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1. a gp AI Symbols Advance intervat Quotes z E Spit Adjust Begin Date MM DD YYYY 2 session s to include El Companyinfo EndDate mm DD Yyyy E J Pre Market V Day Session Granularity V After Hours Empty Intervals Skip Days Back to Procese I E Start Sessions At 00 00 End Sessions At Output Formatting Filtering Output To File Mi Compression None Output Fields If Output Exists Overwrite Skip Append Updates E include Header Add Custom Heade Delimiter X Output Directory c tjckdataltickwrite7 output a Gidi R Name Output by Symbol V Date z File Prefix File Suffix File Extension T Time YJ Exchange it Name Output by Custom Value Symbol fa J Bid Price 8 Name Output by Company id V Ask Price Name Output by Symbol and Company Id J Bid Size a Email Job Notification i L d Depending on the data purchased you may see only one equity tab titled Equities or multiple equity tabs Equities Quote Equities Trade and Equities One Minute If for example you only purchased One Minute Equity Data you will only see a tab titled Equities Clients receiving Tick Equity Data may also receive one minute These will cause both tabs to be displayed Each of these equity tabs accesses different data Using the Equities Trade tab provides the most versatility for processing trade only data and from it a user can create not only tick bars but also interval
2. s TICK DATA TickWrite 7 1 User Guide Version 20150824 Database Management Software For High Frequency Global Market Data Equities Forex Futures Options Indices Indicators rev 3 1 2015 08 24 Using This User Guide TickWrite is a powerful data management tool that allows Tick Data clients to create data files custom tailored to their needs The program has many settings that can greatly alter its output so this User Guide was developed to explain exactly how the myriad parameters available in TickWrite 7 affect the format and content of output data Whenever possible the settings look the same between asset types but a number of variations exist due to the inherent differences between equities currencies futures options and indices The User Guide explains the settings that pertain to each asset type in separate Creating Files of sections If a client only licenses futures data for example he she can skip the sections on Equity Data Forex Data Options Data and Cash Index and Indicator Data As a result most users should not have to review this User Guide in its entirety All first time users should refer to the Installation and Configuring TickWrite sections for setup instructions If you have time review the First Use section for details on all menu items If you plan to use the Scheduler to automate updates and or file creation review Daily Updates and the Scheduler O
3. You can optionally add comments lines to the file as long as they are preceded by the character Regarding the dynamic port it should not conflict with any other ports since it is automatically selected from available ports on the system However if you do need to makes this port static you may do so by adding the following line to the custom_ports properties files created above TICKWRITE TICKWRITE_SCHEDULER SERVICE_PORT lt some_port gt TickWrite Operation Multiple Install Environments e g Site Licenses In an environment with multiple TickWrite installations one installation is designated as the primary installation Other installations are known as client or workstation installations Workstation installations must be able to communicate with the primary installation Additionally because of the scheduler functionality all TickWrite installations make use of a background service with which it must communicate All of this communication takes place using TCP ports Firewalls are generally not an issue because communication is confined to the Local Area Network LAN Additionally TickWrite has attempted to use higher non standard ports to avoid conflicts with existing applications Therefore in most cases there should be no configuration necessary with regard to network ports The below information on port usage is intended as a reference only and port numbers only need to be change or configured when it is shown that there is a
4. TICKDATA and your user id is tickwrite you would enter TICKDATA tickwrite without the quotes e Enter and confirm the user s password in the fields provided e Click OK to confirm your changes If there is some problem such as an incorrect password Windows should alert you If you do not have sufficient privileges to modify a service you will need to seek help from your IT department The new user settings for the service will stay in effect indefinitely and will persist even if your machine is rebooted However if you need to upgrade your installation of TickWrite to a newer version the service will be deleted and reinstalled Therefore you must re perform the above steps whenever your upgrade TickWrite to a newer version Once this change is in place the TickWrite Scheduler will be able to access any network locations the specified user account can access However one additional restriction imposed by Microsoft is that Window Services are not able to utilize mapped network drives It is quite common for users to map frequently used network locations to available drive letters on their computer For example a location on a network device might be mapped to the V drive on your computer If this is where you want your data files to reside you might have configured your Deep History location to be something like V TICKWRITE_DATA Again while this setting will work fine when running extractions from the TickWrite GUI a
5. To generate a report from the command line type the following command from the directory where TickWrite is installed TickWrite cr help This will print complete details about the required and optional switches as well as examples of how to generate the change report from the command line Depending on the amount of data for which a customer is licensed the report will take anywhere from a few seconds to several minutes to generate The change report generated is an ASCII file that is human readable but that can also be easily parsed by a script or program that the customer might choose to develop The report contains the following format 1 CHANGE_REPORT_SINCE_DATE Contains the date and time specified for change report 2 MARKET_HEADER Contains the name of the market and dataset that follows 3 a For equity markets FILE Path to file last modified timestamp of file b For futures indices and indicators OUTER FILE Path to monthly zip file last modified timestamp of file ENTRY_FILE Name of zip entry inside of outer file last modified timestamp of entry Repeat ENTRY_FILE for each entry modified since date time specified for report 4 MARKET_SUMMARY Total number of change items for this market Repeat items 2 4 for each market that is part of the change report 5 TOTAL_SUMMARY Total number of changed items for all markets in the change report Please see below for an example report run that includes two market data set combinat
6. Company ID Symbol Ext Company Name Avail From Avail To ox ance Select the desired filter parameters and click Search NOTE leaving the fields blank and clicking Search will display all available symbols The results will appear in the Instrument Search Results window There you can select the symbols you wish to process and they will appear in the Symbol Search window Individual symbols can be removed if not desired by right clicking on the symbol in the list and clicking remove Click OK to add the symbols to the symbol list in the Job window Another way to add symbols is to type a symbol or Company ID into the quick add box to the right of the binoculars and click the plus button NOTE Japanese equity symbols are numeric These numeric symbols must be entered with quotations around them so that TickWrite doesn t mistake them for Company ID numbers For example Matsui Securities Co has a Company ID 1801 and the symbol is 8628 In order to add by symbol you must type 8628 8628 dr To include all available symbols in a processing job check the All Symbols box This will activate the Advanced button which offers additional parameters for processing all symbols All Symbols Advanced Name Instruments As They Traded On M 0D yyyyY Eea Only Includes Instruments Active As Of MM DD YYYY OK Cancel 31 Name Instruments As They Traded On Leaving thi
7. Generate Report Close J 24 The customer can choose a certain Market e g Futures US Equities etc and Data set e g Trades Quotes etc If a customer is licensed for multiple markets data sets they can use the ALL choice to process all markets data sets Secondly a date and time must be entered This report will include all files updated since this date and time in the customer s local time zone Finally enter or browse to a file where the report should be generated and click Generate Report Depending on the amount of data for which a customer is licensed the report will take anywhere from a few seconds to several minutes to generate The change report generated is an ASCII file that is human readable but that can also be easily parsed by a script or program that the customer might choose to develop The format is documented in Appendix E of this document Data File Inventory Report Generates an inventory report of the data files included in the deep history This is a diagnostic tool that Tick Data support may ask a customer to generate in order to troubleshoot a problem It is not used by a customer during normal use of TickWrite 5 Help User Guide Opens this User Guide Tick Data Website Opens a web browser to Tick Data s home page if the user is online Online Store Opens a web browser to Tick Data s online store if the user is online Test Connection to Update Server Tests your ability to c
8. If None is selected no price adjustment is made and any price gaps that appear as a result of rolling contracts remain Much has been written in the world of Futures about roll adjustment methodologies Some claim that one is better than the other What is most important is that the user has a complete understanding of the mathematics behind his her model and uses the adjustment method or no method that produces compatible data Global Settings Impacting Continuous Contracts Certain global settings also have an impact on the generation of continuous contracts To configure these settings go to SETUP gt Preferences gt FUTURES PREFERENCES Roll Adjustment Settings Allow roll date to move this many days to locate valid adjustment 14 Fi Force non adjusting jobs to have same roll dates as adjusting jobs Allow Adjusted Values To Be Negative As described above adjustment factors are determined using the prices on the day prior to the roll Occasionally for certain illiquid contracts a roll date is determined to be a certain day but the data on the prior day is unavailable or insufficient to calculate an appropriate adjustment factor The following two settings impact the behavior of an extraction when this condition exists Allow roll date to move this many days to locate valid adjustment When the condition described above occurs the system will move the roll date in order to locate a valid adjustment factor the
9. a W Bid Price Name Output by Company Id V Ask Price Name Output by Symbol and Company Id Bid Size a Email Job Notification In order to run efficiently TickWrite maintains an index of all data you have purchased and installed This registry tracks the symbols their start and stop dates trading session hours the location of these files on your hard drive and other information needed to create output files The registry is created automatically during the installation process and is updated every time you download or import data files after installation 20 Asset Classes When running TickWrite the user must first select an asset class tab from the top of the window Equities Quote Equities Trade Equities One Minute Forex Quote Forex Trade Forex One Minute Futures Quote Futures Trade Indicators Indices Options Quote Options Trade Options One Minute TickWrite currently supports Equities Forex Options Futures Indicators and Indices NOTE Tabs will only appear for the asset classes you have licensed For example when available clients with equity data will have up to three separate equity tabs Equities Quote Equities Trade and Equities One Minute Each tab has specific features that are discussed in detail in the Creating Files of Equity Data section Main Menu Within each asset class the user selects symbols date rang
10. Name Output by Company Id Name Output By Symbol and Company id Will use the symbol and or company ID of the instrument as the filename These options also allow users to include a file prefix and or suffix and select the file extension Email Job Notification Once you have entered valid SMTP server settings in Preferences enter a valid email address in this field to email notifications of Job success or failure along with an attached twj Job file Name Output by Custom Value Allows the user to choose the filename of the output ASCII file NOTE Active only when one symbol is selected DATE WILDCARDS IN FILE PATHS TickWrite7 supports date wildcards that can be used in the output directory file prefix file suffix and custom file name The wildcards will resolve to the current date and or time as of when the collection job is first executed This can be used to dynamically create new directories files based on the current date without the need to create custom scripts To utilize a wildcard it must be denoted by and in the literal value The following are the supported wildcards yyyy current year MM current month dd current day of month HH hour of day 0 23 mm minute of hour For example the following output directory might be entered C temp yyyy MM dd TRADES Assuming that today is April 16 2010 this would resolve to the following directory name C temp 2010 04 16 TRADES 36 Output Fields Active
11. Once you have selected the desired equity symbols for processing select the parameters in the middle of the window to suit your requirements The screen will activate different settings depending on 1 how many symbols are selected 2 the Granularity selected and 3 the Output To selected The following are details for each Job window parameter Interval Trades The output file will contain all trades tick by tick for the selected time period Since a tick is a single data point there is no OPEN HIGH LOW or CLOSE just a single price at which a trade occurred Users will also note that there is no way to output Tick Count when Trades is selected as the Interval This is because each tick has a Tick Count of 1 NOTE This Interval setting is not available on the Equities One Minute tab Tick Based Bars Users can also write data out as multi tick bars When Tick Based Bars is selected users can define the number of ticks that will comprise each bar instead of using a time interval to constrain a bar In the Granularity box you must specify the number of ticks per bar Each line of data in the output file is time stamped with the time of the last tick in each bar Time Based Bars When selected TickWrite outputs files of any desired intraday time interval from 1 second bars up NOTE This is trade data only as TickWrite 7 cannot write out time based bars of quote data Each line of data can contain Date Time Open H
12. The up and down arrows to the right of the Field Name list allows users to move fields up and down The available fields will change depending on the nterval and Exchange selected For more information about each field please see the File Format Guide for each exchange s data 59 which should be included with purchased data but is also available on Tick Data s website http www tickdata com html downloads shtml File Header You can optionally elect to include a header as the first line in each output file by checking the Include Header checkbox By default the header row will include the name of each field in the specified order delimited by the specified delimiter However if you would like to change the standard header to a custom value you can do so by clicking the Add Custom Header button entering your own header This is useful if your internal systems require a certain header or you need to name the output fields differently Note that the custom header is written exactly as entered if any changes are made to the field selection the custom header must be changed accordingly Formatting Filtering Tab Output Formatting Filtering Option Instrument Filters Date Format Price Decimals MMiddiyyyy Defaut Field Filters Time Format Price Multiplier Field v ir v value h Optimal v 4 v pima ae Field It Value Time Zone Exchange v Date Format Select the desired date format for the output file
13. problem from the TickWrite GUI any jobs you attempt to automate using the TickWrite scheduler would fail because the TickWrite Service running under LocalSystem is not allowed to access this network location 73 The solution for this is the modify the TickWrite Service s Log On As setting to a user account that has the appropriate access to the network Usually you can just modify it to run as the same user account that you use to log into the computer NOTE You only need to follow the below steps if your installation of TickWrite references network locations If you operate on a single computer in a standalone environment where all your data and jobs reside on the same machine you do not need to take any action Follow these steps to modify the Log On As setting e Right click the TickWrite Service in the Microsoft Windows Services Applet and select Properties e Select the Log On As tab as shown below al TickWrite Service Properties Local Computer 8 General Log On Recovery Dependencies Log on as Local System account Password eeeccccccccccece Confirm password eeecccccccccoce Help me configure user account log on options Cox _concat_ A A e Select the This Account radio button and type in your user ID in the text box to the right Usually your user id needs to be proceeded by your organization s domain For example if you organization s Windows domain is
14. the header row will include the name of each field in the specified order delimited by the specified delimiter However if you would like to change the standard header to a custom value you can do so by clicking the Add Custom Header button entering your own header This is useful if your internal systems require a certain header or you need to name the output fields differently Note that the custom header is written exactly as entered if any changes are made to the field selection the custom header must be changed accordingly VWAP Beginning with Build 20131125c TickWrite can generate a volume weighted average price VWAP for all Interval selections in Futures Trade data This calculation is based on the following formula using the Granularity setting for the period or if Trades is the Interval it will accumulate over the trading day VWAP Sum price volume Total Volume Formatting Filtering Tab Output Formatting Filtering Advanced Date Format Price Decimals C Use Excluded Records In Output MhMiddiyyyy Defaut Field Fitters Time Format Price Multiplier Field v value optimal a j Field if Value Time Zone Exchange w Date Format Select the desired date format for the output file Price Decimals Used to select the desired number of decimal places in the output file Default is set by default and will use the standard number of decimal places required for the con
15. 2010_01_22_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_25_X zip 2010 03 31 22 12 MARKET_SUMMARY 15 TOTAL_SUMMARY 21 78 Appendix E Moving a TickWrite Installation to Another Computer For a variety of reasons you might find that you need to move your TickWrite installation from one computer to another Because a TickWrite installation may contain many custom settings these tips offer a shortcut for getting your new installation up and running without needed to reconfigure everything you already did NOTE These tips should work in most situations but if problems occur you may need to perform a fresh installation 1 2 3 4 5 Uninstall from the old machine Always use the uninstall program included with TickWrite and found in the TickWrite installation directory on Windows computers there should also be an Uninstall item off of the Start menu Note that after the uninstall completes some directories and files are left behind and not deleted These files represent your custom settings such as scheduled tasks extraction jobs data file location configurations and possibly the data files themselves Do NOT delete these files they will be used later in this process Use the installer to install on the new machine After the installation part completes the configuration wizard will come up where it asks you whether this is a Primary Installation of Workstation Installation At this point clic
16. Group CURRENCY 01 13 1987 02 27 2013 America Chic 4 0 Al DJ UBS COMMODITY INDEX FUTURES 11 CME Group COMMOD 01 04 2010 04 08 2013 America Chic 1 E au Australian 90 Day Bank Bill 0 ASX Group INTEREST 07 02 2001 02 27 2013 Australia Sy 2 mM ax Australian 10 yr Bond 0 ASX Group INTEREST 07 02 2001 02 27 2013 Australia Sy gt AY Australian 3 yr Bond 0 ASX Group INTEREST 07 02 2001 02 27 2013 Australia Sy 2 m az 30 DAY INTERBANK CASH RATE FU 0 ASX Group INTEREST 06 02 2011 02 20 2013 Australia Sy 3 BD BIG Dow 12 CBOT CME Group EQUITY 03 20 2006 02 04 2013 America Chic 0 M eB Euro Bobl 5 yr 28 Eurex interest R 01 02 1997 02 27 2013 Europe Berlin 2 E BM MINI IBOVESPA FUTURES 0 BM amp F BOVESPA EQUITY 06 01 2010 04 08 2013 America Sao 3 F BN Euro Bund 10 yr 28 Eurex Interest R 01 02 1997 02 27 2013 Europe Berlin 2 BO Soybean Oil 20 CBOT CME Group GRAIN 07 01 1982 04 08 2013 America Chic 2 BP British Pound 10 CME Group CURRENCY 09 01 1977 02 27 2013 America Chic 4 BR Brazilian Bovespa Futures 0 BM amp F BOVESPA EQUITY 06 01 2010 04 08 2013 America Sao 2 E 8x Euro Bux 30 yr 28 Eurex INTEREST 09 09 2005 02 27 2013 Europe Berlin 2 fH sz Euro Schatz 2 yr 28 Eurex INTEREST 0307 1997 02 27 2013 Europe Berlin 3 CA FTSE CHINA A50 INDEX FUTURES 27 Singapore Exch EQUITY 06 01 2011 03 06 2013 Asia Singapo 0 cB Canadian 10 yr 27 Montreal Stock INTEREST 04 02 1990 02 27 2013 America Mon 2 Interval Cont
17. Preferences Allows user to specify location of TickWrite window after startup This is especially useful for clients with multiple monitors Logging Allows user to set level of detail for logs Used primarily by Tick Data Tech Support to diagnose and fix issues Performance Allows user to specify the number of ASCII files ZIP files and processor threads that can be open or run at the same time NOTE You should not change the default values unless advised by Tick Data customer support Mail Server Properties Input valid SMTP settings to allow TickWrite 7 to allow TickWrite to send out email notifications from the main Job window or the Scheduler see section Daily Updates and the Scheduler for more information Connection Settings Allows users to enter edit details of a proxy server Depending on the network configuration at the customer s site this information may be necessary for TickWrite to communicate with Tick Data s update servers Please consult with your IT department to obtain your proxy server information Also please see Appendix B for more information on the network connectivity requirements of TickWrite Equity Preferences for licensed Equity users only Allows users to specify Split Adjust settings Equity Preferences Split Adjust Settings Only Adjust For Splits In Extraction Range Adjust For All Splits Volume Decimals 3 Remove Trailing Zeroes Price Decimals 5 a Remove Trailing Zeroes
18. SENG CHINA ENTERPRISES INDEX INDEX 07 04 2011 02 26 2013 Asia Hong_K 2 E HE OMX Helsinki 25 Index INDEX 01 02 2008 09 13 2012 Europe Helsinki 2 Hou Hang Seng INDEX 12 01 2006 09 13 2012 Asia Hong_K 2 B Ibex 35 INDEX 07 01 2003 09 13 2012 Europe Madrid 1 interval ikili m Begin Date mm Do vvyvyv j Session s to include s F Day Session 7 After H Granularity EndDate MM DD Yyyy amp neua enn ae Start Sessions At 00 00 In Skip E Empty Inervas E E Days Back to Process 0 Exte e C End Sessions At 00 00 Extend last interval gnore Filtered Prices Output Formatting Filtering If Output Exists Overwrite Skip Append Updates F include Header AddCustomHeader Delimiter X Output Directory c tickdata tickwrite7 output Q Field Name Name Output by Symbol Symbol File Prefix File Suffix File Extension V Date Te a Name Output by Custom Value V Price e E Unfitered Price E Date and Time Email Job Notification L d Your available Index Indicator symbols and date ranges will appear in the data list at the top of the window You can manually select one or more symbols by checking the box es to the left ofthe symbol list Right click anywhere in the symbol list to activate a context menu with the option to check all symbols un check all symbols or invert selection To check many symbols at once you can import a list
19. Select the desired filter parameters and click Search NOTE leaving the fields blank and clicking Search will display all available symbols The results will appear in the Instrument Search Results window There you can select the symbols you wish to process and they will appear in the Symbol Search window Individual symbols can be removed if not desired by right clicking on the symbol in the list and clicking remove Click OK to add the symbols to the symbol list in the Job window The following are details for each Job window parameter Trade parameters are shown Interval Quotes The output file will contain all ticks for the selected time period Since a tick is a single data point there is no OPEN HIGH LOW or CLOSE just a single price at which a quote printed Time Based Bars When selected TickWrite outputs files of any desired intraday time interval from 1 second bars up Each line of data can contain Date Time Open High Low Close Volume if available Tick Count Up Ticks Down Ticks and or Same Ticks for that interval In the Granularity box you must specify the length of a bar interval in whole seconds or whole minutes Adjacent is a field to select MINUTES or SECONDS The timestamp for each interval represents the data of the period ending immediately prior to the timestamp For example when using 5 minute bars the 8 35 bar contains data from 8 30 00 to 8 34 59 As another example when using 30 minute ba
