Hello everyone,

I've gone through the Zorro manual, but I'm struggling to find a way to generate historical Time & Sales data for backtesting. From what I understand:

T1 files: Contain time, bid/ask price, and sometimes the spread, but no volume information.
T2 files: Contain time, bid/ask price, and accumulated volume at price levels, but only aggregated over a certain period (e.g., 10 minutes).
A standard Time & Sales format would typically include time, bid/ask price, and volume for each transaction, which seems to be the minimum needed for proper analysis.

My goal is to create historical Time & Sales data that can be used in a strategy backtest. I also considered using T6 files since they contain similar information, but according to the manual, these files are not intended for tick-level historical data.

Is there any way to generate and use Time & Sales data in Zorro for historical backtesting? Any suggestions or alternatives would be greatly appreciated!