Required File Preamble

The first three rows of the input file must be formatted as shown below, where the column indexes 1-12 indicate one-referenced token position, and row indexes 1-3 indicate one-referenced row position. The indicated column and row indexes are not part of the file and are shown for positional reference only.

Figure 1. Required CSV Input File Preamble Structure


All values in rows 2 and 3 are null (i.e., consecutive commas) except for positions 10 and 11 in row 3, which are non-negative floating point values. The cost and cost_benefit column values in row 3 will typically be values other than zero (though values of zero are valid and accepted for reasons described in subsequent sections of this document).

Figure 2. Example CSV Input File Preamble

class,expiry,strike,put_call,qty,theo,close_benefit,reserved,reserved,cost,cost_benefit

,,,,,,,,,,

,,,,,,,,,0.0,0.0

Note the actual strings used in the header line are not validated, and only the count matters. It is recommended but not required that the standard values presented above be used for clarity. That said, whitespace and embedded commas are not allowed in header string tokens. In certain examples below, rsvd is used rather than reserved in example header lines to save space. Such headers are accepted since the header tokens are not required to match the above specified values.

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