Data providers that support Tick/Second scale?
Author: kcbars
Creation Date: 7/20/2012 3:50 PM
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kcbars

#1
I'm curious if anyone uses the custom one second or tick scale settings in their strategies? I use Fidelity, which I don't think supports these scales. Can anyone recommend providers for this kind of data? Thanks.
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Eugene

#2
All providers, supported and unsupported, intraday or daily, are listed under Extensions > Get Extensions > Providers.
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kcbars

#3
I have been experimenting with one second data with IQFeed, which seems to work well. However, I was wondering if it is possible to auto trade through strategy monitor and Fidelity using one second data? When I try to use one second data in strategy monitor, I get the index out of range message. I'm guessing this is because Fidelity doesn't support this time frame? All other time frames seem to work well. Thanks.
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Eugene

#4
Second and tick based time frames are not supported in the Strategy Monitor (Min/Max selectable scales are 1 Minute/1Year, according to the Wealth-Lab User Guide).
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Cone

#5
Keep in mind that it takes time (computer resources) to run a strategy. Every bar added to the chart, whether it be a tick, second, minute, etc., will generally cause the strategy to run just a tiny bit longer. Tiny bits add up. Simple strategies may take 10 or 20 msec to run with perhaps 2000 bars. That means you can only execute the strategy on a single processor 50 times in 1 second assuming no other overhead (bad assumption) and that a significant number of new bars are not added to the chart during the day... but just a 1 second chart could theoretically add 23,400 bars. Imagine a tick chart!

Things happen pretty fast on just a 1-minute interval, and especially so if you're trading many instruments. Soon, the Fidelity feed is going to make this happen with minimal delay in WLP 6.4.
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kcbars

#6
Thank you for the input. I was only interested in testing one equity, at least to start, using the one second interval. I can't imagine there are very many stocks worth considering for such a small interval. And maybe none - I'm probably nuts. But I thought I'd give it a shot, if possible. Having used this software for a while now, I have to say you guys do an amazing job developing this powerful resource. Thanks.
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Eugene

#7
Starting from v1.4.0, the IQFeed provider now supports Second bar scale (but not ticks).
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Eugene

#8
Support for Tick scale is coming to our IQFeed provider's next version.
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Eugene

#9
Starting from v2016.06 IQFeed provider supports Tick data.