Important Change for Symbol Info Manager in Version 6.2

Author: Cone

Creation Date: 4/29/2011 11:06 AM

Wealth Lab » Wealth-Lab Developer/Pro » Important Change for Symbol Info Manager in Version 6.2

Cone

4/29/2011 11:06 AM

If you test futures/forex with Wealth-Lab 6, then please keep reading!

Based on the problems using the single wildcard character in the Symbol Info Manager (SIM), we're making a big change in WLP/D 6.2 for how the SIM matches symbols - Regular Expressions (RegEx).

For those not familiar with RegEx, it probably sounds scary, but for the purpose that we need it, you'll only need to know a few rules in order to create a single expression that will match all contracts for a particular commodity. In other words, you'll only need one SIM record per futures instrument.

Let start with an example. Let's assume you're testing the S&P 500 Emini contracts. Since there are 4 contracts per year, you'd need 16 records/symbols for 4 years of contracts, all with the same futures specifications. In WLP/D 6.2, you'll only need 1 record with the following "Symbol": ES[HMUZ]\d

1. The root of the contract is ES. Since these two letters are required to be matched, you specify them just as they are.
2. The third character is the month, and it will always be one of the four letters shown. The choices for the third character are grouped in brackets. It means that the character in the third position must match H or M or U or Z.
3. Finally, \d means "digit". It will match any digit character, 0 to 9.

Consequently, ES[HMUZ]\d matches any of these symbols (for example): ESM1, ESZ0, ESH8, etc. If your data provider uses spaces between the root and the month, then the expression would change to ES\s[HMUZ]\d, where \s matches a white space.

Special Characters
if you're like me you'll want to simplify and change everything to RegExpressions, but the good news with this far-reaching change is that it will almost not break your existing records. However, if you have symbols in your SIM that use any of the following special characters, then it is not compatible with RegEx and needs to be changed: \ ^ * . [ ] { } < > | ? +

Escape Character
The first of the special characters, \, is the "escape character". It's combination with a letter that follows it has special meaning as a RegEx, just as we saw above with \d and \s. However, if your futures symbol uses a special character, you can escape it so that it is matched as a literal character. For example, if your data provider has an e-mini symbol like ES+M1, then the expression for those contracts would become: ES\+[HMUZ]\d

Implied Anchors
Since the purpose of the SIM is to match entire "words", it's required to use a ^ at the beginning and a $ at the end of each expression. Since this is necessary for every record, we've simplified it so that you are not required (and should not) enter those characters around the symbol expressions. Wealth-Lab will do this automatically, behind the scenes.

For more information and handy RegEx cheat sheets, here are some links:
http://regexlib.com/CheatSheet.aspx
http://www.regular-expressions.info/reference.html
http://www.addedbytes.com/cheat-sheets/regular-expressions-cheat-sheet-version-1/
http://opencompany.org/download/regex-cheatsheet.pdf

If there are any doubts, clarification needed, or if you need help creating an expression for a group of symbols, just let us know.

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If you test futures/forex with Wealth-Lab 6, then please keep reading!

Based on the problems using the single wildcard character in the Symbol Info Manager (SIM), we're making a big change in WLP/D 6.2 for how the SIM matches symbols - [b]Regular Expressions (RegEx)[/b].

For those not familiar with RegEx, it probably sounds scary, but for the purpose that we need it, you'll only need to know a few rules in order to create a single expression that will match all contracts for a particular commodity.  In other words, you'll only need one SIM record per futures instrument.

Let start with an example.  Let's assume you're testing the S&P 500 Emini contracts.  Since there are 4 contracts per year, you'd need 16 records/symbols for 4 years of contracts, all with the same futures specifications.  In WLP/D 6.2, you'll only need 1 record with the following "Symbol":  [b]ES[HMUZ]\d[/b]

1. The root of the contract is ES.  Since these two letters are required to be matched, you specify them just as they are.
2. The third character is the month, and it will always be one of the four letters shown.  The choices for the third character are [i]grouped[/i] in brackets.  It means that the character in the third position must match H or M or U or Z. 
3. Finally, \d means "digit".  It will match any digit character, 0 to 9.

Consequently, ES[HMUZ]\d matches any of these symbols (for example): ESM1, ESZ0, ESH8, etc.  If your data provider uses spaces between the root and the month, then the expression would change to ES\s[HMUZ]\d, where \s matches a white space.

[b]Special Characters[/b]
if you're like me you'll want to simplify and change everything to RegExpressions, but the good news with this far-reaching change is that it will [i]almost[/i] not break your existing records. However, if you have symbols in your SIM that use any of the following special characters, then it is not compatible with RegEx and needs to be changed: \ ^ * . [ ] { } < > | ? +

[b]Escape Character[/b]
The first of the special characters, \, is the "escape character".  It's combination with a letter that follows it has special meaning as a RegEx, just as we saw above with \d and \s.  However, if your futures symbol uses a special character, you can escape it so that it is matched as a literal character.  For example, if your data provider has an e-mini symbol like ES+M1, then the expression for those contracts would become: [b]ES\+[HMUZ]\d[/b]

[b]Implied Anchors[/b]
Since the purpose of the SIM is to match entire "words", it's required to use a ^ at the beginning and a $ at the end of each expression.  Since this is necessary for every record, we've simplified it so that [i]you are not required (and should not)[/i] enter those characters around the symbol expressions.  Wealth-Lab will do this automatically, behind the scenes.

For more information and handy RegEx cheat sheets, here are some links: 
[LINK]http://regexlib.com/CheatSheet.aspx[/LINK]
[LINK]http://www.regular-expressions.info/reference.html[/LINK]
[LINK]http://www.addedbytes.com/cheat-sheets/regular-expressions-cheat-sheet-version-1/[/LINK]
[LINK]http://opencompany.org/download/regex-cheatsheet.pdf[/LINK]

If there are any doubts, clarification needed, or if you need help creating an expression for a group of symbols, just let us know.