SetContext vs GetExternalSymbol

ss161

#1

11/30/2009 1:42 PM

I've read the two quick ref's repeatedly, but I'm having issues using both SetContext and GetExternalSeries and i don't understand when one should be used vs the other.

Here are some specific questions (whenever I use either of the above i have synch set to true):
1. if SetContext is called and the symbol is not in the current dataset but is in another dataset, I believe SetContext sets the Bars object to the data from the other dataset -- similar to GetExternalSeries being called without a dataset name specified. In one dataset, I have the symbol: AGII and for some reason, there is no data for it in the dataset (Yahoo provider, daily data). Separately, i have the same symbol in a Fidelity 5 minute dataset. It seems when i call SetContext( "AGII", true ). the bars object is set to the 5 minute object and then the system attempts to Synch it to my timeframe (which happens to be weekly). There seems to be a bug in this synchronization process as the data is not returned as weekly data.

2. Following in the above example where there is a symbol in a dataset with no data in it, I want Wealth-Lab to generate a runtime error (for which I am trapping in code), but Wealth-Lab doesn't seem to do that. Regardless of whether I specify the DataSetName or leave the DataSetName out, Wealth-Lab ignores the fact that the symbol is in my List but with no data and goes and tries to return the 5 minute bar data -- but with some synchronization error as above. How can I make Wealth-Lab generate the run-time error?

3. Can you provide guidance as to when GetExternalSeries should be used vs SetContext?

4. I think if GetExternalSeries is called with a specified DataSetName and the data can not be found, instead of Wealth-Lab going and search through other datasets for the symbol, it should Throw and error. If someone's gone through the effort to specify the dataset name and the symbol isn't there, the program probably shouldn't continue executing with other (possibly suspect data). (This last, not a question, but an opinion :) ).

Thanks for the help, as always!

Steve

here are the two quick ref entries:

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I've read the two quick ref's repeatedly, but I'm having issues using both SetContext and GetExternalSeries and i don't understand when one should be used vs the other.

Here are some specific questions (whenever I use either of the above i have synch set to true):
1.  if SetContext is called and the symbol is not in the current dataset but is in another dataset, I believe SetContext sets the Bars object to the data from the other dataset -- similar to GetExternalSeries being called without a dataset name specified.  In one dataset, I have the symbol:  AGII and for some reason, there is no data for it in the dataset (Yahoo provider, daily data).  Separately, i have the same symbol in a Fidelity  5 minute dataset.  It seems when i call SetContext( "AGII", true ). the bars object is set to the 5 minute object and then the system attempts to Synch it to my timeframe (which happens to be weekly).  There seems to be a bug in this synchronization process as the data is not returned as weekly data.

2.  Following in the above example where there is a symbol in a dataset with no data in it, I want Wealth-Lab to generate a runtime error (for which I am trapping in code), but Wealth-Lab doesn't seem to do that.  Regardless of whether I specify the DataSetName or leave the DataSetName out, Wealth-Lab ignores the fact that the symbol is in my List but with no data and goes and tries to return the 5 minute bar data -- but with some synchronization error as above.  How can I make Wealth-Lab generate the run-time error?

3.  Can you provide guidance as to when GetExternalSeries should be used vs SetContext?

4.  I think if GetExternalSeries is called with a specified DataSetName and the data can not be found, instead of Wealth-Lab going and search through other datasets for the symbol, it should Throw and error.  If someone's gone through the effort to specify the dataset name and the symbol isn't there, the program probably shouldn't continue executing with other (possibly suspect data).  (This last, not a question, but an opinion :) ).

Thanks for the help, as always!

Steve

here are the two quick ref entries:
[CODE]SetContext
void SetContext(string symbol, bool synchronize);

Sets the "context" of the Strategy to the symbol specified.  This means that subsequent Positions (BuyAtMarket, ShortAtMarket, etc.) will be entered on the new symbol.  Use this technique to backtest pairs trading Strategies, for example.  The synchronize parameter specifies whether the data for the new symbol will be automatically date-synchronized with the primary symbol (the one that the Strategy was originally executed on, and charted.)  If you defer synchronization, you can synchronize at a future point using the Synchronize function.  This is required if you want to plot the symbol, or indicators produced from it.  If data for the specified symbol is not available, SetContext will throw an error.

Remarks
Call RestoreContext to restore the context to the original symbol.

