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Data Manager setup ( TickData vs TradeStation )

6 replies

kleung88

Customer, bbp_participant, community, 32 replies.

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7 years ago #116060

Hello, I am new to SQ Pro, and I would like to setup a list of symbols under SQ Data Manager, in the same way that the default shows ( EURUSD_fhdb, GBPUSD_fhdb, USDJPY_fhdb). 

 

I downloaded TickData, and I also downloaded TradeStation Data, and it seemed to me that I have to specify the specific time-frame bars first.  For example, if I use NZDUSD of 5 minutes bars from TickData, or use USDCHF 360 minutes bars from TradeStation, etc., I will have to set them up exactly they are, instead of simply having the tick bars from either download sources, and let SQ Pro to select the time frame.

 

As for the SQ Pro pre-loaded default data ( EURUSD_fhdb, GBPUSD_fhdb, USDJPY_fhdb), we are allowed to choose any time-frames under the pull-down manual before we start the Building Strategies run.  I can select different periods (D1, M1, M5, M15, M30, H1, H4) from the pull-down manual.  However, such pull down selection does not exist for my TickData nor TradeStation for specific time-frames.  So, I had also tried to add tick data bars of TradeStation and TickData, but didn’t see that I was allowed to select different periods based on raw tick data.  Data setup for each symbol by each time-frame does not seem to be an efficient way to prepare testing data under Data Manager ?

 

How may I resolve this problem please ?

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mabi

Customer, bbp_participant, community, 261 replies.

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7 years ago #140554

You can try by converting the Tradestation data to Metatrader formate and then import it. However I did this for Ninjatrader and got mixed results which I think is because when you develop on Meta trader format data it uses another backtest engine and other setting for the indicators that are not suitable for Tradestation or Ninjatrader thus the strategies generated work best on Metatrader. This does not account for all types of strategies but the ones were you really need high resolution data of course is the ones that do not work. So I gave that up. But if you plan to use the strategies with Meta trader then it is okey to do so I suppose. Now they have said that this can and will be implemented for Tradestation and Ninjatrader as well but when I asked when this feature will be implemented there has been no answer just that it will be possible to do in SQ4 so maybe during next year if we nag enough it will be possible 🙂

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kleung88

Customer, bbp_participant, community, 32 replies.

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7 years ago #140557

Thanks Advanced Member.  I think it’s because Tradestation and Ninjatrader data format are taking each data bar as end of period, in oppose to Metatrader format which recognize any bar as the next period.  So, that’s 1 period difference by design and we can’t do anything about it, am I correct ?

 

If we put this Tradestation and Ninjatrader factor aside, and just to generate a tick bar data under Data Manager, by using TickData symbols.  I supposed they are all for Metatrader format, and we don’t have the TS/Ninja issues, then, how do we generate a single file that covers all time-frames inside Data Manager ? 

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mabi

Customer, bbp_participant, community, 261 replies.

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7 years ago #140559

The data format are diffrent  but you can convert it. I mean 1 min bar is 1 min bar and 1 tick is 1 tick. Using Metatrader data it builds the other timeframes from 1 minute bars. using Tradestaion data you have to upload it in selected time frame only. The diffrence is that both Tradestation and Ninjatrader calculate indicators on bar close only in standard setup so if you run 1 Hour time frame it will calulate the indicators or pricepatterns once evry hour when the bar is closing so then you do not need 1 min resolution data anyway since the backtest engines do not use it. I think this was the reason for not bother being able to  test on 1 min or tick data since you couldent in Ninjatrader nor Tradestation anyway. But you actually can but thats another story.

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kleung88

Customer, bbp_participant, community, 32 replies.

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7 years ago #140577

Thank you Advanced Member.  For now, I guess I just have to live with the Data Manager setup, which is still OK for me to get the testing result.

 

However, to improve testing efficiency, I think it will be nice if SQ can do some enhancement in the data import handling going forward.  For example, there are already 87 symbols under Tick Data alone.  And if I want to test various timeframes to create multi-strategies on multiple time-frames portfolios, I will have to have potentially 87 x 7 time-frames (D1, M1, M5, M15, M30, H1, H4) ready in the Data Manager.  If there are users using Ninja Trader or TradeStations with additional data symbols and time-frames such as H3, H6, etc.  Then, one can blow up to 500 to 1000 lines of data inside Data Manager easily, instead of only the symbols on Tick bars alone.  Periodically, the users will have to refresh the symbols data in other to keep the data testing bank up to date, and that means a repetitive of 500 – 1000 times of just the same data uploading steps to Data Manager.  Wonder if this idea should be raised to the SQ developers.

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tomas262

Administrator, sq-ultimate, 2 replies.

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7 years ago #140588

Hello,

 

data manager will be solved differently in next version so you will be able to work with the data more efficiently

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kleung88

Customer, bbp_participant, community, 32 replies.

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7 years ago #140592

Thanks Tomas, looking forward to that.

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