Constructing currency-translated commodity bars

Pairing the two series

A currency-translated intermarket file is constructed by pairing a commodity or first-currency series as the first input with a foreign-currency series as the second. That construction setup is the intermarket-pair. Currency-translation then rebuilds each commodity bar by scaling every price field with the matching foreign-currency print so the series is expressed in another currency regime.

Forming each translated-bar

Each translated-bar is an open-high-low-close record formed from same-session commodity and currency prices rather than from a native exchange contract. Each translated open, high, low, and close is the commodity print multiplied by the same-session currency print and then divided by a contract scale-factor. The scale-factor is a contract divisor applied to the currency leg so the multiplied series stays in a usable price unit. The yen construction in the source uses a scale-factor of 100 on the currency leg. The written series can keep the original volume and open-interest fields beside the translated prices.

Checking the file and reloading it

A single control value can write the translated file, display both input contracts on the first calculation date for checking, or perform both actions. That run switch is the verification-mode. The worked example translates palladium through yen and then reloads the result as generic ASCII chart data rather than as the original contract symbols. Once written to disk, that portable price file is an ascii-series and can be reloaded as generic chart data.