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Re: M1 tick data format
[Re: jbhunter]
#479398
03/26/20 20:21
03/26/20 20:21
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Joined: Mar 2020
Posts: 41
jbhunter
OP
Newbie
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OP
Newbie
Joined: Mar 2020
Posts: 41
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I have some data now. Some of the dates were YYYY-mm-dd and some were YYYY.mm.dd. I changed them all to YYYYmmdd. The data looks like below.
Date,Time,Open,High,Low,Close 20200102,093000,3244.67,3247.4,3244.67,3247.22 20200102,093100,3247.19,3247.22,3245.01,3245.22 20200102,093200,3245.07,3245.54,3244.16,3244.66 20200102,093300,3244.89,3247.69,3244.89,3247.61 20200102,093400,3247.38,3248.08,3246.92,3246.92 20200102,093500,3246.89,3249.15,3246.89,3249.09 20200102,093600,3249.02,3249.45,3248.2,3249.45 20200102,093700,3249.38,3249.63,3248.49,3248.54
I am using a format in CSVtoHistory.c like below. string Format = "%Y%m%d,%H%M%S,f3,f1,f2,f4"
I am getting .t6 output files. However when trying to use in backtest I get "No asset data for SPX".
When load the .t6 files in ZHistoryEditor am getting "2000.12.31 00:00" for all of the dates. It is picking up the open/high/low/close data. And the spread and vol are showing zeros.
Any thoughts on what is happening here? I notice in the help files there is mention of using Verbose=7 to debug. I tried setting this in the zorro.ini and in the .c script but I am not seeing any log/debug output. Any help appreciated. Thanks!
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Re: M1 tick data format
[Re: jcl]
#479408
03/27/20 12:20
03/27/20 12:20
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Joined: Mar 2020
Posts: 41
jbhunter
OP
Newbie
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OP
Newbie
Joined: Mar 2020
Posts: 41
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jcl, thanks for the help.
I added the + for decending order.
I added an asset list, now I am getting Error 55. No valid ticks, No bars generated.
I added set(LOGFILE) to CSVtoHistory and am now seeing the debug info. It appears to be grabbing the date in OA format. I am not sure what the 0.39722222 and 0.39791667 refer to.
DTA: 34 MB allocated 20040906,093200,1114.75,1114.75,1114.65,1114.65
38236.00000000 0.39722222 1114.75000 1114.75000 1114.65000 1114.65000 20040906,093300,1114.65,1114.65,1114.65,1114.65
38236.00000000 0.39791667 1114.65000 1114.65000 1114.65000 1114.65000 ....... 1528310 records 1528310 lines read
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Re: M1 tick data format
[Re: jbhunter]
#479410
03/27/20 12:47
03/27/20 12:47
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Joined: Mar 2020
Posts: 41
jbhunter
OP
Newbie
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OP
Newbie
Joined: Mar 2020
Posts: 41
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I finally figured this one out. I changed my format of the date in my date to 9:32:00, and my format spec to
string Format = "+%Y%m%d,%H:%M:%S,f3,f1,f2,f4,f5,f6";
I also had to pad my date with ,0,0 at the end to zero out the spread and vol data. This appears to be working. Is it possible to parse data without the spread and volume data?
Thanks!
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