Gamestudio Links
Zorro Links
Newest Posts
Help with plotting multiple ZigZag
by degenerate_762. 04/30/24 23:23
M1 Oversampling
by 11honza11. 04/30/24 08:16
Trading Journey
by howardR. 04/28/24 09:55
Zorro Trader GPT
by TipmyPip. 04/27/24 13:50
Data from CSV not parsed correctly
by jcl. 04/26/24 11:18
Why Zorro supports up to 72 cores?
by jcl. 04/26/24 11:09
Eigenwerbung
by jcl. 04/26/24 11:08
AUM Magazine
Latest Screens
The Bible Game
A psychological thriller game
SHADOW (2014)
DEAD TASTE
Who's Online Now
2 registered members (degenerate_762, AndrewAMD), 877 guests, and 5 spiders.
Key: Admin, Global Mod, Mod
Newest Members
wandaluciaia, Mega_Rod, EternallyCurious, howardR, 11honza11
19049 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
what's meaning of each field in the t8 file? #487204
02/10/23 00:11
02/10/23 00:11
Joined: Jan 2023
Posts: 15
Q
qin Offline OP
Newbie
qin  Offline OP
Newbie
Q

Joined: Jan 2023
Posts: 15
what's meaning of each field in the t8 file?

Hello, there. I downloaded "SPY prices & options history (t6/t8 formats)" from zorro site. and I use CSVFromHistory to convert SPY_2012.t8 to SPY_2012t8.csv.
In the csv file, I see the following data. I know the first field is datetime, the second is option type, but I don't know the meaning of the left fields.

2012-12-31T00:00:00,2,20151219,220.00000,142.41000,85.00000,83.82000,0.00000,10.00000
2012-12-31T00:00:00,1,20151219,220.00000,142.41000,0.86000,0.58000,0.00000,0.00000
2012-12-31T00:00:00,2,20151219,215.00000,142.41000,80.29000,79.02000,0.00000,20.00000

I check zorro doc, there seems a t8 struct as follows. but it seems don't match the sequence of the above fields. Can anyone kindly tell me the meaning of the above fields?
typedef struct CONTRACT
{
DATE time; // UTC timestamp in DATE format
float fAsk,fBid; // premium without multiplier
float fVal,fVol; // additional data, like delta, open interest, etc.
float fUnl; // underlying price (unadjusted)
float fStrike; // strike price
long Expiry; // YYYYMMDD format
long Type; // PUT, CALL, FUTURE, EUROPEAN, BINARY
} CONTRACT;

Re: what's meaning of each field in the t8 file? [Re: qin] #487208
02/10/23 16:24
02/10/23 16:24
Joined: Feb 2017
Posts: 1,725
Chicago
AndrewAMD Online
Serious User
AndrewAMD  Online
Serious User

Joined: Feb 2017
Posts: 1,725
Chicago
Your script is formatting the CSV. Read it.

Re: what's meaning of each field in the t8 file? [Re: qin] #487209
02/10/23 23:38
02/10/23 23:38
Joined: Jan 2023
Posts: 15
Q
qin Offline OP
Newbie
qin  Offline OP
Newbie
Q

Joined: Jan 2023
Posts: 15
Thank you, Andrew. I check the CSVFromHistory script and find the format as follows. It says: Date,Expiry,Strike,Unl,Ask,Bid,Vol,Val. But this cannot match the data in my csv file.

// Date,Expiry,Strike,Unl,Ask,Bid,Vol,Val
string FormatT8 = "%Y-%m-%dT%H:%M:%S,i8,i7,f6,f5,f1,f2,f4,f3";

Re: what's meaning of each field in the t8 file? [Re: qin] #487211
02/11/23 12:48
02/11/23 12:48
Joined: Feb 2017
Posts: 1,725
Chicago
AndrewAMD Online
Serious User
AndrewAMD  Online
Serious User

Joined: Feb 2017
Posts: 1,725
Chicago
The comment is wrong.

i8 means the eighth field in the CONTRACT struct, which is Type.
i7 is the seventh: Expiry.
f6 is the sixth: Strike.

And so on.

Re: what's meaning of each field in the t8 file? [Re: qin] #487212
02/11/23 13:43
02/11/23 13:43
Joined: Jan 2023
Posts: 15
Q
qin Offline OP
Newbie
qin  Offline OP
Newbie
Q

Joined: Jan 2023
Posts: 15
thank you very much Andrew. So the match is as follows:
2012-12-31T00:00:00(time), 2(Type) ,20151219(Expiry), 220.00000(fStrike), 142.41000(fUnl), 85.00000(fAsk), 83.82000(fBid), 0.00000(fVol), 10.00000(fVal).

And I still have a question. For options, I don't know the meaning of fVol and fVal. is fVol open interest or volume ? is fVal delta or value?

Re: what's meaning of each field in the t8 file? [Re: qin] #487214
02/11/23 14:04
02/11/23 14:04
Joined: Feb 2017
Posts: 1,725
Chicago
AndrewAMD Online
Serious User
AndrewAMD  Online
Serious User

Joined: Feb 2017
Posts: 1,725
Chicago
It depends on how the history files were made. Those fields can be anything you want them to be.

Re: what's meaning of each field in the t8 file? [Re: qin] #487215
02/11/23 14:58
02/11/23 14:58
Joined: Jan 2023
Posts: 15
Q
qin Offline OP
Newbie
qin  Offline OP
Newbie
Q

Joined: Jan 2023
Posts: 15
the example data come from "SPY prices & options history (t6/t8 formats)" from zorro site. Do you know the meaning of fVol and fVal in this example?


Moderated by  Petra 

Powered by UBB.threads™ PHP Forum Software 7.7.1