(1)

(2)

(3)

(4)

(5)

(6)

#include "tsa.h"

using namespace tsa;

class my_strategy : public strategy

{

          in_stream sp500;

          void on_start(void)   override

          {

                    sp500.connect("sp500.daily");

          }

          void on_bar_close(void)   override

          {

                    std::cout

                              << "timestamp: " << (date)sp500.timestamp() << std::endl 

                              << "open:      " << sp500.open[0]     << std::endl

                              << "close:     " << sp500.close[0]    << std::endl;

          }

};

          fast::database db("output/demo_db", create_db | truncate_db);

          import_from_file__SP500_daily(db);

          my_strategy s;

          s.attach(db);

          s.run("2010-01-01","2010-01-10");

     //s.run();

Program Output

Tutorial:    110

=================================

importing data...

timestamp: 2009-12-31

open:      1123.5

close:     1110.7

timestamp: 2010-01-04

open:      1119.5

close:     1128.8

timestamp: 2010-01-05

open:      1128.3

close:     1132.3

(...lines skipped...)

press any key to exit...

(1)

As part of the strategy's on_start() definition we have the following line:

       sp500.connect("sp500.daily");

The stream's connect() member connects it to the given data source, in this case an existing database table with the name 'sp500.daily'. ( In other words, the 'connect' member 'opens' a stream. The reason why the member is called 'connect' and not 'open' is because an 'open' member already exists representing the 'open price' series.)

How does the stream object know which database to connect to?

A few lines below, starting at (3) we instantiate a database object called 'db'. We then import some data from a file, and eventually attach this database object to the strategy in (5) using strategy::attach().

(3)          fast::database db("output/demo_db", create_db | truncate_db);

          my_strategy s;

(5)          s.attach(db);

So when a stream wants to open a database table, it first checks which data-source the strategy is attached to, and then uses this data-source to connect to a specific table or stream if it exists.

It is possible to attach multiple database objects to a single strategy but in such cases each must be given a unique name using strategy::attach_as(). This will be discussed in later chapters.

(2)

std::cout

          << "timestamp: " << (date)sp500.timestamp() << std::endl 

          << "open:      " << sp500.open[0]     << std::endl

          << "close:     " << sp500.close[0]    << std::endl;

This line prints the timestamp as well as the current open and closing prices to standard output. Recall that the 'sp500' in_stream object automatically organizes incoming records into series, of type series<T>. Individual values are accessed using the subscript operator[]. You will learn more of class series<T> shortly.

(4)

import_from_file__SP500_daily(db);

This is a helper function defined in file tutorial__data_import.cpp and simply imports a text file with historical records for the S&P 500 stock index. The file can be found in the 'tutorial/data/' sub-directory.

void import_from_file__SP500_daily(fast::database& db)

{

          file_import_rules p;

          p.file_path = "data/sp500_cont.csv";

          p.target_table = "sp500.daily";

          p.date_format = "mm/dd/yyyy";

          p.columns = "open,high,low,close,volume,openint";

          p.field_separator = ',';

          p.delete_existing_table = true;

          db.import(p);

}