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Sorry if this is off-topic for most people.
I am trying to set up to convert CME files and I may be doing things the
hard way.
Here is what I am doing:
1. Read the CME text file into Excel. BTW, is there a way to save text
file layouts in Excel so you don't have to specify them every time?
2. Sort by delivery date and ask/bid indicator fields and delete (a)
non-leading month contract trades and (b) all bid and ask records
3. Save as CSV file, read with History Centre and convert.
All this roundabout procedure just to eliminate non-leading month contracts,
bids, and asks.
Otherwise, I could read the CME text file directly.
Is there an easier way?
Thanks.
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