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Thanks for all the replies. What I am actually trying to do it parse the
CME T&S files and get the data out for all the symbols I am interested
in - index & currency futures. I use IB to get my data, but sometimes
end up with holes. The idea is to regenerate the data say every weekend,
in a *completely automated way*, say with a perl script & HyperTools
(Just run the script & walk away - .xpo with tick, minute & daily would
be ready). It's very easy to get the tick data out - but more complex to
create minute & dailies, not to mention longer times for the script to
run. But it does seem that to get exactly what I want, roll your own is
the way to go.
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