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PureBytes Links
Trading Reference Links
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Final Proposed Data Format.
TraderWare Data Format
Storage location
\TraderWare\Data\Exchange\Symbol\EOD
\TraderWare\Data\Exchange\Symbol\Tick
\TraderWare\Data\Exchange\Symbol\Intraday
Tick Data File Format
Format
YYYYMMDD,HHMMSS,Price,Size,Type
where type =
0 for TRADE
1 for BID
2 for ASK
Example
19990101,095902,23.5,100,1
19990101,095931,23.75,400,0
19990101,095959,23.75,500,2
19990101,100002,23.70,300,2
19990101,100023,23.65,100,1
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EOD and Intraday File Format
Format
YYYYMMDD,HHMM,Open,High,Low,Close,Volume,OpenInterest,TradeCount,OpenBid,Ope
nBidSize,CloseBid,CloseBidSize,OpenAsk,OpenAskSize,CloseAsk,CloseAskSize
Example
19991121,1459,10.0125,11.984375,9.875,10.25,825345345,2523423,34354,10.25,10
0,10.375,200,200,11.5,200,11.75,100
19991121,1459,10.0125,11.984375,9.875,10.25,825345345,2523423,34354,10.25,10
0,10.375,200,200,11.5,200,11.75,100
19991121,1459,10.0125,11.984375,9.875,10.25,825345345,2523423,34354,10.25,10
0,10.375,200,200,11.5,200,11.75,100
19991121,1510,10.0125,11.984375,9.875,10.25,825345345,2523423,34354,10.25,10
0,10.375,200,200,11.5,200,11.75,100
19991121,1530,10.0125,11.984375,9.875,10.25,825345345,2523423,34354,10.25,10
0,10.375,200,200,11.5,200,11.75,100
19991121,1600,10.0125,11.984375,9.875,10.25,825345345,2523423,34354,10.25,10
0,10.375,200,200,11.5,200,11.75,100
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