/* summary.c Summarize GLOBEX Futures Market data (C) Copyright 2008 Eric Shalov. All Rights Reserved. Trading days: 3pm-4pm closing Monday 5pm-4pm closing Tue-Fri */ #include #include #include char data_filename[] = "6E.dat"; char output_filename[] = "6E.summary"; struct day_data { long date; long start_time,end_time; time_t start_time_t, end_time_t; float open,high,low,close; long volume; long largest_trade; long num_trades; }; int num_days = 0; struct day_data day[1000]; int main() { FILE *f, *of; long date,time,trading_date; float price; long size; long trade = 0; int i, index; struct tm start_of_trading_day_tm; time_t start_of_trading_day_t; struct tm trade_tm; time_t trade_t, t; struct tm *tm_calculated; if( ! (of=fopen(output_filename,"w"))) { fprintf(stderr,"Error opening `%s'.\n", output_filename); return 1; } if( (f=fopen(data_filename,"r"))) { while( fscanf(f,"%ld %ld;%f;%ld", &date, &time, &price, &size) != EOF && (trade < 100000000)) { ++trade; if((trade%100000)==0) printf("Trade %ld: %08ld, %06ld, %6.4f, %8ld\n", trade, date, time, price, size); /* Okay, there's holidays with varient schedules and other fucked-up shit, but this seems to be our consistantly safe rule about CME schedules: If a given trade occurs on a Mon-Fri, AFTER 5pm, or on a Sunday AFTER 3pm, it's attributed to THE NEXT day, otherwise it is attributed to THAT day. ALL trades on Sunday are attributed to Sunday. */ if(0) printf("\nDate: %08ld, Time=%06ld\n", date, time); /* Check if trade occured on a Sunday or on AFTER 5pm Mon-Fri Chicago time, and if it DID, attribute the trade's effective trading date to the NEXT day */ trade_tm.tm_sec = time % 100; trade_tm.tm_min = (time / 100) % 100; trade_tm.tm_hour = (time / 10000); trade_tm.tm_mday = date % 100; trade_tm.tm_mon = ((date % 10000) / 100) - 1; /* months since January [0-11] */ trade_tm.tm_year = (date / 10000) - 1900; /* years since 1900 */ trade_tm.tm_zone = NULL; if(0) printf("trade_tm: sec=%d, min=%d, hour=%d, mday=%d, mon=%d, year=%d\n", trade_tm.tm_sec, trade_tm.tm_min, trade_tm.tm_hour, trade_tm.tm_mday, trade_tm.tm_mon, trade_tm.tm_year); trade_t = mktime(&trade_tm); tm_calculated = localtime(&trade_t); /* if it's a Sunday or it's after 5pm, change the trading date to the next day */ if((tm_calculated->tm_wday == 0) || (time >= 170000)) { if(0) printf("%08ld %06ld: Trade occured on Sunday or after 5pm, trade is for tomorrow's trading day.\n", date,time); t = trade_t + 60*60*24; /* Step forward one day */ tm_calculated = localtime(&t); trading_date = (tm_calculated->tm_year+1900)*10000 + (tm_calculated->tm_mon+1)*100 + tm_calculated->tm_mday; } else { trading_date = date; } if(0) printf("Trading_date: %08ld\n", trading_date); /* Determine the start of the trading day on which this trade occured- The start is always the day before the closing "trading day" */ /* if the trade is after 5pm (or 3pm on Sundays), trading started the PREVIOUS day, otherwise it started on THAT day */ start_of_trading_day_tm.tm_hour = 00; start_of_trading_day_tm.tm_min = 00; start_of_trading_day_tm.tm_sec = 00; start_of_trading_day_tm.tm_mday = trading_date % 100; start_of_trading_day_tm.tm_mon = ((trading_date % 10000) / 100) - 1; /* months since January [0-11] */ start_of_trading_day_tm.tm_year = (trading_date / 10000) - 1900; /* years since 1900 */ start_of_trading_day_tm.tm_zone = NULL; start_of_trading_day_t = mktime(&start_of_trading_day_tm) - 60*60*24; tm_calculated = localtime(&start_of_trading_day_t); /* If the "trading day" (when it ends) is Monday, then start of trading time is 3pm (Sunday), otherwise it's 5pm */ if(tm_calculated->tm_wday == 1) { start_of_trading_day_tm.tm_hour = 15; start_of_trading_day_tm.tm_min = 00; start_of_trading_day_tm.tm_sec = 00; } else { start_of_trading_day_tm.tm_hour = 17; start_of_trading_day_tm.tm_min = 00; start_of_trading_day_tm.tm_sec = 00; } start_of_trading_day_tm.tm_mday = tm_calculated->tm_mday; start_of_trading_day_tm.tm_mon = tm_calculated->tm_mon; start_of_trading_day_tm.tm_year = tm_calculated->tm_year; if(0) printf("start_of_trading_day_tm: sec=%d, min=%d, hour=%d, mday=%d, mon=%d, year=%d\n", start_of_trading_day_tm.tm_sec, start_of_trading_day_tm.tm_min, start_of_trading_day_tm.tm_hour, start_of_trading_day_tm.tm_mday, start_of_trading_day_tm.tm_mon, start_of_trading_day_tm.tm_year); start_of_trading_day_t = mktime(&start_of_trading_day_tm); if(0) printf("Date: %08ld, Time: %06ld, Seconds into trading day: %ld\n", date, time, trade_t-start_of_trading_day_t); /* see if we're already tracking that day, check backwards */ index = -1; for(i=num_days-1;(i>=0) && (index==-1);i--) if(day[i].date == trading_date) index=i; if(index != -1) { ++day[index].num_trades; day[index].volume += size; if(price < day[index].low) day[index].low = price; if(price > day[index].high) day[index].high = price; if(size > day[index].largest_trade) day[index].largest_trade = size; if(trade_t < day[i].start_time_t) { day[index].start_time_t = trade_t; day[index].start_time = time; day[index].open = price; } if(trade_t > day[i].end_time_t) { day[index].start_time_t = trade_t; day[index].end_time = time; day[index].close = price; } } else { /* Add new date */ day[num_days].date = trading_date; day[num_days].start_time = time; day[num_days].end_time = time; day[num_days].start_time_t = trade_t; day[num_days].end_time_t = trade_t; day[num_days].open = price; day[num_days].high = price; day[num_days].low = price; day[num_days].close = price; day[num_days].volume = size; day[num_days].largest_trade = size; day[num_days].num_trades = 1; ++num_days; } } } else { fprintf(stderr,"Error opening `%s'.\n", data_filename); return 1; } printf("Analyzed %ld trades over %d trading days.\n", trade, num_days); for(i=0;i