Tradestation - downloading data?

Discussion in 'Data Sets and Feeds' started by cashonly, Jun 24, 2005.

  1. cashonly

    cashonly Bright Trading, LLC

    Is there any way in Tradestation 8.1 to download tick and 1 minute data for a portfolio of stocks into an ASCII file?

    Even if I have to use a 3rd party tool?


  2. mogul


    do a View - Data Window (called something like that), then from there you can save in Ascii file

    ack I was too fast, you'd have to do it window by window, prolly don't want that...

  3. It will be very time consuming if you can't run data
    collection on portfolios, need something like Qcollector

    This product seem to be able to do it.

    Number of available cells for data exchange ---->Not Limited
  4. telozo


    To collect data from any TradeStation chart, just write a small easylanguage strategy like this:

    variable: tt("");
    variable: filename("");
    filename = symbol + ".csv";
    tt =
    symbol + "," +
    numtostr(date,0) + "," +
    numtostr(time,0) + "," +
    numtostr(open,2) + "," +
    numtostr(high,2) + "," +
    numtostr(low,2) + "," +
    numtostr(close,2) + "," +
    FileAppend(filename, tt);

    You can use any format you want. I use csv here. Once you set your time interval and number of days back, just load the strategy, and it will dump evey bar into the file.

    To do it for a portfolio is a little tricky, because TraseStation doesn't support portfolio testing. If you don't have a lot of symbols, you can add then all to the same window, and dump them in different files in the same strategy, using the datax qualifier.

    If you have a lot of symbols, you can set up a list on the left and the chart on the right, link them, and then use a gui automation tool like AutoIt, to click symbol by symbol.

    This is how I create my csv files at the end of each week for a portfolio fo 250 stocks, so I can later run some c++ application to do an analysis and then make some graphs in Excel. Is running just fine, though a little cumbersome.
  5. Thank you. You are very clever. I know this for TS8
    and i am confused little may be because i am using TS2000i:
    -I don't understand what +","+ is used for?

    -you can add them all to the same window? which window
    you are refering to?

    -why we use DataX, if symbols download one by one, why
    we need to creat data2, data3, multiple chart/timeframes?

    -Is this what you use
    and clicking symbols, is in which referances? (Macro, keywords
    or functions) i just can't find that function for clicking symbols?

    -Do you think this program is build for the same function
    of collecting data from TS and download to excell?
  6. NT re your question about '+', the numtostr() fumction converts numbers to text strings (normally enclosed within quotes if explicitly specified in EL - hence the comma is in quotes in the above EL code).

    The + operator on strings simply performs concatenation of the strings.

    Thus if string1 = "abc" abd string2 = "xyz"

    then string3 = string1 + string2 yields
    abdxyz and this is placed in string3.

  7. telozo


    I never used TS2000, only later versions, so things might be different, but here it is anyway:

    The + sign, as mentioned above, is used to concatenate strings. For each bar you have to create a string that is written into the file, and in my case, because is a csv file (that, by the way, is read just fine by Excel), I use "," to separate data on the same line.

    If you have up to 10 symbols (not sure, but around it), you can add them all to the same chart window, just use Insert Symbol. They will show as separate data streams. The advantage is that you can extract the data for all of them at once, without the need to change the symbol. The way you specify the data stream you are reffering to, is by adding the suffix datax, where x is the number of the data stream.

    Let's say you want to extract the high for the second data stream. You will write "high data2" in your easylanguage file. You will just have to multiply the above code for each data stream, change the file name, and add the stream suffix, and you can dump the data for all symbols at once.

    In case you have a lot more symbols, it is better to automate it with autoit. Yes, the link to autoit is correct. A very nice and usefull product.
    You will need to write a script that will automate the actions that you do manually to save the data for all your symbols. Here is the script I use:

    WinActivate("TradeStation 8.1 - _daytrade - _breakout")

    For $i = 1 to 253 Step 1
    MouseMove (56,231)

    Where "TradeStation 8.1 - _daytrade - _breakout" is the name of my TradeStation window, and 56,231 and 306,897 are the coordinates, in my setup, of the first symbol cell in the radar screen window with all my symbols, and of the bottom vertical scroll bar button.

    What is does is activate the Tradestation window, and then loops 253 times doing this:

    - click on the first symbol in the radar screen list (that will trigger the strategy recalculation, and it will dump the data into the file)
    - wait 25 seconds to make sure the file is written
    - click the bottom vertical scroll bar button of the radar screen window, so the next symbol becomes the top symbol in the list. and then repeat.

    AutoIt has a utility to find the correct coordinates in your setup, and a good help file.

    I can post some screen shots of my setup, if you are interested, but everything is pretty straightforward, nothing fancy.

    About the application you mentioned, I didn't have time to look at it, but seems like a complex one. There are dozens of third party application providers for TradeStation out there.

    Hope this helps.
  8. Thank you Telozo and Equalizer for your detailed reply.
    #10     Jun 25, 2005