Y
yoyo2000
some rules about combining data in my mind'eye are below,because Englis
isn't my native language,if you feel puzzle about something inside,o
something incorrect,please make me know.
1.From the steps above,we have uniformed all the data files we hav
collected in a given
market,into a given formation,and we put them in a forlder together.
2.Assuming that we have three data files,which are name
file1,file2,and file3.
3.each raw of data(raw-data for short) is composed of seve
data:date(D),Open price(O),high price
(H),low price(L),close price(C),volumn(V),open interest(OI),an
tag(T),tag=the name of file which
the data are in.
4.We import all the raw-data into a single file,and sort all of them b
date
descendingly,that's,the date of the first line of data is the mos
recent day.of course,there are
more than one raw-data in some days.
5.We pick the raw-data with the biggest OI and regard it as valid dat
of the day.At the same
time,we make a judgement:if T in the valid data at one day(fo
instance,1998-9-12),equals the T of
the valid data in 1998-9-13,we don't record the C of 1998-9-12 in th
raw-data of 1998-9-13
,otherwise,we record it in the eighth col(C1),for the difference prov
that 1998-9-13 is a rolling
day.The process repeats till data up.
6.So far,we have a valid raw-data each day,in the day including 8th co
data,going backward the
date,the raw-data with the same T construct segments of data,w
subtract C1 from C at rolling day
in each segment,the result is the difference between two clos
prices(dif for short).
7.Then,all the price(=O,H,L,C) add dif from step 6th,we set dif of th
oldest day = 0,and accumulate difs from the oldest day,thus the sum o
dif alters when a rolling day is met,the difs in the same segment ar
the same.Then each price of the raw-data subtract its dif,by thi
means,the gaps between segments are eliminated.
8.Now each price in a raw-data plus the final sum of difs,thus all th
price move up/down wholly,making the price of the most recent date mee
the price of the real market at the same day.
Finally,the back continuous data of a market is built up.
And something cause my headache most is how to get the C1,in my initia
thought,in pre-process,8 series is needed
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|Filename: CAC 40.zip
|Download: http://www.excelforum.com/attachment.php?postid=2739
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isn't my native language,if you feel puzzle about something inside,o
something incorrect,please make me know.
1.From the steps above,we have uniformed all the data files we hav
collected in a given
market,into a given formation,and we put them in a forlder together.
2.Assuming that we have three data files,which are name
file1,file2,and file3.
3.each raw of data(raw-data for short) is composed of seve
data:date(D),Open price(O),high price
(H),low price(L),close price(C),volumn(V),open interest(OI),an
tag(T),tag=the name of file which
the data are in.
4.We import all the raw-data into a single file,and sort all of them b
date
descendingly,that's,the date of the first line of data is the mos
recent day.of course,there are
more than one raw-data in some days.
5.We pick the raw-data with the biggest OI and regard it as valid dat
of the day.At the same
time,we make a judgement:if T in the valid data at one day(fo
instance,1998-9-12),equals the T of
the valid data in 1998-9-13,we don't record the C of 1998-9-12 in th
raw-data of 1998-9-13
,otherwise,we record it in the eighth col(C1),for the difference prov
that 1998-9-13 is a rolling
day.The process repeats till data up.
6.So far,we have a valid raw-data each day,in the day including 8th co
data,going backward the
date,the raw-data with the same T construct segments of data,w
subtract C1 from C at rolling day
in each segment,the result is the difference between two clos
prices(dif for short).
7.Then,all the price(=O,H,L,C) add dif from step 6th,we set dif of th
oldest day = 0,and accumulate difs from the oldest day,thus the sum o
dif alters when a rolling day is met,the difs in the same segment ar
the same.Then each price of the raw-data subtract its dif,by thi
means,the gaps between segments are eliminated.
8.Now each price in a raw-data plus the final sum of difs,thus all th
price move up/down wholly,making the price of the most recent date mee
the price of the real market at the same day.
Finally,the back continuous data of a market is built up.
And something cause my headache most is how to get the C1,in my initia
thought,in pre-process,8 series is needed
+-------------------------------------------------------------------
|Filename: CAC 40.zip
|Download: http://www.excelforum.com/attachment.php?postid=2739
+-------------------------------------------------------------------