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forex_db.erl
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forex_db.erl
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%% This source code and work is provided and developed by DXNN Research Group WWW.DXNNResearch.COM
%%
%Copyright (C) 2009 by Gene Sher, DXNN Research Group, CorticalComputer@gmail.com
%All rights reserved.
%
%This code is licensed under the version 3 of the GNU General Public License. Please see the LICENSE file that accompanies this project for the terms of use.
-module(forex_db).
-compile(export_all).
-include("forex_db.hrl").
test(FXTable,Feature)->
Start = forex_db:lookup_element(metadata,FXTable,start),
Stop = forex_db:lookup_element(metadata,FXTable,stop),
buy_profit(FXTable,Feature,Start,Stop),
random_profit(FXTable,Feature,Start,Stop),
max_profit(FXTable,Feature,Start,Stop),
counter(FXTable,Start,Stop,0).
max(FXTable,Feature,StartKey,EndKey)->
mp(FXTable,Feature,StartKey,EndKey,0).
counter(_FXTable,EndKey,EndKey,Counter)->
Counter+1;
counter(FXTable,Key,EndKey,Counter)->
counter(FXTable,next(FXTable,Key),EndKey,Counter+1).
buy_profit(FXTable,Feature,Start,Stop)->
BP = bp(FXTable,Feature,Start,Stop,0),
io:format("BuyProfit:~p in Table:~p Feature:~p~n",[BP,FXTable,map(FXTable,Feature)]).
bp(FXTable,Feature,EndKey,EndKey,Acc)->
put(prev_state,undefined),
Acc;
bp(FXTable,Feature,Key,EndKey,Acc)->
Val = lookup_element(FXTable,Key,Feature),
Action = 1,
Profit = trader(Val,Action),
bp(FXTable,Feature,next(FXTable,Key),EndKey,Profit+Acc).
random_profit(FXTable,Feature,Start,Stop)->
RP = rp(FXTable,Feature,Start,Stop,0),
io:format("RandomProfit:~p in Table:~p Feature:~p~n",[RP,FXTable,map(FXTable,Feature)]).
rp(FXTable,Feature,EndKey,EndKey,Acc)->
put(prev_state,undefined),
Acc;
rp(FXTable,Feature,Key,EndKey,Acc)->
Val = lookup_element(FXTable,Key,Feature),
Action = case (random:uniform() - 0.5) > 0 of
true -> 1;
false -> -1
end,
Profit = trader(Val,Action),
rp(FXTable,Feature,next(FXTable,Key),EndKey,Profit+Acc).
max_profit(FXTable,Feature,Start,Stop)->
MP = mp(FXTable,Feature,Start,Stop,0),
io:format("MaxProfit:~p in Table:~p Feature:~p~n",[MP,FXTable,map(FXTable,Feature)]).
mp(FXTable,Feature,EndKey,EndKey,Acc)->
put(prev_state,undefined),
Acc;
mp(FXTable,Feature,Key,EndKey,Acc)->
Val = lookup_element(FXTable,Key,Feature),
Action = max,
Profit = trader(Val,Action),
mp(FXTable,Feature,next(FXTable,Key),EndKey,Profit+Acc).
trader(RawClose,AE)->
case get(prev_state) of
undefined ->
put(prev_state,{AE,RawClose}),
0;
{Prev_AE,Prev_RawClose} ->
put(prev_state,{AE,RawClose}),
LotSize = 10000,
PriceDiff = (RawClose - Prev_RawClose)*LotSize,
SpreadFee = 0,
case AE of
max ->
Profit = abs(PriceDiff),
case Profit < SpreadFee of
true ->
0;
false ->
Profit - SpreadFee
end;
_ ->
case (Prev_AE < 0.1) and (Prev_AE > -0.1) of
true ->
0;
false ->
Prev_AE*PriceDiff - SpreadFee
end
end
end.
trader(Val,NextVal,Action)->
LotSize = 10000,
PriceDiff = (NextVal-Val)*LotSize,
SpreadFee = 0,
case Action of
max ->
Profit = abs(PriceDiff),
case Profit < SpreadFee of
true ->
0;
false ->
Profit - SpreadFee
end;
_ ->
case (Action < 0.1) and (Action > -0.1) of
true ->
0;
false ->
Action*PriceDiff - SpreadFee
end
end.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Init %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
init()->
Standard_TableTuples = init_StandardTables(),
Forex_TableTuples = init_ForexTables(),
insert_TestData(),
AllTableTuples = lists:append(Standard_TableTuples,Forex_TableTuples),
[ets:tab2file(TableId,"forex_db/"++atom_to_list(TableName)) || {TableName,TableId} <- AllTableTuples],
[ets:delete(TableId) || {_TableName,TableId}<-AllTableTuples].
