Importing BID/ASK ticks from a .CSV

Importing BID/ASK ticks from a .CSV

M808
2016-06-14 12:25:43

Hi QS,

When importing BID/ASK tick data from a .CSV a popup comes saying to specify "a value of 2(bid) or 1(ask) in the 'OpenInt' field"

Does this mean each row of the .CSV itself needs have a column with a 2 or a 1 in it?
Or does it just mean I need to type a 2 or a 1 into Quantshares's ASCII GUI (if so, where do I type in the 2 or 1 exactly)?

thanks!

QuantShare
2016-06-14 18:27:14

This means that either the CSV needs to have a column with 2 or 1 in it or you can create a pre-script to update the "OpenInt" column with 2 or 1 values programmatically.

M808
2016-06-15 13:42:09

Thanks

No worries if not, but can you please post a code example for a "pre-script to update the "OpenInt" column with 2 or 1 values programmatically." ?

I've tried writing one a few times, but don't think I got it to work properly.

QuantShare
2016-06-15 17:37:34

Here is an example: (Symbol name: AA)
int f = 0;
for(int i=0;i<Content.Rows.Length;i++)
{
// Ignore original line
Content.Rows[i].IsIgnoreLine = true;
// Add a line for the last, bid and ask, each one with a sligthly different time
Content.AddRow("AA", Content.Rows[i].Data[0] + " " + Content.Rows[i].Data[1] + ":" + f, Content.Rows[i].Data[2], "0", Content.Rows[i].Data[5]);
f++;
Content.AddRow("AA", Content.Rows[i].Data[0] + " " + Content.Rows[i].Data[1] + ":" + f, Content.Rows[i].Data[3], "1", Content.Rows[i].Data[5]);
f++;
Content.AddRow("AA", Content.Rows[i].Data[0] + " " + Content.Rows[i].Data[1] + ":" + f, Content.Rows[i].Data[4], "2", Content.Rows[i].Data[5]);
f++;

if(f > 20)
{
f = 0;
}
}

//// Sample data to be parsed:
Date,Time,Last,Ask,Bid,LastSize
12/18/2009,10:36:30,52.84,52.82,52.84,100
12/18/2009,10:36:30,52.84,52.82,52.84,100
12/18/2009,10:36:30,52.84,52.82,52.84,100
12/18/2009,10:36:47,52.83,52.83,52.85,100

M808
2016-06-17 00:43:35

great, thanks!

M808
2016-08-10 23:12:25

Hello again, I think I may have misunderstood something about this.

Can you please post a sample CSV of the final result of how Bid and/or Ask data is supposed to look before it is imported into Quantshare?

QuantShare
2016-08-12 07:19:56

In the example I sent you the data is transformed using the "pre-script".

If you want to have ready to use data to be imported, it should look like this:

//// Sample data to be parsed:
Date,Time,Last,Type,LastSize
12/18/2009,10:36:30,52.84,0,100
12/18/2009,10:36:30,52.84,1,100
12/18/2009,10:36:30,52.84,1,100
12/18/2009,10:36:30,52.84,2,100

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