help cleaning up data and retrieving the time of day for high and low values...

I have several files (txt) for different trading instruments that are in the following format:

yyyymmdd hhmmss;open;high;low;close;volume

There should be 1 line for every minute of each trading day going back to 2010. Some of these lines are missing. What I would like to first do is fill the gaps. If a minute value is missing I would like to create a line with the closing value of the previous line for all 4 values of the new line but only if it is between the hours of 9:30 and 14:15 and monday-friday (the pit trading session).

The second thing I want to do is pullout the highest high value and the lowest low value of each day and the time that these values occurred but only during the pit session (9:30 to 14:15). I've included two files comprising almost 6 days of data if anyone can help.

Also if I'm being stupid and this is better accomplished in excel please let me know.

Most financial markets trade nearly 24 hours a day but there is a primary day session which runs from 9:30 am EST until 14:15 EST. In the data I provided the time stamps I believe are off by two hours which probably has to do with my time zone so it probably should be 7:30 until 12:15. This obviously means most of trading hours are outside this range.

Thanks so much for having a crack at it. I'm going to take a look at your code and run it but I really appreciate the help. This data is very unwieldy going back several years by the minute.

bsalv,

I'm very appreciative of your help but I still can't get this to work on my mac. I'm sure its something to do with file structure being different or a slightly different syntax but I can't get it to work. I wish I understood this stuff better but is there any chance you can upload one more excel file with the latest code?

Sorry - I'm sure its something simple but I know almost nothing about programming.

Thanks again.

So I've tried "Step Into" to figure out what my mac doesn't like. When I get to the line Set Dict = CreateObject("scripting.dictionary") I get the error message "License information for this component not found..."

If you have any idea of how to resolve this...