--------------------------------------------------------------------------------

Example
using System;
using System.Collections;
using System.Text;
using System.Drawing;
using WealthLab;

namespace WealthLab.Strategies
{
    public class MyStrategy : WealthScript
    {
        protected override void Execute()
        {
            SortedList Vlst = new SortedList( DataSetSymbols.Count );
            
            // Collect turnover values for the DataSet
            for(int ds = 0; ds < DataSetSymbols.Count; ds++)
            {
                SetContext( DataSetSymbols[ds], true );
                Vlst.Add( ds, Close[Bars.Count-1] * Volume[Bars.Count-1] );
                RestoreContext();
            }
            
            ICollection v = Vlst.Keys;
            foreach( int str in v )
                PrintDebug( DataSetSymbols[str] + " -- $" + Vlst[str] );
        }
    }
}

[/CODE]
[CODE]GetExternalSymbol
Bars GetExternalSymbol(string symbol, bool synchronize);
Bars GetExternalSymbol(string dataSetName, string symbol, bool synchronize);

Returns a Bars object for the specified stock/futures symbol.  The Bars object will be returned in the same data scale as the Bars object that the Strategy is currently operating on.  If data for the specified symbol is not available, this method will raise an error.  The synchronize method controls whether the returned Bars object will be automatically synchronized to the current Bars object.  This is important if you want to plot the Bars, or indicators that are created from it.  You can defer the synchronization by calling the Synchronize method at some later time.

Optional parameter dataSetName allows to specify the DataSet that will be searched when an external symbol is requested, which can differ from the DataSet of the symbol on which the Strategy is being executed.

Note: By specifying a DataSet with dataSetName, you are essentially specifying the associated Provider. If symbol is missing in the specified DataSet, but it's possible to find it in another DataSet of the same Provider, then it can be returned. This is in contrast to not specifying a DataSet in which case an alphabetical search through DataSets of any Provider is used to return the data.

--------------------------------------------------------------------------------

Example
protected override void Execute(){
    Bars msft = new Bars( "MSFT", BarScale.Daily, 1 );
    try
    {
        msft = GetExternalSymbol( "MSFT", true );
    }
    catch
    {
        PrintDebug( "No data or could not find series" );
    }

ChartPane msftPane = CreatePane( 50, true, true );
    PlotSymbol( msftPane, msft, Color.Blue, Color.Red );
    
}

[/CODE]

Cone

#2

12/1/2009 3:44 AM

1. SetContext finds the symbol in the current DataSet, but if not there it finds it in the first DataSet [from the same provider?] alphabetically. I'm not sure why there'd be a synch problem, so please create a ticket so we don't lose track of it.

2. Turn off Data On-demand?

3. In Version 5, SetContext is only needed if you need to create trades on a secondary symbol. GetExternalSeries provides the most flexibility if you just need to access secondary data to create indicators.

4. Seems like we've talked about this before, but the design is to try to find the data, and frankly it seems like it would take an act of God to change it now.

ss161

#3

12/1/2009 11:22 AM

1. i'll create a support ticket
2. i never use data on demand
3. VERY HELPFUL EXPLANATION thanks. I'll only use SetContext if / when i want to trade the symbol.

By the way, I think I discovered an interesting undocumented feature or bug depending on how you look at it. If I SetContext( DataSetSymbols[i], true) to get a new context, and then SetContext to the next symbol in the list the next time through the loop without first restoring context, the Data from the new symbol comes in synchronized with the data from the last symbol, not the original "clickedsymbol". i think it's more of a bug than a feature because the data getting pulled in never extends back in time, only closer to the present.

4. we have talked about a related point before and the struggle is i've used the approach required by that discussion, but still have problems. i've attached some code below where i've wrapped the call to GetExternalSymbol in a Try / Catch statement and I'm specifying the current dataset name in the call. I would have thought this was as bullet proof as possible, but yet if there is an empty symbol int he curent dataset but the symbol exists somewhere else, it goes to the "somewhere else spot" to grab the data. this is the part that doesn't make sense. if you have any other coding suggestion, i'd appreciate it.

thanks.

CODE:
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1.  i'll create a support ticket
2.  i never use data on demand
3.  VERY HELPFUL EXPLANATION thanks.  I'll only use SetContext if / when i want to trade the symbol.

By the way, I think I discovered an interesting undocumented feature or bug depending on how you look at it.  If I SetContext( DataSetSymbols[i], true) to get a new context, and then SetContext to the next symbol in the list the next time through the loop without first restoring context, the Data from the new symbol comes in synchronized with the data from the last symbol, not the original "clickedsymbol".  i think it's more of a bug than a feature because the data getting pulled in never extends back in time, only closer to the present.

