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Re: Can GS make proper daily bar from imported tick data? (ts2000i)



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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.