- ago
I have tick data for the instrument. File size 35 GB.

I intend to test tick data in WL8.

I don't know how to set up the DataSet for this.

1. Please help me set up the DataSet for tick data.

2. Please let me know if WL8 can handle 35 GB file?

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- ago
#1
The time format looks like yyyyMMddHHmmssttt or maybe yyyyMMddHHmmss.ttt. I don't know what's in the other fields, it's your call what to pick as the Close. Most fields look like Filler.

You're gonna need some patience as WL would try to create a binary cache of that file - make sure to feed it with lots of RAM and a fast NVMe.
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- ago
#2
Eugene, hi!

Here is the data format specification:



I want to clarify that I want to collect not ordinary candles, but candles showing supply and demand (that is, not closed orders), separately candles showing the number of orders and separately candles showing the volume of orders.

Will the WL8 system allow this?
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- ago
#3
Hi Denis,

Haven't you solved a similar task before?
https://www.wealth-lab.com/Discussion/Drawing-candles-in-the-indicator-8837

If supply and demand are represented in their own columns you could define them as price components (OHLC), no?
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- ago
#4
Eugene, hi!

In that topic, it was said that having candle data (OHLC) to draw an indicator on them. Here we are talking about assembling tick data into candles. This is a completely different question.
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- ago
#5
OK but the idea is that the ASCII provider imports the raw data and you manipulate it to build the custom bars (BarHistory) showing supply/demand etc. using logic that is known to you.
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