On Approximating the Price Change per Tick (Per Unit of Tick Volume) in Historical Data - page 2

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Conor Mcnamara #: What I interpreted from that is that it gathers the data from previous bars first, and then continues on tick by tick =>as all indicators do

No, if you read the OP's post carefully, that is the very dilemma he faces. He requires a way to process historical tick data, not bar data. He just assumed that it was not available and was trying to find ways to compensate using bar data instead. But once he realised that tick data is available, that requirement for "compensation" was no longer necessary.

Conor Mcnamara #: In regard to splitting tick volume into buy side and sell side, that has been published in the codebase

Again, that is "bar" data and only an approximation based on assumptions about the market, not a true reflection of the underlying tick data reality.

Conor Mcnamara #: Btw as you guys may know, we don't have order book level 2 data in Forex. Each bid price corresponds to an ask price. So the "buy side" and "sell side" in forex is completely artificial and there is no real imbalance of asks and bids, as there's no centralized order book

Yes, it is not centralised and we don't have Level 2 data, but we do have Level 1. However, it seems you have never really studied that Level 1 tick data available on MetaTrader.

Have you ever considered what the tick flags in the MqlTick structure are for and why there are both the "TICK_FLAG_BID" and the "TICK_FLAG_ASK" flags?

That is because the "Bid" and "Ask" prices do not necessarily always change at the same time, nor do they necessarily change in the same direction together . They can and do change at different times, and they can also diverge in direction.

I highly encourage you to study Forex tick data as implemented and provided by MetaTrader, as you have several misconceptions or misunderstandings about it.

And, yes, the OP can in fact make quite an accurate analysis of how the tick data is behaving even without Level 2 data.


 
Fernando Carreiro #:

No, if you read the OP's post carefully, that is the very dilemma he faces. He requires a way to process historical tick data, not bar data. He just assumed that it was not available and was trying to find ways to compensate using bar data instead. But once he realised that tick data is available, that requirement for "compensation" was no longer necessary.

Again, that is "bar" data and only an approximation based on assumptions about the market, not a true reflection of the underlying tick data reality.

Yes, it is not centralised and we don't have Level 2 data, but we do have Level 1. However, it seems you have never really studied that Level 1 tick data available on MetaTrader.

Have you ever considered what the tick flags in the MqlTick structure are for and why there are both the "TICK_FLAG_BID" and the "TICK_FLAG_ASK" flags?

That is because the "Bid" and "Ask" prices do not necessarily always change at the same time, nor do they necessarily change in the same direction together . They can and do change at different times, and they can also diverge in direction.

I highly encourage you to study Forex tick data as implemented and provided by MetaTrader, as you have several misconceptions or misunderstandings about it.

And, yes, the OP can in fact make quite an accurate analysis of how the tick data is behaving even without Level 2 data.


I didn't pay attention to tick flags before. I'll look into that.
I also made indicators in the past which are in tick time, and constantly shift ticks so that each tick that arrived is stored in calculation buffers.
However the OP still has to clarify his needs exactly.

- should the indicator have some time boundary if not the default timeframes?
- should the plot be on newest tick time, or update after multiples of ticks?
[Deleted]  
Conor Mcnamara #: However the OP still has to clarify his needs exactly.

- should the indicator have some time boundary if not the default timeframes?
- should the plot be on newest tick time, or update after multiples of ticks?

Have you not realised that the OP's question has already been more than answered and that he has no further need to clarify?

This discussion has only continued because of your comments, not because of any further requests by the OP.

 
Fernando Carreiro #:

Have you not realised that the OP's question has already been more than answered and that he has no further need to clarify?

This discussion has only continued because of your comments, not because of any further requests by the OP.

No. In post #3 he has asked for further guidance.
What actually happened in this topic? You argued nothing for no reason at all.
Neither did you offer him any further help. 

All you do is attack people. Any time someone writes anything, you are trying to find some way to attack  simply because they wrote some words.
 
Conor Mcnamara #:
No. In post #3 he has asked for further guidance.
What actually happened in this topic? You argued nothing for no reason at all.
Neither did you offer him any further help. 

All you do is attack people. Any time I write anything, you are trying to find some way to attack someone simply because they wrote some words.

Let's say the topic is closed unless the OP asked more help.

Fernando helps the OP and answered his questions. No discussion about that.

Feel free to open your own topic if you want to clarify things about ticks.

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