public TimeSeries DailyReturns(int i, DateTime start, DateTime end)
{
var r = getReader(i);
TimeSeries ts = new TimeSeries(getTitle(i));
double lastVal = double.NaN;
foreach (var p in r.readData(0, 6, start, end)) {
double y = p.Y / lastVal - 1;
if (lastVal == double.NaN) y = 0;
ts.Add(p.X, y);
lastVal = p.Y;
}
return ts;
}
public void GetOpenCloseHighLow(string symbl, DateTime start, DateTime end, out TimeSeries open, out TimeSeries close, out TimeSeries high, out TimeSeries low)
{
var a = new Quote(symbl);
XDocument doc = null;
if (Properties.Settings.Default.PollWebAPI) {
doc = a.Fetch(start.Date, end);
if (doc == null) {
throw new Exception();
}
}
open = new TimeSeries(symbl);
close = new TimeSeries(symbl);
high = new TimeSeries(symbl);
low = new TimeSeries(symbl);
if (!Properties.Settings.Default.PollWebAPI) {
open = Open(symbl, start, end, 1);
high = Open(symbl, start, end, 2);
low = Open(symbl, start, end, 3);
close = Open(symbl, start, end, 4);
return;
}
foreach (var quote in doc.Descendants("quote")) {
open.Add(DateTimeAxis.ToDouble(DateTime.Parse(quote.Element("Date").Value)),
double.Parse(quote.Element("Open").Value));
close.Add(DateTimeAxis.ToDouble(DateTime.Parse(quote.Element("Date").Value)),
double.Parse(quote.Element("Close").Value));
high.Add(DateTimeAxis.ToDouble(DateTime.Parse(quote.Element("Date").Value)),
double.Parse(quote.Element("High").Value));
low.Add(DateTimeAxis.ToDouble(DateTime.Parse(quote.Element("Date").Value)),
double.Parse(quote.Element("Low").Value));
}
}
public TimeSeries Open2(string symbl, DataType type, DateTime start, DateTime end)
{
var a = new Quote(symbl);
XDocument doc = null;
if (Properties.Settings.Default.PollWebAPI) {
doc = a.Fetch(start.Date, end);
if (doc == null) {
throw new Exception();
}
}
TimeSeries ts = new TimeSeries(symbl);
if (type == DataType.AdjClose) {
if (!Properties.Settings.Default.PollWebAPI) {
return Open(symbl, start, end, 6);
}
foreach (var quote in doc.Descendants("quote")) {
ts.Add(DateTimeAxis.ToDouble(DateTime.Parse(quote.Element("Date").Value)),
double.Parse(quote.Element("Adj_Close").Value));
}
}
if (type == DataType.Volume) {
if (!Properties.Settings.Default.PollWebAPI) {
return Open(symbl, start, end, 5);
}
foreach (var quote in doc.Descendants("quote")) {
ts.Add(DateTimeAxis.ToDouble(DateTime.Parse(quote.Element("Date").Value)),
double.Parse(quote.Element("Volume").Value));
}
}
if (type == DataType.Close) {
if (!Properties.Settings.Default.PollWebAPI) {
return Open(symbl, start, end, 4);
}
foreach (var quote in doc.Descendants("quote")) {
ts.Add(DateTimeAxis.ToDouble(DateTime.Parse(quote.Element("Date").Value)),
double.Parse(quote.Element("Close").Value));
}
}
if (type == DataType.Open) {
if (!Properties.Settings.Default.PollWebAPI) {
return Open(symbl, start, end, 1);
}
foreach (var quote in doc.Descendants("quote")) {
ts.Add(DateTimeAxis.ToDouble(DateTime.Parse(quote.Element("Date").Value)),
double.Parse(quote.Element("Open").Value));
}
}
if (type == DataType.High) {
if (!Properties.Settings.Default.PollWebAPI) {
return Open(symbl, start, end, 2);
}
foreach (var quote in doc.Descendants("quote")) {
ts.Add(DateTimeAxis.ToDouble(DateTime.Parse(quote.Element("Date").Value)),
double.Parse(quote.Element("High").Value));
}
}
if (type == DataType.Low) {
foreach (var quote in doc.Descendants("quote")) {
ts.Add(DateTimeAxis.ToDouble(DateTime.Parse(quote.Element("Date").Value)),
double.Parse(quote.Element("Low").Value));
}
}
return ts;
}
public TimeSeries Open(int i, DateTime start, DateTime end, int fieldIdx = 6)
{
TimeSeries ts = new TimeSeries(getTitle(i));
var r = getReader(i);
try {
foreach (var p in r.readData(0, fieldIdx, start, end)) {
ts.Add(p.X, p.Y);
}
}
catch{
}
return ts;
}
public TimeSeries Open(string symbol, DateTime start, DateTime end, int fieldIdx = 6)
{
TimeSeries ts = new TimeSeries(symbol);
var r = getReader(symbol);
try {
foreach (var p in r.readData(0, fieldIdx, start, end)) {
ts.Add(p.X, p.Y);
}
} catch {
}
return ts;
}
public TimeSeries GetDiffs()
{
double lastVal = double.NaN;
TimeSeries ts = new TimeSeries(this.Name);
///Notice that this for loop iterates forward in time
for (int i = domain.Count() - 1; i >= 0; i--) {
double y = range[i] / lastVal - 1;
if (double.IsNaN(lastVal)) y = 0;
ts.Add(domain[i], y);
lastVal = range[i];
}
return ts;
}
