originally by Kaippallimalil J. Jacob (kjacob@acm.org) but with the current version by Jeffrey Shmain and Vinod Sharma.
Dennis Shasha
Prof, Computer Science Dept
Department of Computer Science
Courant Institute of Mathematical Sciences
New York University
Dennis Shasha's home page
(shasha@cs.nyu.edu)
FinTime home page
There are 2 programs included in this package:
histgen takes 2 parameters
i) Scale-factor: Number of securities for which data is to be generated
ii) Depth of history: The number of days for which data is to be generated
(should be 4,000 when reporting benchmark results, but you may
choose fewer days for testing purposes of course).
4,000 days is the default.
histgen
generates 3 files:
a) base-file: contains all the static data
b) price-file: contains the pricing info
c) split-file: contains the split info
tickgen also takes 3 parameters
i) Scale-factor: Number of securities for which data is to be generated
ii) Ticks per day: A measure of the activity on a per security basis.
Default is 100 and should be used when reporting benchmarks.
iii) Number of days: Default is 90 and should be used when reporting
benchmarks.
tickgen generates 2 files
a) tick-base-file
b) tick-price-file
The data generation code is in a zipped file. Look at the file README for instructions.
Last updated December 2011