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Re: Processing Tick data for zorro strategy [Re: jcl] #474980
11/15/18 20:15
11/15/18 20:15
Joined: Sep 2018
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adityam Offline OP
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adityam  Offline OP
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So do you mean to say that the following format cannot be handled via a t6 format?
Date,time,price,vol
20180917,15:29:59,11396.05,375
Because whichever format is used the t6 would need OHLC values which the above file doesn't have?
If yes then how can this be handled?

Re: Processing Tick data for zorro strategy [Re: adityam] #474983
11/15/18 22:08
11/15/18 22:08
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Petra Offline
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You must store the price in OHLC and the volume in Vol.

Re: Processing Tick data for zorro strategy [Re: adityam] #481784
10/30/20 18:42
10/30/20 18:42
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AVL Offline
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Originally Posted by jcl
T1 does not contain volume. If you want volume, you must indeed use a .t6 file. You can then ignore the warning message that .t1 is recommended.

Is there a reason why developers decided not to include Volume (Ask/Bid Size) in .t1 format? Isn't it illogical to exclude it from format made for high-precision backtesting? In this case, backtester is not checking whether an order was filled, so it's not a high precision backtesting. Even Multicharts is considering Volume in tick-by-tick backtesting.

Re: Processing Tick data for zorro strategy [Re: AVL] #481786
10/30/20 19:06
10/30/20 19:06
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AVL Offline
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I've created a thread regarding the issues with tick data: https://opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=481785&#Post481785

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