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Hello Group,
I'm trying to compose an Excel macro which would convert
Nasdaq-100 futures tick data
http://www.cme.com/) from their html files into ASCII
convertible by Downloader. No sweat here.
But I was just wondering, how should I treat the Bid and Ask
prices sprinkled all over the file?
(I guess this is what "B" stands for (Bid) in the following
line:
02-03 01/22/02 08:45:33 0156200B
)
Should I remove the B and import the line anyway? Or should
I delete the line? {Since presumably no deal was struck at
that time and price}? What's the default treatment of tick
data?
BTW: I will probably very soon be running out of the 65,000
records limit (every few days I guess)... This makes my
project a bit nonsensical to say the least :-(( Is there any
way at all that such truncated files could be somehow linked
together, or should I just face it that I'll have 2-3 days
worth of data in a single file?
And, last, anybody tried that before? I mean, I was already
converting CME data using Excel macros etc. but went mad
when CME changed the server and file layout some months ago.
I had no data for a number of days so I gave up. Now
everything seems to be stable but if CME keeps changing
their layouts every other month then maybe I should rethink
and stay away from this? Especially that I don't trade Naz
futures and need the data just for research, systems etc.
etc. and even for that I don't need them that bad...
Thanks, happy trading
Yarroll
***
WIG20: http://republika.pl/yarroll999/
Nasdaq http://republika.pl/yarroll777/
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