Intraday & Historical Tick Data w/ Wealth Lab 6
Author: ochoalions
Creation Date: 6/15/2011 3:08 PM
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ochoalions

#1
I am new to this community, forgive me if this question has been answered before, I could not find answers on the Search.

I would like to access tick data within WealthLab 6, both Intraday and Historical.. Is this possible? Who are the providers?

Thank you for your assistance!
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Eugene

#2
This is possible. But if you're expecting to find a turnkey solution - a provider extension that, once installed, will deliver historical/streaming tick-based data, then I have no good news for you.

One provider capable of working with tick data is the Database provider. However, to use it you need to have a data vendor that supports exporting the data to an SQL-compatible database.

Let's start with why do you think that tick data in WL6 is required?
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ochoalions

#3
Thank you for your reply Eugene. I had not seen your post. Sorry for the duplication.

There are two reasons I am interested in tick data. 1) I am trading very short term; one minute time frame accumulates too much data to detect the inflection points I am looking for, especially is the volatility is high. (I am interested in high volatility.) 2) I want to have a sense for the trade size; I want to be able to see if a particular inflection point is driven by high or low volume.

A lot happens inside the one-minute time segment, and those dynamics get lost.

Do you know of some other alternatives that I could use instead?
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Eugene

#4
Sorry, no other alternative off the top of my head. BTW, Wealth-Lab isn't designed as a high frequency trading platform.
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ochoalions

#5
Thank you Eugene.

WL appears to be already set up for tick bars, so it may just be that Fidelity does not provide the data. Is this correct?

Another question: Is there a way to access the stream of data as it is coming in? I am thinking of perhaps buffering the data for the current 1-minute bar. Would this be possible?
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Eugene

#6
#1 - Fidelity indeed does not provide the bars, custom data providers can fill this gap. However, Strategy Monitor won't work on tick and second scales. Trading on 1-tick scale in WL is not a realistical expectation IMO but N..NNN-tick scales might be OK.

#2 - For any practical purposes, no.
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ochoalions

#7
I agree, and I am not really looking to trade on a single tick-bar; maybe 100-tick bar, or other scales. The advantage of ticks is that they represent time in a different way, in one sense, a 100-tick bar has volume implied in it, perhaps not volume in terms of shares, but a sort of volume in terms of transactions, if you will.

WL is a powerful platform; I don't know others well, but from the little I know, WL is probably the best.

I suspect that at some point, tick bars were available, and they must have been disabled for some important reason.
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Eugene

#8
We're on the same page. NNN-tick bars, or MBars/Kase bars using tick data are all valuable.

Tick bars aren't disabled in WL per se; the platform provides the means for backtesting in this scale. AFAIK, Fidelity haven't provided them in their WLP feed, and for Wealth-Lab Developer there's no instant solution. Eventually, as new data providers show up, chances are that more tick-based data sources will be available but not now.
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streak

#9

Potential source for ASX feed;

"Spark ASX/NZX API - Real-time data in your application";
http://www.iguana2.com/spark-sdk

"Tick - Streaming tick data for the ASX";
http://www.iguana2.com/tick

I've been using their "Spark" application for a few years now with fantastic service.
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Eugene

#10
C++ API, 32-bit Windows limitation, niche product - sorry but we can't realistically consider this.
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jcranwellward

#11
I have also been planning on writing my own streaming data provider for tick bars.

Where can i find documentation on the API for this?
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Eugene

#12
Sorry but the documentation could be provided to customers only. For any further queries please open a new support ticket.