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Automated-Trading 2016.03.25 15:19 

Import of "minute bars" from

Script for preparing the "minute bars" from to be imported to MetaTrader 4

Sometimes the quote archive lacks "small" data (for example, "minute bars"). For example, for gold: the minute bar history covers the period from 2006 to date. This is clearly not enough for a decent test of a "rough" strategy that works on medium and higher timeframes and which is not too sensitive to the differences in data from different dealers on the smaller timeframes. However, it is possible to use the quotes available on, up to 2001 - the more so that this data has already earned quite a decent reputation.

This site has the "minute bar" quotes in the format more or less friendly to the MetaTrader 4: the MetaStock format. Unfortunately, the quotes for QuoteRoom have a more complicated format, even though they are collected into single files for each year. This script is designed for processing the data in the MetaStock format.

The problem is that the "minute bars" are collected in separate files by trading days. Besides, every file contains data not only on the required instrument (e.g. gold), but also on all other instrument traded by the dealer. And third: there are quote files for the weekends, which are usually unnecessary. Therefore, in order to import the required data on gold to the MetaTrader 4 history center, it is necessary to processed all these files somehow and to gather all "minute bars" in a single file.

Author: Sceptic Philozoff

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