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I've seen a few postings lately about building continuous contracts from
ascii and intraday data. I've written a continuous contract builder which I
run under Linux that takes ascii files and converts it to a file where each
line contains Date OHLC data for a continuous series and OHLCVOI and name of
the current nearest contract. I suppose it wouldn't take too many
modifications to handle intraday data as well. For the sake of portability,
I could possibly rewrite this app in Perl and distribute it, but I'd
probably need a little financial incentive.
Anyone interested?
Milton Smith
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