init_StandardTables()->
TableTuples1 = [{TableName,ets:new(TableName,[set,public,named_table])} || TableName <-[map,metadata]],
memorize(metadata,?METADATA,1),
memorize(test,?TEST,1),
TableTuples2 = [{TableName,create_table(TableName,[ordered_set,public,named_table])} || TableName <-[test]],
lists:append(TableTuples1,TableTuples2).
memorize(TableName,[Feature|FeatureList],Pos)->
ets:insert(map,{{TableName,Feature},Pos}),
ets:insert(map,{{TableName,Pos},Feature}),
memorize(TableName,FeatureList,Pos+1);
memorize(_TableName,[],_Pos)->
done.
init_ForexTables()->
TableTuples1 = [{TName,ets:new(TName,[ordered_set,public,named_table])} || TName <- [forex_metadata]],
TableTuples2 = [{TName,create_table(TName,[ordered_set,public,named_table])} || TName <- [fx1,fx5,fx15,fx30,fx60,fx240,fx1440]],
ForexFeatures = [key]++[{CPair,FX_Technical} || CPair <- ?CPAIRS, FX_Technical <-?FOREX_TECHNICAL--[key]],
%io:format("Forex Features:~p~n",[ForexFeatures]),
memorize(forex_metadata,?FOREX_METADATA,1),
[memorize(FX_Table,ForexFeatures,1) || FX_Table <- ?FX_TABLES --[forex_metadata]],
prep_ForexMetaData(),
lists:append(TableTuples1,TableTuples2).
prep_ForexMetaData()->
[insert(forex_metadata,{FX_Table,CPair,Feature},[{first,undefined},{last,undefined},{avg,undefined},{dev,undefined},{stdev,undefined},{quantile25,undefined},{quantile50,undefined},{quantile75,undefined},{max,undefined},{min,undefined},{operators_applied,[]}]) ||
FX_Table <- ?FX_TABLES--[forex_metadata],CPair <- ?CPAIRS, Feature <- ?FOREX_TECHNICAL--[key]].
create_table(TableName,Options)->
TableId = ets:new(TableName,Options),
insert(metadata,TableName,[{size,0},{last_updated,now()},{start,0},{stop,0}]),
TableId.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% DB Commands %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
start()->
TableNames = ?ALL_TABLES,
_TableTuples = summon_tables(TableNames,[]),
io:format("******** database started~n").
summon_tables([TableName|TableNames],TableTupleAcc)->
case ets:file2tab("forex_db/"++atom_to_list(TableName)) of
{ok,TableId} ->
summon_tables(TableNames,[{TableName,TableId}|TableTupleAcc]);
{error,Reason}->
exit(Reason)
end;
summon_tables([],TableTupleAcc)->
TableTupleAcc.
heartbeat()->
register(heartbeat,spawn(forex_db,heartbeat,[5000])),
io:format("******** heartbeat started~n").
heartbeat(Time)->
receive
{new_time,NewTime}->
forex_db:heartbeat(NewTime);
terminate ->
io:format("******** heartbeat terminated~n")
after Time ->
forex_db:updater(),
forex_db:heartbeat(Time)
end.
updater()->
%io:format("Updating.~n"),
forex_db:insert_ForexRaw("/home/puter/.wine/dosdevices/c:/Program Files/MetaTrader - Alpari (US)/experts/files/EURUSD15.txt",update).
stop()->
backup(),
terminate(),
io:format("******** database stopped~n").
backup()->
TableNames = ?ALL_TABLES,
backup(TableNames,[]).
backup([TableName|TableNames],ErrAcc)->
try first(TableName) of
_->
ets:tab2file(TableName,"forex_db/"++atom_to_list(TableName)),
backup(TableNames,ErrAcc)
catch
_:Why ->
io:format("******** FOREX_DB backup of table:~p faled due to:~p~n",[TableName,Why]),
backup(TableNames,[TableName|ErrAcc])
end;
backup([],ErrAcc)->
case ErrAcc of
[] ->
io:format("******** All tables within FOREX_DB have been backed up~n");
_ ->
io:format("******** The following tables within FOREX_DB could not be backed up:~n~p~n",[ErrAcc])
end.
terminate()->
TableNames = ?ALL_TABLES,
[ets:delete(TableName) || TableName<-TableNames],
io:format("******** database terminated~n").
delete()->
TableNames = ?ALL_TABLES,
[file:delete("forex_db/"++atom_to_list(TableName)) || TableName <- TableNames].
