In this second part of my Continuous Futures mini-series, we will convert our Sierra Chart continuous futures CSV data to Zorro’s T6 format.

Analysis of the CSV Data

Let’s take a look at the first few lines of the file, to see what we are parsing:

Date, Time, Open, High, Low, Close, Volume, NumberOfTrades, BidVolume, AskVolume
2008/11/26, 03:54:00, 848.25, 848.25, 848.25, 848.25, 1, 1, 0, 0
2008/11/26, 05:04:00, 846.50, 846.75, 846.50, 846.75, 2, 1, 0, 0
2008/11/26, 06:49:00, 843.25, 843.25, 843.25, 843.25, 5, 1, 0, 0
2008/11/26, 07:15:00, 844.00, 844.00, 844.00, 844.00, 1, 1, 0, 0
2008/11/26, 07:16:00, 844.00, 844.00, 844.00, 844.00, 1, 1, 0, 0
2008/11/26, 08:00:00, 846.75, 846.75, 846.75, 846.75, 1, 1, 0, 0

Any time that I am parsing from CSV to T6 format, I always start with Zorro’s CSVtoHistory template, but I would normally need to customize the CSV Format string to suit. As you can see, the purpose of the format string is to map all of the values into a T6 struct.

/*
typedef struct T6
{
	DATE	time;	
	float fHigh, fLow;	// (f1,f2)
	float fOpen, fClose;	// (f3,f4)	
	float fVal, fVol; // optional data, like spread and volume (f5,f6)
} T6; // 6-stream tick, .t6 file content
*/
string Format = "+%Y/%m/%d%,%H:%M:%S,f3,f1,f2,f4,f6,f5";

But there is a problem, which I determined experimentally. If I use this format code with the CSV as shown, the minutes do not parse at all. (All of the other values parse correctly.)

I have hypothesized that the space character between the date and the time is causing problems for Zorro’s parser.  Luckily, there is an easy workaround.  Easy, if you know C anyways!

Modification of the CSV Data

My approach is to modify the source data so that there are no longer any space characters.  I don’t really need the space characters at all, so good riddance!

Here is the code block:

#ifdef REMOVE_SPACES
	// first, remove all spaces from the input csv, and overwrite the file (no need to keep original).
	{
		string original = file_content(InName);
		if(!original){
			printf("\nError, cannot read original file!");
			return;
		}
		string output;
		int i; // position for input
		int j; // position for output
		int len = strlen(original);
		output = malloc(len);
		if(!output){
			printf("\nMalloc failed!");
			return;
		}
		memset(output,0,len);
		for(i=0; i< len; i++){
			char ch = original[i];
			switch(ch){
			case ' ':
				// do nothing
				break;
			default:
				output[j] = ch;
				j++;
			}
		}
		file_write(InName, output, strlen(output));
	}
#endif // REMOVE_SPACES

If you define REMOVE_SPACES at the beginning of your script, the code block will be activated.  It will overwrite your CSV and make it look like this:

Date,Time,Open,High,Low,Close,Volume,NumberOfTrades,BidVolume,AskVolume
2008/11/26,03:54:00,848.25,848.25,848.25,848.25,1,1,0,0
2008/11/26,05:04:00,846.50,846.75,846.50,846.75,2,1,0,0
2008/11/26,06:49:00,843.25,843.25,843.25,843.25,5,1,0,0
2008/11/26,07:15:00,844.00,844.00,844.00,844.00,1,1,0,0
2008/11/26,07:16:00,844.00,844.00,844.00,844.00,1,1,0,0
2008/11/26,08:00:00,846.75,846.75,846.75,846.75,1,1,0,0

You can get the final script here. Let’s run it!

We can investigate the T6 file using the ZHistoryEditor tool, from the Zorro website.

Batch T6 Conversions

Although I am not converting continuous futures in massive batches, I certainly am doing this with stocks. With minor modifications, I have been able to convert this script into a batch script. You can find the script here. I’ll let you figure out how it works.

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