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Trading System API
3.0
Library for Simulating and Deploying Trading and Investment Strategies
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Trading System API
3.0
Library for Simulating and Deploying Trading and Investment Strategies
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Record stream class. Represents a standardised interface to all data sources. Instances rely on delegates to provide access to specific data sources. Delegates must derive from class in_stream_adaptor. More...
#include <TSAStreams.h>
Public Member Functions | |
| in_stream (void) | |
| Constructor. | |
| in_stream (const in_stream &) | |
| Copy Constructor. | |
| virtual | ~in_stream (void) |
| Destructor. | |
| in_stream_adaptor & | adaptor (void) const |
| Returns a reference to the delegate object. | |
| in_stream_adaptor * | adaptor_ptr (void) const |
| Returns the pointer to the delegate object. | |
| date_time | begin (void) |
| Returns the date_time corresponding to the start of the underlying data source. Only call this function if the underlying in_stream_adaptor is reading from an existing stream that has a defined beginning and end, such as a database table. More... | |
| void | connect (const std::string &stream_name) |
| Connects self to a data source with given source_name. | |
| void | connect (in_stream_adaptor &stream_adaptor) |
| Connects self to given stream_adaptor. | |
| date_time | end (void) |
| Returns the date_time corresponding to the end of the underlying data source. Only call this function if the underlying in_stream_adaptor is reading from an existing stream that has a defined beginning and end, such as a database table. More... | |
| size_t | field_count (void) const |
| Returns the number of fields. | |
| bool | field_exists (const std::string &field_name) const |
| Returns true if a field with given field_name exists. | |
| size_t | field_index (const std::string &field_name) const |
| Returns the zero based index of the given field_name. | |
| const std::string & | field_name (size_t index) const |
| Returns the name of the field at given index. | |
| tsa::type_t | field_type (const std::string &field_name) const |
| void | init_auto_series (void) |
| Initializes auto-series. Auto-series are the 'named' series that correspond to frequently used field names, such as 'open', 'close', 'bid', 'ask', etc. These are accessible as hard coded class members of type auto_series. See the library's user guide for further information. | |
| bool | is_init (void) const |
| Returns true if a delegate has been set. | |
| const series_core & | operator() (size_t index) const |
| Returns the series corresponding to the field at given index. More... | |
| const series_core & | operator() (const std::string &field_name_) const |
| Returns the series corresponding to the field with given field_name_. More... | |
| void | set_forward_shift (size_t shift_) |
| Forces the stream to 'look into the future' by shift_ bars. This only works for simulations for which the data series is already known. This allows the implementation of smoothing functions such as moving averages which are shifted into the future by half their period. More... | |
| size_t | size (void) |
| Returns the number of records in the underlying data source. Only call this function if the underlying in_stream_adaptor is reading from an existing stream that has a defined beginning and end, such as a database table. More... | |
| const std::string & | source (void) const |
| Returns the name of the underlying data source, such as the name of a series_base table. | |
| date_time | timestamp (void) const |
| Returns the timestamp of the record on which the cursor is currently positioned. Note that this does not necessarily correspond to the strategy timestamp (see strategy::timestamp()). If a strategy reads from multiple data streams, one of which is missing a record for a given date (holiday), then the stream will return the most recent record instead and the record timestamp will not match the timestamp returned by strategy::timestamp(). More... | |
| void | verify_is_init (void) const |
| Throws an exception of no delegate has been set. | |
 Public Member Functions inherited from tsa::object | |
| object (void) | |
| Constructor. | |
| virtual | ~object (void) |
| Destructor. | |
| const char * | class_name (void) const |
| Returns the class name as returned by the 'Real Time Type Information' (RTTI) mechanism. More... | |
| bool | has_same_class_as (const object &other) const |
| Returns true if self has the same type as other object. More... | |
Auto Series | |
Auto-series are the 'named' series that correspond to frequently used field names, such as 'open', 'close', 'bid', 'ask', etc. These are accessible as hard coded class members of type auto_series. Note that the library automatically creates series for all fields in a given data stream, not just the names listed below. However, if the field name does not correspond to one of the auto_series objects below, users must access the series via operator(). Record field names must be spelled exactly as the corresponding auto_series object for this mechanism to work! in_stream is; is.connect(<...>); //. . . //or double net_income = is("net_income")[0]; //standard access using operator() with field name or index. See the library's user guide for further information. | |
| series< double > | open |
| Built in series object corresponding to stream field 'open'. | |
| series< double > | high |
| Built in series object corresponding to stream field 'high'. | |
| series< double > | low |
| Built in series object corresponding to stream field 'low'. | |
| series< double > | close |
| Built in series object corresponding to stream field 'close'. | |
| series< double > | volume |
| Built in series object corresponding to stream field 'volume'. | |
| series< double > | bid |
| Built in series object corresponding to stream field 'bid'. | |
| series< double > | ask |
| Built in series object corresponding to stream field 'ask'. | |
| series< double > | bidsize |
| Built in series object corresponding to stream field 'bidsize'. | |
| series< double > | asksize |
| Built in series object corresponding to stream field 'asksize'. | |
| series< double > | last |
| Built in series object corresponding to stream field 'last'. | |
| series< double > | price |
| Built in series object corresponding to stream field 'price'. | |
| series< double > | value |
| Built in series object corresponding to stream field 'value'. | |
| series< double > | openint |
| Built in series object corresponding to stream field 'openint'. | |
Record stream class. Represents a standardised interface to all data sources. Instances rely on delegates to provide access to specific data sources. Delegates must derive from class in_stream_adaptor.
| date_time tsa::in_stream::begin | ( | void | ) |
Returns the date_time corresponding to the start of the underlying data source. Only call this function if the underlying in_stream_adaptor is reading from an existing stream that has a defined beginning and end, such as a database table.
| date_time tsa::in_stream::end | ( | void | ) |
Returns the date_time corresponding to the end of the underlying data source. Only call this function if the underlying in_stream_adaptor is reading from an existing stream that has a defined beginning and end, such as a database table.
| const series_core & tsa::in_stream::operator() | ( | size_t | index | ) | const |
Returns the series corresponding to the field at given index.
| index | Zero-based index of the. |
| const series_core & tsa::in_stream::operator() | ( | const std::string & | field_name_ | ) | const |
Returns the series corresponding to the field with given field_name_.
| field_name_ | Name of the field. |
| void tsa::in_stream::set_forward_shift | ( | size_t | shift_ | ) |
Forces the stream to 'look into the future' by shift_ bars. This only works for simulations for which the data series is already known. This allows the implementation of smoothing functions such as moving averages which are shifted into the future by half their period.
| shift_ | The shift. |
| size_t tsa::in_stream::size | ( | void | ) |
Returns the number of records in the underlying data source. Only call this function if the underlying in_stream_adaptor is reading from an existing stream that has a defined beginning and end, such as a database table.
| date_time tsa::in_stream::timestamp | ( | void | ) | const |
Returns the timestamp of the record on which the cursor is currently positioned. Note that this does not necessarily correspond to the strategy timestamp (see strategy::timestamp()). If a strategy reads from multiple data streams, one of which is missing a record for a given date (holiday), then the stream will return the most recent record instead and the record timestamp will not match the timestamp returned by strategy::timestamp().
1.8.11 
