JTOOLS INTERVAL FILE GENERATOR - STOCKS/STOCK OPTIONS SPECIFIC JTools Table of Contents Project Location: \JTools_IntervalFileGeneratorGUI_StocksOptions The Interval File Generator for Stocks and Stock Options is very similar to the Standard Interval File Generator but contains some modifications and special features. Like the Standard Interval Generator, the data is 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. The JTools_IntervalFileGenerator for Stocks/Stock Options allows you to dump trade and nbbo information in almost any fashion you desire. The system gathers information from NxCore Trade/Quote messages for interval data. The application can be run from state files generated just before or at the desired time. Fields generated and field order 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 text file(s). The following interval data can be produced with the The JTools_IntervalFileGenerator for Stocks/Stock Options: One specific stock, all stocks or a specific alpha series of stocks. One specific stock and all underlying stock options. Specific alpha series of stocks and all underlying stock options. Data is output for each day to one file per symbol, or to a data-time series file containing all symbols (unlike the Standard Interval Generator which outputs data for all symbols only into date-time series files). Data is also collected using a different method than the Standard Interval Generator, in that each symbol has it's own composite structure with X possible data points (allocated at realtime and dependant on the timeframe requested). This is possible as the symbol scope (and hence memory usage) is more limited than the Standard Interval Generator (which can contain all symbols for all data types, equities, futures, indexes, etc). Another feature not possible with the standard interval generator is the ability to correct bar data based on cancellations and trade corrections (when Write On End-Of-Tape is selected) by capturing Category 25 Bar Correction Messgages. Finally, the JTools Interval Generator for Stocks/Stock Options also combines the functionality of the JTools Batch Processor to make processing data which spans days, months or years trivial. Batch Mode Parameters: Start Date - Date of the first historical file to be processed. Stop Date - Date of the last historical file to be processed. Tape Set - The NxCore 2 or 3 letter tape set code. Tape Path - Path to the historical tapes. Continue on Errors - If checked and an error occurs (such as a missing file in the sequence) processing will continue with the next file. If unchecked processing will stop on the first error encountered.   Output Parameters: Data Folder - Folder data files are created in. If blank the folders/files will be created in the same location the executable runs from. Start Time (HHMM) - Example - "0930" If use exact time is set to 0 (no), the system will start examining time from start time forward. Stop Time (HHMM) - Example - "1600" If use exact time is set to 0 (no), the system will exit once stop time is passed. Bar 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. Write On Interval - If checked, data files will be generated when each time interval is passed. No corrections are available for data generated in this manner. May be used in conjunction with Write On End-Of-Tape. Write On End-Of-Tape (or Stop Time) - If checked, data files will be generated either a) when the specified Stop Time has been reached or b) at the end of the tape (see below). May be used in conjunction with Write On Interval. Continue Until Complete Msg - If checked and Write On End Of Tape is also specified, data will be written when the tape completes as opposed to the specified Stop Time. This allows any corrections to be processed as corrections do not occur until after the actual trade data, sometimes much later. Symbol Based Files - If checked, files will be named and output according to the stock symbol. If unchecked, all symbols will be named and output to a single date-time based file. 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 (a) Best Ask (b) Best Bid (8) Best Bid Size (9) Best Ask Size (O) Open Interest (U) Underlying Symbol Stock Symbol - The symbol(s) to be output. For example, eSPY for one specific symbol or eS* for all stocks beginning with the letter 'S'. Generate Options Data - If checked, underlying options data will be output. Listed Exg Filter - "0"=Include all exchanges. If only specific exchanges are desired, enter those exchange here, comma separated. IE for NYSE and NQEX - 3,12 Print Headers - Print headers in output file if checked. Exg Codes as Text - If checked, exchange codes are output as text, otherwise they are output as numeric. Output to Activity Monitor - Output will be displayed in the activity monitor if checked. Process Empties - If checked issues with no data for the interval will be included and zeroed. If unchecked, only intervals where trading data was recorded will be output. Carry Through OHLC on Empty- If checked, a bar that has no trade data will carry the previous bar values for the Open,High,Low,Last values. Carry Through Bid Ask on Empty - If checked, a bar that has no new quote data will carry the previous bar values for the Best Bid, Best Ask, Best Bid Size and Best Ask Size. Output Symbol Prefix - If checked symbol prefixes will be output with the symbol. Gen on Sat - If checked files will be generated on Saturday. Gen on Sun - If checked files will be generated on Sunday. Decimal precision - ("0" - "5", "-1" for auto based on price type). Project Location: \JTools_IntervalFileGeneratorGUI_StocksOptions JTools Table of Contents