20. THAT IS NOT ON THE SAME COMPUTER AS THE SOFTWARE THE LOCATION MUST BE SET USING UNC PATHS i e computer name drive directory 17 Data Import Once the Deep History location s has been configured you will come to the Data Import window W TickWrite Configuration Data Import For each DYD Hard Drive received From Tick Data select Drive and click Import Advanced Settings If you are installing data from a disc or hard drive browse to the dataimport tdi file included on the hard drive and click Import The data will be copied to your Deep History location s If you have multiple discs or hard drives repeat this process for each hard drive and click Next NOTE The Advanced button contains special settings and should not be changed unless directly advised by Tick Data If you are installing data from an internet download leave the field blank and click Next 18 Downloading Data Updates If you are receiving the historical data you ordered via internet download and or if you subscribe to daily updates the final step is to download the latest data available W TickWrite Configuration Download Orders IF you placed an order s For delivery via TickWrite download click Download Orders Alternatively you may download these orders after installation by using the Check For Updates feature Download Orders Cancel This is how clients with internet delivery will download their data It i
21. Ticks Down Ticks and or Same Ticks for that interval In the Granularity box you must specify the length ofa bar interval in whole seconds or whole minutes Adjacent is a field to select MINUTES or SECONDS The timestamp for each interval represents the data of the period ending immediately prior to the timestamp For example when using 5 minute bars the 8 35 bar contains data from 8 30 00 to 8 34 59 As another example when using 30 minute bars the 4 00 bar contains data from 3 30 00 to 3 59 59 Daily Weekly Monthly Bars These intervals will output files of 1 day 1 week or 1 month intervals respectively Trades and Quotes Unlike equity data sets option data files contain trades and quote interleaved together While Tick Data makes a trade only data set available using interval of Trades as described above there is no quote only data set however users may extract quotes only by applying a field filter on the record type field By default the output file will contain all trades and quotes Level I bids and offers interleaved for the selected time period Since a tick is a single data point there is no OPEN HIGH LOW or CLOSE just a single price 56 at which a trade occurred Users will also note that there is no way to output Tick Count when Trades and Quotes is selected as the Interval This is because each tick has a Tick Count of 1 NOTE This Interval setting is not available on the Options One
22. and 01 31 2011 is used instead 3 Users supply a complete list of parameters on the command line For example Windows TickWrite f OUTPUT_CONTRACT ALL WORKING_JOB true COLLECTION_TYPE COLLECTION_TYPE FUTURES EXTRACT_TYPE COLLECTOR_SUBTYPE_FUT_TICK_DAILYBAR REQUESTED_DATA 8 AD 20110202 224 AU 20110202 START_DATE 08 01 2010 68 END_DATE 01 30 2011 DESTINATION_DIRECTORY C temp TIK 673 INCLUDE_HEADER_ROW true OVERWRITE_EXISTING false Linux TickWrite args f OUTPUT_CONTRACT ALL WORKING JOB true COLLECTION_TYPE COLLECTION_TYPE FUTURES EXTRACT_TYPE COLLECTOR_SUBTYPE_FUT_TICK_DAILYBAR REQUESTED_DATA 8 AD 20110202 224 AU 20110202 START_DATE 08 01 2010 END_DATE 01 30 2011 DESTINATION_DIRECTORY C temp TIK 673 INCLUDE_HEADER_ROW true OVERWRITE_EXISTING false Note that the f switch still must be used but no file name is necessary here Please keep these points in mind All other switches such as mail and verify_symbols are still supported The f switch and optional list of Job files must appear first However the order of all other parameters does not matter and they can be supplied in any order The format of a parameter that is overriding a Job file parameter is NAME_VALUE The parameter name must be preceded with a dash and it is separated from its value by a space NOT an equals sign So if the name of the parameter is START_DATE the format should be START_DATE 01 01 2011 The names an
23. and click Import to transfer the data from the hard drive into TickWrite Metadata Import Used to manually import a TickWrite metadata file provided by Tick Data Normally TickWrite metadata is downloaded electronically from Tick Data s update servers However in special cases Tick Data may provide a metadata file that should be imported using this menu item Browse to the mdi file provided by Tick Data and TickWrite will import its metadata Migration Allows the user to convert job files from TickWrite 6 format to the new format Please see Appendix A for more information Account Details Window show the user s account id and user id as well as the type of TickWrite installation This information may be requested by Tick Data s Tech Support team Also allows the user to change the password for the account Changing this password will also change the user s password for the online store The User ID cannot be changed Scheduler Opens the scheduler which allows users to schedule update downloads and jobs to run automatically See below section Daily Updates and the Scheduler below for more information on using the scheduler 3 Actions Execute Job Runs the current job Import Symbol List Some data collecting jobs may have many symbols In order to select multiple symbols quickly users can save a text file with a list of desired symbols or Tick Data IDs First create a new text file in Notepad or other text editor T
24. bars i e one minute bars daily bars weekly bars and monthly bars And when processing interval bars using the Equities Trade tab a user can filter output data using all of the fields of the tick by tick file yet write it out to interval or daily weekly monthly bars However since the Equities Trade tab accesses a much larger database of tick by tick trade data any processing performed will take longer Therefore if the Equities One Minute tab is available any processing of data into files of bar intervals should be done from the Equities One Minute tab as it will perform the job considerably faster Once a tab has been selected you must choose the Exchange from which you wish to process data Again only the exchanges for which you purchased data will be available in the list NOTE the Exchange may be a non exchange trading venue i e MTF Once selected the list of available data will NOT be automatically displayed in the symbol list as this can represent many thousand symbols 30 Adding Symbols to a Job The user must add symbols to the Job window for processing Symbols can be added to the symbol list using these buttons and fields F Cal symbols Click the binoculars to open the Symbol Search window g AA Search for Instruments To Extract a p Symbol Search By ID Search Symbol Equals z Company ID Company Name Equas Symbol Ext Equals v Search Clear
25. box from which user can check for data file updates NOTE User must be subscribed to Tick Data s update service and be online to receive data updates For more information see Daily Updates and the Scheduler below 4 Tools Update Metadata Downloads any new metadata holiday calendar exchange session times etc Normally all necessary metadata is downloaded automatically at the same time data updates are downloaded However Tick Data support may instruct a customer to manually download metadata to quickly resolve a specific problem Data File Integrity Check Checks current deep history files for corruption should only be used when advised by Tick Data customer support to search for corrupted files If any corrupted files are detected they may be able to have replacements downloaded automatically depending on which files and how many are corrupted Data File Change Report Tick Data will at times make corrections to certain data While these corrections will be automatically downloaded into the customer s deep history many customers desire to know what files have been impacted since a certain point This report gives customers a list of files that have been modified since a certain date and time This menu item will bring up the following dialog e E Data File Change Report l oye lt Market ALL x Data ALL x Find Data Files Updated Since 7 26 2013 Jv 12 00 AM Generate Report To File
26. can be activated by checking Check for Updates When activated it will use the day and time settings to download daily updates Only one market and data type can be set per Scheduler item If data for the current day is not yet available when the schedule task runs the Scheduler can be set to retry downloading data a specific number of times at a set interval in the case the data or server is not available For example if you were to set up a task to download new data at midnight and entered Number of Retries 5 and Retry Interval 30 the task would initially run at midnight and if new data was not available it would retry at 12 30 1 00 1 30 2 00 and finally 2 30 until data was available before giving up The scheduled task can also be set up to issue e mail notifications when the download was successful and or unsuccessful To be notified with information on a successful data download check Send Update Success Notification To be notified with a task fails without downloading new data check the Send Update Failed Notification You will need to configure the e mail address es to alert on the Email tab NOTE An outgoing mail server must be set up in the Preferences window See Mail Server Properties for more information Additionally when the task is set up to retry multiple times a warning notification can be sent out if the download of new data fails before the task terminates This allows an administrator to be notified of a failed data
27. creating custom output files In order to create custom ASCII data files that match the user s requirements the user creates Jobs for TickWrite 7 to run see section Jobs and the Job Explorer for more information The main Job window provides choices for the parameters that can be set Here is the main Job window for creating custom historical data files on 3 SS 48 TickWrite New Equities Job L File Setup Actions Tools Help SG Gee o Equities Quote Equities Trade Equities One Minute Equities Daily Forex Quote Forex Trade Forex One Minute Forex Daily Futures Quote Futures Trade Indicators Indices Exchange U S Equities z Company ID Symbol Ext Company Name Avail From Avail To a gp CAI Symbols Intervat Quotes E SpitAdjust Begin Date MM DD YYYY session s to include El Company info EndDate MM DD YYYY V Pre Market V Day Session Granularity a ity V After Hours Days Back to Process 0 Empty Intervals Skip Ei Day E Start Sessions At 0 F End Sessions At Output Formatting Filtering Output To File x Compression None x Output Fields If Output Exists Overwrite Skip Append Updates El include Header Add Custom Heade Delimiter m Output Directory Q EE A Name Output by Symbol F Date File Prefix File Suffix File Extension V Time aw Exchange L Name Output by Custom Value Symbol
28. download preemptively while the task will continue to retry in the background To configure this check the Warn after every checkbox and enter the number of failed retries after which a warning should be sent out For example consider a task set up to run at midnight with 4 retries that are 60 minutes apart Ifthe Warn setting is configured for 2 retries an administrator would be warned at 2 00 after the first two failed attempts then at 4 00 after the second two failed attempts Finally the administrator would be notified after the final failed attempt at 5 00 if so configured The Jobs tab as seen below can be used to schedule a Job or Jobs to run at a set time on specific days or to add a Job or Jobs to a scheduled automatic daily update In the case of the latter TickWrite will first run the download and once successfully completed will execute the Job or Jobs The Job or Jobs must already be saved to be scheduled 28 G al Schedule Editor Schedule Name Download_Equities F Active V Monday V Tuesday V Wednesday Thursday V Friday Day s of Week 5 V Saturday Sunday Day of Month 1 Scheduled Time 3 00 AM Updates Jobs Emails F Run Jobs F Validate Symbols V Send Job Success Notification V Se C tickdataltickwrite7Jobs US_Equity twj S 2 y The Emails tab as seen below is used for adding email addresses to no
29. formed between us that leads to this Agreement and consists of that set of terms for the relationship as set forth in the registration checkout and or installation process whichever are applicable and also includes the terms in this Agreement itself Registration and checkout may also include or have included the completion of a Schedule A or any other data set itemization document physical or electronic The term Data as used in this Agreement means the historical market data which are set forth in the Contract The term Data Update Service as used in this Agreement means the services provided by TICK DATA whereby TICK DATA shall provide Licensee with additional data relating to the Data licensed to Licensee hereunder and which are set forth in the Contract Any data received by Licensee by way of the Data Update Service shall constitute Data for the purpose of this Agreement The term Software Product as used in this Agreement means the software computer program s and documentation which may allow the Licensee to access and use Data as set forth hereunder and which are set forth in the Contract For the avoidance of doubt the Software Product excludes any and all Data Dependent on your choices in the Contract you may not be using Software Product Also dependent on your choices in the Contract other alternatives you may choose are use of Software Product in the form of TickWrite or in the form of API access T
30. or after 07 00 and the End Session At must be equal to or less than 19 00 The custom session hours may not cross over two market days NOTE Using Start Sessions At and or End Sessions At will deactivate the Pre Market Day Session After Hours checkboxes under Session s to Include as the times entered will override the standard session settings Output and Formatting Filtering The bottom section of the Job window contains two tabs with parameters for output type file naming output fields and formats Output Tab Output Formatting Filtering Option Instrument Filters Output To Fie Compression None A Output Fields If Output Exists Overwrite Skip Include Header j H Delimiter X Output Directory C tickdata tickwrite7 Output Q Field Name a Name Output by Symbol F Date z File Prefix File Suffix File Extension F Time a V Trade indicator always T t Name Output by Custom Value V OPRA Sequence Number pa V Option Exchange Code Name Output by Company id V Option Condition Code Name Output by Symbol and Company id V Price Email Job Notification n Output To Output data to a file or to the screen If File is selected the user must select the Output parameters on the tab If Screen is selected all other Output parameters deactivate except for the Output Fields section Screen output data can be copied in the window select multiple fields using the Shift and Ctrl buttons and paste
31. roll date will always be moved forward except in cases where a Front Month Expiration roll is used in which case it is moved backward This setting determines how many days a roll date can be moved to find a valid adjustment factor If an adjustment factor cannot be determined after moving the roll date this number of days the extraction job will fail for this contract Force non adjusting jobs to have same roll dates as adjusting jobs This setting will only effect jobs where the Adjustment Type is set to None i e non adjusting jobs For jobs that do not adjust the ability to determine an adjustment factor is irrelevant so the above condition is not a problem However this means that it is possible for a non adjusting job to have different roll dates than the same job file with adjustments This discrepancy may be undesirable in which case the user can check this option which will force any non adjusting jobs to have the same roll dates as the same job with adjustments In other words the system will potentially move the roll date in order to calculate an adjustment factor even though that adjustment factor will not be applied Allow Adjusted Values To Be Negative Sometimes applying adjustments to prices will cause those prices to become negative Trading models are generally not capable of handling negative prices so by default TickWrite 7 will add a constant to ALL PRICES in the file to bring the negative prices positive even va
32. DIRHAM VS MAURITIUS RUPEE 05 07 2008 07 22 2013 AEDMYX UAE DIRHAM VS MALAYSIA RINGGIT REFERENCE RATE SPOT 05 07 2008 07 22 2013 AEDNOK UAE DIRHAM VS NORWEGIAN KRONE 05 07 2008 07 22 2013 AEDNZD UAE DIRHAM VS NEW ZEALAND DOLLAR 05 07 2008 07 22 2013 AEDPKR UAE DIRHAM VS PAKISTANI RUPEE 05 07 2008 07 22 2013 AEDSAR UAE DIRHAM VS SAUDIARABIAN RIVAL 05 07 2008 07 22 2013 pi Cy i Tall Symbols intervat Trades BesinDate mm DD Yvvy G Start Sessions At 00 00 Gant End Date MM DD YYYY E End Sessions At 00 00 Empty Intervals Skip E Days Back to Process 0 f Output Formatting Filtering Output To Compression None Z Output Fields If Output Exists Overwrite Skip Append Updates E include Header Add Custom Heade Delimiter X Output Directory c tickdata tickwrite7 output q Field Name a Name Output by Symbol Symbol File Prefix File Suffoc File Extension 7 Date n V Time a Name Output by Custom Value I Fitered Price w Contributor V Region F City Email Job Notification 8 d Depending on the data purchased you may see only one Forex tab titled Forex or multiple Forex tabs Forex Quote Forex Trade and Forex One Minute If for example you only purchased One Minute FX Data you will only see a tab titled Forex Clients receiving Tick Forex Data may also receive one minute These will cause both tabs to be displayed Each of these Fo
33. Minute tab Trade and Quote data is much larger in volume and size than Trade Only data 2000 3000X and therefore processing times will be considerably longer Company Info Will include a folder in the Output Directory that contains information about each security processed in the Job including splits dividends and mergers as well as translation information for converting Tick Data Company IDs to current ticker symbols For more information about the contents of the CompanyInfo folder please see the File Format Guide for the corresponding exchange located on your data disc drive and also available on Tick Data s website http www tickdata com html downloads shtml Empty Intervals These selections are not active when Trades Tick Based Bars or Quotes are selected as the Interval For all other intervals they give important options for handling empty time intervals Empty intervals occur when there are no trades during the full length of a bar Skip Empty Intervals Any interval without data is excluded from the file There will not be a timestamp The only drawback to this method comes if a user is working in a spreadsheet as there will not be an equal number of prints each day Hold Last Value Holds the value of the close of the last bar to have a price through all intervals until another price occurs This guarantees the number of bars per day is constant but creates artificial bars Fill With Zeroes Any empty interval wi
34. Output Tab a Output Formatting Filtering Advanced Output To Fie x Compression None Mi Output Fields If Output Exists Overwrite Skip Append Updates V include Header Add CustomHeader Delimiter X Output Directory c tickdata tickwrite7 output l Q Field Name a Name Output by Symbol W Symbol File Prefix File Suffix File Extension V Date V Time 1 2 Name Output by Custom Value J Price l 4 Volume V Market Flag V Sales Condition Email Job Notification 50 Output To Output data to a file or to the screen If File is selected the user must select the Output parameters on the tab If Screen is selected all other Output parameters deactivate except for the Output Fields section Screen output data can be copied in the window select multiple fields using the Shift and Ctrl buttons and pasted into spreadsheets and text editors like Word or Notepad NOTE Pasted data will use the Delimiter set in Output Fields in order to copy fields into separate cells in a spreadsheet use Tab as the delimiter Compression The user can write out ASCII files that are unzipped the largest output files or compressed using Zip or Gzip If Output Exists Determines how TickWrite will handle file creation if a file by the same name already exists in the output directory Overwrite Existing The existing file will be deleted and recreated according to the parameters in the job The user will not be w
35. Price Decimals Used to select the desired number of decimal places in the output file Default is set by default and will use the standard number of decimal contained in the source data which differs by exchange The user can also force TickWrite to output a specific number of decimal places by selecting from the list Time Format Select the desired time format Since some data Tick Data offers has a millisecond stamp while others have only a second stamp or even only a minute stamp by selecting Optimal TickWrite will use the proper time format Alternately the user can choose a specific time format from the list Price Multiplier Activated when checked this parameter allows users to factor in a multiplier to the entire output file This multiplier must be a factor of 10 but can be a decimal i e 001 1 10 100 etc Time Zone TickWrite has the ability to output data in various time zones This is especially helpful when working with data from an exchange that is not in your country as some countries have different schedules for adjusting for Daylight Savings Time The three choices are Exchange Time Zone default Local Time Zone and GMT Exchange Time Zone will output the data in the time zone of the exchange on which it is traded For Indices this generally means the exchange on which the futures contract is traded The Local Time Zone value is derived from the time zone to which your computer is set Please be sure your compu
36. Price decimals may be overridden in job The first preference determines what splits will be considered when split adjustment is selected on ajob By default only splits that occur within the extraction date range are considered This results is data that is split adjusted as it would have been on the end date of the extraction For example if an extraction job is set for company ABC for 1 1 1993 12 31 1999 it would be adjusted for all splits occurring through 12 31 1999 but NOT adjusted for splits occurring after that date If on the other hand Adjust For All Splits is selected extracted data is adjusted for all splits that occurring in a company s history regardless of extraction range Please note that you must have a data license on the day on which a split occurs to have an adjustment made For example if you purchased data for company ABC from 1 1 1993 through 12 31 1999 you would only be able to adjust for splits occurring until 12 31 1999 because you do not have a data license after that point The remaining settings on this page related to the number of decimal points to be used with split adjusted data Because split adjustment calculations can often result in long floating point numbers these settings can you the ability to round the data to your desired precision 22 Futures Preferences for licensed Futures users only allows users to specify advanced settings related to Futures contract rolling and adjustments Pl
37. RATEGY REGARDLESS OF WHETHER TICK DATA ANY OF ITS RELATED PARTIES AFFILIATES AGENTS OR ANY THIRD PARTY PROVIDER HAS BEEN ADVISED OR IS OTHERWISE AWARE OF THE POSSIBILITY OF SUCH LOSSES LICENSEE ACCEPTS FULL RESPONSIBILITY FOR ANY INVESTMENT DECISIONS MADE BY LICENSEE USING THE DATA THE TICK DATA SYSTEM AND THE SOFTWARE PRODUCT NO SALES PERSONNEL EMPLOYEES AGENTS OR REPRESENTATIVES OF TICK DATA ITS AFFILIATES OR ANY THIRD PARTY ARE AUTHORIZED TO MAKE ANY REPRESENTATION WARRANTY OR COVENANT ON BEHALF OF TICK DATA OR ANY LICENSOR TO TICK DATA ACCORDINGLY ORAL STATEMENTS DO NOT CONSTITUTE WARRANTIES AND SHOULD NOT BE RELIED UPON AND ARE NOT PART OF THIS AGREEMENT LICENSEE EXPRESSLY AGREES THAT USE OF THE DATA THE TICK DATA SYSTEM AND THE SOFTWARE PRODUCT IS AT LICENSEE S SOLE RISK AND THAT TICK DATA AND ITS AFFILIATES AND LICENSORS SHALL NOT BE RESPONSIBLE FOR ANY ERRORS OR LOSSES CAUSED BY THE LICENSED DATA THE TICK DATA SYSTEM OR THE SOFTWARE PRODUCT THIS SECTION SHALL SURVIVE TERMINATION OR EXPIRATION AND NONRENEWAL OF THIS AGREEMENT 6 Limitation of Liability TICK DATA s entire aggregate liability arising from or related to this Agreement shall not exceed the fees charged by TICK DATA to Licensee in the year preceding the date that the first cause of action arose even if such cause of action is continuing In no event shall any of TICK DATA s related parties affiliates or any third party providers or such other entities of
38. RIZED TO REGISTER UNDER THE NAME OF THE BUSINESS GOVERNMENT ENTITY AND 2 IF YOU ARE REGISTERING FOR AN INDIVIDUAL LICENSE ACCOUNT YOU MUST BE AN INDIVIDUAL OF AT LEAST TWENTY ONE 21 YEARS OF AGE REGISTERING UNDER YOUR OWN NAME YOU AGREE THAT THIS AGREEMENT IS ENFORCEABLE LIKE ANY WRITTEN NEGOTIATED AGREEMENT SIGNED BY YOU IF YOU DO NOT AGREE DO NOT AGREE TO THESE TERMS OR USE THIS DATA OR SOFTWARE LICENSE TERMS AND CONDITIONS WHEREAS TICK DATA licenses and or sublicenses use of data software and any corresponding user manual s or other user documentation to utilize the historical market data licensed to Licensee and set forth in the registration checkout and or installation process WHEREAS Licensee desires to be granted a license and or sublicense to use the Data or in addition also the Software Product as set forth in the registration checkout and or installation process on the terms and conditions set forth in this Agreement or in addition also desires to subscribe to the Tick Data system from its facility or any auxiliary facilities where it or its employees conduct related activities on behalf of its business or in addition also to access the Tick Data system through Tick Data s web site and the internet NOW THEREFORE and in consideration of the terms and conditions set forth below TICK DATA and Licensee agree as follows 1 Certain Defined Terms The term Contract as used in this Agreement means the relationship