4.  we have talked about a related point before and the struggle is i've used the approach required by that discussion, but still have problems.  i've attached some code below where i've wrapped the call to GetExternalSymbol in a Try / Catch statement and I'm specifying the current dataset name in the call.  I would have thought this was as bullet proof as possible, but yet if there is an empty symbol int he curent dataset but the symbol exists somewhere else, it goes to the "somewhere else spot" to grab the data.  this is the part that doesn't make sense.  if you have any other coding suggestion, i'd appreciate it.

thanks.
[CODE]
			// --------------------------------------------------------------------------------------------------------------------
			//  this can only be run in Single System Backtest mode.  If run in MSB it will generate an error
			//
			//  to run against every symbol, click on the bmrk symbol, or on any symbol with data going back at least as far as
			//  the start of the backtest
			// --------------------------------------------------------------------------------------------------------------------

WealthLabUtilities u = new WealthLabUtilities( this );
			WLReflection r 	= new WLReflection();
			string Mode		= r.Mode;
//			string Mode =		"SSB";
//			string Mode =		"MSB";

if (Mode == "SSB") {

DateTime dt 	= DateTime.Today;
				string bmrkdsn	= "SPY CORRELATED NAMES";
				benchmark_ua	= GetExternalSymbol( bmrkdsn, bmrkSym, true );
				DataSeries f	= u.GetDividendAdjustmentFactors( benchmark_ua );
				benchmark	= u.DividendAdjust( benchmark_ua, f );
				bmrk		= benchmark.Close;
				
				DataSeriesStatsFunctions sf	= new DataSeriesStatsFunctions( this );
				DataSeries bmrkLogRet		= sf.LogRet( bmrk, interval ); bmrkLogRet.Description = "bmrkLogRet";
				Utility ccu			= new Utility( this );
				string DataSetName		= ccu.GetDataSetName();
				for (int i = 0; i < DataSetSymbols.Count; i++) {

PrintStatusBar( "Loading Data ... " + DataSetSymbols[ i ] );
					try {
						Bars	sym_ua	= GetExternalSymbol( DataSetName, DataSetSymbols[ i ], true );
						Bars	sym		= null;
						f			= u.GetDividendAdjustmentFactors( sym_ua );
						sym			= u.DividendAdjust( sym_ua, f );
						sym_ua			= null;
						
						DataSeries	closeLog	= sf.Log( sym.Close ); closeLog.Description = "closeLog";
						DataSeries	closeLogRet	= sf.LogRet( sym.Close, interval ); closeLogRet.Description = "closeLogRet";

CAPM[]	c = null;
						c	= new CAPM[ numVars ];
						for (int j = 0; j < numVars; j++) {
							c[j]	= new CAPM( this, closeLogRet, bmrkLogRet, period[j] );
							c[j].AddMRTest( closeLog, period[j] );
						}
						int StartBar = Math.Max( maxDays + compPeriod, Bars.FirstActualBar + maxDays + compPeriod );
						for (int Bar = StartBar; Bar < sym.Count; Bar++ ) {
							if ( Bar == sym.Count -1 ) {
								Bar = sym.Count -1;
							}
							AlphaRank ar = null;
							if (	( ar.CloseT0 > minStockPr ) && 
							    	( ( ( sortChoice == 3 ) && ( Math.Abs(ar.TAlpha) >= TCutoff.Value ) ) || ( sortChoice != 3 ) ) &&
						    		( SMA.Value( Bar, sym.Volume, compPeriod ) > minVolume )
							   ) {
								AddData( ar, larl );
							}
						}
					} catch { 
						PrintDebug( "Error Loading Symbol:  " + DataSetSymbols[ i ] ); 
					}
				}
[/CODE]

Cone

#4

12/1/2009 12:08 PM

QUOTE:
By the way, I think I discovered an interesting undocumented feature...

Actually, it is intended to provide the most flexibility, and it's explained in the WealthScript Guide: DataSeries > Accessing Secondary Symbols > Secondary Series Synchronization > Note on Primary Bars.

Nonetheless, the QuickRef for SetContext doesn't cover that fine detail, so it probably should. The entry for GetExternalSymbol does cover it though: The synchronize method controls whether the returned Bars object will be automatically synchronized to the current Bars object.

Re: somewhere else spot
I understand what you're saying, but changing the baseline design requires an act of God (or a dozen customers calling in and complaining).

tomphm

#5

1/15/2020 5:58 AM

Is it possible to specify dataset to use in SetContext()? Thanks.

Eugene

#6

1/15/2020 6:03 AM

It's possible to specify the DataSet to use in GetExternalSymbol. Please refer to the QuickRef (F11).

tomphm

#7

1/15/2020 6:15 AM

Thanks Eugene. Yes, I understand that GetExternalSymbol allows to specify DataSet but I am interested in using SetContext. This is to simulate trading on secondary symbols.

Eugene

#8

1/15/2020 6:22 AM

I see. Sure you will find your question answered in the QuickRef for SetContext as well.

Hint:

1. Bars GetExternalSymbol(string dataSetName, string symbol, bool synchronize);
2. void SetContext(Bars bars);

tomphm

#9

1/16/2020 4:32 PM

Thanks.

Eugene

#10

1/16/2020 5:04 PM

You're welcome. Just to make it clear, the idea is to pass the Bars object created by GetExternalSymbol with the dataSetName overload, to SetContext.