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Re: Import data from .csv [Re: jcl] #472606
05/07/18 22:38
05/07/18 22:38
Joined: Apr 2018
Posts: 26
Fuchs Offline
Newbie
Fuchs  Offline
Newbie

Joined: Apr 2018
Posts: 26
Thanks jcl (not only for your answers but for the strategies in general).
Because nothing happened last week until the weekend I thought that nothing is lost in checking what happens when I restart my laptop and yes, it all started from scratch again.

So far I read the main topics and programming instructions of the manual and checked http://zorro-project.com/manual/en/zsystems.htm .
I figured out that Z12 for example brings up some errors when trading with a demo account with global prime, which I first did set up with a leverage of only 1 (to simulate a cautious first trading).
So I have to learn more about them, because my suspicion is that Z8 needs a leverage of at least 2 and Z1,2 or 12 (and maybe also the others) a leverage of at least 200.
Someone told me NOT to play around with those leverages because it could be dangerous, so I won't, and whilst I experience how to run your Z strategies I of course will learn to write my own one.

Is there some more information to be found on the strategies, the meaning of the errors, and what happens in case a broker doesn't provide all currencies normally used by a strategy ?

Re: Import data from .csv [Re: tradingest] #473036
06/11/18 00:27
06/11/18 00:27
Joined: Jun 2018
Posts: 3
M
madeinquant Offline
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madeinquant  Offline
Guest
M

Joined: Jun 2018
Posts: 3
There is a customized script "CSVtoHistory.c" for your reference. this is a customized script to import yahoo's CSV and to convert into .t6 file. However, I don't know how to retrieve the .t6 file for conversion. I would convert .t6 file into artificial option chains. There is a script "OptionSimulate.c" but this script import historical data from quandl. I want to import SP500 historical data locally. Please feel free to comment.

////////////////////////////////////////////////
// Convert price history from .csv to .t6
// The Format string determines the CSV format (see examples)
////////////////////////////////////////////////

// #define SPLIT_YEARS // split into separate years
//#define FIX_ZONE -1 // add a time zone difference, f.i. for converting CST -> EST

//string InName = "DAT_ASCII_USDZAR_M1_2015.csv"; // name of a single year CSV file
//string OutName = "USDZAR_2015.t6";
//string InName = "D:HistoryVIX_2013_2016.stk";
//string OutName = "VIX"; // for separate years, f.i. VIX_2016.t6, VIX_2015.t6 etc.
string InName = "GSPC.CSV";
string OutName = "GSPC.t6"; // for separate years, f.i. VIX_2016.t6, VIX_2015.t6 etc.

// HISTDATA line format: "20100103 170000;1.430100;1.430400;1.430100;1.430400;0"
//string Format = "+%Y%m%d %H%M%S;f3;f1;f2;f4;f6;f";

// YAHOO line format "2015-05-29,43.45,43.59,42.81,42.94,10901500,42.94"
string Format = "%Y-%m-%d,f3,f1,f2,f4,f6,f5"; // unadjusted

// TRADESTATION line format "06/30/2016,17:00:00,2086.50,2086.50,2086.50,2086.50,319,0"
//string Format = "+%m/%d/%Y,%H:%M:%S,f3,f1,f2,f4,f6,f5";

// STK line format "12/23/2016,2300.00,SPY, 225.63, 225.68, 225.72, 225.62,1148991"
//string Format = "+-%m/%d/%Y,%H%M,,f3,f4,f1,f2,f6,f";

function main()
{
int Records = dataParse(1,Format,InName);
printf("n%d lines read",Records);
#ifdef FIX_ZONE
int i;
for(i=0; i<Records; i++)
dataSet(1,i,0,dataVar(1,i,0)+FIX_ZONE/24.);
#endif
#ifndef SPLIT_YEARS
if(Records) dataSave(1,OutName);
#else
int i, Start = 0, Year, LastYear = 0;
for(i=0; i<Records; i++) {
Year = atoi(strdate("%Y",dataVar(1,i,0)));
if(!LastYear) LastYear = Year;
if(i == Records-1) { // end of file
LastYear = Year; Year = 0;
}
if(Year != LastYear) {
string NewName = strf("%s_%4i.t6",strxc(OutName,'.',0),LastYear);
printf("n%s",NewName);
dataSave(1,NewName,Start,i-Start);
Start = i;
LastYear = Year;
}
}
#endif
}

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