Export FTSE100 CSV @ 1 sec - missing data

General discussion about the Tickstory Lite software package.

Export FTSE100 CSV @ 1 sec - missing data

Postby lennyandcarl » Mon Oct 07, 2019 3:08 pm

Hello,

I'm new to Tickstory and trading so wanted to do some backtesting to look at scalping.

So I'm looking to get 1 second (or tick) CSV data. I have version 1.9.4.0 on Win 10.

I right clicked on FTSE100 (London) and did a download of the last year.

The I right click again, Export to file selecting start/finiah dates as 4 Oct (last Friday) and set timeframe to 1 sec and do my export.

I edited the CSV file to just include the trading hours of 8:00 to 16:30 which is 30,600 seconds, yet I have just 15,572 lines of data with gaps, eg:

Code: Select all
20191004,16:29:06,7152.21,7152.21,7152.21,7152.21,7.50000035623088E-05
20191004,16:29:07,7151.96,7151.96,7151.96,7151.96,7.50000035623088E-05
20191004,16:29:12,7152.209,7152.459,7152.209,7152.459,0.000300000014249235
20191004,16:29:13,7152.709,7152.709,7152.209,7152.209,0.000225000010686927
20191004,16:29:15,7151.96,7151.96,7151.96,7151.96,7.50000035623088E-05
20191004,16:29:16,7151.959,7151.959,7151.959,7151.959,7.50000035623088E-05
20191004,16:29:24,7151.71,7151.71,7151.71,7151.71,7.50000035623088E-05
20191004,16:29:27,7151.209,7151.209,7151.209,7151.209,7.50000035623088E-05
20191004,16:29:28,7151.459,7151.459,7151.459,7151.459,7.50000035623088E-05


Am I doing something wrong? Do I need to upgrade from Lite, or is there some logical explanation?

Thanks in advance!
lennyandcarl
 
Posts: 2
Joined: Mon Oct 07, 2019 2:33 pm

Re: Export FTSE100 CSV @ 1 sec - missing data

Postby tickstory » Mon Oct 07, 2019 9:59 pm

Hi Lennyandcarl,

This is expected as the trading on that day simply didn't have a quote happening every second. Obviously during lulls in trading activity there will be no ticks occurring during that 1-second period and therefore no 1-second bar.
In the future, we plan on having an option to fill these gaps with doji bars from the last price, however for the moment there will not be a bar for that period.

Hope this helps.
tickstory
 
Posts: 3639
Joined: Sun Jan 06, 2013 12:27 am

Re: Export FTSE100 CSV @ 1 sec - missing data

Postby lennyandcarl » Tue Oct 08, 2019 5:18 pm

Many thanks!
lennyandcarl
 
Posts: 2
Joined: Mon Oct 07, 2019 2:33 pm


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