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I have written a stand alone application to do this. It is a little more
complicated than it seems because the value of the contract jumps by
about 12 points when it expires. This requires back adjusting all the
contracts.
My prog also checks the data for missing bars, bad ticks, bad data etc
etc, creates synthetic data to smooth over any minor potholes and back
adjusts all the contracts so that you get one smooth continuous contract
of the future you are interested in. It makes a file of 1 min ASCII data
that can be imported into TS.
Problem is that so far all the data I have got has some big holes. Now
if someone wanted to trade ....
Regards
Mike
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