Wealth-Lab Wiki

API ChartStyles Community Components Community Indicators IndexDefinitions Knowledge Base Misc Optimizers Pending Deletion PosSizers Providers Standard Indicators TASC Traders Tips TASCIndicators Tutorial Videos Visualizers
RSS

Navigation


Quick Search
»
Advanced Search »


WealthScript Techniques | Access Data from the Internet on-the-fly

RSS
A number of sites provide all sorts of helpful data in plain ASCII files. To utilize it, you can go the obvious way: download, save the file on your local hard disk and create a static DataSet with the help of the ASCII adapter. But when new data becomes available, you have to download the file again.

This example illustrates how, using the power of .NET classes, you could access remote sources of information on-the-fly in your trading strategy. After the raw data for the total Put/Call Ratio is downloaded from the CBOE website and becomes available as a DataSeries, the strategy is able to make its trading decisions on Bollinger Bands derived from the Put/Call Ratio.

The code also demonstrates how to cache the resulting Bars object in the global memory (GOP) to speed up Multi-Symbol Backtests. Without caching, the strategy would have to generate redundant data requests to the server on each symbol in a DataSet. As soon the data is in place, access to the Internet is no longer required.


using System;
using System.Globalization;
using System.Net;
using System.IO;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies { public class PutCallRatio : WealthScript { protected override void Execute() { /* Location of the Put/Call Ratio, year 2003 to present */ Bars pcratio = new Bars( "PCRATIO", BarScale.Daily, 0 ); IFormatProvider format = new CultureInfo("en-US"); string URI = @"http://www.cboe.com/publish/ScheduledTask/MktData/datahouse/indexPC.csv";

if ( GetGlobal("onDemand") == null ) { /* Download the file and split into lines */ WebClient client = new WebClient(); string text = client.DownloadString(URI); string[] lines = text.Split(new string[] { "\n" }, StringSplitOptions.RemoveEmptyEntries);

/* Parse the Put/Call Ratio data file starting from line 2 */ for ( int i = 3; i < lines.Length; i++ ) { try { string[] t = lines[i].Split(','); DateTime d = DateTime.ParseExact( t[0], new string[] { "M/d/yyyy" }, format, DateTimeStyles.None ); double ratio = Convert.ToDouble( t[4], format ); pcratio.Add( d,ratio,ratio,ratio,ratio,1 ); } catch { PrintDebug( lines[i] ); } } SetGlobal( "onDemand", pcratio ); } pcratio = Synchronize( (Bars)GetGlobal("onDemand") ); ChartPane PCRatioPane = CreatePane( 30, true, true ); PlotSeries( PCRatioPane, pcratio.Close, Color.Blue, WealthLab.LineStyle.Solid, 2 ); DataSeries bbL = BBandLower.Series( pcratio.Close, 20, 2 ); bbL.Description = "Put/Call Ratio: Lower BB"; DataSeries bbU = BBandUpper.Series( pcratio.Close, 20, 2 ); bbU.Description = "Put/Call Ratio: Upper BB"; PlotSeriesDualFillBand( PCRatioPane, bbU, bbL, Color.Empty, Color.Empty, Color.Brown, WealthLab.LineStyle.Solid, 1 );

for(int bar = 50; bar < Bars.Count; bar++) { if (IsLastPositionActive) { Position p = LastPosition; if ( p.PositionType == PositionType.Long ) SellAtStop( bar+1, p, p.EntryPrice * 0.9, "Stop Loss" ); else CoverAtStop( bar+1, p, p.EntryPrice * 1.1, "Stop Loss" ); ExitAtAutoTrailingStop( bar+1, p, 5, 25, "AutoStop" ); } else { if( CrossUnder( bar, pcratio.Close, bbL ) ) BuyAtMarket( bar+1 ); if( CrossOver( bar, pcratio.Close, bbU ) ) ShortAtMarket( bar+1 ); } } } } }

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.

Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


ScrewTurn Wiki. Some of the icons created by FamFamFam.