39. Time the international baseline time zone GMT does not adjust for Daylight Savings Time so depending on the time of the year the number of hours from one time zone to GMT varies TickWrite handles this automatically Use Excluded Records in Output A new feature in TickWrite 7 1 this feature allows the user to generate time series in intervals Time Bars or Tick Bars that include trades flagged to be excluded These can include out of sequence trades off exchange trades and other trades that have condition codes suggesting they should be excluded from the data NOTE This parameter not available in Futures Quote window Field Filters This feature allows users to filter output data and only display data meeting the desired parameters For futures data you can filter based on price and volume Select your filter parameters and click the plus sign To remove a filter or all filters right click in the field display window to show a context menu Advanced Tab Output Formatting Filtering Advanced Include Only Specified Contracts NOTE Not all contract months apply to all symbols F January N July G February August H March U September J April Y October K May X November M June Z December An advanced feature designed to support the generation of continuous contracts is the ability to only consider certain contract months By default TickWrite will consider ALL contract months of a particular instru
40. a providers Licensee consents to any such disclosure by TICK DATA 10 Inspection and Audit Right Licensee acknowledges that TICK DATA s licensors and data providers may from time to time audit TICK DATA and or its licensees in connection with their use and access to data At all reasonable times during the term of this Agreement and for a period of one 1 year thereafter TICK DATA and or its licensors shall have the right upon no less than twenty four 24 hours notice to Licensee to full and free access to the relevant files computers and or equipment of Licensee to inspect the use of the Data the Tick Data system and the Software Product by Licensee Licensee shall cooperate fully with such verification and inspection TICK DATA shall have the right to copy any item that Licensee may possess with respect to a possible violation or breach of this Agreement and to remove any Data access to the Tick Data system and or Software Product as a result of such violation or breach Licensee will be liable for the reasonable costs of any audit including without limitation reasonable accountants and attorneys fees and costs that reveals a breach of this Agreement by Licensee 11 Miscellaneous 11 1 This Agreement constitutes the final entire and exclusive agreement among the parties with respect to the subject matter herein and no representations inducements or agreements oral or otherwise not contained herein will have any force or effec
41. ally the name of a SOCKS proxy can be entered for use with TCP updates if your organization requires it Again the connection can be tested from within TickWrite by going to Help gt Test Connection To Update Server TickWrite Operation Single Installations Because of the TickWrite scheduler and other features TickWrite 7 utilizes a service process that runs in the background Therefore even a single installation of TickWrite 7 still makes use of network ports However because connections are only made back to the same host firewalls should almost never be a problem Additionally TickWrite has attempted to use higher non standard ports to avoid conflicts with existing applications The below information on port usage is intended as a reference only and port numbers only need to be changed or configured when it is shown that there is a problem or conflict Currently there are two static ports and one dynamic port used in TickWrite dynamic ports are dynamically chosen at application startup based on availability on the host system The static ports are 12092 and 12093 and they must either be available on the system or set to alternate available ports To change TickWrite to utilize different ports create the following text file lt TICKWRITE_ROOT gt config user configs custom_ports properties 70 In this file add the following lines TW_METASERVER_PORT lt something_besides_12092 gt TW_RMI_PORT lt something_besides_12093 gt
42. ardware or software and c implementing adequate procedures to satisfy Licensee s requirements for security accuracy of input and output and restart and recovery in the event of a malfunction of the Tick Data system or the Software Product or the access to the Tick Data system 2 2 Data Update Service Provided that Licensee is not in breach of the terms and conditions of this Agreement TICK DATA shall use reasonable commercial efforts to provide to Licensee with the Data Update Service as set forth in the Contract Licensee acknowledges that nothing in this Agreement constitutes an obligation on TICK DATA to continue to make the Data available in any form and particularly its present form or configuration or to continue to provide the Data Update Service 2 3 Restrictions Licensee shall not 1 distribute disclose rent lease or sublicense all or any portion of the Data and Software Product or internet access to the Tick Data system to a third party as a paid service or otherwise 2 use the Data and Software Product or internet access to the Tick Data system in a computer based services business which would allow third parties to access view or use the Data in whole or in part or otherwise publicly display visual output of the Data in any manner 3 allow any employees of Licensee other than as explicitly set forth by the Contract to use or access the Data and Software Product or internet access to the Tick Data system or 4 reverse engi
43. arned that the existing file will be overwritten Append Updates When selected TickWrite will attempt to append data in an existing file using data generated by the job This selection should primarily be used by clients who subscribe to daily updates and have jobs scheduled to download and process out the same data every day It will decrease processing time as the job will begin where the existing file leaves off Skip The extraction job will leave the existing file untouched and not extract new data Output Directory Enter the desired location of output files This must be chosen prior to processing data to a file As with all parameters this location can be set as a default by selecting SETUP gt Tab Defaults gt Set Current Values as Default for Tab NOTE As with all defaults the Output Directory set in a tab will only affect that tab Name Output by Symbol Will use the symbol of the instrument as the filename This parameter also allows users to include a file prefix and or suffix and select the file extension Name Output by Custom Value Allows the user to choose the filename of the output ASCII file NOTE Active only when one symbol is selected and when Front 1 Back 2 4 Back or 34 Back or Most Active is selected as the Contract while Continuous File is checked Email Job Notification Once you have entered valid SMTP server settings in Preferences enter a valid email address in this field to email notificatio
44. as translation information for converting Tick Data Company IDs to current ticker symbols For more information about the contents of the CompanyInfo folder please see the File Format Guide for the corresponding exchange located on your data disc drive and also available on Tick Data s website http www tickdata com html downloads shtml Empty Intervals These selections are not active when Trades Tick Based Bars or Quotes are selected as the Interval For all other intervals they give important options for handling empty time intervals Empty intervals occur when there are no trades during the full length of a bar Skip Empty Intervals Any interval without data is excluded from the file There will not be a timestamp The only drawback to this method comes if a user is working in a spreadsheet as there will not be an equal number of prints each day Hold Last Value Holds the value of the close of the last bar to have a price through all intervals until another price occurs This guarantees the number of bars per day is constant but creates artificial bars Fill With Zeroes Any empty interval will have a zero 0 value for the Open High Low Close and Volume This also guarantees the number of bars per day is constant but if itis graphed the zeroes will cause the chart to be useless Extend Last Interval Active when Time Based Bars is selected at the Interval this parameter is useful if there are not an even number of
45. asked if you wish to keep the existing configuration W TickWrite Configuration Data File Location Configuration You appear to have data file locations already configured Would you like to keep this configuration Yes Recommended ONo Cancel Selecting Yes will skip the next screen and go directly to the Finish step If you select No or if you have not installed TickWrite 7 before you must configure a new data file location in this window 15 W TickWrite Configuration Data File Location Configuration Please decide where the data files will be stored Install Data Files to a Single Location C TickData TickWrite7 DATA Install Data Files to Multiple Locations TickWrite 7 allows for the data to be stored in a single location or in multiple locations on a computer or network NOTE Deep History file locations can be changed after configuration is complete in SETUP gt Preferences gt DEEP HISTORY LOCATIONS Selecting Install Data Files to a Single Location gives you the ability to choose one directory on your computer or network in which all Deep History files will be stored Select the desired location the Deep History files will reside in subfolders of your selected directory by browsing to or typing in the path to the directory using the universal path to the directory if on a network or another computer Selecting Install Data Files to Multiple Locations allows data sets to be
46. cable federal state and local laws rules and regulations and exchange rules regulations and contract terms Licensee represents and warrants that Licensee shall not engage in nor is currently engaged in the operation of any unlawful transactions and or business Licensee shall not use nor shall Licensee permit any third party to use the Data and Software Product or internet access to the Tick Data system for any unlawful purpose In the event TICK DATA believes that Licensee is not in compliance with the terms of this Section TICK DATA reserves the right to terminate this Agreement at any time with or without notice and without incurring any liability or obligation in connection therewith 2 5 No Advice Licensee shall be solely responsible and liable for its use of the Data and Software Product or internet access to the Tick Data system and or for any unauthorized use thereof TICK DATA assumes no responsibility and shall not be liable to Licensee or any other third party for any decision made or action taken in reliance upon the Data and Software Product or internet access to the Tick Data system All investment decisions by Licensee and or any other third parties are the sole and exclusive responsibility of Licensee and or such third parties and are taken at their sole risk and discretion Licensee acknowledges that the Data and Software Product or internet access to the Tick Data system are not intended to provide legal investment or tax advi
47. can do so by clicking the Add Custom Header button entering your own header This is useful if your internal systems require a certain header or you need to name the output fields differently Note that the custom header is written exactly as entered if any changes are made to the field selection the custom header must be changed accordingly Formatting Filtering Tab Formatting Filtering Output Date Format Price Decimals C Use Excluded Records In Output MMiddlivyyy v Default v Field Fitters Time Format Field If w Value dr Optimal v T z onma Field It Value Time Zone Exchange v Date Format Select the desired date format for the output file Price Decimals Used to select the desired number of decimal places in the output file Default is set by default and will use the standard number of decimal contained in the source data which differs by exchange The user can also force TickWrite to output a specific number of decimal places by selecting from the list Time Format Select the desired time format Since some data Tick Data offers has a millisecond stamp while others have only a second stamp or even only a minute stamp by selecting Optimal TickWrite will use the proper time format Alternately the user can choose a specific time format from the list 37 Time Zone TickWrite has the ability to output data in various time zones This is especially helpful when working with data from an ex
48. ce 2 6 Security Licensee is responsible for ensuring that all of its systems including hardware and software systems will to the extent reasonably possible prevent any person other than the Licensee and its directors officers employees and agents from obtaining access to the Data and Software Product or internet access to the Tick Data system The Licensee shall take reasonable steps to ensure that its systems devices and equipment are secure and prevent any person that is not authorized from gaining access to the Data and Software Product or internet access to the Tick Data system 3 Fees 3 1 Fees Licensee agrees to pay the fees in such amounts as may be determined by reference to the formulas set forth in the Contract the License Fee The applicable fee relating to the Data Update Service the Data Update Service Fee in such amounts as may be determined by reference to the formulas set forth in the Contract All fees payable by Licensee including without limitation shipping and handling and or hard drive fees are due prior to delivery and in rare cases shipment of the Data or Software Product or access information for the Tick Data to Licensee 3 2 Taxes All fees and charges including without limitation the License Fee and Data Update Service Fee are exclusive of any applicable taxes or assessments imposed by or pursuant to any government body or subdivision thereof on the services and products hereunder collect
49. change that is not in your country as some countries have different schedules for adjusting for Daylight Savings Time The three choices are Exchange Time Zone default Local Time Zone and GMT Exchange Time Zone will output the data in the time zone of the exchange on which it is traded For Indices this generally means the exchange on which the futures contract is traded The Local Time Zone value is derived from the time zone to which your computer is set Please be sure your computer s clock is set properly GMT is Greenwich Mean Time the international baseline time zone GMT does not adjust for Daylight Savings Time so depending on the time of the year the number of hours from one time zone to GMT varies TickWrite handles this automatically Use Excluded Records in Output A new feature in TickWrite 7 1 this feature allows the user to generate time series in intervals Time Bars or Tick Bars that include trades flagged to be excluded These can include out of sequence trades off exchange trades and other trades that have condition codes suggesting they should be excluded from the data This feature is only available for certain data sets In cases where it is not available the checkbox will be disabled Field Filters This feature allows users to filter output data and only display data meeting the desired parameters The fields available for filtering vary based on the Interval and Exchange selected Select your filter parameters an
50. d C All Symbols Click the binoculars to open the Symbol Search window E AA Search for Instruments To Extract Symbol Search By ID Search Symbol Equals 7 Company ID Search Company Name Equals v Symbol Ext Equals X Search Clear Company ID Symbol Ext Company Name Avail From Avail To oc fea Select the desired filter parameters and click Search NOTE leaving the fields blank and clicking Search will display all available symbols The results will appear in the Instrument Search Results window There you can select the symbols you wish to process and they will appear in the Symbol Search window Individual symbols can be removed if not desired by right clicking on the symbol in the list and clicking remove Click OK to add the symbols to the symbol list in the Job window Another way to add symbols is to type a symbol or Company ID into the quick add box to the right of the binoculars and click the plus button To include all available symbols in a processing job check the All Symbols box This will activate the Advanced button which offers additional parameters for processing all symbols s All Symbols Advanced Name Instruments As They Traded On M Do YYYY Only Includes Instruments Active As Of MM DD YYYY Ej os Gee Name Instruments As They Traded On Leaving this blank will use the current symbols for all companies regardl
51. d click the plus sign To remove a filter or all filters right click in the field display window to show a context menu If you wish to filter by two parameters in the same field separate the Values with commas and use IN and or NOT IN For example if you wanted to only include trades with Exchange Codes N and S you would enter Exchange Code in Field IN in If and N S in the Value field 38 Creating Files of Forex Currency Data Here is the Forex Trade Job window E TickWrite New Forex Job lelak File Setup Actions Tools Help JD aS Equities Quote Equities Trade Equities One Minute Equities Daily Forex Quote Forex Trade Forex One Minute Forex Daily Futures Quote Futures Trade Indicators Indices Symbol Description Avail From Avail To e AEDAUD UAE DIRHAM VS AUSTRALIAN DOLLAR 05 07 2008 07 22 2013 AEDCAD UAE DIRHAM VS CANADIAN DOLLAR 05 07 2008 07 22 2013 AEDCAX UAE DIRHAM VS CANADIAN DOLLAR REFERENCE RATE 05 07 2008 07 22 2013 AEDCHF UAE DIRHAM VS SWISS FRANC 05 07 2008 07 22 2013 AEDEUR UAE DIRHAM VS EURO 05 07 2008 07 22 2013 AEDGBP UAE DIRHAM VS POUND STERLING 05 07 2008 07 22 2013 AEDHKD UAE DIRHAM VS HONG KONG DOLLAR 05 07 2008 07 22 2013 AEDINR UAE DIRHAM VS INDIAN RUPEE 05 07 2008 07 22 2013 AEDIPY UAE DIRHAM VS JAPANESE YEN 05 07 2008 07 22 2013 AEDMAD UAE DIRHAM VS MOROCCAN DIHRAM 05 07 2008 07 22 2013 AEDMUR UAE
52. d into spreadsheets and text editors like Word or Notepad NOTE Pasted data will use the Delimiter set in Output Fields in order to copy fields into separate cells in a spreadsheet use Tab as the delimiter 58 Compression The user can write out ASCII files that are unzipped full size output files or compressed using Zip or Gzip If Output Exists Determines how TickWrite will handle file creation if a file by the same name already exists in the output directory Overwrite Existing The existing file will be deleted and recreated according to the parameters in the job The user will not be warned that the existing file will be overwritten Skip The extraction job will leave the existing file untouched and not extract new data Output Directory Enter the desired location of output files This must be chosen prior to processing data to a file As with all parameters this location can be set as a default by selecting SETUP gt Tab Defaults gt Set Current Values as Default for Tab NOTE As with all defaults the Output Directory set in a tab will only affect that tab Name Output by Symbol Name Output by Company Id Name Output By Symbol and Company id Will use the symbol and or company ID of the instrument as the filename These options also allow users to include a file prefix and or suffix and select the file extension Name Output by Custom Value Allows the user to choose the filename of the output ASCII file NOTE Act
53. d text editors like Word or Notepad NOTE Pasted data will use the Delimiter set in Output Fields in order to copy fields into separate cells in a spreadsheet use Tab as the delimiter Compression The user can write out ASCII files that are unzipped the largest output files or compressed using Zip or Gzip If Output Exists Determines how TickWrite will handle file creation if a file by the same name already exists in the output directory Overwrite Existing The existing file will be deleted and recreated according to the parameters in the job The user will not be warned that the existing file will be overwritten Append Updates When selected TickWrite will attempt to append data in an existing file using data generated by the job This selection should primarily be used by clients who subscribe to daily updates and have jobs scheduled to download and process out the same data every day It will decrease processing time as the job will begin where the existing file leaves off Skip The extraction job will leave the existing file untouched and not extract new data Output Directory Enter the desired location of output files This must be chosen prior to processing data to a file As with all parameters this location can be set as a default by selecting SETUP gt Tab Defaults gt Set Current Values as Default for Tab NOTE As with all defaults the Output Directory set in a tab will only affect that tab Name Output by Symbo
54. d values of parameters should be exactly as they appear in the twj Job file Any values that contain spaces MUST have double quotes around the value when specified on the command line The best approach to using the Command Line is to create a Job in the TickWrite GUI save it and open it in a text editor to see the names of the various parameters which to use and how to input values 69 Appendix A Network Connectivity Requirements With the introduction of features like daily updates and multi user installations TickWrite 7 is a networked enabled application that depends on certain network access being available in order to function properly as opposed to TickWrite 6 which functioned as a purely standalone application Network connectivity is required for both receiving updates for Tick Data as well as normal TickWrite operation These are each discussed below Data Updates from Tick Data If you subscribe to data updates from Tick Data an Internet connection from the machine on which TickWrite is installed is required at least during the times when the updates will be run All data updates will be handled by Tick Data s update server cluster under the host name tw update tickdata com TickWrite handles encryption of all sensitive data e g user account information before being transmitted By default all TickWrite updates are retrieved using the Hyper Text Transfer Protocol HTTP at port 80 This is suitable for nearly all
55. day 1 week or 1 month intervals respectively Empty Intervals These selections are not active when Quotes Trades or Tick Based Bars are selected as the Interval For all other intervals they give important options for handling empty time intervals Empty intervals occur when there are no trades during the full length of a bar Skip Empty Intervals Any interval without data is excluded from the file There will not be a timestamp The only drawback to this method comes if a user is working in a spreadsheet as there will not be an equal number of prints each day Hold Last Value Holds the value of the close of the last bar to have a price through all intervals until another price occurs This guarantees the number of bars per day is constant but creates artificial bars Fill With Zeroes Any empty interval will have a zero 0 value for the Open High Low Close and Volume This also guarantees the number of bars per day is constant but if it is graphed the zeroes will cause the chart to be useless Extend Last Interval Active when Time Based Bars is selected at the Interval this parameter is useful if there are not an even number of intervals in a single day based on the bar interval the user selected in Granularity For example if the SP opens at 8 30 and closes at 15 15 and the user selects 30 for the Granularity there are not an even number of 30 minute bars in the day If Extend Last 46 Interval is not c
56. decimal places required for the contract The user can also force TickWrite to output a specific number of decimal places by selecting from the list Time Format Select the desired time format Since some data Tick Data offers has a millisecond stamp while others have only a second stamp or even only a minute stamp by selecting Optimal TickWrite will use the proper time format Alternately the user can choose a specific time format from the list Price Multiplier Activated when checked this parameter allows users to factor in a multiplier to the entire output file This multiplier must be a factor of 10 but can be a decimal i e 001 1 10 100 etc Time Zone TickWrite has the ability to output data in various time zones This is especially helpful when working with data from an exchange that is not in your country as some countries have different schedules for adjusting for Daylight Savings Time The three choices are Exchange Time Zone default Local Time Zone and GMT Exchange Time Zone will output the data in the time zone of the exchange on which it is traded For Indices this generally means the exchange on which the futures contractis traded One notable exception is the DJIA cash index data which is in Eastern Standard Time even though the DJ futures contract is traded in CST on the CBOT The Local Time Zone value is derived from the time zone to which your computer is set Please be sure your computer s clock is set prop
57. ditors 35 like Word or Notepad NOTE Pasted data will use the Delimiter set in Output Fields in order to copy fields into separate cells in a spreadsheet use Tab as the delimiter Compression The user can write out ASCII files that are unzipped full size output files or compressed using Zip or Gzip If Output Exists Determines how TickWrite will handle file creation if a file by the same name already exists in the output directory Overwrite Existing The existing file will be deleted and recreated according to the parameters in the job The user will not be warned that the existing file will be overwritten Append Updates When selected TickWrite will attempt to append data in an existing file using data generated by the job This selection should primarily be used by clients who subscribe to daily updates and have jobs scheduled to download and process out the same data every day It will decrease processing time as the job will begin where the existing file leaves off Skip The extraction job will leave the existing file untouched and not extract new data Output Directory Enter the desired location of output files This must be chosen prior to processing data to a file As with all parameters this location can be set as a default by selecting SETUP gt Tab Defaults gt Set Current Values as Default for Tab NOTE As with all defaults the Output Directory set in a tab will only affect that tab Name Output by Symbol
