I see a lot of requests for this, and I am in need of it too. I would write this myself but just lack of time.
I am hoping I can ask for help from you guys to write a stand-alone Windows app which can convert tick and minute data between different formats, so that data shared from one platform can be imported into another.
- Identify each column on import
- Identify each column and order on export
- Modify date timestamp +/- based on an offset or timezone
- Choose delimiter
The biggest problem people have are with dates. So lets start there. Some files are formatted like so:
20101230 230001;1255.50;1
Which represents:
Date Time;Price;Volume
Some are formatted like so:
12/30/2010, 23:00:01, 1255.50, 1
Which represents same thing, but different formatting and delimiters. Also, we need to be able to add/subtract to the source data by a specified offset to account for timezone differences. Some platforms expect data to be imported in local time zone, some expect market time zone, some want GMT or UTC, etc. Keep in mind the entire date + time string has to be modified for this.
Sometimes there are also extra columns at the end, with bid ask information that some platforms choke on. So we need to be able to "map" a source column to an output column, and be able to discard some columns.
Sometimes the order of the columns needs to be changed as well, which is why we need a "map" feature that allows you to specify the ordering as well.
If anyone is willing to step up and write this application, I would be grateful. It would be nice if you would also share the source, so that others can improve upon it as well going forward and make it a community project.