Support Board

Date/Time: Fri, 26 Apr 2024 08:17:32 +0000

Post From: Time & Sales and Historic Bid Ask

[2015-03-11 11:33:59] Link To Thread - Link To Post [Go To First Post]
jesslinn - Posts: 108
The scid files now contain historic bid/ask data but how does one access this historic time and sales data? The following excerpt from the documentation says that the preferred way to access T&S is not GetTimeAndSales anymore but I do not see how to wake up a study with bid/ask/DOM changes nor how to access the quotes (other than GetTimeAndSales or reading the scid file directly) once the study is woken up. ------------------------------- Alternative Way For Obtaining Time and Sales Data: Open a 1 tick chart for the symbol you want Time and Sales for. Select File >> Data/Trade Service Settings and make sure the Intraday Data Storage Time Unit is set to 1 Tick. Use the sc.GetChartArray and the sc.GetChartDateTimeArray functions to access the price and volume arrays and the DateTime array. Every element in these arrays is 1 tick. This may actually be a preferred way of accessing time and sales since there will be abundant amount of history available.