58. e each workstation with these modified port numbers This can be achieved by adding the following two lines to the custom_ports properties TW_METASERVER_PORT lt TW_METASERVER_PORT_ON_PRIMARY_INSTALL gt TW_CENTRAL_RMI_PORT lt TW_RMI_PORT_ON_PRIMARY_INSTALL gt 71 TickWrite Operation Special Standalone Mode For customers who use TickWrite on single computer AND by only one user at a time you have the option of running TickWrite in special standalone mode As discussed above even a single instance of TickWrite utilizes a background process and network communication While this setup offers many advantages and powerful features it may be undesirable for certain users that have TickWrite installed on a single computer In standalone mode no network communication is utilized and TickWrite operates as a single desktop application However there are some limitations to running TickWrite in standalone mode which include e The TickWrite Scheduler is disabled all data updates and extraction jobs must either by run from the GUI or command line interface you could however use your operating system scheduling utility to run TickWrite commands e TickWrite is limited to performing one operation at a time only one extraction job or data update at a time can occur If you attempt to open multiple instances of the TickWrite GUI you will receive an error message on the second and subsequent attempts e Workstation installations on oth
59. e End Date By default the begin and end dates will both say MM DD YYYY When MM DD YYYYis displayed the complete date ranges for each individual symbol in the list of checked symbols will be used by the corresponding symbol However this can be overridden by entering begin and end dates in the appropriate boxes The buttons to the right of the YYYY field will pull up calendars that can assist users to enter dates Days Back to Process Instead of creating a file with a specific date range a user may want to look at data only for the past x days This setting is especially useful if such a client subscribes to daily updates as a file can be updated automatically each night to only reflect trading for the past x days Session s to Include Cash Indices only For some cash indices ticks continue to update for several minutes after the market officially closes Therefore TickWrite provides an After Hours session that will include these ticks that are time stamped past the close To only extract ticks that are within the official market hours a user can uncheck the After Hours session and leave only Day Session selected Start Session At End Session At By default the Start Sessions At and End Sessions At fields are inactive and display 00 00 Set this way TickWrite will write out all of the data for the sessions chosen for each day If the user selects multiple symbols the file for each symbol will be written out with the respective s
60. e Price Range parameter 61 Creating Files of Cash Index and Indicator Data Cash Indices and Indicators are handled almost identically by TickWrite 7 so the instructions and details are the same for both Here is the Indices Job window E TickWrite New Indices Job p File Setup Actions Tools Help JDA GR E Equities Quote Equities Trade Equities One Minute Equities Daily Forex Quote Forex Trade Forex One Minute Forex Daily Futures Quote Futures Trade Indicators Indices Symbol Description Group Avail From Avail To Time Zone Price Decimals ra F AE Amersterdam AEX Index INDEX 01 02 2008 09 13 2012 Europe Berlin 2 f a Austrian Traded ATX Index INDEX 01 02 2008 09 13 2012 Europe Vienna 2 mM BE BEL 20 Index INDEX 01 02 2008 09 13 2012 Europe Brus 2 O Bu Bucharest BET Index INDEX 01 03 2008 06 30 2011 Europe Buch 2 A E CF CAC 40 Index INDEX 07 01 2003 09 13 2012 Europe Paris 2 O DA DAX Index INDEX 07 01 2003 09 13 2012 Europe Berlin 2 DI Dow index INDEX 04 01 1993 09 13 2012 America Ne 2 m eT NEXT 150 INDEX 10 03 2011 02 20 2013 Europe London 2 EX EURONEXT 100 INDEX 10 03 2011 02 20 2013 Europe London 2 FE FTSEurofirst 100 index INDEX 01 02 2008 09 13 2012 Europe London 2 F FM FTSE 250 INDEX 07 01 2011 02 20 2013 Europe London 2 mD rr FTSE 100 Index INDEX 07 01 2003 09 13 2012 Europe London 2 E GR ASE General Index INDEX 01 02 2008 06 30 2011 Europe Athens 2 E HA HANG
61. ease see the Creating Files of Futures Data section of this document for detailed explanation of these settings Deep History Locations Upon installation the user set locations for data types and specific date ranges In this section user can make changes to location s of source data files For example if a deep history becomes too large for a particular drive the user can specify that all data after a specific date be stored in a different location Once changed any subsequent updates will be downloaded to the new directory However if the location of data for an existing date range already downloaded and resident on the user s hard drive is changed the user must manually move the source files to the new location NOTE If you are receiving updates for a particular market set the end date for that asset type s entry to a date far in the future such as 12 31 2099 Tab Defaults By clicking Set Current Values as Default for Tab the user can save every setting on the job window as defaults These settings are specific to that tab Subsequently every time TickWrite is started or a new job is created and that tab is selected the default settings will be selected Clicking Restore Factory Defaults for Tab will clear all user defined defaults and use defaults defined by Tick Data Data Import Used to add data into TickWrite manually for subsequent orders delivered via hard drive Browse to the tdi file included on the hard drive
62. er machines are not supported The above limitations are not intended to penalize a user for running in standalone mode but are unfortunately necessary to avoid possible data corruption that might otherwise occur If you wish to enable standalone mode it must be done manually but it is a relatively simple one time setup 1 Shut down TickWrite GUI if it is running 2 Ona Windows machine you should disable the TickWrite Service Go to Start gt Run and type services msc This will present the Microsoft Windows Services applet Scroll down and locate the TickWrite Service Right click and select Stop to stop the service if it is Started Then right click again select Properties and set the Startup Type to Disabled Click OK to save NOTE These actions require administrative rights on the computer NOTE You could optionally uninstall the service but we do not recommend this as it makes it more difficult to revert back to normal mode if necessary 3 Ona Linux machines kill any TickWrite processes that are running on the machine 4 Create the following text file lt TICKWRITE_ROOT gt config user configs standalone properties In this file add the following line STANDALONE_TICKWRITE true 5 Restart TickWrite and it will be running in standalone mode NOTE If you wish to back up any properties files before making changes do not store the back up files in the config folder or any subdirectories therein TickWrite will read e
63. er may have developed e Interact with the TickWrite Scheduler activate deactivate execute or delete scheduled tasks e Generate a Change Report create a text file report of all data files that have been modified since a given date time see Appendix E for more details NOTE Beginning with the 20150615 release of TickWrite 7 for Linux all command line switches must first have a args switch Linux users of previous versions should upgrade to the latest version of TickWrite 7 Windows users should not include the args switch For full details and examples of commands please reference the command line help by typing the following at the command prompt from the directory where TickWrite is installed Windows TickWrite help Linux TickWrite args help Users can use the f switch to run an extraction from the command line There are three options 1 The f switch can be followed by one or more Job files For example Windows TickWrite f C temp JOB1 twj C temp JOB2 twj Linux TickWrite args f C temp JOB1 twj C temp JOB2 twj 2 Users can override any number of parameters in the Job file on the command line For example Windows TickWrite f C temp JOB1 twj C temp JOB2 twj START_DATE 01 01 2011 END_DATE 01 31 2011 Linux TickWrite args f C temp JOB1 twj C temp JOB2 twj START_DATE 01 01 2011 END_DATE 01 31 2011 In this case the start date and end dates contained in JOB1 twj and JOB2 twj are ignored and 01 01 2011
64. erly GMT is Greenwich Mean Time the international baseline time zone GMT does not adjust for Daylight Savings Time so depending on the time of the year the number of hours from one time zone to GMT varies TickWrite handles this automatically Field Filters This feature allows users to filter output data and only display data meeting the desired parameters The fields available for filtering vary based on whether the user is on the Trade Quote or One Minute tab Select your filter parameters and click the plus sign To remove a filter or all filters right click in the field display window to show a context menu If you wish to filter by two parameters in the same field separate the Values with commas and use IN and or NOT IN For example if you wanted to only include trades with Exchange Codes N and S you would enter Exchange Code in Field IN in If and N S in the Value field 44 Creating Files of Futures Data Here is the Futures Trade Job window ma TickWrite New Futures Job po a File Setup Actions Tools Help FES GSE Equities Quote Equities Trade Equities One Minute Equities i Daily Forex Quote Forex Trade Forex One Minute Forex Daily Futures Quote Futures Trade indicators dndices Symbol Description Day to Roll Exchange Group Avail From Avail To Time Zone Price Decimals AD Australian Dollar 11 CME
65. es and a number of other parameters required to generate custom ASCII files At the top of the screen are five main menu items The following describes each item 1 File New Job Clears the current job and allows user to enter parameters for a new job The user is asked to save the current job if changes were made Open Job Allows user to browse for saved jobs Job Explorer Brings up a window that lists all jobs that are saved in the default directory NOTE A Jobs directory must first be set in SETUP gt Preferences Using Job Explorer you can run multiple jobs at once Save Job Saves the current parameters for generating ASCII files as a job Save Job As Allows user to save the current parameters as a new job Exit TickWrite Exits the program 2 Setup Preferences This is the layout of the Preferences window al B Preferences l B General Settings General Settings GUI Startup Preferences Logging Aafen Job File Directory Browse Mail Server Properties Generate result log for each job Connection Settings fgets eee cen nae Ape s Equity Preferences ernate location for Job result logs Browse Futures Preferences DEEP HISTORY LOCATIONS z Apply L S d 21 General Settings Allows user to choose directories for Job files and job result logs If no Alternate location for Job result logs is set result log will be generated in Output directory GUI Startup
66. ess of the date range selected in the Job window Selecting a date will use the 55 symbology as of that date For example if you are working with symbols that you know to be a few years old that may have different symbols today you might enter a date as of a few years ago in this field so that the symbol naming convention used by TickWrite more closely matches the symbology that you are familiar with Only Includes Instruments Active As Of Leaving this blank will result in all active and inactive symbols being included in the processing job for the date range specified in the processing job If you select a date TickWrite will only process symbols that are listed on that date For example you may want to extract all symbols from 1995 2000 but include only those companies that are still trading today In this case you would enter today s date in this field To check many symbols at once you can import a list of symbols Simply list your desired symbols in a text file one per line and save it as a txt csv or asc file Click FILE gt Import Symbol List and browse to select your saved file When OPEN is clicked the symbols in the file will be checked in the data list See section Import Symbol List in the First Use section NOTE Any symbols that were listed prior to importing a list will be removed unless they are also on the list Selecting Job Parameters Once you have selected the desired options symbols fo
67. ession hours of each However users can also confine the data for all selected symbols to a particular time range each day To activate these fields check the boxes to the left of the Start Sessions At and or End Sessions At fields you can use either or both Then enter the desired hours and minutes in 24 hour military time The End Sessions At value will act as the close of the day and the last tick of the session will be the last tick BEFORE the closing time entered Output and Formatting Filtering The bottom section of the Job window contains two tabs with parameters for output type file naming output fields and formats Output Tab Output Formatting Filtering Output To Fie Compression None x Output Fields If Output Exists Overwrite Skip Append Updates V include Header Add Custom Header Delimiter X Output Directory a Field Name Name Output by Symbol Symbol File Prefix File Suffix File Extension V Date mnan V Time t Name Output by Custom Value V Price g Date and Time Email Job Notification Output To Output data to a file or to the screen If File is selected the user must select the Output parameters on the tab If Screen is selected all other Output parameters deactivate except for the Output Fields section Screen output data can be copied in the window select 64 multiple fields using the Shift and Ctrl buttons and pasted into spreadsheets an
68. ficers directors employees or agents have any liability to the Licensee or any third party under or related to this Agreement The provisions of this section shall survive the termination of this Agreement Notwithstanding other provisions herein the aggregate liability of TICK DATA hereunder including TICK DATA s indemnity obligations shall not exceed 25 000 All disclaimers and limitation herein shall apply regardless of the nature of any cause of action or demand including but not limited to breach of contract breach of warranty negligence strict liability tort or any other cause of action and shall survive a fundamental breach or breaches and or failure of the essential purpose of this Agreement or any remedy contained herein 7 Termination 7 1 Data Update Service TICK DATA may if and as set forth in the Contract provide Licensee with the Data Update Service beginning at such date and continuing for a time period as set forth in the Contract the Data Update Service Subscription Upon the expiry of such Data Update Service Subscription TICK DATA and Licensee may agree to continue provision of the Data Update Service and TICK DATA will invoice the Licensee for the applicable fees relating to such continued provision of the Data Update Service in advance Any such continued provision of the Data Update Service shall be subject to the terms of this Agreement Subject to the terms of this Agreement and provided the Licensee
69. flict of laws provisions which would refer to and apply the substantive laws of another jurisdiction The parties hereto agree to jurisdiction in the Commonwealth of Virginia and that the proper venue for any dispute will be the Fairfax County Circuit Court or the United States District Court for the Eastern District of Virginia Alexandria Division and in the event that there is no other manner of service hereby appoint the Secretary of the Commonwealth of Virginia In any judicial proceedings between the parties hereto or in the event that TICK DATA employs attorneys to enforce any rights arising out of or relating to this Agreement TICK DATA shall be entitled to recover reasonable attorneys fees costs and expenses END OF LICENSE TERMS AND CONDITIONS TickWrite 7 1 Data Management Software User Guide Using This LI SRG sacs seicclcens ce sccinccsnccavesuoesdodcncs cea ceancotecatennPasncuaeticeaceticotestasasnsetevet 1 Welcome to TickWrite fe Witt csatesctacetasatadatatadasatadatahctatescsstanetaamsastasesannacsnesetesaamaens 1 lnstala tOn oa E EAE O NE AAE 11 Configuring TickWrite sssssssssssrssssssesesssssnunnnrnnnnnneeennssnnnunnnnnnnnnnneennnsnnnnnnnnnnnnnneeeensnnnns 13 EIA D T E mee ove E E ae mE er OTe Ree ne 20 Jobs and the Job Explore r c sssssssssscssssssssssesscsssssssesscssensssessesssssessatssessenesnesaeeseaeenees 25 Daily Updates and the Scheduler ssaicscccistesstetstasststetscssteetsnstateteansenstassceeacnnetattate
70. haracter you wish to use comma is the most commonly used character Finally choose the fields you wish to include in the file The up and down arrows to the right of the Field Name list allows users to move fields up and down NOTE Rearranging the field order will slow down file creation speed File Header You can optionally elect to include a header as the first line in each output file by checking the Include Header checkbox By default the header row will include the name of each field in the specified order delimited by the specified delimiter However if you would like to change the standard header to a custom value you can do so by clicking the Add Custom Header button entering your own header This is useful if your internal systems require a certain header or you need to name the output fields differently Note that the custom header is written exactly as entered if any changes are made to the field selection the custom header must be changed accordingly 43 Formatting Filtering Tab Output Formatting Filtering Date Format Price Decimals Field Fitters MMiddiyyyy Y Defaut v Field ou J Jae Time Format Price Multiplier Optimal J 1 J Field If Value Time Zone 7 i Exchange v Date Format Select the desired date format for the output file Price Decimals Used to select the desired number of decimal places in the output file Default is set by default and will use the standard number of
71. he file can then be formatted in two ways type or paste one valid symbol or ID per line or type or paste a comma delineated list of symbols or IDs Then save the file as a txt csv prn asc or any other text file extension Click ACTIONS gt Import Symbol List and the corresponding symbols will be selected automatically For equity data sets which contain many symbols that can frequently change a custom map date can be used by entering a date in the window 23 F Symbol List Import Symbol File File should contain either comma delimited list of symbols or one symbol per line Symbol Map Date MM DD YYYY fj Optional If no date is entered the most recent date of activity will be used import Cancel K A NOTE Only symbols from the current asset class can be selected TickWrite will notify the user of any symbols it cannot find Reindex Allows the user to manually recreate TickWrite s database of available data This should not be necessary under normal use but may be suggested as a remedy for certain issues by Tick Data s Tech Support team Refresh Symbol List While not commonly an issue if the user has multiple TickWrite installations and the one installation downloads new data the screen on the workstation may not automatically update right away This selection allows the user to manually refresh the list of available symbols and date ranges Check for Updates Opens a dialogue
72. he term Tick Data system as used in this Agreement means the Software Product made accessible to you through the internet Data will be delivered via download if possible In the rare event that the Data in the data set is too large for download Data will be delivered on external media e g DVD or external hard drive If data is delivered on an external hard drive a hard drive fee will apply Most orders for Data are processed and ready for delivery immediately or in most events no more than 1 to 3 business days Orders for larger equity and options Data can take longer depending on the amount of Data ordered Data Updates will remain available for download for 30 calendar days and then deleted from our servers A processing fee will be charged to re process the data files and deliver the Data if the Data Updates are not downloaded in that 30 calendar period 2 License 2 1 Authorized Use Subject to Licensee s compliance with the terms of this Agreement TICK DATA grants Licensee a non exclusive non transferable non assignable license to use the Data and if selected Software Product or internet access to the Tick Data system solely in the course of Licensee s internal business use as expressed in the Contract Licensee s use is limited to use by Licensee s Department and or Business function expressed in the Contract and only in conjunction with the authorized use and at the physical location expressed Licensee acknowledge
73. hecked there will be a 15 30 bar that only contains 15 minutes of data 15 00 00 15 14 59 However if Extend Last Interval is checked the last bar of the day will be a 15 00 bar that contains 45 minutes of data 14 30 00 15 14 59 Ignore Filtered Prices Active when creating Tick or Time Based Bars from Tick Trade data this parameter allows the user to generate bars using raw unfiltered prices If unchecked bars are built using prices that may be altered by Tick Data s proprietary price filtering algorithm NOTE Also see section on Formatting Filtering tab for information on Use Excluded Records in Output parameter Contract Front Will process all of the nearest contracts in a given date range into a single continuous contract To create a continuous file check the Continuous File box and give the file a name in the File Name field If Continuous File is not selected the most active months of each contract within the date range will be processed into separate files In this case the files will be automatically named CCMYY ext where CC is the Ticker symbol M is the month code for the expiration month YY is the expiration year and ext is the selected file extension If Continuous File is selected and only one symbol is selected you have the option of naming by Symbol or by Custom Value If Continuous File is selected and multiple symbols are selected TickWrite will name the files by Symbol Fo
74. heduler and downloader that work together to automatically download daily updates and generate ASCII output files Sales condition information for futures data beginning 7 1 2011 New Futures roll features including Most Active for more precise continuous futures contract rollovers and rolling n days prior to expiration Ratio Adjusting for removing rollover gaps from continuous files of futures data Output timestamp in milliseconds when available Ability to generate files of sub minute bars Enhanced file output options including filtering by and re ordering headers Ability to write out bar intervals of trade data using filtered or unfiltered prices when processed from TICK trade data Please review this User Guide to ensure TickWrite 7 1 is outputting the data in the format you require HISTORICAL MARKET DATA AGREEMENT The document displayed below describes the relationship between Tick Data Inc a Virginia corporation with a place of business at 10134 G Colvin Run Road Great Falls VA 22066 TICK DATA and you the licensee Licensee You as the Licensee desire to subscribe to the Tick Data system from your facility or any auxiliary facilities where you or your employees conduct related activities on behalf of your business and to access the Tick Data system through Tick Data s web site and Tick Data desires to provide internet access to the Tick Data system to Subscriber upon the
75. ich is in Eastern Standard Time even though the DJ futures contract is traded in CST on the CBOT The Local Time Zone value is derived from the time zone to which your computer is set Please be sure your computer s clock is set properly GMT 66 is Greenwich Mean Time the international baseline time zone GMT does not adjust for Daylight Savings Time so depending on the time of the year the number of hours from one time zone to GMT varies TickWrite handles this automatically Field Filters This feature allows users to filter output data and only display data meeting the desired parameters For index indicator data you can only filter based on price Select your filter parameters and click the plus sign To remove a filter or all filters right click in the field display window to show a context menu 67 Executing Jobs via the Command Line In addition to graphical user interface GUI certain TickWrite functionality can also be accessed from the command line e Execute a job file the job must be created first using the TickWrite user interface and saved to a file you then reference the saved file to execute the job it is also possible to override the parameters in the job file as command line switches Although it would be very verbose it is also possible execute a job consistently entirely of command line switches no job file e Download data this feature can be used to check for updates from a custom script that a us
76. igh Low Close Volume if available Tick Count Up Ticks Down Ticks and or Same Ticks for that interval In the Granularity box you must specify the length ofa bar interval in whole seconds or whole minutes Adjacent is a field to select MINUTES or SECONDS The timestamp for each interval represents the data of the period ending immediately prior to the timestamp For example when using 5 minute bars the 8 35 bar contains data from 8 30 00 to 8 34 59 As another example when using 30 minute bars the 4 00 bar contains data from 3 30 00 to 3 59 59 Daily Weekly Monthly Bars These intervals will output files of 1 day 1 week or 1 month intervals respectively Quotes The output file will contain all quotes Level I bids and offers for the selected time period Since a tick is a single data point there is no OPEN HIGH LOW or CLOSE just a single price at which a trade occurred Users will also note that there is no way to output Tick Count 32 when Quotes is selected as the Interval This is because each tick has a Tick Count of 1 NOTE This Interval setting is not available on the Equities Trade or Equities One Minute tabs Quote data is much larger in volume and size than Trade data and therefore processing times will be considerably longer Split Adjust Checking this box will cause the output file s to be adjusted for stock splits and stock dividends If the box is unchecked the output file s will n
