Bond tragedy: Attention EL experts

[Peter Hoon <phoon@xxxxxxx>]

I am trying to find a way to combine us9m and zb9m into a continuous data stream to which I can apply indicators and a system written in EL.

With globalization, I find that there are more and more large gaps between the afternoon closing price of us9m and the next morning opening of us9m.  I want to develop a bond system based on a sequential stream of bond data during weekdays that is about 23 and 3/4 hours of bond trading.  Specifically, the continuous stream starts when us9m closes at 2:00 PM CST and we switch to zb9m at 2:15 PM CST through 7:29 AM CST the next morning.  At 7:30 am CST  we switch back to us9m..

Unfortunately, the CBT decided to assign its night ("electronic") bond trading session to the symbol zb9m and its day session to us9m.  If you put us9m into data1 and zb9m into data2, you can create a chart that will visually show you a continuous stream of bond data.  But, you cannot apply your bond system to a continuous data stream;  you can only apply it to either us9m or zb9m.

I wrote easylanguage and technical support about the problem.  One trading club member suggested that I write zb9m and us9m into an array, and then read this back into charting in real time.  However, techsupport said that ts4 and ts2000i will not allow you to use an array as a real time data stream.

I have Putt's book on EL and am at an intermediate level of EL coding ability.

They said I must use an external file and manipulate it on a real time basis.  They suggested an Omega Research Solution Provided help me develop external data files and dynamic linc libraries (dlls).

I wanted to get the input of digest members on the following:

1)  Is there a simpler and obvious solution that I have overlooked?

2)  The dll approach sounds quite complex and I am concerned about possible problems with ts stability as it reads in the dll in real time.  This approach is currently over my head technically;  even if I could get help on the EL code needed to meld a composite data stream composed of us9m and zb9m into one, I have no knowledge of how to use it to create the dll.  How difficult is this technically, and what are the system stability risks?

3)  Though Omega provided a list of solution providers, I shied away from contacting them, because I did not know their qualifications, and I was fearful of being hit for a large consulting fee.  Could digest members recommend a Solution provider who is known among the group?  Could you also estimate what kind of a fee I might be asked to pay to achieve my goal? 

Any other ideas or suggestions would be welcome.

Thanks in advance,

Peter

phoon@xxxxxxx