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Non-issue question. Any known basic method to consolidate tick data?

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  • Non-issue question. Any known basic method to consolidate tick data?

    If possible for you to answer:

    What simple and basic methods are there to consolidate tick data, for example from 1/10 pips to 1/2 pips. I'm aware that IB consolidates forex tick data but still not sure what algorithm do they use yet.

    Thanks in advance!

  • pstrusi
    replied
    Thank you very much for your attention to this matter to both of you.

    Regards

    Leave a comment:


  • NinjaTrader_PatrickH
    replied
    Hello pstrusi,

    Thank you for your response.

    We would not have details on the TWS application nor how Interactive Brokers handles the sizing. In NinjaTrader, Alan is correct in that you would be rounding the values.

    Please let me know if you have any questions.

    Leave a comment:


  • pstrusi
    replied
    Thanks Alan for your response.

    Perhaps I didn't explain the goal good enough. IB manages forex tick data in 1/10 pips from ECNs but you have the capacity to this data from them in halfpips, according to your preferences in TWS. So what I'm looking for is how IB "Consolidates" internally from 1/10 to 1/2. It must be something not as simple as rounding or truncating prices, it implies sizes as well. Logically it seems to have some simple arithmetic and logic methods, such as adding up sizes depending on price action.

    If by any chance you had some idea, please let me know. I'm doing a research and developing an algo but still, it shows flaws.

    Thanks
    Last edited by pstrusi; 08-20-2018, 02:51 AM.

    Leave a comment:


  • NinjaTrader_AlanP
    replied
    Hello pstrusi,

    Thank you for your note.

    If you wanted to adjust a price from 1/10th pips to ˝ pips, you would want to round the decimal portion of the number up or down to either 0 or 5. Below would a link to an example of how this could be achieved.

    https://stackoverflow.com/questions/...lues-to-0-or-5

    Below is a link to the helpguide on Pips vs Ticks,
    https://ninjatrader.com/support/help...nATMStrategies

    Please let us know if you need further assistance.
    Last edited by NinjaTrader_AlanP; 08-19-2018, 10:50 PM.

    Leave a comment:

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