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