Continuous Contract Data Converter

ANFutures offers Actual and Adjusted price data of 1 minute time frame in CSV (ASCII text) format. To make data in other format (3,5,10,15,20,30 or 60 min) it is easy to use our free of charge CC Data Converter. There are two files the Converter consists of - ccdconv1.exe (the executable file) and ccdconv1.hlp (help file). Those files are compressed into ZIP file (ccdconvert.ZIP).

After downloading zip file extract ccdconv.exe (executable file) and ccdconv.hlp (help file). Create new folder (name it as Converter for example) and save files into it. Data Converter will use this folder as a default folder to read source data files from and write destination files in. To run Data Converter go to folder where Converter was saved and simply double click ccdconv.exe file name. Data Converter creates new data file with a different format of the data using CC Data and Tick Data files (source files).

Source files

Source CC Data file is an ASCII text file with a comma separated values (*MG.CSV format). This file contains intra day One minute data. The Converter uses this file to create new one with a different data format.

There are 10 fields in every line, the order of fields is: 

- ticker;
 - intra day mark ("I" symbol);
 - date (yymmdd);
 - time (hh:mm);
 - open;
 - high;
 - low;
 - close;
 - volume;
 - CC close;

Example:
ES01MIG,I,021212,07:34,00901.00,00903.75,00901.00,00903.00,290,899.75

Each price in the file must be in decimal format. 

Source Up/Down Tick Data file is an ASCII text file with a comma separated values (*TC.CSV format). This file contains intra day One minute tick data. The Converter uses this file with CC Data file together to create new one with a different tick data format.

There are 8 fields in every line, the order of fields is: 

 - ticker contract symbol ( ES, NQ ... )
 - time frame (interval)
 - date 
 - time (from beginning of interval) 
 - Up Ticks
 - Down Ticks
 - Up Volume
 - Down Volume

Example: 
ES01,020307,08:37,64,51,532,406

Destination file

Destination File is a file where new data is written after conversion. The common rule for destination file name is - "Source file name" + ". Where "time frame" is "01", "03", "05" � and so on, "session mark" is "R" (regular) for day session data and "G" (globex) for day + night sessions data.
If  "Compose tick data" option is chosen with "None (Volume/CCclose only)" value, there will be No any mark added to the destination file name. (ES0206_30R.CSV for instance)
In case you choose "Compose tick data" option with "Up/Dn Tick" value, there will be "T" mark added to the destination file name. (ES0206_30RT.CSV for instance)
In case you choose "Compose tick data" option with "Up/Dn Volume" value, there will be "V" mark added to the destination file name.(ES0206_30RV.CSV for instance)
In case you choose "Compose tick data" option with "Volume/ Ticks" value there will be "W" mark added to the destination file name.(ES0206_30RW.CSV  for instance)

All destination Data files have ".csv" extension.
 

Time Frame

Time Frame - is an option to check the time frame you wish convert data. There are 8 time frames - 01 minute, 03, 05, 10, 15, 20, 30 and 60 minutes. Every bar is constructed by trades from the beginning to the end of the time period. For example : the bar 15:45 of 15-min data includes trades between 15:45:00 and 15:59:59. The only bar 15:00 of 60-min data includes trades from 15:00:00 to 15:14:59 and only bar 16:00 of 60-min data includes trades from 15:30:00 to 15:59:59. The data in Source File usually is in the 1-min time frame.

Time Format

Time Format is an option to check the time format for converted data. For intraday data, the time must be stored in 24-hour format. For example, 1:15pm would be entered as 1305 or 13:05, and 10:00am as 1000 or 10:00. You can choose format with or without colon. There are two formats: "hh:mm" (with colon) - for MetaStock software and "hhmm" (without colon) - for TradeStation software. The data in Source File must have time in "hh:mm" format only.

Date Format

Date Format is an option to check the date format for data conversion. Dates are presented in Y2K compliant formats. Y2K Compliant Formats Examples MM/DD/YYYY 01/27/1998 YYYYMMDD 19981127 There are two formats in CC Data converter: "mm/dd/yyyy" and "yyyymmdd" . The data in Source File must have Date in "yymmdd" format only.

Trade Hours

Trade Hours - is an option to check the time period you wish to include into converted data.  "Day / night session" marks 24 hours Globex session and others includes " data for day session only" with start time of 07:00, 07:20, 08:00 or 08:30 (all in CST).  Destination File name will include R or G char - "session mark" where "R" (regular) is for day session data and "G" (Globex) is for day + night sessions data. The data in Source File usually is "day and night sessions" (Globex Time Hours).

Continuous (adjusted) Close

Continuous (adjusted) close price (O/I field) is without decimal point (example: 1036.25 ==>103625). This option allows to convert CC Close into the value without decimal point. It useful as the O/I field must be an integer. To create real value of CC Close for usage in your functions you have to divide OI by 100 (CCClose=OI*0.01).

Header Line

Header Line is a line you can insert as a first line of the converted data file. There are two header lines:
- "Other","Other","Date","Time","O","H","L","C","V","OI" - for TradeStation data files;
- <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>,<O/I> for MetaStock data files;
The data in Source File have no Header line.


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