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Table Commands %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
prep(TableName,Key)->
[key|FeatureList] = featurelist_selector(TableName),
ets:insert(TableName,list_to_tuple([Key|FeatureList])).
featurelist_selector(TableName)->
case TableName of
metadata ->
?METADATA;
test ->
?TEST;
forex_metadata->
?FOREX_METADATA;
_ ->
ForexFeatures = [key]++[0 || _CPair <- ?CPAIRS, _FX_Technical <- ?FOREX_TECHNICAL -- [key]],
ForexFeatures
end.
lookup(TableName,Key)->
ets:lookup(TableName,Key).
insert(TableName,Key,TupleList)->
case is_list(TupleList) of
true ->
case ets:member(TableName,Key) of
true ->
update_element(TableName,Key,TupleList);
false ->
prep(TableName,Key),
update_element(TableName,Key,TupleList)
end;
false ->
exit("******** In insert(TableName,Key,TupleList), TupleList =/= list")
end.
update_element(TableName,Key,TupleList)->
update_element(TableName,Key,TupleList,[]).
update_element(TableName,Key,[{Feature,Val}|TupleList],FormatedAcc)->
ElemPos = map(TableName,Feature),
%io:format("ElemPos:~p~n",[{Feature,ElemPos}]),
update_element(TableName,Key,TupleList,[{ElemPos,Val}|FormatedAcc]);
update_element(TableName,Key,[],FormatedAcc)->
ets:update_element(TableName,Key,FormatedAcc).
tot_ftf()->
%io:format("~p~n",[?FOREX_TECHNICAL]),
%io:format("CFTAGS:~p~n",[?CFTAGS]),
%io:format("CTTAGS:~p~n",[?CTTAGS]),
%io:format("Length:~p~n",[length(?FOREX_TECHNICAL)]),
((length(?FOREX_TECHNICAL)-1) * length(?CPAIRS)) + 1.
cttags()->
?CTTAGS.
lookup_element(TableName,Key,Feature)->
case is_forex(TableName) of
true ->
ElemPos = map(TableName,Feature),
TotFeatures =tot_ftf(), %%%without the key
case ElemPos =< TotFeatures of
true ->
ets:lookup_element(TableName,Key,ElemPos);
false ->
TimeBack = trunc(ElemPos/(TotFeatures+0.1)),
TrueElemPos = ElemPos - TimeBack*TotFeatures,
PrevTimeKey = index2key(TableName,Key,prev,TimeBack),
%io:format("TimeBack:~p TrueElemPos:~p Feature:~p ElemPos:~p, TotFeatures:~p~n",[TimeBack,TrueElemPos,Feature,ElemPos,TotFeatures]),
ets:lookup_element(TableName,PrevTimeKey,TrueElemPos)
end;
false ->
ElemPos = map(TableName,Feature),
ets:lookup_element(TableName,Key,ElemPos)
end.
lookup_longvector(TableName,Key,Feature,Length)->
case is_forex(TableName) of
true ->
ElemPos = map(TableName,Feature),
LastKey = index2key(TableName,Key,prev,Length),
construct_longvector(TableName,Key,prev,LastKey,Feature,[]);
false ->
ElemPos = map(TableName,Feature),
ets:lookup_element(TableName,Key,ElemPos)
end.
construct_longvector(TableName,EndKey,_Direction,EndKey,Feature,Acc)->
Val = ets:lookup_element(TableName,EndKey,Feature),
[Val|Acc];
construct_longvector(TableName,Key,Direction,EndKey,Feature,Acc)->
Val = ets:lookup_element(TableName,Key,Feature),
construct_longvector(TableName,ets:Direction(TableName,Key),Direction,EndKey,Feature,[Val|Acc]).
is_forex(TableName) ->
case TableName of
fx1 -> true;
fx5 -> true;
fx15 ->true;
fx30 ->true;
fx60 ->true;
fx240 ->true;
fx1440 -> true;
_ -> false
end.
first(TableName)->
ets:first(TableName).
last(TableName)->
ets:last(TableName).
next(TableName,Key)->
ets:next(TableName,Key).
prev(TableName,Key)->
ets:prev(TableName,Key).
member(TableName,Key)->
ets:member(TableName,Key).
