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Hi Iain,
I wish these exchange wankers would realize that cheaper data would mean
more players.
You could buy their program for $300 to $2000 depending on what type of data
you want. Or subscribe to CSI data all world futures markets or (unless
someone comes up with a program) do it by hand!!
Regards,
Jerry
----- Original Message -----
From: "Iain Gordon" <iaindavidgordon@xxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, April 07, 2001 8:39 AM
Subject: help needed for liffe csv file conversion
> 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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