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Hi
On the http://www.liffe.com/working/stathis web site it is possible to
download EOD csv files for LIFFE contracts. I am looking for a program
extract the required fields and convert the files to metastock format with
OHLC, volume and open interest. However, the names of the symbols are not
unique unless two of the fields of information are used commodity code (2)
e.g Z and expiry date (3)MAR01 for the ftse 100 future which expired in
March. For each symbol there are up to 19 fields of information of which
many are blank or not needed by myself.
The file format is as follows
(1)Trading date, (2)commodity, (3)expiry, (4)contract type, (5)exercise
price, (6)estimated volume, (7)yesterdays official volume, (8)yesterdays
open intrest, (9)opening transaction, (10)opening range first, (11)opening
range last, (12)daily high, (13)daily low, (14)settlement price,
(15)instrument settlement price,(16) implied volatility, (17) ATM (at the
money) volatility, (18)closing offer, (19)closing bid
An example of a line for the FTSE 100 future contract is below
21-FEB-2001,Z ,MAR01 ,F,00000, 35468 ,32835 ,247589
,5984.000000,,,5997.500000,5916.500000,5974.000000,,,,,
For futures contracts, I require the fields; Date(1) symbol[(2) (3)]
volume(6) open intrest(8) open(9) high(12) low(13) and close(14)
to be extracted and converted to metastock format.
Does anyone know of a program to carry this out?
Thanks
Iain
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