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"Condensed" Tick Chart
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"Condensed" Tick Chart

  #1 (permalink)
Trading Apprentice
NY, NY
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Emini ES
 
Posts: 12 since Apr 2015
Thanks: 6 given, 1 received

"Condensed" Tick Chart

Hi,

I want to export tick data from Tradestation to a CSV that shows 1 price per bar and the only way I can see to do this is to use a tick chart and set the Tick Bar size to 1:

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While that does accomplish what I want, there is a lot of "extra" data that takes time for Tradestation to load then export and which needs to be cleaned. Looking at this chart and table:
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Starting at the top, there are 27 rows that show a price of 2081.25. I'd prefer just one row for this price and then the next one that is 2081.

Is there a way to do this? I tried with renko and range charts, but each bar still has a min of two different ticks in it whereas I only want one.

Thank you.

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  #2 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary

mks212,

your best chance is probably to collect the data in a format you want from a one tick chart via code and write that to text files or to Excel.

Regards,

ABCTG

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  #3 (permalink)
Trading Apprentice
NY, NY
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Emini ES
 
Posts: 12 since Apr 2015
Thanks: 6 given, 1 received



ABCTG View Post
your best chance is probably to collect the data in a format you want from a one tick chart via code and write that to text files or to Excel.

Hi ABCTG,

Thank you for your reply.

That is exactly what I did. Since this is the e-mini, there are quite a few data points which makes the file size large. To keep tradestation from crashing, I had to load and then export one week at a time. After that I wrote a script in R to combine the files.

This is certainly a manageable process for 2 months of data on one contract, but if I want to look at a few years of data for different contracts, it can get cumbersome, particularly the export part.

The other idea I had, but have not implemented, is to write an "indicator" in easylanguage that basically writes each price change with time to a csv.

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  #4 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary

mks212,

you are welcome. What I meant was along the lines of your other idea. Let EasyLanguage do it and write to one fill.

Regards,

ABCTG


mks212 View Post
Hi ABCTG,

Thank you for your reply.

That is exactly what I did. Since this is the e-mini, there are quite a few data points which makes the file size large. To keep tradestation from crashing, I had to load and then export one week at a time. After that I wrote a script in R to combine the files.

This is certainly a manageable process for 2 months of data on one contract, but if I want to look at a few years of data for different contracts, it can get cumbersome, particularly the export part.

The other idea I had, but have not implemented, is to write an "indicator" in easylanguage that basically writes each price change with time to a csv.


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The following user says Thank You to ABCTG for this post:
 
  #5 (permalink)
Trading Apprentice
NY, NY
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Emini ES
 
Posts: 12 since Apr 2015
Thanks: 6 given, 1 received


ABCTG View Post
you are welcome. What I meant was along the lines of your other idea. Let EasyLanguage do it and write to one fill.

Got it. I see that now re-reading your first reply. Thanks again.

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