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                                                   Scripting, Parser.Parse, and intraday data

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Kyra Packens
2017-09-12 00:13:04


Hi,

I have a script that parses a QS formula that I use to export (transformations of) daily data that I've been using happily for quite a while now. The relevant bit is as follows:

// formula and symbolName are defined before this snippet
int timeframe = 1;
ParserTool ptool = new ParserTool();
Parser p = ptool.CreateParser(formula);
Report report = p.Parse(symbolName, timeframe, true);
DateTime[] dates = report.GetDateArray();
// ... and so on

Recently I've gotten some intraday data and wanted to use the same script to export transformations of it. From what I read I thought that I would just change the timeframe to something like -300 (for 5 minute bars) and things would work fine. However, when I set a negative timeframe (for intraday data) the parser behaves as if timeframe == 1. Diiffering daily intervals do work (eg, timeframe = 5 produces weekly data as expected).

I've searched everywhere and can't find any other settings that might need to change for parser to work in intraday mode. What am I missing? I can verify that I do have intraday data for the symbols that I'm working with.


Thank you,
Kyra



QuantShare
2017-09-12 21:49:25

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Hi Kyra,

To get intraday data you need to change the third parameter and set "false" instead of "true".



Kyra Packens
2017-09-13 00:29:56

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When I set the isHistorical parameter to 'false' I get no output (report.NbQuotes == 0), so unfortunately that isn't working. Let me add some more information that might help troubleshoot:

* I'm trying to run the Script on historical 5 minute quotes that I've previously imported.

* As far as I can tell the Quotes data are fine; they look good in the Database Editor and I can view intraday charts of these symbols and run formulas on those charts with no trouble.

* I can run Simulator reports on intraday timeframes on these symbols with no trouble.

* I do not have have intraday data to match all of my daily data, for example for IBM I have about ten years of of intraday data but over 30 years of daily bars. Also, intraday data for IBM ends prior to the current date, but I have daily data to the current date.

Any ideas?


Thanks,
KP



QuantShare
2017-09-14 09:21:25

  0

Best Answer
Setting the "isHistorical" to false will tell QuantShare to get intraday data instead of EOD data. Make sure you are putting a positive time frame (300) and make sure you are testing a ticker symbol that has intraday data.


Kyra Packens
2017-09-14 15:21:15

  0

Ah, wonderful, that did the trick. I'd tried isHistorical == true with positive and negative timeframes, isHistorical == false with negative timeframes, but somehow managed never to plug in a positive timeframe with isHistorical == false. Of course it makes perfect sense now that you point it out XD

Thank you for the help :)

-- KP



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