Tick data - Level 1/2 etc

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Tick data - Level 1/2 etc

Postby delbroooks » Mon Nov 13, 2017 3:53 pm

I am unable to launch MQL4 from the the Tickstory Application. I have attached word file that contains the photo shot of the error among other things like settings. I was able view the sample tick data using the show data feature of the application, in that I found there are no BID ASK columns

in Figure 7 of the attached file can you please explain what is the Role of SPREAD: (Line 10) within the [u]"Export to MT4"[/u] Tab . From what I understand about tick data is that the Data is provided by the Market maker which is Dukascopy in your case and that the spread is never fixed it changes with the market dynamics i.e. supply demand and other factors so having a fixed spread doesn't make any sense. In fact I intend to measure through my models what causes the spread to change. So why would you have a fixed spread.

In a tick data for example from NYSE OR FTSE the Tick data Contains LEVEL 1 Quotes that is TOP-OF-THE-BOOK quotes that is ||Time Stamp||Bid|| Ask|| Available BUY Volume || Available Sell Volume || # of Buy Trades || # of Sell Trades. And there is a Level 2 Data.
In Figure 6 contains the Data that I can see from my end That Contains: DATE/TIME|| Open||High||LOW||CLOSE|| VOLUME ..................This is Not called a tick data.
Attachments
MQL_Simulator_error.docx
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delbroooks
 
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Re: Tick data - Level 1/2 etc

Postby tickstory » Mon Nov 13, 2017 9:37 pm

Hi Delbrooks,

Thanks for the further information. Some responses:

1) Regarding launch error, please sure you enter your license in the Help->License menu. This will fully activate the software and should address the error.

2) Spread: MT4 does not provide variable spread - it only stores a single Bid price which is uses for back-testing. The Ask price is calculated by adding the specified Spread value* . This is unfortunately a limitation with the Metatrader back-tester. That said, Tickstory does export each individual (level 1) quote from the Dukascopy book. Each tick is then passed through the MT4 strategy tester with the spread modeled as described above (without Tickstory, MT4 only has the ability to test 1-minute OHLC data at its most granular).

* Note that you must set the Spread in the MT4 Strategy Tester 'Spread' box - not the 'MT4 Settings' box. Older versions of MT4 used to embed this spread value in the exported data and this field remains for backward-compatibility reasons.

3) The 'Data Inspector' is showing you each Level 1 price tick. The Bid price as labelled as the 'Close' price in the list. The Data Inspector was really designed for ad-hoc trouble-shooting. If you wish to export both Bid and Ask prices, you can do so in the "Export to file" function and then open the results more conveniently in something like Excel. See the manual (F1 in Tickstory) or check out this video for more: https://youtu.be/6PzXNF3OlG8.

Regards.

P.S. Please note we'll split this topic to a new one shortly since it doesn't relate to the original question.
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Re: Tick data - Level 1/2 etc

Postby delbroooks » Tue Nov 14, 2017 7:55 pm

Do you suggest any tester or platform which uses top of the book tick data as such?
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Re: Tick data - Level 1/2 etc

Postby tickstory » Tue Nov 14, 2017 9:59 pm

We don't really recommend any particular strategy tester as this would really depend on your requirements. While the Strategy Tester in Metatrader isn't perfect, it does allow you to pre-test any automated strategies/EAs before going live. If you're developing for MT4 then it makes the most sense to write the code for MT4 rather than testing it in another platform and then converting it.

If your strategy is particular spread sensitive, what we recommend is that you test the strategy with various increasing spread values to see how your strategy performs under various market conditions.

Of course, if you do choose a different testing platform, you will be able to use Tickstory to export the tick data to that platform assuming it accepts a standard file format.

Hope this helps.
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