MDTGrep (Market Data Tick Grep)

MDTGrep is an Advanced Custom Study Interface and Language (ACSIL) DLL for Sierra Chart.

It enables lightning-fast, highly accurate data extraction of your Sierra Chart historical/live datasets into easily parsable flat CSV format. Ideal for strategy backtesting on minute-by-minute or exact 1-tick granularity.

Core Capabilities

• Chart Native Extraction: Since MDTGrep runs directly on the chart, it automatically inherits everything you are currently looking at on the screen. This means any back-adjustments, continuous contract rollovers, or custom session times you have applied to your Sierra Chart are natively built into the exported data.
• Customizable Timeframes: Bar periodicity natively dictates what exports. Whether you want an export of exactly 60 seconds (1 minute), or highly granular 1 Number of Trades (Tick) data, MDTGrep adapts perfectly to your Chart Settings -> Bar Period.
• Precise Unix Epochs: By extracting internal C++ dates into exact UNIX Epoch floating point timestamps (unix_ts_ms), timestamps perfectly map to machine-learning models, external analytics suites (Pandas, Polars), or internal database engines.

Installation

1. Copy MDTGrep.cpp to your Sierra Chart source folder (usually C:\SierraChart\ACS_Source\).
2. Open Sierra Chart.
3. Go to Analysis -> Build Custom Studies DLL.
4. Check MDTGrep.cpp.
5. Click Build Remote (or Build Local if you have a local compiler setup).

Getting High-Speed Tick Data

To properly extract true Level-1 Tick Data (Price and Volume mapping exactly how it crossed the tape):

1. Open the desired Symbol (e.g., ESM4).
2. Hit F5 to open Chart Settings.
3. Change Graph Draw Type to Candlestick or Bar.
4. Navigate to the Bar Period menu.
5. Change to Number of Trades Per Bar.
6. Set the value to 1.
7. Add MDTGrep from Analysis -> Studies.

Configuration Options

When you add MDTGrep via the Studies menu, you have two primary inputs to control the logic without having to rebuild the DLL:

• Trigger Export on Full Recalc: Set to Yes by default. This makes sure that data is explicitly written to your hard drive every time you hit Edit -> Recalculate so that you don't stall your trading view looping the logic every single bid/ask tick.
• Export Mode: You can select either Time (OHLC + Vol) or Tick (Price + Vol + Delta). Depending on your choice, the study automatically applies a _time.csv or _tick.csv suffix to the file output.

Generated Columns

MDTGrep creates the file inside your \Data\ directory (C:\SierraChart\Data\). The exported columns depend on the selected Export Mode:

Time Mode (_time.csv)

• unix_ts_ms (standard millisecond Unix timestamp mapped statically to the chart time)
• open
• high
• low
• close
• volume
• ask_vol
• bid_vol
• num_trades
• open_interest

Tick Mode (_tick.csv)

• unix_ts_ms
• price (the actual traded price for that tick)
• volume
• ask_vol
• bid_vol
• delta (Ask Volume - Bid Volume)
• num_trades

Example Output

Time Mode (_time.csv)

unix_ts_ms,open,high,low,close,volume,ask_vol,bid_vol,num_trades,open_interest
1716301800000,5321.00,5321.75,5321.00,5321.50,154,82,72,98,124500
1716301860000,5321.50,5322.25,5321.25,5321.75,210,115,95,145,124530

Tick Mode (_tick.csv)

unix_ts_ms,price,volume,ask_vol,bid_vol,delta,num_trades
1716301802150,5321.25,2,2,0,2,1
1716301802300,5321.00,5,0,5,-5,2