77. ill roll the contract on the expiration day It is useful for several commodities that actually trade up through their last trading days i e CF NK NG Days Prior to Expiration This method works similarly to Expiration except that the user has the option of entering a positive integer into the Days Prior Date box just below the Roll Method field causing the roll to occur n days prior to expiration Using a value of 1 will cause the roll to occur one day prior to expiration Date TickWrite can also use a specific date as the criteria for rollover When Date is set as the Roll Method the Days Prior Date box will activate If only one symbol is selected the field will be populated with the date Tick Data suggests This value can be changed by the user although it will revert back to the default date when the program is restarted or the symbol selection is changed a custom value can be saved as part of a Job If multiple symbols are selected the field will be blank and the number entered will be used as the roll day for all selected symbols If symbols with different roll dates are selected it is advised to create a separate job for each and run the jobs from the Job Explorer Next to the Days Prior Date box is a checkbox for Previous Month If Previous Month is unchecked the number in Day To Roll represents a date in the expiration month i e 12 in Day To Roll is the 12th of the expiration month If Previous Mo
78. in 24 hour military time The End Sessions At value will act as the close of the day and the last tick of the session will be the last tick BEFORE the closing time entered 41 Output and Formatting Filtering The bottom section of the Job window contains two tabs with parameters for output type file naming output fields and formats Output Tab Output Formatting Filtering Output To File Output Directory c tickdata tickwrite7 output la Name Output by Symbol File Prefix File Suffix File Extension Email Job Notification L Name i If Output Exists Overwrite Skip Append Updates tput by Custor Compression None Output Fields V Include Header Add Custom Header Delimiter X Field Name Symbol Date Time l le Open fe High Low csv Value Close ISS 8388 Output To Output data to a file or to the screen If File is selected the user must select the Output parameters on the tab If Screen is selected all other Output parameters deactivate except for the Output Fields section Screen output data can be copied in the window select multiple fields using the Shift and Ctrl buttons and pasted into spreadsheets and text editors like Word or Notepad NOTE Pasted data will use the Delimiter set in Output Fields in order to copy fields into separate cells in a spreadsheet use Tab as the delimiter Compression The user can write out ASCII files tha
79. intervals in a single day based on the bar interval the user selected in Granularity For example the U S stock market opens at 9 30 and closes at 16 00 EST If the user selects 60 for the Granularity there is not an even number of 60 minute bars in the day If Extend Last Interval is not checked there will be a 16 30 bar that only contains 30 minutes of data 15 30 00 15 59 59 However if Extend Last Interval is checked the last bar of the day will be a 15 30 bar that contains 90 minutes of data 14 30 00 15 59 59 Ignore Filtered Prices Active when creating Tick or Time Based Bars from Tick Trade data this parameter allows the user to generate bars using raw unfiltered prices If unchecked bars are built using prices that may be altered by Tick Data s proprietary price filtering algorithm NOTE Also see section on Formatting Filtering tab for information on Use Excluded Records in Output parameter Begin Date End Date By default the begin and end dates will both say MM DD YYYY When MM DD YYYYis displayed the complete date ranges for each individual symbol in the list of checked symbols will be used by the corresponding symbol However this can be overridden by entering begin and or end dates in the appropriate boxes The buttons to the right of the YYYY field will pull up calendars that can assist users to enter dates 34 Days Back to Process Instead of creating a file with a specific date range a user
80. ions CHANGE_REPORT_SINCE_DATE 2010 02 15 17 45 MARKET_HEADER FUT TRADE_DB OUTER _FILE C DATA FUT C CF 2009_12_CF zip 2010 03 31 22 49 ENTRY_FILE 2009_12_CF_SUMMARY asc gz 2010 03 11 13 37 ENTRY_FILE CFF10_2009_12_31 asc gz 2010 03 11 13 36 ENTRY_FILE CFG10_2009_12_31 asc gz 2010 03 11 13 36 ENTRY_FILE CFH10_2009_12_31 asc gz 2010 03 11 13 36 OUTER_FILE C DATA FUT E EN 2009_12_EN zip 2010 03 31 22 49 ENTRY_FILE 2009_12_EN_SUMMARY asc gz 2010 02 23 19 07 ENTRY_FILE ENH10_2009_12_11 asc gz 2010 02 23 19 07 MARKET_SUMMARY 6 MARKET_HEADER US_TED TIMEBAR_DB FILE C DATA US_TED 2010 01 OMB 2010_01_04_X zip 2010 03 31 22 12 T11 FILE C DATA US_TED 2010 01 OMB 2010_01_05_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_06_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_07_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_08_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_11_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_12_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_13_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_14_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_15_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_19_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_20_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB 2010_01_21_X zip 2010 03 31 22 12 FILE C DATA US_TED 2010 01 OMB
81. ions At fields you can use either or both Then enter the desired hours and minutes in 24 hour military time The End Sessions At value will act as the close of the day and the last tick of the session will be the last tick BEFORE the closing time entered NOTE Using Start Sessions At and or End Sessions At will deactivate the Day and Night checkboxes under Session s to Include as the times entered will override Day Night session settings Session s to Include Tick Data provides data for trading in both pit and electronic markets for night sessions and day sessions since 1 July 2003 prior to that date we only have limited night session data for GLOBEX contracts such as ES and NQ and day session only for all other contracts Currently and for the foreseeable future all overnight trading is done via electronic markets However several commodities also have electronic trading during the day session concurrent with the pit session While most exchanges have separate symbols for these markets Tick Data has integrated these sessions into a single symbol and TickWrite gives users the ability to write out data for pit and or electronic trading during the day and or night sessions all in one file or into separate files Users simply need to check the appropriate boxes Output Formatting Filtering and Advanced The bottom section of the Job window contains two tabs with parameters for output type file naming output fields and formats
82. ions imposed by any self regulatory securities organization or securities exchanges of which Licensee is a member of or is subject to or any other applicable regulatory authorities or c any negligence or willful or reckless actions or misconduct of Licensee or Licensee s employees or agents with respect to the use of the Tick Data system the Data and or the Software Product TICK DATA reserves the right to select its own attorneys at Licensee s cost 9 Confidentiality 9 1 General Licensee acknowledges and agrees that the Data the Software Product and the Tick Data system constitutes and incorporates confidential and proprietary information developed or acquired by or licensed to TICK DATA Licensee shall take all reasonable precautions necessary to safeguard the confidentiality of the Data the Software Product and the Tick Data system including at a minimum those taken by Licensee to protect Licensee s own confidential information that in no event shall be less than a reasonable standard of care Licensee shall not allow the removal eradication or defacement of any confidentiality or proprietary notice placed on the Data the Software Product and or the Tick Data system The placement of copyright notices on these items shall not constitute publication or otherwise impair their confidential nature Licensee shall maintain the confidentiality of TICK DATA s proprietary and confidential information for the term of this Agreement a
83. is not in breach thereof any expiry or non renewal of the Data Update Service shall not effect Licensee s rights hereunder relating to the Data earlier received by Licensee The provisions of Sections 2 3 5 6 8 9 10 and 11 shall survive the termination or expiration and nonrenewal of this Agreement 7 2 Termination for Breach TICK DATA agrees to provide Licensee with ten 10 days prior written notice of its intent to terminate the Agreement for a failure on the part of Licensee to comply with any provisions of this Agreement provided that in each case such notice shall provide Licensee with the opportunity to cure such failure prior to the date of termination and provided further that notwithstanding the foregoing to the contrary there shall be no notice requirement with respect to any failure by the Licensee in connection with Sections 2 or 9 hereof that are incapable of cure Upon termination of this Agreement Licensee shall return or destroy all Data received hereunder and information providing Tick Data system access and provide TICK DATA with written certification of such return or destruction 8 Indemnity 8 1 By TICK DATA TICK DATA will indemnify defend and hold Licensee harmless from and against any claim suit or proceeding brought against Licensee alleging that the Software Product or Licensee s use of the Software Product constitutes a misappropriation of or infringement upon any United States of America published paten
84. ive only when one symbol is selected Email Job Notification Once you have entered valid SMTP server settings in Preferences enter a valid email address in this field to email notifications of Job success or failure along with an attached twj Job file DATE WILDCARDS IN FILE PATHS TickWrite7 supports date wildcards that can be used in the output directory file prefix file suffix and custom file name The wildcards will resolve to the current date and or time as of when the collection job is first executed This can be used to dynamically create new directories files based on the current date without the need to create custom scripts To utilize a wildcard it must be denoted and in the literal value The following are the supported wildcards yyyy current year MM current month dd current day of month HH hour of day 0 23 mm minute of hour For example the following output directory might be entered C temp yyyy MM dd TRADES Assuming that today is April 16 2010 this would resolve to the following directory name C temp 2010 04 16 TRADES Output Fields Active whether the user selects Screen or File as the Output To here the user can make choices about the fields within the data file The field delimiter can be chosen here by selecting Space Tab or by entering whatever character you wish to use comma is the most commonly used character Finally choose the fields you wish to include in the file
85. ively Taxes except for any federal state or local income taxes if any imposed on TICK DATA Licensee shall always remain liable for and shall pay all Taxes with respect to the services and products hereunder as and when notified 3 3 Data Update Service Fee Fees for the Data Update Service provided to Licensee pursuant to this Agreement shall remain fixed for the period of time set forth by the formulas set forth in the Contract and may thereafter be increased from time to time 4 Limited Warranties TICK DATA warrants to Licensee that the Software Product shall be free from material programming defect or deficiency for a period of thirty 30 days after receipt of same by Licensee If during the thirty 30 day warranty period the Software Product is not free from material defect or deficiency and Licensee has notified TICK DATA of such in writing TICK DATA shall use reasonable efforts to correct such defect or deficiency or replace the Software Product as accessed in the Tick Data system TICK DATA does not warrant the Data or the Tick Data system Without limiting the generality in the foregoing TICK DATA does not warrant that the Data is accurate error free comprehensive or complete If Licensee has notified TICK DATA of an error in the Data in writing TICK DATA shall use reasonable efforts to correct such defect or deficiency or replace the Data The entire risk as to the results and performance of the Data and Software Product
86. k Cancel to exit the wizard You do not need to complete the wizard at this time Copy all the files left behind from the uninstall from Step 2 to the new installation Be sure that the directory structure remains intact so that all files are copied to the corresponding locations in the new installation Overwrite any existing files Start up TickWrite if the main window comes up then you have successfully completed the move If the configuration wizard comes up again it most likely means that you version you have just installed is newer than the version you uninstalled from the old computer In this case complete the configuration wizard to complete the move all your relevant custom settings have still been imported There are a couple special considerations to keep in mind when performing the move e The instructions above assume that you are installing to the same location on the new computer For example if the old computer was installed at C TickData TickWrite7 it is assumed that it is installed to the same location on the new computer If this is not the case then it is possible that your Deep History Root locations i e data file locations are not correct Please verify the paths by going to Setup gt Preferences gt DEEP HISTORY LOCATIONS and correct if necessary e Ifthe installation that was moved was a primary installation AND your organization has one or more workstation installations those workstations installations need
87. kWrite Configuration Wizard 7 09 This is the Primary Installation User ID NOTE only one installation of this type per User ID is allowed Password Test Connection Connection Settings C Perform Offline Installation Tick Data must provide metadata file O This is a Workstation requires a Primary Installation Cancel TickWrite 7 has two configuration options Primary Installation and Workstation Primary Installation This is the most common installation configuration Each customer must have one and only one primary installation As many customers will have only one installation this will be a primary installation Generally you must be connected to the internet to complete the configuration wizard for a primary installation as it will download your account information and all necessary metadata from Tick Data s servers If Internet connectivity it not possible you will need to contact Tick Data to have a metadata file generated and sent to you Once you receive this file check the Perform Offline Installation checkbox and click Next Browse to the metadata file you receive from Tick Data and it will import the metadata and allow you to continue with the remainder of the wizard Otherwise if you do have Internet connectivity you should click the Test Connection to ensure that TickWrite can reach Tick Data s servers If this connection is not successful you may have Internet 13 connectivity that i
88. l Will use the symbol of the instrument as the filename This parameter also allows users to include a file prefix and or suffix and select the file extension Name Output by Custom Value Allows the user to choose the filename of the output ASCII file NOTE Active only when one symbol is selected Email Job Notification Once you have entered valid SMTP server settings in Preferences enter a valid email address in this field to email notifications of Job success or failure along with an attached twj Job file DATE WILDCARDS IN FILE PATHS TickWrite7 supports date wildcards that can be used in the output directory file prefix file suffix and custom file name The wildcards will resolve to the current date and or time as of when the collection job is first executed This can be used to dynamically create new directories files based on the current date without the need to create custom scripts To utilize a wildcard it must be denoted and in the literal value The following are the supported wildcards yyyy current year MM current month dd current day of month HH hour of day 0 23 mm minute of hour For example the following output directory might be entered C temp yyyy MM dd TRADES Assuming that today is April 16 2010 this would resolve to the following directory name C temp 2010 04 16 TRADES Output Fields Active whether the user selects Screen or File as the Output To here the user can make choice
89. last result By clicking or right clicking on a Scheduler item you can edit delete activate deactivate or run immediately Click the green plus sign on the right to create a new Scheduler item or click Edit and it will bring you to the Schedule Editor window 27 a Al O Schedule Editor S f Schedule Name Download_Equities V Active V Monday v V Saturday y Wednesday v Thursday Friday Day s of Week Day of Month 1 Scheduled Time 3 00 AM Updates Jobs Emails V Check for Updates V Send Update Success Notification V Send Update Failed Notification V Warn after every 3 retries Market U S Equities x Data Quote Database x Number of Retries 3 Retry Interval minutes 10 ok Cancel d The top section of the Schedule Editor window lets you set the name day frequency and time for the item NOTE Once an item is created the name cannot be edited You can schedule updates to run on certain days of the week or once a month For example you could configure a task to run every day at a certain time by selecting Day s of Week and checking every weekday To have a scheduled task to run just once a week only check the desired day of the week Finally to have a job run once a month select Day of Month and enter the appropriate day of the month At the bottom of the window are three tabs Updates Jobs and Emails The Updates tab as seen above
90. lations must be a Primary Installation and subsequent machines must run TickWrite in Workstation mode Workstations are designed to support multiple users co located at a single location such as an office building on the same Local Area Network Installing TickWrite workstations for users in remote locations is not supported If you require this type of setup please contact Tick Data to obtain an enterprise license for TickWrite NOTE In order for workstations to connect to the deep history and generate data files the Primary Installation computer must be accessible You do not need to enter a user name and password but will instead need to enter the host name or IP address of the machine on which the Primary Installation resides For example if the Primary Installation s computer has the name tickwrite server you would enter tickwrite server in the host 14 field Alternatively you can enter an IP address into the host field In this case you must install the TickWrite server installation on a machine with a static IP address To confirm that the host address is valid click Test Connection If the connection is not successful it could mean that this machine cannot access the primary host or that the TickWrite Service is not running on the primary host Once the connection has been confirmed click Next Data File Location Configuration If you are upgrading from a previous installation of TickWrite 7 you will be
91. ll have a zero 0 value for the Open High Low Close and Volume This also guarantees the number of bars per day is constant but if itis graphed the zeroes will cause the chart to be useless Extend Last Interval Active when Time Based Bars is selected at the Interval this parameter is useful if there are not an even number of intervals in a single day based on the bar interval the user selected in Granularity For example the U S stock market opens at 9 30 and closes at 16 00 EST If the user selects 60 for the Granularity there is not an even number of 60 minute bars in the day If Extend Last Interval is not checked there will be a 16 30 bar that only contains 30 minutes of data 15 30 00 15 59 59 However if Extend Last Interval is checked the last bar of the day will be a 15 30 bar that contains 90 minutes of data 14 30 00 15 59 59 Begin Date End Date By default the begin and end dates will both say MM DD YYYY When MM DD YYYYis displayed the complete date ranges for each individual symbol in the list of checked symbols will be used by the corresponding symbol However this can be overridden by entering begin and or end dates in the appropriate boxes The buttons to the right of the YYYY field will pull up calendars that can assist users to enter dates Days Back to Process 57 Instead of creating a file with a specific date range a user may want to look at data only for the past x days This setting i
92. lues in the most recent contract in a backwards adjusted file will be adjusted Checking this box will override this feature and allow for negative prices in the output file Begin Date End Date By default the begin and end dates will both say MM DD YYYY When MM DD YYYYis displayed the complete date ranges for each individual symbol in the list of checked symbols will be used 49 by the corresponding symbol However this can be overridden by entering begin and end dates in the appropriate boxes The buttons to the right of the YYYY field will pull up calendars that can assist users to enter dates Days Back to Process Instead of creating a file with a specific date range a user may want to look at data only for the past x days This setting is especially useful if such a client subscribes to daily updates as a file can be updated automatically each night to only reflect trading for the past x days Start Session At End Session At By default the Start Sessions At and End Sessions At fields are inactive and display 00 00 Set this way TickWrite will write out all of the data for the sessions chosen for each day If the user selects multiple symbols the file for each symbol will be written out with the respective session hours of each However users can also confine the data for all selected symbols to a particular time range each day To activate these fields check the boxes to the left of the Start Sessions At and or End Sess
93. may want to look at data only for the past x days This setting is especially useful if such a client subscribes to daily updates as a file can be updated automatically each night to only reflect trading for the past x days Session s to Include Many stock exchanges offer extended trading hours in addition to their regular trading hours In the U S regular market Day Session hours are 9 30 to 16 00 EST However trading in the Pre Market session begins several hours earlier and After Hours trading continues for several hours In order to include Pre Market Day Session and or After Hours trading in output files users simply need to check the appropriate box es Start Session At End Session At By default the Start Sessions At and End Sessions At fields are inactive and display 00 00 Set this way TickWrite will write out all of the data for the sessions chosen for each day If the user selects multiple symbols the file for each symbol will be written out with the respective session hours of each However users can also confine the data for all selected symbols to a particular time range each day To activate these fields check the boxes to the left of the Start Sessions At and or End Sessions At fields you can use either or both Then enter the desired hours and minutes in 24 hour military time NOTE These fields can only be used to restrict normal market hours including day and night sessions For example if normal markets ho
94. mber of ticks per bar Each line of data in the output file is time stamped with the time of the last tick in each bar Time Based Bars When selected TickWrite outputs files of any desired intraday time interval from 1 second bars up Each line of data can contain Date Time Open High Low Close Volume if available Tick Count Up Ticks Down Ticks and or Same Ticks for that interval In the Granularity box you must specify the length of a bar interval in whole seconds or whole minutes Adjacent is a field to select MINUTES or SECONDS The timestamp for each interval represents the data of the period ending immediately prior to the timestamp For example when using 5 minute bars the 8 35 bar contains data from 8 30 00 to 8 34 59 As another example when using 30 minute bars the 4 00 bar contains data from 3 30 00 to 3 59 59 Daily Weekly Monthly Bars These intervals will output files of 1 day 1 week or 1 month intervals respectively Empty Intervals These selections are not active when Tick or Tick Based Bars are selected as the Interval For all other intervals they give important options for handling empty time intervals Empty intervals occur when there are no trades during the full length of a bar Skip Empty Intervals Any interval without data is excluded from the file There will not be a timestamp The only drawback to this method comes if a user is working in a spreadsheet as there will not be an equal number of pri
