Hi all,
I'm trying to get the quote data I see reflected in the Volume Imprint study. I want to get historical data of quote data ticks that will give me bid/ask volume at price points. I know I have that data since I can see it reflected in the Volume Imprint study in MotiveWave.
I have read the documentation a number of times and have made many different attempts to get the data to no avail. Basically, the only data I am able to find is the tick data calculated as bar data divided by four (the same thing that happens if you un-select the "Use Historical Minutes" in the Volume Imprint study).
I imagined that the following inside the "calculate" method would obtain the data I wish since the last boolean is called "useHistoricalMinute":
List<Tick> ticks = arg1.getInstrument().getTicks(beginMilliseconds, endMilliseconds, false, true);
Unfortunately, I only get the minute bar divide into fourths, but the type of tick I get is a "BidAskPriceTick"
I tried setting that parameter to false to see the difference and the list of Ticks I get are "PriceTick":
List<Tick> ticksNonHis = arg1.getInstrument().getTicks(beginMilliseconds, endMilliseconds, false, false);
I tried adding various settings to the StudyHeader like requiresBidAskHistory=true and requiresVolume = true
That changes absolutely nothing.
I tried just printing out what the "onTick" method gives me to see if there's something different there, but it doesn't reflect the correct size of the bid/ask data. The type of Tick I get is a FullTick.
Does anyone know how to get that data?
Thanks
I'm trying to get the quote data I see reflected in the Volume Imprint study. I want to get historical data of quote data ticks that will give me bid/ask volume at price points. I know I have that data since I can see it reflected in the Volume Imprint study in MotiveWave.
I have read the documentation a number of times and have made many different attempts to get the data to no avail. Basically, the only data I am able to find is the tick data calculated as bar data divided by four (the same thing that happens if you un-select the "Use Historical Minutes" in the Volume Imprint study).
I imagined that the following inside the "calculate" method would obtain the data I wish since the last boolean is called "useHistoricalMinute":
List<Tick> ticks = arg1.getInstrument().getTicks(beginMilliseconds, endMilliseconds, false, true);
Unfortunately, I only get the minute bar divide into fourths, but the type of tick I get is a "BidAskPriceTick"
I tried setting that parameter to false to see the difference and the list of Ticks I get are "PriceTick":
List<Tick> ticksNonHis = arg1.getInstrument().getTicks(beginMilliseconds, endMilliseconds, false, false);
I tried adding various settings to the StudyHeader like requiresBidAskHistory=true and requiresVolume = true
That changes absolutely nothing.
I tried just printing out what the "onTick" method gives me to see if there's something different there, but it doesn't reflect the correct size of the bid/ask data. The type of Tick I get is a FullTick.
Does anyone know how to get that data?
Thanks