Combines JBookTrader marketData log files.

gistfile1.py

#!/usr/bin/env python
# Author Gregory Burd <gburd@ossus.com>
#
# The author places this work into the public domain.
# http://creativecommons.org/licenses/publicdomain/

import sys, re

count = len(sys.argv)
files = []
d = {}
p = re.compile('^[0-9]')

# Open the files
for i in range(len(sys.argv) - 1):
    files.append(open(sys.argv[i + 1], "r"))

# Skip the first 10 lines of each file
for i in range(len(sys.argv) - 1):
    for line in files[i]:
        if p.match(line):
            l = line.strip().split( "," )
            k = l[0] + l[1]
            d[k] = l

print """# This historical data file was created by JBookTrader, version 8.02
# Each line represents a 1-second snapshot of the market and contains 5 columns:
# 1. date in the MMddyy format
# 2. time in the HHmmss format
# 3. book balance
# 4. price
# 5. volume

timeZone=America/New_York
"""

# Output the sorted values from the dictionary
for r in [d[k] for k in sorted(d.keys())]:
    print r[0] + "," + r[1] + "," + r[2] + "," + r[3] + "," + r[4]