Translating dynamic watchlist script

dansmo

#1

2/26/2010 2:42 AM

Hello,

I am using a script from cone that gives back a boolean if a symbol is on a speciified list that is stored in txt files.
Can someone translate it to v5 code?

CODE:
Please log in to see this code.

Maybe this is something for community.components?

Size:

Color:

Hello,

I am using a script from cone that gives back a boolean if a symbol is on a speciified list that is stored in txt files.
Can someone translate it to v5 code?

[CODE]
{ Read a list of symbols into a tlist }
Procedure TListSymbols( var lstSymbols : TList; Path : string ) ;
begin
  var i, hFile: integer;
  var StrIn, Sym : string ;
  lstSymbols := TList.Create;
  //print( path) ;
  try
    hFile := FileOpen( Path );
  except
    ShowMessage( 'Could not open file for ' + Path + 'directory does not exist' );
    exit;
  end;

{ Load file to TList }
  //StrIn := FileRead( hFile ); // Read Optional Header record if used
  while not FileEOF( hFile ) do
  begin
    StrIn := FileRead( hFile );
    // File contains <TAB> separated values - set first value to TList
    lstSymbols.AddData( GetToken( StrIn, 0, #9 ), StrIn ) ;
    // Space separated values
    //lstSymbols.AddData( GetToken( StrIn, 0, ' ' ), StrIn ) ;
  end;
  FileClose( hFile ) ;
  PrintStatus( Path + ' is read ' );
end;// end of procedure

function SymOnWatch( Bar : integer ; var lstFiles, lstActiveSyms : TList ;
         var ActiveWatchlistDate : integer  ) : Boolean ;
begin
  var Date, i, j, k, TestDate, UseDate : integer ;
  var ActiveSymsPath : string ;
  Date := Getdate( bar ) ;
  i := lstFiles.indexOf( Date ) ;

if ( i > -1 ) then
  begin
    // A file is available on the bar
    lstActiveSyms.Clear();
    ActiveWatchlistDate := Date ;
    ActiveSymsPath := lstFiles.data( i ) ;
    TListSymbols( lstActiveSyms, ActiveSymsPath ) ;
  end
  else
  begin
    // Check for earlier active file not on current bar
    // ie weekend dated or before bar zero )
    UseDate := -1 ;
    j := lstFiles.indexOf( ActiveWatchlistDate ) ;
    if ( lstFiles.count > 0 ) and ( j + 1 < lstFiles.count-1 ) then
      for k := j + 1 to lstFiles.count - 1 do
      begin
        // Test for an earlier file to use
        TestDate := lstFiles.item( k ) ;
        if ( TestDate < Date ) then
          UseDate := Testdate
        else
          break;
      end;

if ( UseDate > -1 ) then
    begin
      // Load the earlier file as the current active watchlist file
      ActiveWatchlistDate := UseDate ;
      ActiveSymsPath := lstFiles.data( lstFiles.indexOf( UseDate ) ) ;
      TListSymbols( lstActiveSyms, ActiveSymsPath ) ;
    end;
  end;

// Check for active symbol and return result
  i := lstActiveSyms.indexOf( getSymbol ) ;
  if ( i = -1 ) then result := false else result := true ;
end;

//******************************************
Procedure WLstIBD100( var Lst: TList; var inputfile: string )  ;
begin
lst := TList.Create;
var hfile: integer;
var strin,path,test: string;
hFile := FileOpen(inputfile);
//List of effective dates and watchlist path
  while not FileEOF( hFile ) do
  begin
    StrIn := FileRead( hFile );
    StrIn := Trim(StrIn);
    // File contains <TAB> separated values - set first value to TList
    test := copy(StrIn,length(StrIn)-11,8);
    lst.AddData(StrToInt(test), StrIn ) ;
    // Space separated values
    //lstSymbols.AddData( GetToken( StrIn, 0, ' ' ), StrIn ) ;
  end;
  FileClose( hFile ) ;
  PrintStatus( Path + ' is read ' );
//lst.AddData(20010702,'C:\DAX_20010702.txt');

end;
[/CODE]

Maybe this is something for community.components?

Eugene

#2

2/26/2010 3:12 AM

Here are a few pointers from Wiki on An equivalent WealthScript function can't be found.

