2024-08-16 20:32:26 +00:00
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import pandas as pd
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def convert_tick_data(input_file, output_file):
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df = pd.read_csv(input_file, skipinitialspace = True)
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df['Datetime'] = pd.to_datetime(df['Date'] + ' ' + df['Time'], format = '%Y/%m/%d %H:%M:%S.%f', errors = 'coerce')
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df = df.dropna(subset = ['Datetime'])
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df['FormattedDatetime'] = df['Datetime'].dt.strftime('%Y%m%d %H%M%S %f')
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nt_df = df[['FormattedDatetime', 'Last', 'Volume']]
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nt_df.columns = ['Datetime', 'Price', 'Volume']
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nt_df.to_csv(output_file, index = False, sep = ';', header = False)
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print(f"Tick data conversion complete. The output file has been saved as {output_file}")
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2024-08-17 15:12:50 +00:00
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if __name__ == '__main__':
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sierra_chart_export = 'C:\\SierraChart\\Data\\NQZ20-CME.txt'
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output_file = 'NQ 12-20.Last.txt'
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convert_tick_data(sierra_chart_export, output_file)
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