I am trying to analyze data from the dow jones cash market and the dow
futures market. i am having the following problem:
may trading program gives me data that runs in thusly, for example:
TIME PRICE
10:30 8250
10:30 8253
10:30 8248
10:31 8249
10:31 8250
The time does not include colons and does not pose a problem. What is
vexing, however, is that Stata cannot convert the data to a time series set
as my trading program does not differentiate between different values for
10:30 AM, for example; exporting the data to a text file and pasting in
Stata's data editor I have many different values for what appears to be
10:30, for example, but is actually 10:30 and so many seconds.
Unfortunately, I cannot get copyable data second by second from my trading
program (TradeStation). Is there any way I can code all of the 10:30
values, for example, so that i can get the first datum for 10:30, the
second, third, etc. coded in order to do an adequate time series analysis?
I want to analyze the market tick by tick and plot a day's worth of
statistics and run regressions with other markets. ANY help would be
greatly appreciated.
Thanks much,
Michael Carney
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