FinTime --- data generation

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

Description of Programs

There are 2 programs included in this package:

• histgen - generation program for historical data

  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 - generation program for tick data

  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

Downloading the generation program

The data generation code is in a zipped file. Look at the file README for instructions.

Last updated December 2011