95. ment although using the Most Active feature may suppress illiquid contracts However if a user is certain that they want to disregard certain contract months in their extraction they can uncheck any contract months that they want to exclude NOTE This window always includes all contract months January December and does not change based on the instrument s selected Therefore the selected instrument s may not trade in all contract months listed If a futures contract only trades on the quarterly HMUZ cycle any checked contract months that are not valid for the instrument are ignored However if none of the selected contract months are valid for a selected instrument TickWrite will not output any data 53 Creating Files of Options Data Once your data has been installed select an Options tab Here is the Options Quote Job window f i i Erc 2 TickWrite New Options Job E File Setup Actions Tools Help 7 7 a JPA GE rs Equities Quote Equities Trade Equities One Minute Equities Daily Futures Quote Futures Trade Indicators Indices Options Quote Options Trade Options One Minute Options Dail g Opti p Exchange OPRA Options a Company ID Symbol Ext Company Name Avail From Avail To a dh EAN Symbols Advanced Interval Trades z Begin Date MM DD yyyy __ Session s to include F Company info EndDate MM DD YYYY F Pre Market V Day Session G
96. mputer and click Next 3 Choose the installation directory for the program the data can be installed in a different location during Configuration and click Next NOTE It is strongly recommended to use the default directory C TickData TickWrite7 Also TickWrite 7 requires that the user has WRITE access to the program directory a NOTE Ifyou are reinstalling and or upgrading to a newer version of TickWrite you will receive a message stating The selected location exists and is not empty Some files may be overwritten As you have first uninstalled the previous version the left over files represent your custom data and settings Therefore simply click Yes to continue Select your desired Program Group default is recommended and click Next Select your preference for a desktop shortcut icon and click Next Confirm your settings and click Next to begin installing the files NS m When prompted click Finish to complete the installation Once completed the Configuration Wizard will start NOTE If you do not see the Configuration window on your screen it may be behind an active window 12 Configuring TickWrite After installing the software but before use it must be configured for your Tick Data account You will use the same User ID and Password used to log on to Tick Data s online store to complete configuration Here is Step 1 of the Configuration Wizard W TickWrite Configuration Welcome to the Tic
97. n process is the same for a new TickWrite installation and for re installations Compatibility TickWrite7 is available for Windows and Linux It should run on the following OS versions Windows Windows 10 Windows 8 8 1 Windows Server 2012 Windows 7 Windows Server 2008 Windows Vista Windows Server 2003 Windows XP Professional SP2 Windows 2000 Server SP4 Linux RedHat Enterprise Linux 5 RedHat Enterprise Linux AS 4 0 SUSE Linux Enterprise Server 10 SUSE Linux Enterprise Server 9 NOTE While TickWrite should run on most flavors of Linux the only validated Linux OS is RedHat Enterprise Linux 5 In general applications compiled for Linux require the following system libraries kernel 2 6 x glibc 2 3 or above NPTL 2 3 or above Re installing Upgrading TickWrite 7 If you already have TickWrite 7 installed and are updating to a newer version the existing version of TickWrite 7 MUST be uninstalled first Uninstall TickWrite 7 1 If TickWrite 7 is currently open please close the application 2 Run the uninstaller It can be found in the Tick Data Program Group START gt Programs gt Tick Data gt TickWrite7 gt Uninstall TickWrite or go to the installation directory e g C Tick Data TickWrite7 Uninstall exe 3 Select YES to begin the un installation process 4 Once complete click OK to close the Uninstaller window 11 NOTE Certain components will purposely not be uninstalled such as yo
98. nd after the termination or expiration and nonrenewal of this Agreement for any reason 9 2 Disclosure Licensee shall not disclose in whole or in part the Data the Software Product and or the Tick Data system or other information that has been designated as confidential by TICK DATA to any individual or entity except for use in acceptance with this Agreement Licensee acknowledges that any unauthorized use or disclosure of the Data the Software Product and or the Tick Data system or any portion thereof may cause irreparable damage to TICK DATA and or its licensors If an unauthorized use or disclosure occurs Licensee shall immediately notify TICK DATA and at Licensee s expense shall take all steps necessary to recover the Data the Software Product and the Tick Data system and prevent subsequent unauthorized use or dissemination If requested by its licensors TICK DATA may provide information and data to such licensors with respect to Licensee and this Agreement TICK DATA shall not disclosure in whole or in part any information that has been designated as confidential by Licensee to any individual or entity except for use in acceptance with this Agreement The parties acknowledge that the terms of this Agreement constitute confidential information and that same shall not be disclosed to any third party provided however that TICK DATA may from time to time provide information relating to Licensee and or this Agreement to its licensors and dat
99. neer decompile or disassemble the Data and Software Product or internet access to the Tick Data system Except as set forth hereunder Licensee agrees to keep the Data and Software Product or internet access to the Tick Data system strictly confidential and to prevent and protect same from being disclosed or used by any third party or in violation of the terms of this Agreement Licensee acknowledges that TICK DATA or its licensors own all copyright trade secret patent and other proprietary rights in the Data and Software Product or internet access to the Tick Data system and same are not transferred to Licensee hereunder Licensee may modify any Data and or aggregate Data with other data such modified Data or aggregation is referred to as Derived Data for use internally and otherwise in connection with its business activities as set forth above provided that Licensee may not disclose or otherwise provide third parties with access to any Data or Derived Data in any manner whatsoever Without limiting the generality of the foregoing this Agreement does not give the Licensee any rights to distribute the Data whether in its present form or in a modified form to any third party Licensee shall remain liable for any breach of the foregoing by its officers employees agents and representatives 2 4 Compliance with laws Licensee and Licensee s use of the Data and Software Product or internet access to the Tick Data system shall comply with all appli
100. ns of Job success or failure along with an attached twj Job file DATE WILDCARDS IN FILE PATHS TickWrite7 supports date wildcards that can be used in the output directory file prefix file suffix and custom file name The wildcards will resolve to the current date and or time as of when the collection job is first executed This can be used to dynamically create new directories files based on the current date without the need to create custom scripts To utilize a wildcard it must be denoted by and in the literal value The following are the supported wildcards yyyy current year MM current month dd current day of month HH hour of day 0 23 mm minute of hour For example the following output directory might be entered C temp yyyy MM dd TRADES Assuming that today is April 16t 2010 this would resolve to the following directory name 51 C temp 2010 04 16 TRADES Output Fields Here the user can make choices about the fields within the data file The field delimiter can be chosen here by selecting Space Tab or by entering whatever character you wish to use comma is the most commonly used character Finally choose the fields you wish to include in the file The up and down arrows to the right of the Field Name list allows users to move fields up and down File Header You can optionally elect to include a header as the first line in each output file by checking the Include Header checkbox By default
101. nth is checked the number in Day To Roll represents a date in the month prior to the expiration month i e 12 in Day To Rollis the 12th of the previous month If the roll day ever falls on a non trading day TickWrite will use the first trading day after the date as the roll day NOTE This differs from the method in TickWrite 6 Inception This method rolls to the next contract on the first trading date of the newest contract It is used for Japanese symbols JA JM and JG It will only work for the Contract FRONT setting Choosing it for other settings will result in an error Adjustment This parameter has changed significantly in TickWrite 7 1 with addition of Ratio adjusting Ratio adjustment removes rollover gaps by dividing the price of the current front month by the price of the next front month contract at the close of the day session on the day prior to the rollover If Forward is selected that quotient is then multiplied by all subsequent prices in the series If Backward is selected the inverse of that quotient is multiplied by all previous prices in the series This calculation is repeated at every rollover Tick Data used to only support a simple arithmetical adjustment which subtracts one closing price from the other which we now call Difference adjusting In Difference adjusting the difference is added to all previous prices if Backward adjusting or subtracted from all subsequent prices if Forward adjusting 48
102. nthly bars And when processing interval bars using the Options Trade tab a user can filter output data using all of the fields of the tick by tick file yet write it out to interval or daily weekly monthly bars However since the Options Trade tab accesses a much larger database of tick by tick trade data any processing performed will take longer Therefore if the Options One Minute tab is available any processing of data into files of bar intervals should be done from the Options One Minute tab as it will perform the job considerably faster If Trade and Quote data is available on the user s account the Options Quote tab will be present From this tab the only Interval available is Trades and Quotes The output data will have both Trade and Quote data interleafed in the same file as provided by the exchanges Once a tab has been selected you must choose the Exchange from which you wish to process data Again only the exchanges for which you purchased data will be available in the list Once selected the 54 list of available data will NOT be automatically displayed in the symbol list as this can represent many thousand symbols NOTE At this time Tick Data only has U S listed Options data and all U S exchanges are contained in the OPRA Options Exchange Adding Symbols to a Job The user must add symbols to the Job window for processing Symbols can be added to the symbol list using these buttons and fields
103. nts each day Hold Last Value Holds the value of the close of the last bar to have a price through all intervals until another price occurs This guarantees the number of bars per day is constant but creates artificial bars Fill With Zeroes Any empty interval will have a zero 0 value for the Open High Low Close and Volume This also guarantees the number of bars per day is constant but if it is graphed the zeroes will cause the chart to be useless Extend Last Interval Active when Time Based Bars is selected at the Interval this parameter is useful if there are not an even number of intervals in a single day based on the bar interval the user selected in Granularity For example the U S stock market opens at 9 30 and closes at 16 00 EST If the user selects 60 for the Granularity there is not an even number of 60 minute bars in the day If Extend Last Interval is not checked there will be a 16 30 bar that only contains 30 minutes of data 15 30 00 15 59 59 However if Extend Last Interval is checked the last bar of the day will be a 15 30 bar that contains 90 minutes of data 14 30 00 15 59 59 Ignore Filtered Prices Cash Indices only Active when creating Tick or Time Based Bars from Tick Trade data this parameter allows the user to generate bars using raw unfiltered prices If unchecked bars are built using prices that may be altered by Tick Data s proprietary price filtering algorithm 63 Begin Dat
104. ny job automated via the TickWrite Scheduler will fail because it is unable to resolve the V drive 74 The solution to this is to not reference mapped network drives within TickWrite configuration and to instead use UNC style paths For example the V drive might be mapped to the share MYSHARE on the machine MYMACHINE In this case instead of setting up the Deep History location to be V TICKWRITE_DATA you would use the UNC path MYMACHINE MYSHARE TICKWRITE_DATA which avoids use of the drive letter and is a location that can be resolved by the TickWrite Scheduler Generally speaking there are three places to ensure that UNC paths or local paths like C are used Deep History Locations these are initially set up during installation as part of the configuration wizard However they can be edited after installation by going to the following menu in TickWrite Set Up gt Preferences and drill down on DEEP HISTORY LOCATIONS Review the paths used under each items and ensure that mapped network drives are not used Output directories in job files for any jobs that are scheduled open those jobs in the TickWrite GUI and ensure that Output Directory defined at the bottom on the Output tab is not using a mapped network drive letter The path to job files within schedule tasks access the scheduler within TickWrite by going to Set Up gt Scheduler For each task defined select Edit and select the Jobs tab in the dialog that c
105. oduct with any software hardware or other product not authorized in writing by TICK DATA III use of the Software Product not in accordance with the Software Product s user documentation or IV use of a superseded or altered release or version of the Software Product if the infringement could have been avoided by use of the current unaltered release or version of the Software Product This Section shall survive any termination or expiration and nonrenewal of this Agreement THE RIGHTS AND OBLIGATIONS SET FORTH IN THIS SECTION 8 1 ARE TICK DATA S SOLE LIABILITY AND OBLIGATION AND LICENSEE S SOLE AND EXCLUSIVE REMEDIES FOR ANY CLAIM SUIT OR PROCEEDING WITH RESPECT TO INFRINGEMENT OR MISAPPROPRIATION INCLUDING WITHOUT LIMITATION BY OR OF THE DATA THE SOFTWARE PRODUCT AND THE TICK DATA SYSTEM 8 2 By Licensee Licensee agrees to defend indemnify and hold TICK DATA its affiliates members managers officers employees representatives agents attorneys successors assigns and TICK DATA s licensors with respect to Data harmless from and against any and all claims losses damages liabilities obligations judgments causes of action costs charges expenses and fees including reasonable attorneys fees and costs and such fees and or penalties as any of TICK DATA s licensors may impose arising out of a any breach or alleged breach by Licensee of this Agreement b any failure of Licensee to comply with the requirements of or obligat
106. of symbols Simply list your desired symbols in a text file one per line and save it as a txt csv or asc file Click Actions gt Import Symbol List and browse to select your saved file When OPEN is clicked the symbols in the file will be checked in the data list Please note that any symbols that were checked prior to importing a list will be unchecked unless they are also on the list The screen will activate different settings depending on 1 how many symbols are selected 2 the Granularity selected and 3 the Output To selected The following are details for each Job window parameter Interval Tick The output file will contain all ticks for the selected time period Since a tick is a single data point there is no OPEN HIGH LOW or CLOSE just a single price at which a trade 62 occurred Users will also note that there is no way to output Tick Count when Tick is selected as the Interval This is because each tick has a Tick Count of 1 Also of note is that Tick Count is basically irrelevant in the case of Indices which are calculated on a mostly constant interval meaning the Tick Count will not vary significantly Tick Based Bars Users can also write data out as multi tick bars When Tick Based Bars is selected users can define the number of ticks that will comprise each bar instead of using a time interval to constrain a bar In the Granularity box you must specify the nu
107. omes up Ensure that the path to any job files defined are not using mapped network drive letters and change to UNC paths if necessary 75 Appendix C Special Notes for TickWrite on Linux Machines TickWrite Service A TickWrite installation on a Linux machine utilizes a background service process known as the TickWrite Service The use of this background service allows the TickWrite Scheduler to execute tasks when the TickWrite GUI is not running or if no user is currently logged into the machine Additionally on a primary installation the TickWrite Service runs a lightweight metadata server to support TickWrite workstation installations on other machine on the network By default the TickWrite Service will be automatically started upon installation of TickWrite Additionally whenever the TickWrite GUI or command line is run the TickWrite Service will be started if it is not already running However due to the platform differences in various versions of Linux the TickWrite Service does not come up automatically after a machine reboot This can pose a potential problem if scheduled tasks are set up to download data updates or run jobs at regular intervals For example if the machine is rebooted and no user opens the TickWrite GUI or runs a TickWrite command the TickWrite Service does not get restarted Therefore any scheduled tasks will not run during this time The solution to this is to create a custom script that starts the TickWri
108. on regarding the use of the TickWrite Scheduler The Tick Data Deep History can be kept up to date by subscribing to Tick Data s daily update service Available for equities Forex futures indices indicators and options this service allows clients to download data files each day to keep their databases up to date For more information about subscriptions please call Tick Data or visit our website TickWrite can be set to automatically download data at a specific time and day and even run Jobs once the data has been downloaded using the Scheduler Data can also be downloaded directly from the TickWrite user interface without using the scheduler To manually download updates click ACTIONS gt Check for Updates The Scheduler is an easy way to automate the processes of downloading data and creating custom ASCII files The Scheduler allows users to schedule downloads and Jobs separately or group them together to download updates and immediately start a Job or Jobs Once a Job or Jobs have been created on the main processing window ofa particular asset class click ACTIONS gt Scheduler to bring up the Schedule Explorer r 7 Q Schedule Explorer Erma Schedules Status Schedule Name Frequency Next Run Last Run Last Result k Refresh f Close d The Schedule Explorer displays all scheduled items along with their Active Inactive status frequency information on when they run and each operation s
109. onnection successfully to Tick Data s update server Send Email To Tick Data Opens a dialog for sending for e mail a message to Tick Data customer support and easily attaching relevant files that might be required for troubleshooting NOTE Mail Server Properties under Setup gt Preferences must be correctly configured before using this feature About Displays version and build information of TickWrite 7 the version number is in the title bar of this dialog Menu Bar Below the Main Menu is a menu bar with shortcuts to the most commonly used menu items Sg G89 amp g New Job E Open Job al Job Explorer Save Job l Save Job As al Import Symbol List Run Job Jobs and the Job Explorer Jobs are created by selecting symbols dates and processing parameters on the main Job window These can be saved to a directory and opened to quickly retrieve the parameters and run a process again This is especially useful if a client subscribes to daily updates and wishes to run the same job each night once the database has been updated The process can be further automated by using the Scheduler to automatically download updates and then run a Job to create custom ASCII files all without the user even interacting with the TickWrite user interface see section Daily Updates and the Scheduler for more information 29 Once all of your symbols dates and parameters are set either click FILE gt Save Job Ctrl S or a to save the Job If y
110. or internet access to the Tick Data system is assumed by Licensee The above shall be the sole liability of TICK DATA in connection with programming defects or deficiencies affecting the Data and Software Product or internet access to the Tick Data system 5 Warranty Disclaimer EXCEPT AS EXPRESSLY SET FORTH IN SECTION 4 ABOVE THE DATA THE TICK DATA SYSTEM AND THE SOFTWARE PRODUCT ARE PROVIDED AS IS NONE OF TICK DATA ITS RELATED PARTIES AFFILIATES AGENTS OR ANY THIRD PARTY PROVIDER MAKES ANY WARRANTY EXPRESS OR IMPLIED AS TO THE ACCURACY OR COMPLETENESS OF THE DATA OR ANY PART THEREOF OR THAT THE DATA THE TICK DATA SYSTEM AND THE SOFTWARE PRODUCT IS ERROR FREE TICK DATA ITS RELATED PARTIES AFFILIATES AGENTS OR ANY THIRD PARTY PROVIDER DISCLAIM ALL WARRANTIES CONDITIONS GUARANTIES OR REPRESENTATIONS WHETHER EXPRESS OR IMPLIED IN LAW OR IN FACT ORAL OR IN WRITING OR THAT ARISE FROM STATUTE OR FROM A COURSE OF DEALING USAGE OR TRADE INCLUDING WITHOUT LIMITATION ANY WARRANTIES CONDITIONS GUARANTIES OR REPRESENTATIONS OF FITNESS FOR PURPOSE MERCHANTABILITY OR MERCHANTABLE OR SATISFACTORY QUALITY OR FOR NON INFRINGEMENT NEITHER TICK DATA ITS RELATED PARTIES AFFILIATES AGENTS OR ANY THIRD PARTY PROVIDER WILL BE LIABLE TO LICENSEE OR ANY THIRD PARTY FOR ANY INDIRECT SPECIAL INCIDENTAL CONSEQUENTIAL OR PUNITIVE DAMAGES HOWEVER CAUSED INCLUDING ANY TRADING LOSSES OR FAILURE TO SUCCESSFULLY IMPLEMENT ANY INVESTMENT ST
111. or that specific contract month will appear in the Begin Date and End Date If a begin date from prior to the available range of the contract is manually selected the data will begin at the contract s inception The list of contracts will not appear if more than one symbol is checked Continuous Files Most futures contracts do not stay active for more than a few months This can make system development and optimization very time consuming The solution is to perform research on files that contain multiple contracts linked together using only the most active portion of each contract TickWrite makes it easy to create continuous files of futures data Selecting Front 47 1st Back 2 4 Back or 3 4 Back under Contract will activate the Roll Method Day To Roll and Adjustment Type options Here users can choose a roll method and adjustment type Roll Method Auto AutoRoll is the recommended roll method because it is the most precise way to determine the best time to roll AutoRoll computes daily tick volume for the current and next back month contracts regardless of the interval selected and rolls to the next contract when the daily day session tick volume of the back month contract exceeds the daily tick volume of the current month contract By constraining this computation to a specific range of dates based on Tick Data s research AutoRoll can be applied to virtually all futures symbols Expiration This method w
112. ot be adjusted and split gaps will exist in the prices However the split and dividend information can be obtained by checking Company Info discussed below For clients planning to add data to a database and analyze data pre split this may be a better option than adjusting When checking this box there are a few other global settings that will impact the output from the job To configure these settings go to the Setup menu and select Preferences Select the Equity Preferences item This displays the following split adjust related settings Equity Preferences Split Adjust Settings Only Adjust For Splits In Extraction Range O Adjust For All Splits Volume Decimals 3 Remove Trailing Zeroes Price Decimals 5 M Remove Trailing Zeroes Price decimals may be overridden in job The radio buttons determine what splits will be considered when adjusting By default only splits that occur within the extraction date range are considered This results in data that is split adjusted as it would have been on the end date of the extraction For example if an extraction job is set for company ABC for 1 1 1993 12 31 1999 it would be adjusted for all splits occurring through 12 31 1999 but NOT adjusted for splits occurring after that date If on the other hand Adjust For All Splits is selected extracted data is adjusted for all splits that occurring in a company s history regardless of extraction range NOTE that
113. ou select a Job name already in use it will ask if you wish to overwrite it To save a job with a new name click FILE gt Save Job As or Hl to bring up a dialog box and select a new Job name Once you have multiple Jobs saved they can be easily viewed selected or run including batching multiple jobs to run sequentially by opening the Job Explorer This can be opened by clicking FILE gt Job Explorer Ctrl J or a Here is the layout of the Job Explorer window Las 10b Explorer cama Job Folder A Job Name Symbol Type From To Interval Output Type Last Modified Load Selected Delete Selected Run Selected Close The Job Explorer displays all TickWrite jobs residing in the Job Folder The Job Folder can be changed by browsing or typing into the Job Folder text field Click the button to refresh the contents of the Job Explorer NOTE The default Job Folder is specified in Setup gt Preferences gt General Settings For convenience Tick Data recommends that you set up a default job folder and save all jobs in that folder By using the Ctrl and Shift keys multiple Jobs can be selected at once for processing NOTE Only one Job can be selected at a time if you wish TickWrite to open the job by clicking Load Selected 26 Daily Updates and the Scheduler NOTE Please review Appendix C Windows or Appendix D Linux for important platform specific informati
