Re: Making a Continous Data File

["Ray Gurke" <Ray@xxxxxxxxx>]

List...  After digging through my Omega archive, I tried contacting "Mike"
at the email address below, but just get a bounced "undeliverable" message.
Mike (or anyone who may know Mike's current email address).. if you're still
out there, would you please email me privately.

Thanks,

Ray Gurke
ray@xxxxxxxxx


----- Original Message -----
From: "Mike" <pooltreatments@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, April 24, 2001 1:38 AM
Subject: Re: Making a Continous Data File


> I have written a stand alone application to do this. It is a little more
> complicated than it seems because the value of the contract jumps by
> about 12 points when it expires. This requires back adjusting all the
> contracts.
>
> My prog also checks the data for missing bars, bad ticks, bad data etc
> etc, creates synthetic data to smooth over any minor potholes and back
> adjusts all the contracts so that you get one smooth continuous contract
> of the future you are interested in. It makes a file of 1 min ASCII data
> that can be imported into TS.
>
> Problem is that so far all the data I have got has some big holes. Now
> if someone wanted to trade ....
>
> Regards
> Mike
>