Hello,
Instead of providing the typical “Date, Time, Last Price, Volume, Bid Price, Ask Price” format, the new source of historical tick data I have access to is providing each tick/trade information under the following format
“Date, Time, Last Price, Volume, Bid Volume, Ask Volume”
ie whenever a transaction was done at the ask price, this is reflected by the ask volume figure being equal to the volume of the trade, while the Bid volume is equal to zero (But the exact bid price at the time of the trade is not provided)
I created the corresponding custom tick data format, but bid and ask volume information are ignored during the import process.
Is there a way to import such tick data into IRT and still be able to access the delta information and subsequent VB features ?
Thanks a lot for the feedback
Eddy
You'll probably need to do some manipulation of that data in excel to convert the combination of Bid and Ask Volumes along with the Last Price to form the Bid and Ask Prices. So if Bid Volume is present, you know it's a sell and you should assign the Last Price to the Bid Price, with the Ask Price one tick above that. Best you can do. Once you have it in that format you should be able to import. If you need help with the Excel syntax, send me a small sample of the data.
Hi Chad,
Thanks for the confirmation - I will simulate bid and ask price accordingly based on the bid / ask volume information.
Just wanted to check there was no alternative import format before starting to modify all the original files format and make them IRT compatible.
Eddy