114. p of book or best bid offer BBO for the selected time period and symbol s Quote data is much larger in volume and size than Trade data and therefore processing times will be considerably longer Tick Based Bars Users can also write data out as multi tick bars for futures trade and quote data When Tick Based Bars is selected users can define the number of ticks that will comprise each bar instead of using a time interval to constrain a bar In the Granularity box you must specify the number of ticks per bar Each line of data in the output file is time stamped with the time of the last tick in each bar Time Based Bars When selected TickWrite outputs files of any desired intraday time interval from 1 second bars up for trade data and from 1 minute bars up for quote data Each line of data can contain Date Time Open High Low Close Volume if available Tick Count Up Ticks Down Ticks and or Same Ticks for that interval In the Granularity box you must specify the length of a bar interval in whole seconds or whole minutes Adjacent is a field to select MINUTES or SECONDS The timestamp for each interval represents the data of the period ending immediately prior to the timestamp For example when using 5 minute bars the 8 35 bar contains data from 8 30 00 to 8 34 59 As another example when using 30 minute bars the 4 00 bar contains data from 3 30 00 to 3 59 59 Daily Weekly Monthly Bars These intervals will output files of 1
115. problem or conflict The primary installation makes use of two static ports and one dynamic port dynamic ports are dynamically chosen at application startup based on availability on the host system The static ports are 12092 and 12093 To change TickWrite to utilize different ports create the following text file lt TICKWRITE_ROOT gt config user configs custom_ports properties In this file add the following lines TW_METASERVER_PORT lt something_besides_12092 gt TW_RMI_PORT lt something_besides_12093 gt You can optionally add comments lines to the file as long as they are preceded by the character Regarding the dynamic port it should not conflict with any other ports since it is automatically selected from available ports on the system However if you do need to makes this ports static you may do so by adding the following lines to the custom_ports properties files created above TICKWRITE TICKWRITE_SCHEDULER SERVICE_PORT lt some_port gt A workstation installation makes use of one static port 12093 and one dynamic port If you need to make port changes on a workstation installation the process is similar to the instructions for the primary installation Create the custom_ports properties file add the following lines TW_RMI_PORT lt something_besides_12093 gt TICKWRITE TICKWRITE_SCHEDULER SERVICE_PORT lt some_port gt Additionally if you changed the port numbers of the primary installation you will need to configur
116. r more details see the sections below Continuous Files 1st Back Will process in the same manner as Front but instead of using the nearest contract it will use the first back month as the current contract 2d Back Will process in the same manner as Front but instead of using the nearest contract it will use the second back month as the current contract 3rd Back Will process in the same manner as Front but instead of using the nearest contract it will use the third back month as the current contract Most Active Will process in the same manner as Front but instead of using the nearest contract it will attempt to use the most liquid contract as the current contract This can be useful under conditions For example for certain instruments the Front Month is the most liquid For other instruments the First Back might be the most liquid For still other instruments the Front Month might usually be the most liquid but a contract or two per year are illiquid and should be skipped By selecting Most Active all three of these examples can be extracted as part of the same job All Will process all contract months available in the given date range into separate files They will be automatically named using the CCMYY ext format Individual Contract Months If only one symbol is checked you can process one contract at atime A list of available contracts will appear in the drop down box Once the contract month is selected the date range f
117. r processing select the parameters in the middle of the window to suit your requirements The screen will activate different settings depending on 1 how many symbols are selected 2 the Granularity selected and 3 the Output To selected The following are details for each Job window parameter Interval Trades The output file will contain all trades tick by tick for the selected time period Since a tick is a single data point there is no OPEN HIGH LOW or CLOSE just a single price at which a trade occurred Users will also note that there is no way to output Tick Count when Trades is selected as the Interval This is because each tick has a Tick Count of 1 NOTE This Interval setting is not available on the Options One Minute tab Tick Based Bars Users can also write data out as multi tick bars When Tick Based Bars is selected users can define the number of ticks that will comprise each bar instead of using a time interval to constrain a bar In the Granularity box you must specify the number of ticks per bar Each line of data in the output file is time stamped with the time of the last tick in each bar Time Based Bars When selected TickWrite outputs files of any desired intraday time interval from 1 second bars up NOTE This is trade data only as TickWrite 7 cannot write out time based bars of quote data Each line of data can contain Date Time Open High Low Close Volume if available Tick Count Up
118. ract F Continuous File Begin Date MM DD YYYY amp Session s to include Granularity Roll Method Auto z ErdDate mM DD vyYY A n Empty intervals Skip Days Prior Date Previous Month E Days Back to Process 0 E Start Sessions At 00 00 Extend let interval Wii a Eo or gnore Filtered Prices Output Formatting Filtering Advanced Output To File m Compression Output Fields If Output Exists Overwrite Skip Append Updates V include Header Add Custom Header Delimiter X Output Directory c tickdata tickwrite7 output Field Name Name Output by Symbol W Symbol File Prefi File Suffoc File Extension F Date esv 7 Time i Name Output by Custom Value F Price e Volume j V Market Flag Sales Condition Email Job Notification E A Your available futures symbols and date ranges will appear in the data list at the top of the window You can manually select one or more symbols by checking the box es to the left of the symbol list Right click anywhere in the symbol list to activate a popup menu with the option to check all symbols un check all symbols or invert selection To check many symbols at once you can import a list of symbols Simply list your desired symbols in a text file one per line and save it as a txt csv or asc file Click Actions gt Import Symbol List and browse to select yo
119. ranularity az V After Hours 5 Days Back to Process Exapty tervals mee El Start Sessions at 00 00 Extend last interval El End SessionsAt 00 00 Output Formatting Filtering I Option Instrument Filters Output To File Compression None gt Output Fields If Output Exists Overwrite Skip include Header Add Custom Heade Delimiter Output Directory C tickdataltickwrite7 Output a e z Name Output by Symbol 7 Date File Prefix File Suffix File Extension Y Time om 7 Trade Indicator always T l T Name Output by Custom Value 7 OPRA Sequence Number 6 7 Option Exchange Code Da Name Output by Company id Option Condition Code Name Output by Symbol and Company Id 7 Price Email Job Notification i Depending on the data purchased you may see only one options tab titled Options or multiple options tabs Options Quote Options Trade and Options One Minute If for example you only purchased One Minute Options Data you will only see a tab titled Options Clients receiving Tick Options Data may also receive one minute These will cause both tabs to be displayed Each of these options tabs accesses different data Using the Options Trade tab provides the most versatility for processing trade only data and from it a user can create not only tick bars but also interval bars i e one minute bars daily bars weekly bars and mo
120. ress of Licensee s business 11 4 The relationship between Licensee and TICK DATA is that of independent contractors and nothing contained in this Agreement shall be construed to constitute the parties as partners joint venturers or agents of the other 11 5 Neither party shall have any liability for any failure or delay in performing any obligation under this Agreement other than payments to TICK DATA due to circumstances beyond its reasonable control including but not limited to acts of God or nature actions of the government fires floods strikes civil disturbances or terrorism or power communications line satellite or network failures 11 6 Licensee shall not assign delegate or otherwise transfer this Agreement or any of its rights or obligations hereunder in whole or in part without TICK DATA s prior written consent During any time that Licensee has any balance owed to TICK DATA Licensee shall not sell or transfer all or substantially all ofits assets or engage in an acquisition merger or other transaction that will have the effect of reducing the credit of Licensee available to satisfy its obligations under this Agreement 11 7 This Agreement and all the rights and duties of the parties arising from or relating in any way to the subject matter of this Agreement or the transaction s contemplated by it shall be governed by construed and enforced in accordance with the laws of the Commonwealth of Virginia excluding any con
121. rex tabs accesses different data Using the Forex Trade tab provides the most versatility for processing trade only data and from it a user can create not only tick bars but also interval bars i e one minute bars daily bars weekly bars and monthly bars And when processing interval bars using the Forex Trade tab a user can filter output data using all of the fields of the tick by tick file yet write it out to interval or daily weekly monthly bars However since the Forex Trade tab accesses a much larger database of tick by tick trade data any processing performed will take longer Therefore if the Forex One Minute tab is available any processing of data into files of bar intervals should be done from the Forex One Minute tab as it will perform the job considerably faster NOTE The list of available data will NOT be automatically displayed in the symbol list as this can represent over two thousand symbols 39 Adding Symbols to a Job The user must add symbols to the Job window for processing Symbols can be added to the symbol list using these buttons and fields C All Symbols Click the binoculars to open the Symbol Search window ia AA Search for Instruments To Extract Symbol Search By ID Search Symbol Equals z Company ID Search Company Name Equals Symbol Ext Equals Saren Cea Company ID Symbol Ext Company Name Avail From Avail To ox re
122. rs the 4 00 bar contains data from 3 30 00 to 3 59 59 40 Daily Weekly Monthly Bars These intervals will output files of 1 day 1 week or 1 month intervals respectively Empty Intervals Skip Empty Intervals Any interval without data is excluded from the file There will not be atimestamp The only drawback to this method comes if a user is working in a spreadsheet as there will not be an equal number of prints each day Hold Last Value Holds the value of the close of the last bar to have a price through all intervals until another price occurs This guarantees the number of bars per day is constant but creates artificial bars Fill With Zeroes Any empty interval will have a zero 0 value for the Open High Low Close and Volume This also guarantees the number of bars per day is constant but if itis graphed the zeroes will cause the chart to be useless Extend Last Interval Active when Time Based Bars is selected at the Interval this parameter is useful if there are not an even number of intervals in a single day based on the bar interval the user selected in Granularity For example the U S stock market opens at 9 30 and closes at 16 00 EST If the user selects 60 for the Granularity there is not an even number of 60 minute bars in the day If Extend Last Interval is not checked there will be a 16 30 bar that only contains 30 minutes of data 15 30 00 15 59 59 However if Extend Last Interval is checked
123. s 27 Creating Files of Equity Data s ssssessssssssssrrrrnsssseessssssnunnnrnnnnnneeenssssnnnnnrnnnnnneeeesssnnnnns 30 Creating Files of Forex Currency Data s sssseesssssssssrrrrrnrssseesssrnrnnnrrrrnnnreeesnsnnnnnns 39 Creating Files of Futures Data ieiet aeea 45 Creating Files of Options Data sssssssssssssrrrnssssesesssssnunnnrnnnnnneennssssnnnnnnrnnnnnneeeessnnnnns 54 Creating Files of Cash Index and Indicator Data sssri 62 Executing Jobs via the Command Line s ssssssssresseesssnrressessennrnnsersnnnnrnsresnnnnrnnreennns 68 Appendix A Network Connectivity Requirements ss sssssssssesssessssrrereesrnnrersens 70 Appendix B Special Notes for TickWrite on Microsoft Windows Machines a a Sets eer ry 73 Appendix C Special Notes for TickWrite on Linux Machines 76 Appendix D TickWrite Data File Change Report 77 Appendix E Moving a TickWrite Installation to Another Computer 79 10 Installation Tick Data delivers data by Internet download or external hard disk drive s The instructions for each method differ slightly and are detailed below in Installing TickWrite 7 sections 1a and 1b Some users are installing TickWrite 7 for the first time while others may be upgrading an existing installation to the latest version In order to re install TickWrite 7 the old version must first be un installed which is detailed below in Re installing TickWrite 7 Once the old version is un installed the installatio
124. s about the fields within the data file You can choose whether or not to 65 include a header row that shows the field names at the top of each file The field delimiter can be chosen here by selecting Space Tab or by entering whatever character you wish to use comma is the most commonly used character Finally choose the fields you wish to include in the file The up and down arrows to the right of the Field Name list allows users to move fields up and down NOTE Rearranging the field order will slow down file creation speed File Header You can optionally elect to include a header as the first line in each output file by checking the Include Header checkbox By default the header row will include the name of each field in the specified order delimited by the specified delimiter However if you would like to change the standard header to a custom value you can do so by clicking the Add Custom Header button entering your own header This is useful if your internal systems require a certain header or you need to name the output fields differently Note that the custom header is written exactly as entered if any changes are made to the field selection the custom header must be changed accordingly Formatting Filtering Tab Output Formatting Filtering Date Format Price Decimals Geld Gilers MMiddiyyyy Default v Field a u J Vabue Time Format Price Multiplier Optimal J 1 J Field If Value Time Zone E
125. s also how clients receiving data on disc or hard drive who subscribe to updates receive data that has become available since their orders were shipped Click the Download Orders button to download data and or updates from Tick Data NOTE This could be a long download depending on the symbols time period and data type requested Downloading can be deferred until after installing by simply clicking Next without clicking the Download Orders button Once the software is installed download the data by clicking Actions gt Check For Updates in the main TickWrite window Once this step is completed click Next and then when prompted click Finish 19 First Use TickWrite is a database management program that offers a number of important tools for managing historical intraday data Its primary function is to create or collect ASCII pronounced AS key files using the data stored on the user s hard drive in the Deep History ASCII is a universal text format which can be read by virtually any program The Deep History is the location of source files used by TickWrite 7 These files can be stored on the same computer as TickWrite 7 or on a different location on the same network In fact TickWrite 7 allows users to store the Deep History in multiple locations While clients can now access the source data without TickWrite as the source data are now stored in zipped ASCII files TickWrite 7 gives you many options for
126. s and warrants that no other departments business function employees affiliates or subsidiaries of Licensee other than those explicitly set forth by the Contract are authorized or will access or use the Data and Software Product or internet access to the Tick Data system hereunder A Description of Use is required by the Contract where the Licensee involves more than a single end user The description must disclose all locations where the access information for the Data and Software Product or internet access to the Tick Data system will be stored the number of users authorized to access the Data and Software Product or internet access to the Tick Data system directly or indirectly and if users are able to access the Data and Software Product or internet access to the Tick Data system directly or only derived works of the Data and Software Product or internet access to the Tick Data system Licensee may i make one copy of the Data for backup and archival purposes only and ii modify the Data for Licensee s own internal purposes in accordance with this Section 2 1 and the other the provisions of this Agreement Licensee is solely responsible for supervision of Licensee s internet access to the Tick Data system including a ensuring proper operating methods and audit controls b establishing adequate backup plans to diagnose and repair defects in obtaining internet access to the Tick Data system in the event of a malfunction of Licensee s h
127. s blank will use the current symbols for all companies regardless of the date range selected in the Job window Selecting a date will use the symbology as of that date For example if you are working with symbols that you know to be a few years old that may have different symbols today you might enter a date as of a few years ago in this field so that the symbol naming convention used by TickWrite more closely matches the symbology that you are familiar with Only Includes Instruments Active As Of Leaving this blank will result in all active and inactive symbols being included in the processing job for the date range specified in the processing job If you select a date TickWrite will only process symbols that are listed on that date For example you may want to extract all symbols from 1995 2000 but include only those companies that are still trading today In this case you would enter today s date in this field To check many symbols at once you can import a list of symbols Simply list your desired symbols in a text file one per line and save it as a txt csv or asc file Click FILE gt Import Symbol List and browse to select your saved file When OPEN is clicked the symbols in the file will be checked in the data list See section Import Symbol List in the First Use section NOTE Any symbols that were listed prior to importing a list will be removed unless they are also on the list Selecting Job Parameters
128. s especially useful if such a client subscribes to daily updates as a file can be updated automatically each night to only reflect trading for the past x days Session s to Include Many stock exchanges offer extended trading hours in addition to their regular trading hours In the U S regular market Day Session hours are 9 30 to 16 00 EST However trading in the Pre Market session begins several hours earlier and After Hours trading continues for several hours In order to include Pre Market Day Session and or After Hours trading in output files users simply need to check the appropriate box es Start Session At End Session At By default the Start Sessions At and End Sessions At fields are inactive and display 00 00 Set this way TickWrite will write out all of the data for the sessions chosen for each day If the user selects multiple symbols the file for each symbol will be written out with the respective session hours of each However users can also confine the data for all selected symbols to a particular time range each day To activate these fields check the boxes to the left of the Start Sessions At and or End Sessions At fields you can use either or both Then enter the desired hours and minutes in 24 hour military time NOTE These fields can only be used to restrict normal market hours including day and night sessions For example if normal markets hours run from 07 00 19 00 the Start Session At must be equal to
129. s restricted by the use of a proxy server In this case you may need to configure the proxy server information by clicking the Proxy Server Details button It will bring up this window Connection Settings Use HTTP Connections Recommended HTTP Proxy Server Details Must be HTTP 1 1 Compliant Host Port Fl My proxy server requires authentication User Id Password O Use TCP Connections Socks Proxy Server Details Host Port The default choice of Use HTTP Connections is appropriate for almost all cases However you may need to enter an HTTP proxy server host port and possibly a user id and password for authentication with your proxy server Ifyou do not have this information please consult your IT department If the test is not successful even after entering the proxy information it likely means that the connection is being blocked by your organization s proxy server or firewall For details on the network connectivity requirements please refer to Appendix B You may also need to consult with your organization s network administrator for assistance if any firewall changes need to be made NOTE If you cannot successfully connect to Tick Data s server using the Test Connection button do not continue with the configuration You will not be able to complete installation of TickWrite 7 Workstation Installation If you wish to run TickWrite on more than one computer one of the instal
130. stored in separate locations This feature is especially useful for clients who license data sets too large to fit ona single drive Data from different time periods within the same data set can also be stored in separate locations For example Futures data can be stored on one drive U S Equity data from 1993 2006 can be stored on a separate drive and U S equity data from 2007 to present can be stored on a third drive 16 Here is the configuration window for selecting multiple file locations E TickWrite Configuration Date Range and Location s of Deep History Start Date End Date Location 01 01 1970 07 19 2068 C Tick Data Tickwrite7 DATA To add a new location click the green plus icon Enter the date range and path to the file location and click OK NOTE This location is normally a directory called DATA In this directory should reside the data folders i e FUT IDX US_TED etc The path must point to the directory in which these data folders reside Existing locations can be edited or deleted using the other icons to the right of the window If you have multiple data sets once you finish adding locations for one set click Next to add locations for the next set Once Deep History locations have been set for each data set click Next to continue NOTE Data file locations must be configured for all data sets and date ranges before proceeding to next step WHEN POINTING TICKWRITE 7 TO A DEEP HISTORY LOCATION
131. t While the parties intend and expect that all provisions of this Agreement are enforceable and valid to the extent any provision hereof is deemed unenforceable all other provisions will continue to be fully enforceable as if the unenforceable or invalid provisions were absent 11 2 Licensee acknowledges and agrees that any breach of its obligations under this Agreement with respect to the Data the Tick Data system and the Software Product and the other proprietary rights and confidential information of TICK DATA or TICK DATA S licensors will cause irreparable injury to TICK DATA and or the licensors as applicable for which there are inadequate remedies at law and therefore TICK DATA and or its licensors shall be entitled to equitable relief in addition to all other remedies provided by this Agreement or available at law 11 3 TICK DATA may modify the terms of this Agreement with ninety 90 days prior written notice to Licensee except for provisions relating to the discontinuance of licenses If TICK DATA modifies the Agreement Licensee may terminate this Agreement or discontinue any licenses provided hereunder with ninety 90 days written prior notice to TICK DATA 11 4 All notices or approvals required or permitted under this Agreement must be given in writing and sent by mail courier or facsimile to the addresses set forth in the Contract Licensee shall give prompt written notice to TICK DATA of any change of the name nature or add
132. t are unzipped the largest output files or compressed using Zip or Gzip If Output Exists Determines how TickWrite will handle file creation if a file by the same name already exists in the output directory Overwrite Existing The existing file will be deleted and recreated according to the parameters in the job The user will not be warned that the existing file will be overwritten Append Updates When selected TickWrite will attempt to append data in an existing file using data generated by the job This selection should primarily be used by clients who subscribe to daily updates and have jobs scheduled to download and process out the same data every day It will decrease processing time as the job will begin where the existing file leaves off Skip The extraction job will leave the existing file untouched and not extract new data Output Directory Enter the desired location of output files This must be chosen prior to processing data to a file As with all parameters this location can be set as a default by selecting SETUP gt Tab Defaults gt Set Current Values as Default for Tab NOTE As with all defaults the Output Directory set in a tab will only affect that tab Name Output by Symbol Will use the symbol of the instrument as the filename This parameter also allows users to include a file prefix and or suffix and select the file extension Name Output by Custom Value Allows the user to choose the filename of the outp
