Data_CSV_to_T1.c

#define STARTDAY 20161004	
#define ENDDAY20161014	
	
string InName = "History\\CME.%08d-%08d.E.BBO-C.310.ES.csv"; // name of a day file
string OutName = "History\\ES_201610.t1";	
string Code = "ESZ"; // December contract symbol
	
string Format = "2,,%Y%m%d,%H:%M:%S,,,s,,,s,i,,"; // Nanotick csv format

void main()	// Convert price history from Nanotick BBO to .t1
{	
	int N,Row,Record,Records;	
	for(N = STARTDAY; N <= ENDDAY; N++)	
			{	
			string FileName = strf(InName,N,N+1);	
			if(!file_date(FileName)) continue;	
			Records = dataParse(1,Format,FileName);	// read BBO data
			printf("\n%d rows read",Records);	
			dataNew(2,Records,2);	// create T1 dataset
			for(Record = 0,Row = 0; Record < Records; Record++)	
					{	
					if(!strstr(Code,dataStr(1,Record,1))) continue;	// select only records with correct symbol
					T1* t1 = dataStr(2,Row,0);	// store record in T1 format
					float Price = 0.01 * dataInt(1,Record,3);	// price in cents
					if(Price < 1000) continue;	// no valid price
					string AskBid = dataStr(1,Record,2);	
					if(AskBid[0] == 'B') Price = -Price; // negative price for Bid
					t1->fVal = Price;	
					t1->time = dataVar(1,Record,0) + 1./24.; // add 1 hour Chicago-NY time difference
					Row++;	
					}	
			printf(", %d stored",Row);	
			dataAppend(3,2,0,Row); // append dataset
			if(!wait(0)) return;	
			}	
	dataSave(3,OutName); // store complete dataset
}