0
$\begingroup$

I want to build my own stock trading simulator with the ability to play it faster. ThinkorSwim has onDemand. But it's not fast enough to accumulate more experience. To code up my own market replay tool I need 2 things: past tickdata( or 1min data) and historical time&sales.

However, I'm curious if it's technically possible to generate a time&sales from tick dataset? Then how is tickdata different from time&sales feed?

Improve this question
$\endgroup$
9
  • 2
    $\begingroup$ My understanding is that time and sales or tickdata are more or less synonymous. (In some cases however tickdata also includes quotes, not just trades and then it goes beyond time and sales). Time and sale seems to be an older term and tickdata a more recent one for the same thing: information about all trades that occurred, their time price and size. $\endgroup$
    – nbbo2
    Commented Feb 20, 2018 at 14:17
  • $\begingroup$ @noob2, ok but then i want to create a tape aka time&sales from tick data $\endgroup$
    – ERJAN
    Commented Feb 21, 2018 at 13:31
  • $\begingroup$ @noob2, how do I create it & mimick its moves ? i think the tape moves very fast... trades happen in miliseconds, i need a way to reflect it in my program $\endgroup$
    – ERJAN
    Commented Feb 21, 2018 at 13:41
  • $\begingroup$ I don’t understand what you want. There is little if any difference between the two so what is the transformation you’re looking for? Can you give an example in- and output? $\endgroup$
    – Bob Jansen ♦
    Commented Feb 23, 2018 at 21:01
  • $\begingroup$ @BobJansen, the point is to build stock trading fast-forward tool so i can gain and accumulate more experience faster! i want to emulate tape to be able to master the art of reading tape $\endgroup$
    – ERJAN
    Commented Feb 25, 2018 at 9:43

1 Answer 1

Reset to default
1
+50
$\begingroup$

Yes, as usually in any tick data you have the time and the value (Ask/Bid dd/mm/yy hh:mm:ss msec) you could just plot each Ask or Bid point following the actual time difference.

Example:

1st tick: 1246 12/10/2017 10:21:00 234

2nd tick: 1292 12/10/2017 10:21:00 500

3rd tick: 1278 12/10/2017 10:21:00 700

You plot the first tick 1246, then you wait (delay/sleep) 266 ms (500-234) and plot the 2nd one 1292, then you wait 200ms and you plot the 3rd one etc..

It depends the language you want to use, but any language will allow you to do this kind of graph easily.

You could also plot the last tick on the right side of the screen and scroll the rest of the data to emulate the movement once the screen is full.

Improve this answer
$\endgroup$
1
  • $\begingroup$ good answer, i found tradingview 80% implemented what i wanted to build $\endgroup$
    – ERJAN
    Commented Feb 28, 2018 at 18:32

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.