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Forums>StrategyQuant>Application Support>Import 1 second bars into SQ?

  • #113619 |
    557 Posts

    Hi Mark,


    TickStory is able to export bars less than 1 minute, such as 1 second bars (S1).


    Could SQ import these bars?  Would that be a compromise between raw ticks and 1 minute data?  And have SQ use this timeframe to compute M1 through to D1 and use the 1 second bars internally for resolution when generating/testing strategies?


    What do you think?





    168 Posts

    Hello Mike,


    I have imported 1 sec data into SQ. Of course minimal test timeframe is 1 minute , what is computed from Your 1 sec data. 


    557 Posts

    Hi Adrian,


    What would be good is that SQ would use the 1 second bars for tick simulation on higher timeframes if you import them into SQ.


    So rather than real tick or open/high/low/close of M1 bar in tick simulation mode, you would get OHLC of each 1 second bar as tick simulation.  On M1 timeframe you would get 4 x 60 ticks, on H1 you would get 4 x 60 x 60 (1440 ticks).


    A compromise taking up less disk and ram, faster tol process than real tick, and probably good enough for anything except extreme scalping strategies.

    Mark Fric
    1182 Posts

    yes, it would be a nice feature, but it is not that simple to make. Currently there’s no direct support for data other than 1 minute.


    I understand your point that it is much more precise than minute data, and less resource needy than real ticks, we’ll see if we can add it to the new version somehow.

    StrategyQuant architect

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