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#473116 - 06/14/18 13:10 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: SBGuy]
madeinquant Offline
Guest

Registered: 06/10/18
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. Is it possible 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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#474217 - 09/30/18 16:54 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: SBGuy]
AndrewAMD Online
Senior Member

Registered: 02/21/17
Posts: 384
Loc: Chicago
Just an update... RQuantLib is back on CRAN, so you can now install this on newer versions of R.

This line works on 3.5.1.
Code:
install.packages("RQuantLib")


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#474225 - 10/01/18 13:19 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: AndrewAMD]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26529
Loc: Frankfurt
Thanks, good to know!

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