133. t or copyright of a third party provided that i Licensee promptly notifies TICK DATA in writing of any such claim suit or proceeding ii TICK DATA has sole control of the investigation defense and settlement of any such claim suit or proceeding and iii Licensee provides TICK DATA upon TICK DATA s request with all reasonable assistance in investigating defending and settling any such claim suit or proceeding If the Software Product is held to infringe upon any United States of America patent or copyright of a third party and Licensee s use of the Software Product is enjoined or prohibited by a court of competent jurisdiction TICK DATA shall at its sole option within thirty 30 calendar days of such injunction or prohibition either A procure for Licensee the right to continue using the Software Product free of any liability for infringement B replace or modify the Software Product with a noninfringing product of equivalent functionality or C in the event TICK DATA is unable after exercising its best efforts to implement one of the options set forth in subsection A or B above accept return of the Software Product without refund to Licensee TICK DATA shall have no obligation to indemnify defend or hold Licensee harmless hereunder in the event any such claim suit or proceeding arises from I changes or modifications to the Software Product not authorized in writing by TICK DATA II the combination of the Software Pr
134. te Service and configure that script to be run each time the system is rebooted The TickWrite Service can be started by invoking the TickWriteWindow executable with the following parameters all on one line TickWriteWindow Dlog_file name TICKWRITE_SERVICE log com tickdata tickwrite centralnode TickWriteCentralNode Kernel Settings for running TickWrite When extracting data during normal use TickWrite 7 may require many files to be opened simultaneously If the user account running TickWrite 7 is not properly set up corruption can occur when running large jobs We recommend changing the etc security limits conf file so the hard locks is set to 28000 For example where user ID tickdata the settings should be tickdata soft nofile 1024 tickdata hard nofile 65636 tickdata soft noproc 2047 tickdata hard noproc 16384 tickdata hardlocks 28000 tickdata soft locks 14000 76 Appendix D TickWrite Data File Change Report Tick Data will at times make corrections to certain data While these corrections will be automatically downloaded into the customer s deep history many customers desire to know what files have been impacted since a certain point Therefore TickWrite offers a Data File Change Report that can be generated by customers This report can either be generated from the TickWrite user interface or from the command line To generate this report from the user interface go to the Tools menu and select Data File Change Report
135. ter s clock is set properly GMT is Greenwich Mean Time the international baseline time zone GMT does not adjust for Daylight Savings Time so depending on the time of the year the number of hours from one time zone to GMT varies TickWrite handles this automatically 60 Field Filters This feature allows users to filter output data and only display data meeting the desired parameters The fields available for filtering vary based on the Interval and Exchange selected Select your filter parameters and click the plus sign To remove a filter or all filters right click in the field display window to show a context menu If you wish to filter by two parameters in the same field separate the Values with commas and use IN and or NOT IN filters For example if you wanted to only include trades with Exchange Codes N and S you would enter Exchange Code in Field IN in If and N S in the Value field Option Instrument Filters Tab Output Formatting Filtering Option Instrument Filters Fitter Extracted Option Instruments Puts Calls INE Expiration Date Range MM DD YYYY B mm DD yv Strike Price Range The parameters on this tab are used to narrow the selection of files output by a Job These parameters will pertain to all symbols selected for processing so itis advisable to only process one underlying option symbol per job when using the Strik
136. terms and conditions contained in this Agreement The Tick Data system consists of the Software Product made accessible to you through the internet By agreeing to the terms herein and the act of recording that agreement by the use of the AGREE button and using the data and software accessible through the web site and installing the software keys and APIs you acknowledge that you have read this Historical Market Data Agreement Agreement and consent to its terms This Agreement will become effective when you record your consent Effective Date If you do not accept these terms and conditions you should click on the REJECT button and delete the materials from your computer TICK DATA is a registered trademark of Tick Data Inc The copyright rights and all other intellectual property rights in the Data and the program that constitutes this software together with the computer files downloaded via the internet through our web site or other media on which this Data and software is supplied is and remains the property of Tick Data Inc YOU AGREE THAT YOU ARE LEGALLY ABLE TO ENTER INTO THIS AGREEMENT AMONG OTHER THINGS THIS MEANS 1 IF YOU ARE A DESIGNATED USER REGISTERING FOR A BUSINESS OR GOVERNMENT LICENSE ACCOUNT YOU MUST BE A BONA FIDE EMPLOYEE OR INDEPENDENT CONTRACTOR OF THE BUSINESS GOVERNMENT ENTITY IN WHOSE NAME THE LICENSE ACCOUNT IS HELD AND YOU MUST BE AUTHORIZED TO BIND THE BUSINESS GOVERNMENT ENTITY AND BE AUTHO
137. the last bar of the day will be a 15 30 bar that contains 90 minutes of data 14 30 00 15 59 59 Begin Date End Date By default the begin and end dates will both say MM DD YYYY When MM DD YYYYis displayed the complete date ranges for each individual symbol in the list of checked symbols will be used by the corresponding symbol However this can be overridden by entering begin and end dates in the appropriate boxes The buttons to the right of the YYYY field will pull up calendars that can assist users to enter dates Days Back to Process Instead of creating a file with a specific date range a user may want to look at data only for the past x days This setting is especially useful if such a client subscribes to daily updates as a file can be updated automatically each night to only reflect trading for the past x days Start Session At End Session At By default the Start Sessions At and End Sessions At fields are inactive and display 00 00 Set this way TickWrite will write out all of the data for the sessions chosen for each day If the user selects multiple symbols the file for each symbol will be written out with the respective session hours of each However users can also confine the data for all selected symbols to a particular time range each day To activate these fields check the boxes to the left of the Start Sessions At and or End Sessions At fields you can use either or both Then enter the desired hours and minutes
138. therwise skip to the section on Jobs and the Job Explorer for an explanation of the main window and then go to the relevant Creating Files of section s for details on your specific data type s Welcome to TickWrite 7 1 Volumes in the financial markets are growing exponentially Market characteristics are changing more rapidly than ever before TickWrite 7 was designed to provide clients with the fastest easiest and most flexible way to generate custom ASCII files of historical intraday market data Since trade and quote volumes vary greatly from one symbol to the next and one asset class to the next so will the time required to generate output files TickWrite 7 allowed us to compress more fields of information greatly expanding the scope of data we can offer With TickWrite 7 1 we have further expanded the program s capabilities Here are some of the enhancements and offerings of the new format and software Expanded global futures and cash index offering including over 90 futures contracts and 50 cash indices Anew ASCII based source file format for all asset classes A single program for creating custom ASCII files for all asset classes including options A convenient familiar interface for Company Info Ticker Mapping CITM clients Daily updates for futures index and options trade only data Seamless integration between TickWrite the Tick Data Deep History server and the online store A sc
139. tifications Multiple email addresses can be added for each item and separate addresses can be used for success and failure notifications i g Schedule Editor x Schedule Name Download_Equities F Active Day s of Week Monday V Tuesday V Wednesday Thursday V Friday F Saturday T Sunday Day of Month 1 Scheduled Time 3 00 AM Updates Jobs Emails Email Success Notifications to Email Failure Notifications To support tickdata com _ J support tickdata com ok Cancel K A NOTE If you work in an organization with several users of TickWrite Tick Data recommends that you create a distribution list e mail address on your mail server to manage the appropriate e mail addresses This way you can just use the distribution list e mail address within the mail server and avoid having to modify potentially many scheduled tasks if the group of TickWrite users changes over time 29 Creating Files of Equity Data Here is the Equities Quote Job window Sa i HB TickWrite US_Equity twj File Setup Actions Tools Help Sd GH 5 Equities Quote Equities Trade Equities One Minute Equities Daily Forex Quote Forex Trade Forex One Minute Forex Daily Futures Quote Futures Trade Indicators Indices Exchange U S Equities z Company ID Symbol Ext Company Name Avail From Avail To
140. to be updated to reference the new primary installation The easiest way to do this is actually to reinstall each workstation as this ensures its version is consistent with the primary a requirement of TickWrite7 On each workstation simply uninstall using the uninstall program and reinstall to the same location On the first page of the configuration wizard change the primary installation host name to the new value and complete the wizard This workstation is now up to date and synced with the new primary installation All custom settings such as scheduled tasks job files etc on the workstation installation are still in place However the one final thing to verify on the workstation installation is that its own Deep History Root locations are still correct since the primary installation was moved these would be incorrect if the data files resides within the primary installation On the workstation installation please go to Setup gt Preferences and select DEEP HISTORY LOCATIONS Review all paths provided and correct if necessary 79 s TICK DATA If you have any questions please call 703 757 1370 during normal business hours 8a m 6 p m Eastern Time or e mail us at support tickdata com 10134 G Colvin Run Road Great Falls VA 22066 703 757 1370 www tickdata com 80
141. tract The user can also force TickWrite to output a specific number of decimal places by selecting from the list Time Format Select the desired time format Since some data Tick Data offers has a millisecond stamp while others have only a second stamp or even only a minute stamp by selecting Optimal TickWrite will use the proper time format Alternately the user can choose a specific time format from the list 52 Price Multiplier Activated when checked this parameter allows users to factor in a multiplier to the entire output file This multiplier must be a factor of 10 but can be a decimal i e 001 1 10 100 etc Time Zone TickWrite has the ability to output data in various time zones This is especially helpful when working with data from an exchange that is not in your country as some countries have different schedules for adjusting for Daylight Savings Time The three choices are Exchange Time Zone default Local Time Zone and GMT Exchange Time Zone will output the data in the time zone of the exchange on which it is traded For Indices this generally means the exchange on which the futures contract is traded One notable exception is the DJIA cash index data which is in Eastern Standard Time even though the DJ futures contract is traded in CST on the CBOT The Local Time Zone value is derived from the time zone to which your computer is set Please be sure your computer s clock is set properly GMT is Greenwich Mean
142. ume Shadow C Manages an Manual Local Syste Sh Wave Authenticati Manages se Started Automatic Local Syste Sh WebClient Enables Win Started Manual Local Service Sh Windows Activati Performs W Manual Local Syste Si Windows Audio Manages au Started Automatic Local Service Sh Windows Audio E Manages au Started Automatic Local Syste Sh Windows Backup Provides Wi Manual Local Syste Sh Windows Biometri The Windo Manual Local Syste _ S are i ais Extended A Standard K NOTE You may not be able to access or modify Windows Services if you do not have administrative privileges on your machine In this case you will need the assistance of your IT department By default the TickWrite Service is configured to Log On As the LocalSystem account This configuration works fine if your Deep History i e data files your job files and your output directories are all local locations e g all on local hard drives such as C or D However if you are using a network location this isa problem because for security reasons the LocalSystem account cannot access network locations this is a restriction imposed by Microsoft and Tick Data has no control over this For example it is very common for TickWrite to be configured such that the Deep History data resides on a network device that has a large storage capacity While you would be able to run jobs without any
143. ur data job and output files Installing TickWrite 7 la Delivery by External Hard Disk Drive Close all open programs If you received an external hard disk drive s plug the external hard disk drive box into a USB Go to My Computer on your desktop and explore the hard drive Download the TickWrite installer from our Software Downloads page https www tickdata com support software downloads Go to step 2 1b Delivery by Internet Download Close all open programs If receiving the data via internet download follow the instructions in the confirmation email and follow the link to download the TickWrite 7 installer That link will take you to Tick Data s website and ask you to Save or Run TickWrite7_INSTALL exe You can either save it to your computer remember the directory you choose or run it from the server Go to step 2 2 Click Next to begin 1 Read the License Agreement and select I Agree if you agree to the terms NOTE Once I Agree has been selected the INSTALL button activates at the bottom left of window Clicking this button skips subsequent installation steps and installs the software using all default settings as described below It is recommended to use default settings 2 You will then be prompted to install the application for the current Windows user only or for anyone who uses your computer Unless you have a reason to only install it for one Windows login select Anyone who uses this co
144. ur saved file When OPEN is clicked the symbols in the file will be checked in the data list Please note that any symbols that were checked prior to importing a list will be unchecked unless they are also on the list The screen will activate different settings depending on 1 how many symbols are selected 2 the Granularity selected 3 the Output To selected and 4 which Contract is selected If only one symbol is selected you have the option to create a file containing a single contract to write out all contracts individually at once or to create a continuous file If more than one symbol is selected you have the option to write out all contracts individually at once or to create a continuous file but not to create files containing a single contract The following are details for each Job window parameter 45 Interval NOTE Please see the Futures File Format Guide available at www tickdata com for a detailed explanation of available fields Trades The output file will contain all ticks for the selected time period and symbol s Since a tick is a single data point there is no OPEN HIGH LOW or CLOSE just a single price at which a trade occurred Users will also note that there is no way to output Tick Count when Trades is selected as the Interval This is because each tick has a Tick Count of 1 Quotes only available under the Futures Quote tab The output file will contain all Level I quotes to
145. urs run from 07 00 19 00 the Start Session At must be equal to or after 07 00 and the End Session At must be equal to or less than 19 00 The custom session hours may not cross over two market days NOTE Using Start Sessions At and or End Sessions At will deactivate the Pre Market Day Session After Hours checkboxes under Session s to Include as the times entered will override the standard session settings Output and Formatting Filtering The bottom section of the Job window contains two tabs with parameters for output type file naming output fields and formats Output Tab i Output Formatting Filtering Output To Fie zy Compression Output Fields If Output Exists Overwrite Skip Append Updates Include Header dd Cus Hea Delimiter v Output Directory ka Field Name Sy 7 Name Output by Symbol Symbol File Pre fix File Suffix File Extension W Date T se V Time t Name Output by Custom Value W Price g 7 Volume ga Name Output by Company Id V Exchange Code Name Output by Symbol and Company id v Sales Condition Email Job Notification Output To Output data to a file or to the screen If File is selected the user must select the Output parameters on the tab If Screen is selected all other Output parameters deactivate except for the Output Fields section Screen output data can be copied in the window select multiple fields using the Shift and Ctrl buttons and pasted into spreadsheets and text e
146. users as HTTP is widely support and the least problematic with organizational firewalls In certain customer environments HTTP connectivity is restricted by use of a proxy server In this case you may need to enter the details about your proxy server by going to Setup gt Preferences and selecting Connection Settings Here you can enter your organization s proxy server information as well as proxy server credentials if they are required This is the same information you might enter into your web browser in order to establish Internet connectivity If you do not know your organization s HTTP proxy server information please consult your IT department for assistance Tick Data is NOT able to provide this information to you The connectivity to Tick Data s update server can be tested from within TickWrite at any time by going to Help gt Test Connection To Update Server It is a good idea to do this after installation or after adding editing any connection settings e g proxy server info in order to ensure that TickWrite can still connect to get data updates While not very common it is possible to have TickWrite connect for updates directly over a TCP socket as opposed to using HTTP at port 11100 The update behavior is identical to using HTTP but this should generally only be enabled if there is a problem using HTTP To change to use TCP please go to Setup gt Preferences from within TickWrite and select Connection Settings Option
147. ut ASCII file NOTE Active only when one symbol is selected Email Job Notification Once you have entered valid SMTP server settings in Preferences enter a valid email address in this field to email notifications of Job success or failure along with an attached twj Job file 42 DATE WILDCARDS IN FILE PATHS TickWrite7 supports date wildcards that can be used in the output directory file prefix file suffix and custom file name The wildcards will resolve to the current date and or time as of when the collection job is first executed This can be used to dynamically create new directories files based on the current date without the need to create custom scripts To utilize a wildcard it must be denoted and in the literal value The following are the supported wildcards yyyy current year MM current month dd current day of month HH hour of day 0 23 mm minute of hour For example the following output directory might be entered C temp yyyy MM dd TRADES Assuming that today is April 16 2010 this would resolve to the following directory name C temp 2010 04 16 TRADES Output Fields Active whether the user selects Screen or File as the Output To here the user can make choices about the fields within the data file You can choose whether or not to include a header row that shows the field names at the top of each file The field delimiter can be chosen here by selecting Space Tab or by entering whatever c
148. very properties file in config and its subdirectories regardless of their locations 12 Appendix B Special Notes for TickWrite on Microsoft Windows Machines When TickWrite is installed on Microsoft Windows machines it utilizes a Windows Service for certain functionality including the TickWrite Scheduler By using a Windows Service TickWrite is able to run scheduled tasks while the TickWrite UI is not running and even when you are logged off your machine To view and manage the TickWrite Service do one of the following e Right click My Computer select Manage drill down on Services and Applications and select Services e Alternatively go to Start gt Run and type services msc without the quotes You will be presented with the Microsoft Windows Services Applet where you can find the TickWrite Service i Services cgon File Action View Help es AEBEK m aun Si Services Local TickWrite Service Name _ Description Status Startup Type LogOnAs N Gh Themes Provides us Started Automatic Local Syste ieee Sh Thread Ordering S Provides or Manual Local Service aaa ES TickWrite Service Started Automatic Local Syste SA TPM Base Services Enables acc Manual Local Service UPnP Device Host Allows UPn Started Manual Local Service Sh User Profile Service This service Started Automatic Local Syste S Virtual Disk Provides m Manual Local Syste Sh Vol
149. whether the user selects Screen or File as the Output To here the user can make choices about the fields within the data file The field delimiter can be chosen here by selecting Space Tab or by entering whatever character you wish to use comma is the most commonly used character Finally choose the fields you wish to include in the file The up and down arrows to the right of the Field Name list allows users to move fields up and down The available fields will change depending on the nterval and Exchange selected For more information about each field please see the File Format Guide for each exchange s data which should be included with purchased data but is also available on Tick Data s website http www tickdata com support VWAP Beginning with Build 20131125 TickWrite can generate a volume weighted average price VWAP for all Interval selections in Equity Trade data This calculation is based on the following formula using the Granularity setting for the period or if Trades is the Interval it will accumulate over the trading day VWAP Sum price volume Total Volume File Header You can optionally elect to include a header as the first line in each output file by checking the Include Header checkbox By default the header row will include the name of each field in the specified order delimited by the specified delimiter However if you would like to change the standard header to a custom value you
150. xchange v Date Format Select the desired date format for the output file Price Decimals Used to select the desired number of decimal places in the output file Default is set by default and will use the standard number of decimal places required for the contract The user can also force TickWrite to output a specific number of decimal places by selecting from the list Time Format Select the desired time format Since some data Tick Data offers has a millisecond stamp while others have only a second stamp or even only a minute stamp by selecting Optimal TickWrite will use the proper time format Alternately the user can choose a specific time format from the list Price Multiplier Activated when checked this parameter allows users to factor in a multiplier to the entire output file This multiplier must be a factor of 10 but can be a decimal i e 001 1 10 100 etc Time Zone TickWrite has the ability to output data in various time zones This is especially helpful when working with data from an exchange that is not in your country as some countries have different schedules for adjusting for Daylight Savings Time The three choices are Exchange Time Zone default Local Time Zone and GMT Exchange Time Zone will output the data in the time zone of the exchange on which it is traded For Indices this generally means the exchange on which the futures contract is traded One notable exception is the DJIA cash index data wh
151. you must have a data license for the day on which a split occurs to have an adjustment made For example if you purchased data for company ABC from 1 1 1993 through 12 31 1999 you would only be able to adjust for splits occurring until 12 31 1999 because you do not have a data license after that point Also when adjusting for stock splits both price and volume are adjusted which can often cause these field to become long decimal values You can configure the number of decimals to use for each field here Additionally you can configure whether trailing zeroes should be removed For example if price decimals is set to 4 and an adjusted value is calculated to be 10 25 selecting Remove Trailing Zeroes will result in a printed value of 10 25 whereas leaving this option unchecked will result in the printed value 10 2500 Setting number of decimals to zero will result in the value being rounded to the nearest whole number For example if it is not desirable to have fractional volumes the Volume Decimals can be set to zero to prevent this in this case the Remove Trailing Zeroes setting has no effect 33 NOTE The price decimals set above are always overridden by a Price Decimals value supplied in the job file see the Formatting Filtering section below Company Info Will include a folder in the Output Directory that contains information about each security processed in the Job including splits dividends and mergers as well

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