Creating GICS DataSet in code

Author: traderray

Creation Date: 4/17/2010 6:24 AM

Wealth Lab » WealthScript (.NET) » Creating GICS DataSet in code

traderray

4/17/2010 6:24 AM

I have a strategy that is putting each symbol into a DataSet based on the GICS structure. The DataSet name is simply the GICS description for the symbol. For example, Symbol "A" is in Sector "Information Technology" so I create a DataSet with the name "Sector Information Technology" to contain the symbol "A" and all other symbols in that sector.

Some of the DataSets from this strategy are not being successfully created. Debug output indicates that they are being created. I have noticed that the DataSets not being created all contain an "&" in the name. Some DataSets with an "&" in their name are being created OK. But the ones that are being created OK do not show up in the DataSet list when I restart WLP. I believe all DataSets without an "&" are working OK. The "&" may or may not be the source of the problem but there certainly appears to be a pattern with it.

Here is the strategy with lots of Debug statements.

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Some of the DataSets from this strategy are not being successfully created.  Debug output indicates that they are being created.  I have noticed that the DataSets not being created all contain an "&" in the name.  Some DataSets with an "&" in their name are being created OK.  But the ones that are being created OK do not show up in the DataSet list when I restart WLP.  I believe all DataSets without an "&" are working OK.  The "&" may or may not be the source of the problem but there certainly appears to be a pattern with it.

Here is the strategy with lots of Debug statements.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using WealthLab;
using System.Collections;
using System.IO;
using WealthLab.DataProviders;      //* Gics is here *//

namespace WealthLab.Strategies
{
	public class GICSHolder
	{
		internal string symbol;
		internal string gics;
	}

public class BuildGICSDataSets : WealthScript
	{        
		protected override void Execute()
		{            
			List<GICSHolder> list = new List<GICSHolder>();
			
			foreach (string symbol in DataSetSymbols)
			{
				try 
				{
					PrintDebug("****************** Processing " + symbol);
					string sector = Gics.GetSector(symbol);         
					string industryGroup = Gics.GetIndustryGroup(symbol);
					string industry = Gics.GetIndustry(symbol);      
					string subIndustry = Gics.GetSubIndustry(symbol);

// Put GICS data into list
					
					GICSHolder holder = new GICSHolder();
					holder.symbol = symbol;
					
					holder.gics = "ISector " + Gics.GetDesc(sector);
					list.Add(holder);
					
					GICSHolder holder2 = new GICSHolder();
					holder2.symbol = symbol;
					holder2.gics = "IndGrp " + Gics.GetDesc(industryGroup);
					list.Add(holder2);
					
					GICSHolder holder3 = new GICSHolder();
					holder3.symbol = symbol;
					holder3.gics = "Indust " + Gics.GetDesc(industry);
					list.Add(holder3);				
				}

catch (Exception e)
				{
					PrintDebug("Error on symbol " + symbol);
					PrintDebug( e.Message );
				}    
			}
			PrintDebug("****************Processing list into files *****************");
			string gicshold = string.Empty;		
			string path = @"C:\Users\Ray-64bit\AppData\Roaming\Fidelity Investments\" +
				            @"WealthLabPro\1.0.0.0\Data\DataSets\";
			
			foreach(GICSHolder holder in list)
			{
				if (holder.gics != gicshold)
				{
					gicshold = holder.gics;
					PrintDebug(holder.gics);
					string file = path + holder.gics + ".xml";
					PrintDebug("Creating File: " + file);
					StreamWriter csv = new StreamWriter( file );
					csv.WriteLine("<?xml version=" + '"' + "1.0" + '"' + "?>");
					csv.WriteLine("<DataSet xmlns:xsi=" + '"' + "http://www.w3.org/2001/XMLSchema-instance" + '"' );
					csv.WriteLine("xmlns:xsd=" + '"' + "http://www.w3.org/2001/XMLSchema" + '"' + ">");
					csv.WriteLine("<Name>" + holder.gics + "</Name>");
					csv.WriteLine("<Scale>Daily</Scale>");
					csv.WriteLine("<BarInterval>0</BarInterval>");
					
					string s = "<DSString>";
					foreach(GICSHolder holder2 in list)
					{
						if (holder2.gics == gicshold)
						{
							s += ( holder2.symbol + "," );
						}
					}
					
					csv.WriteLine(s + "</DSString>");
					csv.WriteLine("<ProviderName>FidelityStaticProvider</ProviderName>");					
					csv.WriteLine("</DataSet>");
					csv.Close();
					csv = null;
				}				
			}
		}
	}
}[/CODE]

Eugene

4/17/2010 7:04 AM

It would make sense to include the name and the contents of a failing DataSet here.

P.S. To anyone interested, this is a spin-off of this thread: How to create/convert GICS database for symbols WL5

traderray

4/17/2010 8:43 AM

I deleted everything and completely restarted the process of building the GICS DataSets. All of the files were correctly created and I did not recreate the problem of some files not being created.

There are 10 Sectors, none of the sector description have an "&" and all 10 show up in the WLP DataSets list.

There are 24 industry groups, 11 industry groups have an "&" in the description and none of these show up in the DataSets list. The 13 descriptions without an "&" all show up.

There are 68 industries, 26 industries have an "&" in the description and none of these show up in the DataSets list. The 42 without an "&" all show up.

One of the DataSets not showing up in the WLP DataSets list is "IndGrp Automobiles & Components"

The contents of the file are:

<?xml version="1.0"?>
<DataSet xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
xmlns:xsd="http://www.w3.org/2001/XMLSchema">
<Name>IndGrp Automobiles & Components</Name>
<Scale>Daily</Scale>
<BarInterval>0</BarInterval>
<DSString>ALV,ARGN,ARM,AXL,BWA,CAAS,CTB,CXDC,DAI,DAN,DW,F,FDML,FSYS,GNTX,GT,HMC,HOG,JCI,MGA,MOD,NSANY,SMP,SORL,SRI,SUP,TEN,THO,TM,TRW,WATG,WBC,WGO,WPRT,XIDE,</DSString>
<ProviderName>FidelityStaticProvider</ProviderName>
</DataSet>

Eugene

4/17/2010 8:56 AM

It will work when you replace all the & (ampersand) signs with this string when writing to disk: &

In other words, you should modify the holder.gics string to holder.gics.Replace( "&", "&" );