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what's meaning of each field in the t8 file?
#487204
02/10/23 00:11
02/10/23 00:11
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Joined: Jan 2023
Posts: 15
qin
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OP
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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;
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Re: what's meaning of each field in the t8 file?
[Re: qin]
#487209
02/10/23 23:38
02/10/23 23:38
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qin
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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";
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