C#

private static IEnumerable<string> ReadCommandBatches(IEnumerable<string> lines)
{
   var builder = new StringBuilder();
   forach (string line in lines)
   {
      if (string.Equals(line, "GO", StringComparison.OrdinalIgnoreCase))
      {
         if (builder.Length != 0)
         {
            yield return builder.ToString();
            builder = new StringBuilder();
         }
      }
      else
      {
         builder.AppendLine(line);
      }
   }
   
   if (builder.Length != 0)
   {
      yield return builder.ToString();
   }
}

public static void ExecuteScriptFile(SqlTransaction transaction, string filePath)
{
   var lines = File.ReadLines(filePath);
   foreach (string batch in ReadCommandBatches(lines))
   {
      using (var command = new SqlCommand(batch, transaction.Connection, transaction))
      {
         command.ExecuteNonQuery();
      }
   }
}

lordoftrades wrote:

so I need pretty detailed information I think

Quote:

If the date changed write out the last consolidated data and reinitialise the data consolidation with the values for the new date.

lordoftrades wrote:

Not sure though, how to write it out.

Quote:

1/3/2012,09:30:00,409.3,410,409,409.79,657901

lordoftrades wrote:

so there are many inputs for each date.

private struct DayTrade
{
    public DateTime DateOpen;
    public DateTime StartTime;
    public double OpenPrice;
    public double StartPrice;
    public double HighPrice;
    public double LowPrice;
    public int SharesTraded;
}

private List<DayTrade> DayTradeList = new List<DayTrade>();

// for splitting the data into lines
private char[] splitLineBreak = Environment.NewLine.ToCharArray();
// for splitting the data by comma
private char[] splitComma = new char[] {','};

// for use in parsing
private string currentLine;
private List<string> lineList = new List<string>();
private List<string> splitLineList = new List<string>();

// I prefer to work with Lists
lineList = data.Split(splitLineBreak, StringSplitOptions.RemoveEmptyEntries).ToList<string>();

for (int i = 0; i < lineList.Count; i++)
{
    // create a new struct
    DayTrade OneDaysTrade = new DayTrade();

    // get the current line
    currentLine = lineList[i];

    // split the current line by comma
    splitLineList = currentLine.Split(splitComma, StringSplitOptions.RemoveEmptyEntries).ToList<string>();

// somewhere in your parsing algorithm you are going to be using code like this:
   // OneDaysTrade.DateOpen = Convert.ToDateTime(splitLineList[0]);
   // OneDaysTrade.StartTime = Convert.ToDateTime(splitLineList[1]);
   // OneDaysTrade.OpenPrice = Convert.ToDouble(splitLineList[2]);
   //
   // and so forth

   // finally you are going to add the fleshed out struct to your List
    DayTradeList.Add(OneDaysTrade);
}