JTOOLS INTERVAL FILE GENERATOR


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Project Location: \JTools_IntervalFileGenerator


The Interval File Generator is very similar to the EOD File Generator but takes the data generation one step further by also providing true interval data. That is to say that if the timing interval is set to 1 minute then the values generated are for 1 specific minute in time. Along with true interval data the application can also generate timed EOD data, where data represents the composite values for the day.

The JTools_IntervalFileGenerator allows you to dump trade information for the entire universe of symbols in almost any fashion you desire. The system gathers information from NxCore Trade messages for interval data, and State Trades for EOD data. The application can be run from state files generated just before or at the desired time. Fields generated and field order, as well as symbol types (IE Equities, Futures, Indexes, etc) are determined by the usage strings (see below for a complete list of possible fields). It will dump the output to the console (if specified to) and to a dated-timed text file(s).

Console Application:

Below is the output as the Interval Generator starts up and begins to generate interval data:




Shown ending the defined period for interval data and beginning the defined period for EOD data:




And shown here generating Interval data every minute and EOD data every 5 minutes:




Output is exported to a text file for easy viewing or importing:

 
USAGE:
(This format is fixed. Arguments must be in the order specified. All arguments must be present).


JTools_IntervalFileGenerator Arg1 Arg2 Arg3 Arg4 Arg5 Arg6 Arg7 Arg8 Arg9 Arg10 Arg11 Arg12 Arg13 Arg14 Arg15 Arg16 Arg17 Arg18 Arg19 Arg20 Arg21


Arg1 - NxCore Filename (examples: E:\NxCoreData\20100506.IV.NXC,  E:\NxCoreStateFiles\20100506.0940.NXS)

Arg2 - Intraday Data Usage/Output String
       possible values:

       (s) Symbol (e) Listed Exg (d) Date (t) Time 
       (1) Open (2) High (3) Low (4) Last (5) NetChg (6) Total Volume (7) Tick Volume        
       (r) Price Type (f) Volume Type
       (u) UserData (i) Index

      
       Example:  "dtse1234567"  - Specifies Date, Time, Symbol, Exchange, Open, High, Low, Last, Total Volume, Total Tick Volume
       Usage letters can be in any order and output is based on the order entered.

Arg3 - EOD Data Usage/Output String
       possible values:

       (s) Symbol (e) Listed Exg (d) Date (t) Time 
       (1) Open (2) High (3) Low (4) Last (5) NetChg (6) Total Volume (7) Tick Volume        
       (r) Price Type (f) Volume Type
       (u) UserData (i) Index

       
       Example:  "dtse1234567"  - Specifies Date, Time, Symbol, Exchange, Open, High, Low, Last, Total Volume, Total Tick Volume
       Usage letters can be in any order and output is based on the order entered.

Arg4 - Symbol Types Usage/Output String 
       possible values:

       (b) Bonds (c) Currency (e) Equities (f) Futures (i) Indexes (m) Mutual Funds
       (o) Equity/Index Options (p) Future Options (s) Single Stock Options (z) Spreads

       Example:  "efi" - Specifies Equities,Futures and Indexes
       Usage letters can be in any order and output is based on the order entered.

Arg5 - Listed Exchange Filter
       "0" = Include all exchanges.
       If only specific exchanges are desired, enter those exchange here, comma seperated.
       IE for NYSE and NQEX - 3,12

Arg6 - Intraday Start Time (HHMM). Example - "0930"
        If use exact time is set to 0 (no), the system will start examing time from start time forward.

Arg7 - Intraday Stop Time (HHMM). Example - "1600"
        If use exact time is set to 0 (no), the system will exit once stop time is passed.

Arg8 - Intraday Time Interval (1-60)
        If use exact time is set to 0 (no), files will be generated every Time Interval, between
        start time and stop time.     

Arg9 - EOD Start Time (HHMM). Example - "0930"
        If use exact time is set to 0 (no), the system will start examing time from start time forward.

Arg10 - EOD Stop Time (HHMM). Example - "1600"
        If use exact time is set to 0 (no), the system will exit once stop time is passed.

Arg11 - EOD Time Interval (1-60)
        If use exact time is set to 0 (no), files will be generated every Time Interval, between
        start time and stop time.     

Arg12 - Decimal precision ("0" - "5", "-1" for auto based on price type)

Arg13 - Print headers in output file ("1" for yes, "0" for no)

Arg14 - Exchange Codes as Text ("1" for yes,"0" for no)

Arg15 - If you would like the output to be dispayed in the console ("1" for yes,"0" for no).

Arg16 - Process Empties. ("1" for yes, "0" for no)
        If set to yes, issues with no data for the day will be included and zeroed.
        If set to no, issues with no data will no be included.

Arg17 - Symbol Prefixes. ("1" for yes, "0" for no)
        If set to yes, symbol prefixes will be printed with the symbol.
        If set to no, symbol do not include the symbol prefix.

Arg18 - Gen on Satuday. ("1" for yes, "0" for no)
        If set to yes, files will be generated on Saturdays.
        If set to no, no files are generated on Saturdays.

Arg19 - Gen on Sunday. ("1" for yes, "0" for no)
        If set to yes, files will be generated on Sundays.
        If set to no, no files are generated on Sundays.

Arg20 - Output folder.  Folder name were output is send. Example: "D:\EODDATA"
        "0" will put the output in the same folder the application is run in.

Arg21 - If you would like the output to be dispayed in an editor when complete,
        specify the full path of the editor, such as "C:\i386\notepad.exe". If
        no argument is given then no editor is launched.


I have included 2 batch files that are pre-coded to generate Intraday and EOD data in different manners. The batch files are titled as:
  • Interval_1_5.bat - Generates interval data every minute from 09:30 through 16:00 and EOD data once every 5 minutes from 16:00 to 20:00.
  • Interval_1_1.bat - Generates interval data every minute from 09:30 through 16:00 and EOD data once every minute from 09:30 to 20:00.
You MUST modify the files to correspond with an NxCore file(s) you have. Once that is done, simply click on one of these batch files from Windows explorer or run them from the command line. Output will be displayed in the console (with the exception of the Multiple.bat generation) and output files will be built containing the data requested.



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