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On Wed, Jan 26, 2011 at 12:32 PM, Michael Orlitzky <michael@××××××××.com> wrote: |
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> On 01/26/2011 02:40 PM, Mark Knecht wrote: |
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<SNIP> |
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>> As for testing it _may_ be a slight bit easier than having to get to |
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>> that level. There is a library in portage called ta-lib which |
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>> implements lots of standard technical analysis constructs. After it's |
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>> installed I don't seem to have the C code for the actual functions |
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>> anymore. What I have is a compiled library as well as some header |
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>> files to look at. I suspect I can install the library again using |
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>> portage bt not getting rid of the functions which I could then use as |
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>> an example for my coding. |
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> |
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> Use FEATURES="noclean" and the patched source will be left under |
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> /var/tmp/portage. The unpatched source is probably in your |
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> /usr/portage/distfiles already. (I don't know if there *are* any patches |
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> for ta-lib, but if there are, you usually want them applied). |
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> |
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|
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Actually, the tar.gz file in distfiles was easily expanded and I found |
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the code within for all the functions. I hadn't considered patches but |
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fortunately there aren't any applied so it seems I get off lucky this |
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time. |
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|
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<SNIP> |
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> |
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> If you can figure out what all those parameters mean -- that will be the |
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> hard part. What type of moving average is EasyLanguage doing? Which |
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> TA_MAType does it match up to? Can the E.L. version fail if it runs off |
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> the end of the prices array, or does it just add zeros at the end? Is |
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> there a way to make TA_MA do the same? |
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> |
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> Sorry I have nothing but discouragement to offer =) This isn't an easy |
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> problem. |
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|
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I don't consider this discouragement at all. In fact it's _very_ helpful. |
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|
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Documentation: |
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|
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I've found this much: |
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|
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Online at the following links: |
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http://ta-lib.org/d_api/d_api.html |
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http://ta-lib.org/function.html |
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|
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I haven't yet found a nice PDF that tells me the exact meaning of |
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every parameter but I suspect it's out there somewhere. There's a |
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forum for the library where people ask questions. I just noticed |
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someone asking about writing documentation to be put in a Wiki so |
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there's something going on. I'm not overly worried about matching up |
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ta-lib functionality with what I use today in EL. |
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|
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Functionality: |
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|
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Software for real-time stock trading tends to be a little more |
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restrictive than more general programming |
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|
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1) First, we are operating on price data that has date & time |
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attached to every value. Think of a price chart for any stock. This |
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stuff (in general) just operates across time in a forward direction. |
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|
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2) When doing a moving average, for example, we are calculating from |
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the current bar _backwards_. The only way to run off the end of the |
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array is to try to reference too far back, so a 20 period moving |
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average cannot be calculated before bar #20. As I go through a price |
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data array, I just start at the length parameter into the array N[20] |
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and keep going until the end. |
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|
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The way I see this is there's an upper layer that reads the price data |
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in, puts it in an array and the calls the strategy bar-by-bar. |
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(row-by-row in the array) When it gets to the last bar of data (last |
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row with date and time) then it knows it's done. Pretty much all this |
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stuff seems to work that way. |
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|
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At this point I feel like I've imposed on gentoo-user far too much. I |
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was hoping maybe there was some program in portage for doing |
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translations that might work but I guess there isn't. I'll let this |
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thread drift asleep unless someone responds back. I think I've got |
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enough info to sort of play around at this point, and I suspect my |
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next set of questions are better addressed at someplace like |
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StackOverflow as I can hardly program beyond Hello World at this |
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point! ;-) |
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|
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Again, THANKS for your help and insights! |
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|
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Anyone interested in this subject matter is always welcome to contact |
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me off-list. |
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|
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Cheers, |
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Mark |