Volume Data & Lookback Period

Created at 13 Aug 2014, 09:17
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Gman89

Joined 13.08.2014

Volume Data & Lookback Period
13 Aug 2014, 09:17


Hi guys,

I'm trying to use cAlgo to export to csv volume data using the MarketSeries.TickVolume[index] approach.

The problem is that the index only goes back about 8000 periods before returning NaN for index values greater than 8000. Because I'm looking at 5 minute data, this is only about 1.5 months worth of data. I was hoping to be able to do get about 200,000 periods (about 2 years).

Is there a way I can get access to volume data beyond what cAlgo decides the lookback period is? I haven't been able to separately find historical csv data with volume.


@Gman89
Replies

Spotware
13 Aug 2014, 09:30

As an option you can put your export code to OnStop method and backtest such cBot over all available data.


@Spotware