1992issue C051-8
Converting OHLC, session, and rollover series for analysis
Analysis programs ingest a bar only when date, high, low, and close occupy the expected field order. Conversion, session completeness, and a companion contract index decide which prints can become an executable series.
- A mismatched field order cannot become an executable session bar because analysis programs ingest date, high, low, and close only in the order they expect.
- Vendor binary encodings can pack the same tape into different bit layouts, so high, low, close, or volume may fail to reconstruct until the series is recast.
- Session and rollover files must travel with any companion master index of which contract lives in which file, or the reconstructed series will point at the wrong contract.
- A conversion kit uses an editor, a directory manager, a multi-format converter that includes ASCII, and a programmable ASCII rewriter to force each incoming layout into one executable bar schema.
Field order decides whether a bar can be ingested
Analysis programs will only ingest a bar if date, high, low, and close occupy the exact field order those programs expect, so a mismatched layout cannot become an executable session bar.
Packed binary and inspectable ASCII
Binary encodings pack price into compact words, but each vendor may assign those bits differently, so the same tape can fail to reconstruct high, low, close, or volume until it is recast.
ASCII bars use more disk than binary but can be inspected with ordinary type and copy commands, which lets a technician verify that a session file is complete before it is treated as an orderable series.
A kit that forces one executable schema
A working conversion kit needs an editor, a directory manager, a multi-format converter that includes ASCII, and a programmable ASCII rewriter so each incoming layout can be forced into one executable bar schema.
Session files, rollover files, and the contract index
Some vendor catalogs keep a companion master index of which contract lives in which file, so session and rollover files must travel with that index or the reconstructed series will point at the wrong contract.
Rewrite templates for executable bars
A one-line field rewrite can unpack a packed date, drop unused open interest, and emit date, volume, high, low, and close in the order a charting program requires.
A header skip plus substring date rewrite is the reusable template for nonstandard ASCII-to-ASCII bar construction when the source session file is otherwise complete.
A downloaded rate series can be stripped of non-data lines, dated as year-month-day, written as comma-separated ASCII, and then passed through an intermediate vendor file so the receiving chart treats the print as close with empty open, high, low, and volume.
All readings on this track · 8 readings
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