* For file operations, see StreamReader, StreamWriter etc.
* Replace TLists with List<> or other collections such as ArrayList, SortedList, Hashtable etc
* For string operations in C#, look at the String class methods

But honestly, it would be optimal to rewrite such kind of script from scratch in C# rather than trying to translate it.

1) How does the data file look like?
2) How were you using it?

dansmo

#3

2/26/2010 3:31 AM

QUOTE:

But honestly, it would be optimal to rewrite such kind of script from scratch in C# rather than trying to translate it.

Thats exactly why I did not want to use the Translator tool. I thought this would result in a total mess ;-).

The way I was using it was for survivorship bias. The funcion returns true if a symbol was in the list on a given bar.
The structure of the files is following:

One file is a library of all the available files that contain the symbols that are active from this file to the next file. The individual files have the naming convention xxxx_yyyymmdd.txt.
Lets assume you have these files:
DAX_20010702.txt
DAX_20010910.txt
DAX_20020923.txt
Each of those files holds a list of symbols that were in the index at this date. The list is one smybol at each line. The assumption is, that each symbol in the list is active or onWatch (how it is named in the v3 code) until the next file. If it still appears it was still in the index, if not it was dropped.

Additionally there is one file I named "Bestandsliste.txt", which is a library of all single files. So in this example "Bestandsliste.txt" holds in every line the names of the files
DAX_20010702.txt
DAX_20010910.txt
DAX_20020923.txt.

One can use this function for index components or any othere operation where one creates a watchlist that is replaced from time to time.

Eugene

#4

2/28/2010 3:51 AM

I don't find this design particularly appealing, i.e. having multiple files per index. In my opinion, having a file containing only the changes for a WatchList would be more optimal and would lead to a simpler design. For example:

1. FAQ 5: How can I perform a $imulation on an evolving WatchList of Index constituents?
2. Gbeltrame's TDynamicWatchList study, usage example #3.

If I was to include a class in Community.Components, I'd code it up to "FAQ 5..." and stick with it. Nonetheless, here's a quick example of reading a folder containing multiple files. You need to specify a folder, an index name, and pass the current Bars object.

Hint: please try picking a meaningful title to your forum thread... Stuff like "Translating this script", "Help me" etc. absolutely won't help other people interested in the same idea to join the discussion, suggest their ideas etc. "Evolving watchlist", "Dynamic watchlist in V5" - that's an example of a good title that attracts attention of other persons interested in overcoming survivorship bias.

CODE:
Please log in to see this code.

Size:

Color:

I don't find this design particularly appealing, i.e. having multiple files per index. In my opinion, having a file containing only the changes for a WatchList would be more optimal and would lead to a simpler design. For example:

1. [LINK=http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/kbase?id=121#FAQ%205]FAQ 5: How can I perform a $imulation on an evolving WatchList of Index constituents?[/LINK]
2. Gbeltrame's TDynamicWatchList study, usage example #3.

If I was to include a class in Community.Components, I'd code it up to "FAQ 5..." and stick with it. Nonetheless, here's a quick example of reading a folder containing multiple files. You need to specify a folder, an index name, and pass the current Bars object.

[i]Hint: [/i]please try picking a meaningful title to your forum thread... Stuff like "Translating this script", "Help me" etc. absolutely won't help other people interested in the same idea to join the discussion, suggest their ideas etc. "Evolving watchlist", "Dynamic watchlist in V5" - that's an example of a good title that attracts attention of other persons interested in overcoming survivorship bias.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

using System.Collections;
using System.IO;
using System.Globalization;

namespace WealthLab.Strategies
{
		public class Index
	{
		public string idx;
		public Dictionary<DateTime,symbolList> dict;
	}
	
	public class symbolList: List<object>
	{
		public List<string> symbols;
	}

public class IndexHelper
	{
		public string folder;
		public string index;
		public Bars bars;
		
		public IndexHelper( string folder, string index, Bars bars ) 
		{
			this.folder = folder;
			this.index = index;
			this.bars = bars;
		}
		
		public symbolList WatchList( int bar )
		{
			Index i = this.ScanFolder();
			DateTime dt = bars.Date[bar];
			symbolList lst = new symbolList();
				
