I have successfully downloaded R and RQuantlib. I created a T6 file in "Yahoo" Format which comes out as Time, O,H,L,C,Spread,Vol.
I have run OptionSimulate.c without any apparent problems but the file seems to be a nonsense. I have looked at the struct in the manual and contract.c and opened the binary file with python / numpy since I am none too familiar with C.
ZHistoryEditor does not permit viewing of t8 files.
When I run the script contained here "http://www.financial-hacker.com/algorithmic-options-trading/" merely get a chart of the time series:
#include <contract.c>
void run()
{
BarPeriod = 1440;
StartDate = 2004;
EndDate = 2005;
assetList("assetsFIX");
//assetHistory("SP",FROM_YAHOO|UNADJUSTED);
asset("VIX_2004");
if(is(INITRUN)) dataLoad(1,"VXX_Options.t8",9);
Multiplier = 100;
contractUpdate("VIX_2004",1,CALL|PUT);
int Type = ifelse(random() > 0,CALL,PUT);
contract(Type,30,priceClose());
static int LastExpiry = 0;
if(ContractType && LastExpiry != ContractExpiry) {
enterShort();
LastExpiry = ContractExpiry;
}
}
Any ideas? Unfortunately I can't upload either the t8 or t6 file here
