Traders' Roundtable

I've bought 20 months of individual generic front-month "tickdata" from the Singapore exchange.

What's the easiest way to create a "back-adjusted" data file for TradeStation simulations assuming that the data should be rolled at expiration?

Is is possible to write an algorithim in Excel to do that ?


The data format is the followings:

date", "time", "close"
1/08/04,10:45,2285
1/08/04,10:45,2286
1/08/04,10:46,2283
1/08/04,10:46,2281
1/08/04,10:46,2284
1/08/04,10:47,2283

Please help. thanks a lot.

Save yourself the hassle by ringing CSI & purchasing Unfair Advantage. It does what you want & more (no, I don't work for them).

Go ahead and correct me if I'm wrong but isn't CSI limited to end of day data? I just flipped thru my UA manual and it implies this to be the case.

Yes CSI is just EOD.

It may be possible to do the back adjusting in Excel - but this seems like a blunt instrument. Excel will puke at the sheer volume of data to start with.

I would use some form of procedural language - C, Delphi, Matlab ... whatever. Doesn't really matter. It would be a trivial task in just about any language.

I presume of course that you understand how to back adjust, there are various techniques.

All the best.