			foreach( KeyValuePair<DateTime,symbolList> pair in i.dict )
			{
				if( bars.Date[bar] == pair.Key )
				{
					lst = pair.Value;
					break;
				}
				else
				{
					if( bars.Date[bar] > pair.Key )
						lst = pair.Value;
					else
						continue;
				}
			}
			
			return lst;
		}
		
		public DateTime LastIndexDate( int bar )
		{
			Index i = this.ScanFolder();
			DateTime dt = bars.Date[bar];
				
			foreach( KeyValuePair<DateTime,symbolList> pair in i.dict )
			{
				if( bars.Date[bar] == pair.Key )
				{
					dt = pair.Key;
					break;
				}
				else
				{
					if( bars.Date[bar] > pair.Key )
						dt = pair.Key;
					else
						continue;
				}
			}
			
			return dt;
		}
		
		public DateTime FirstIndexDate()
		{
			Index i = this.ScanFolder();
			List<DateTime> lst = new List<DateTime>();
			DateTime dt = new DateTime();

foreach( KeyValuePair<DateTime,symbolList> pair in i.dict )
				lst.Add( pair.Key );
			
			lst.Sort();
			dt = lst[0];
			
			return dt;
		}
		
		public Index ScanFolder()
		{
			Index i = new Index();
			i.idx = this.index;
			Dictionary<DateTime,symbolList> dict = new Dictionary<DateTime,symbolList>();
			
			foreach(string fileName in Directory.GetFiles( folder ))
			{
				string format = "yyyyMMdd";
				string idx = Path.GetFileNameWithoutExtension( fileName ).Split('_')[0];
				
				if( this.index == idx )
				{
					DateTime date = DateTime.ParseExact(					
						Path.GetFileNameWithoutExtension( fileName ).Split('_')[1], format, CultureInfo.InvariantCulture );
					symbolList s = this.ReadFile( Path.Combine( folder, fileName ) );
					dict.Add(date,s);
				}
			}
			
			i.dict = dict;
			return i;
		}
		
		public symbolList ReadFile( string file )
		{
			symbolList s = new symbolList();
			
			string[] lines = File.ReadAllLines(file);
			List<string> lst = new List<string>();
			for (int i = 0; i < lines.Length; i++)
				lst.Add( lines[i] );
			s.symbols = lst;
			
			return s;
		}		
	}
	
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			IndexHelper ih = new IndexHelper( @"C:\Data\", "DAX", Bars );			
			DateTime firstDateAvailable = ih.FirstIndexDate();
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
					// Test it
					iif( Bars.Date[bar] >= firstDateAvailable )
					{
						symbolList sl = ih.WatchList( bar );
						if( sl != null )
						{
							foreach (string s in sl.symbols )
								PrintDebug (s);
						}
					}
				}
			}
		}
	}
}[/CODE]

dansmo

#5

2/28/2010 5:14 AM

QUOTE:
1. FAQ 5: How can I perform a $imulation on an evolving WatchList of Index constituents?

Tis page says:

QUOTE:

Note that the solution above does not account for symbols that exit and reenter the WatchList. Another more complete, but more complex solution was posted by kgo in this thread (click).

And that is exactly why I the concept is designed as it is presented in posting #1- btw. If you read kgo´s thread you will see that I contributed there and acutally am using hsi method in WL4 ;-).

QUOTE:

Nonetheless, here's a quick example of reading a folder containing multiple files. You need to specify a folder, an index name, and pass the current Bars object.

Thank you. Will try it.

QUOTE:
Hint: please try picking a meaningful title to your forum thread... Stuff like "Translating this script", "Help me" etc. absolutely won't help other people interested in the same idea to join the discussion, suggest their ideas etc. "Evolving watchlist", "Dynamic watchlist in V5" - that's an example of a good title that attracts attention of other persons interested in overcoming survivorship bias.

You are absolutely right. I will change this in the future.

dansmo

#6

3/1/2010 3:07 AM

Hi Eugene,

I tried to get it run for every bar, but somehow this does not work.
I modified the Execute() part of the script:

CODE:
Please log in to see this code.

Why do I get "Object reference not set to an instance of an object" Error?

Eugene

#7

3/1/2010 4:41 AM

Our Wiki could give a hint on Object reference not set to an instance of an object, but I think it's because my code doesn't yet have a check for the existence of a symbol list on a date before the first date. It's a Sunday prototype, not a fully tested solution.