from posted files.

I have downloaded some files from the following link provided by Mike (thanks Mike)...I am not a user of NT, I use MultiCharts and DTN-IQ feed...

I brought them into excel and cannot see how the volume for the bid or the ask is presented.

There seem to be 3 sets of prices and 2 columns with zeros to the far right in the txt file I am looking at.

Following the first price column, I see numbers that appear to be volume, with a column to the right with what appears to be a cumulative volume count.

Then the 3rd last column is a large number that does not seem to correspond to any other column...while the 2 columns to the left of this large number appear to be price, but the spread betweem these price prints seems much too large for the ES.

I have viewed the video Mike posted for NT users that use the NT reader, but the data is not lining up the same it seems when trying to view it in simple txt or csv format.

I am looking at ES 09-11 (a txt file) from the thread herein...

I need historical bid/ask tick data that has corresponding volume at the bid and the ask for every tick...trying to do some research.

I am new at this process, can someone help please?

Thanks in advance for your time.



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  #2 (permalink)
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  #3 (permalink)
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I believe your question is what the format of QCollector output is?

That video I made shows the columns from the program itself. If it doesn't line up, then I'm afraid I can't help further as I don't use the data -- am just providing it to Elite members.

@gomi might know, as he wrote the program to convert the data to NinjaTrader.


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  #4 (permalink)
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if the data you're looking at looks like this :

Date,Time,Last,LastSize,TotVol,Bid,Ask,TickID,BidS ize,AskSize
05/26/2010,00:00:00,1078.00,5,105556,1078.00,1078.50,188 57644,0,0
05/26/2010,00:00:00,1078.00,1,105557,1078.00,1078.50,188 57649,0,0

You don't get bid/ask volume.
Maybe you need level2 access or something like that.

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  #5 (permalink)
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here's the help file , does any one know how to get time to format correctly in Excel, i have tried a million ways except the one that works ? thanks

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