Exporting historical data from ThinkorSwim for external analysis

I wonder if you can modify the code to export only the last 2 bars instead of all bars on chart.
Thank you so much for the code posted.
@korygill -- What a clever hack ... Using Powershell is the best part .. no need to install PY/PERL.

Thank you very much !!!! Love it !!!!

I have to learn Poweshell now since I think it will help with a lot of data cleansing etc ...
Update on 9/25/2020

I get a lot of requests for how to add Volume to the study, so I have made an update to the scripts for Volume. The important thing to notice/understand is how you add data to the TOS script separated by the | vertical bar and then keeping the PowerShell script in sync with the ordering of the fields/columns/data you are encoding on TOS in the Buy Order so they can be parsed meaninfully.

See my YouTube video with a walk through of how to export historical data and run a PowerShell script to generate a proper csv file. Also includes adding additional data like other indicators to the csv data.

See previous posts for more information as well about exporting historical data.


Strategy Code:

# kg_EveryTickSOHLCP
# Strategy to capture every bar OHLC and P, the previous close.
# Useful for exporting data from TOS into a CSV file for further processing.
# Author: Kory Gill, @korygill
declare upper;
declare once_per_bar;

input startTime = 820; #hint startTime: start time in EST 24-hour time
input endTime = 1600; #hint endTime: end time in EST 24-hour time

def adjStartTime = startTime;# - 1;
def adjEndTime = endTime;# - 1;

def agg = GetAggregationPeriod();

# we use a 1 bar offset to get orders to line up, so adjust for that here
def marketOpen = 1;#if agg >= AggregationPeriod.DAY then 1 else if SecondsTillTime(adjEndTime) >= 60 and SecondsFromTime(adjStartTime) >= -60 then 1 else 0;

# get indicator values
#def macdValue = MACD().Value;
#def macdAvg = MACD().Avg;

# if you want macdValue and macdAvg, replace the name= line in the forula with
# name="SOHLCP|"+GetSymbol()+"|"+open[-1]+"|"+high[-1]+"|"+low[-1]+"|"+close[-1]+"|"+close+"|"+volume[-1]+"|"+macdValue+"|"+macdAvg);
# but you also need to keep the PowerShell script in sync to parse the line properly


AddOrder(OrderType.SELL_TO_CLOSE, marketOpen, high, 1, Color.White, Color.White, name="SellClose");

PowerShell code for Get-SOHLCP.ps1:

# Get-SOHLCP.ps1
# Script to convert a TOS ThinkOrSwim kg_EveryTickSOHLCP strategy report csv file to an object and/or proper csv data file.
# Author: Kory Gill, @korygill
# Version: 20200304.2300
# Examples
# $x = gci 'StrategyReport*' | Select -ExpandProperty FullName | D:\Source\Repos\technical-analysis-dev\dev\Get-SOHLCP.ps1 -InformationAction Continue -ExportAsObject
# $x = gci 'D:\Database\MarketData\TOS-StrategyReport-Files-SOHLCP\feb-3to7\StrategyReport*' | Select -ExpandProperty FullName | D:\Source\Repos\technical-analysis-dev\dev\Get-SOHLCP.ps1 -InformationAction Continue
# $x = gci 'D:\Database\MarketData\TOS-StrategyReport-Files-SOHLCP\feb2020\StrategyReport*' | Select -ExpandProperty FullName | D:\Source\Repos\technical-analysis-dev\dev\Get-SOHLCP.ps1 -InformationAction Continue
# $x = gci 'D:\Database\MarketData\TOS-StrategyReport-Files-SOHLCP\UseThinkScriptDemo\StrategyReport*' | Select -ExpandProperty FullName | D:\Source\Repos\technical-analysis-dev\dev\Get-SOHLCP.ps1 -InformationAction Continue
# Get the symbol back:
# $m = 'SOHLCP-(~ES.XCME)(1.21.20 5.00 AM - 1.27.20 1.14 PM).csv' | Select-String -Pattern '\((.*?)\)'  -AllMatches; $m.Matches[0].Groups[1].Value -replace '~', '/'
# $f = gci D:\temp\TOS-StrategyReport-Files-SOHLCP\sohlcp*.csv | Select -ExpandProperty FullName; $f | % {$m = $_ | Select-String -Pattern '\((.*?)\)'  -AllMatches; $s = $m.Matches[0].Groups[1].Value -replace '~', '';$sym = ($s -split '\.' | Select -First 1); $file = $_; D:\Source\Repos\technical-analysis-dev\dev\Get-AllOrbTrades-SOHLCP.ps1 -FileName $file -SymbolName $sym}
# gci *glArray.csv | % {$csv = Import-Csv -Path $_; $csv | ? {[DateTime]::Parse($_.Datetime).Month -eq 1} | Export-Csv -NoTypeInformation -Path All_glArray_Data.csv -Append}
# get all January (month 1)
# gci D:\Database\MarketData\TOS-StrategyReport-Files-SOHLCP\feb-3to7\*glArray.csv | Select -ExpandProperty FullName | % {$csv = Import-Csv -Path $_; $csv | ? {[DateTime]::Parse($_.Datetime).Month -eq 1} | Export-Csv -NoTypeInformation -Path D:\Database\MarketData\TOS-StrategyReport-Files-SOHLCP\feb-3to7\All_glArray_Data.csv -Append}
param (
    [Parameter(Mandatory=$true, ValueFromPipeline=$true)]
Begin {
    function Convert-CurrencyStringToDecimal ([string]$input)
        ((($input -replace '\$') -replace '[)]') -replace '\(', '-') -replace '[^-0-9.]'
    $global:sohlcpAllData = New-Object System.Collections.Generic.List[PSCustomObject]
Process {
    foreach ($f in $File)
        if (-not (Test-Path $f))
            throw "Cannot open file '$f'."
        Write-Information "Processing file: '$f'."
        # read csv file
        $content = Get-Content -Path $f
        # generate filename
        $csvSymbol = ($content[1] -split 'Symbol: ')[1] -replace '/', '~' -replace ':', '.'
        $csvWorkTime = ($content[2] -split 'Work Time: ')[1] -replace '/', '.' -replace ':', '.'
        $outFile = 'SOHLCP-(' + $csvSymbol +')('+ $csvWorkTime + ')'
        # find the lines that contain price information
        $csvdata = $content | ? {$_ -match ";.*;"} | ConvertFrom-Csv -Delimiter ';'
        # filter just the lines with (OHLC on them and make into CSV structure
        $data = $csvData | ? {$_ -match "\(SOHLCP"}
        $sohlcpFileData = New-Object System.Collections.Generic.List[PSCustomObject]
        foreach ($item in $data)
            # capture the OHLC data
            $null = $item.Strategy -match "\(SOHLCP\|(.*)\)"
            $v = $Matches[1] -split '\|'
            $symbol = $v[0]
            $open  = $v[1] | Convert-CurrencyStringToDecimal
            $high  = $v[2] | Convert-CurrencyStringToDecimal
            $low   = $v[3] | Convert-CurrencyStringToDecimal
            $close = $v[4] | Convert-CurrencyStringToDecimal
            $prevClose = $v[5] | Convert-CurrencyStringToDecimal
            $volume = $v[6] | Convert-CurrencyStringToDecimal
            # Depending on how you gather data in your TOS script determines how you extract the values all separated by the | vertical bar symbol.
            $sohlcpData = [PSCustomObject]@{
                'Symbol' = $symbol
                'DateTime' = ([datetime]::Parse($item.'Date/Time'))
                'Open' = [decimal]$open
                'High' = [decimal]$high
                'Low' = [decimal]$low
                'Close' = [decimal]$close
                'PrevClose' = [decimal]$prevClose
                'Volume' = [decimal]$volume
                'macdValue' = [decimal]$macdValue
                'macdAvg' = [decimal]$macdAvg
            $sohlcpData = [PSCustomObject]@{
                'Symbol' = $symbol
                'DateTime' = ([datetime]::Parse($item.'Date/Time'))
                'Open' = [decimal]$open
                'High' = [decimal]$high
                'Low' = [decimal]$low
                'Close' = [decimal]$close
                'PrevClose' = [decimal]$prevClose
                'Volume' = [decimal]$volume
            # add to our $sohlcpData array
            $null = $sohlcpFileData.Add($sohlcpData)
            $null = $sohlcpAllData.Add($sohlcpData)
        # save to file
        $sohlcpFileData | Export-Csv -Path (Join-Path (Split-Path -Path $f -Parent) ($outFile + '.csv')) -Force -NoTypeInformation -Encoding ASCII
End {
    if ($ExportAsObject)
        # helpful message to show caller our output variable
        Write-Information "Out Data $($sohlcpAllData.Count) items (exported as `$sohlcpAllData)"
        # don't show any extraneous output, and just return the data to the pipeline
        return $sohlcpAllData
Question: Instead of reading into the memory array - why not print them directly to the file? That would save memory .. right?

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