FUll Tick Based ES Range Bar history

[andrewTucker]

Ive searched and read the docs but couldn't find all the answers to this question.

Here's what Im hoping to be able to do.

1. Create extended (10+ years) ES Range Bar charts for backtesting.
These need to be built at tick resolution.

2. Ideally Load several different Range value series in one Chart

3. Export these Charts..along with any indicators used in .csv format.

Currently I use Zen-Fire and also have DTN-IQFeed
IQ has 90 days history and seems to create the bars at tick resolution when the Chart is loaded.
So far Ive found tickData.com that will provide full ascii format tick history for the ES
Bu they do not provide Range bar conversion....only time bar types.

So..if I subscribe to their historical ascii format...is there a way to bring it in for chart backfill...and create the non time bars with it.
And then how do I export these Charts as .csv (for use in other Strategy development tools)
A
Thanks very much for the help

[Radical]

Tick data can be used to build range bars, time bars, basically any kind of bar.

And then how do I export these Charts as .csv (for use in other Strategy development tools)

If you mean how would you export the tick data, you could do that through the Historical Data Manager.

[sledge]

Can't be done.

Market Replay can - but you'll be partitioned by each contract (and if you could market replay a continuous contract - the amount of trades over 10 years would be extremely slow at 500x and probably end up worse than real time, and takes years.).

Anyways, backtesting in NT doesn't use range bars. so you are out of luck.

Ive searched and read the docs but couldn't find all the answers to this question.

Here's what Im hoping to be able to do.

1. Create extended (10+ years) ES Range Bar charts for backtesting.
These need to be built at tick resolution.

[coolmoss]

Sledge,

Not sure what you mean by this. I use nothing but Range bars, I currently have about 5 years of ES tick data, and sure it can take 15 minutes to run a strategy, but I've got over a thousand lines of code