B
Badrinath
Hi,
This a long read. Sorry about that. I am new to VB and have no clue as to
how I can proceed. Any guidance would be appreciated.
I have to construct a single time series from a number of futures contracts
over a 52 year period. The data is in multiple .csv files and arranged such
that the data for each contract traded in a given quarter is given in blocks.
Typically, there are 4 or 5 contracts being traded at any given point in
time. Each file contains data for 1 year, starting from January 1952 till
June 2004.
CBOT - End-of-Day Futures Bulk Download 1972.
Wheat Futures
(Empty line here)
Date,Symbol,Month Code,Year Code,Open,High,Low,Close,Settlement,Volume,Open
Interest
19720103,W,H,1972,162.75,163.38,161.88,161.88,161.88,481,6774
19720104,W,H,1972,161.63,161.88,161.13,161.63,,653,6746
19720105,W,H,1972,162.25,163.75,162.13,162.88,,580,6671
: : : : : : : :
: :
19720103,W,K,1972,155.5,156.5,155.5,155.63,155.63,250,3413
19720104,W,K,1972,155.5,156.5,155.13,156.25,156.25,274,3421
19720105,W,K,1972,157,157.88,156.88,157.63,,240,3434
: : : : : : : : :
:
(Data on settlement prices is not available in a lot of cases)
The date information has to be transformed to the dd/mm/yyyy format and
retained along with the close price, volume and open interest. H, K, N, U and
Z refer to the March, May, July, September and December contracts,
respectively. The time in days till the end of the contract or time to
maturity (trading days, excluding weekends and holidays) needs to be computed
for each futures contract as well.
I need to create a series of close prices based on certain criteria. There
are four different criteria and each needs to be applied separately to the
data.
1. The series begins with the nearest contract (in the data given above, it
would be the March 1972 contract). Two working days before the contract
month, say the 27th of February, we switch to the May contract (if it is not
traded, then to the July contract), and then to the July contract and so on
till we reach the end.
2. The series is constructed as a weighted sum of the nearest and the next
nearest contract being traded, the weights being a polynomial function of the
time to maturity. Again, the switch from one contract to the next is done two
working days before the contract month. The weights sum to one.
3. The series is constructed weighted on the volumes of all contracts being
traded.
4. Same as (3) except that weighting is based on the open interest.
The weights sum to one in (2), (3) and (4).
Thanks in advance.
This a long read. Sorry about that. I am new to VB and have no clue as to
how I can proceed. Any guidance would be appreciated.
I have to construct a single time series from a number of futures contracts
over a 52 year period. The data is in multiple .csv files and arranged such
that the data for each contract traded in a given quarter is given in blocks.
Typically, there are 4 or 5 contracts being traded at any given point in
time. Each file contains data for 1 year, starting from January 1952 till
June 2004.
CBOT - End-of-Day Futures Bulk Download 1972.
Wheat Futures
(Empty line here)
Date,Symbol,Month Code,Year Code,Open,High,Low,Close,Settlement,Volume,Open
Interest
19720103,W,H,1972,162.75,163.38,161.88,161.88,161.88,481,6774
19720104,W,H,1972,161.63,161.88,161.13,161.63,,653,6746
19720105,W,H,1972,162.25,163.75,162.13,162.88,,580,6671
: : : : : : : :
: :
19720103,W,K,1972,155.5,156.5,155.5,155.63,155.63,250,3413
19720104,W,K,1972,155.5,156.5,155.13,156.25,156.25,274,3421
19720105,W,K,1972,157,157.88,156.88,157.63,,240,3434
: : : : : : : : :
:
(Data on settlement prices is not available in a lot of cases)
The date information has to be transformed to the dd/mm/yyyy format and
retained along with the close price, volume and open interest. H, K, N, U and
Z refer to the March, May, July, September and December contracts,
respectively. The time in days till the end of the contract or time to
maturity (trading days, excluding weekends and holidays) needs to be computed
for each futures contract as well.
I need to create a series of close prices based on certain criteria. There
are four different criteria and each needs to be applied separately to the
data.
1. The series begins with the nearest contract (in the data given above, it
would be the March 1972 contract). Two working days before the contract
month, say the 27th of February, we switch to the May contract (if it is not
traded, then to the July contract), and then to the July contract and so on
till we reach the end.
2. The series is constructed as a weighted sum of the nearest and the next
nearest contract being traded, the weights being a polynomial function of the
time to maturity. Again, the switch from one contract to the next is done two
working days before the contract month. The weights sum to one.
3. The series is constructed weighted on the volumes of all contracts being
traded.
4. Same as (3) except that weighting is based on the open interest.
The weights sum to one in (2), (3) and (4).
Thanks in advance.