map(TableName,Feature)->
case is_integer(Feature) of
true ->
Feature;
false ->
ets:lookup_element(map,{TableName,Feature},2)
end.
rmap(TableName,ElemPos)->
case is_integer(ElemPos) of
true ->
TotFeatures =tot_ftf(), %%%without the key
case ElemPos =< TotFeatures of
true ->
ets:lookup_element(map,{TableName,ElemPos},2);
false ->
TimeBack = trunc(ElemPos/(TotFeatures+0.1)),
TrueElemPos = ElemPos - TimeBack*TotFeatures,
ets:lookup_element(map,{TableName,TrueElemPos},2)
end;
false ->
ElemPos
end.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Insert Data %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%=============================== Test Data Insertion =====================================
%Description: -record(test,{key,q,a}).%%%key=Index}
%Input: textfile/cvsfile
insert_TestData()->
insert(test,1,[{q,[1,1]},{a,-1}]),
insert(test,2,[{q,[-1,-1]},{a,-1}]),
insert(test,3,[{q,[1,-1]},{a,1}]),
insert(test,4,[{q,[-1,1]},{a,1}]),
insert(metadata,test,[{size,4},{last_updated,now()},{start,1},{stop,4}]).
metadata_category(TableNames)->
[FirstTable|_] = TableNames,
case lists:sum([1|| TableName <- TableNames, TableName == FirstTable]) == length(TableNames) of
true ->
all_tables_the_same;
false ->
exit("******** MetaDataCategory ERROR: not all tables the same in the list")
end,
FirstTable.
%%=============================== Forex Data Insertion =====================================
%Description: -record(forex_raw,{key,open,high,low,close,volume}). %%%key={currency_pair,Year,Month,Day,Hour,Minute,Second}
%Input: textfile/cvsfile
%2009.05.15,00:00,0.88880,0.89060,0.88880,0.88950,362 :: date/time/open/high/low/close/volume
%URL= ???/????/????/File File= FileName.FileExtension, FileName= [CPair][TimeFrame]
insert_ForexRaw(URL,Flag)->%TODO: instead of file have files, and then after the total insertion, do a data clean and then the updates.
{Dir,File} = extract_dir(URL),
{FileName,_FileExtension} = extract_filename(File),
{CPair,TimeFrame} = extract_cpair(FileName),
TableName = get_FXTable(TimeFrame),
case lookup(metadata,TableName) of
[{_TableName,_Size,_Last_Updated,_Start,_Stop}] ->
%io:format("CPair:~p populated:~p, adding data...~n",[CPair,{TableName,Size,Last_Updated,Start,Stop}]),
List = case file:read_file(URL) of
{ok,Data} ->
binary_to_list(Data);
{error,Error} ->
io:format("******** Error:~p~n",[Error]),
exit(Error)
end,
case Flag of
init ->
init_ForexDB(TableName,CPair,List),
calculate_MetaData(TableName),
calculate_ForexTechnicals(TableName,CPair,first(TableName)),
calculate_ForexMetaData(TableName,CPair,?FOREX_TECHNICAL--[key]),
done;
update ->
case update_ForexDB(TableName,CPair,List) of
undefined ->
done;
NewestKey ->
io:format("New FOREX_DB update starting with:~p~n",[NewestKey]),
calculate_MetaData(TableName),
calculate_ForexTechnicals(TableName,CPair,NewestKey),
%calculate_ForexMetaData(TableName,CPair,?FOREX_TECHNICAL--[key]),
committee:si_sender(NewestKey),
done
end
end;
[] ->
io:format("******** CurrencyPair:~p is unknown, file rejected.~n",[CPair])
end.
extract_dir(URL)-> extract_dir(URL,[]).
extract_dir(List,DirAcc)->
case split_with(47,List) of % 47 == '/'
{File,[]}->
Dir = lists:concat(DirAcc),
{Dir,File};
{DirPart,Remainder}->
extract_dir(Remainder,lists:merge([DirPart,'/'],DirAcc))
end.
extract_filename(File)->
split_with(46,File,[]). % . 46
extract_cpair(FileName)->
lists:split(6,FileName).
get_FXTable(TimeFrame)->
case TimeFrame of
"1" -> fx1;
"5" -> fx5;
"15" -> fx15;
"30" -> fx30;
"60" -> fx60;
"240" -> fx240;
"1440" -> fx1440
end.
init_ForexDB(TableName,CPair,[])->
io:format("Parsing and inserting Forex Currency-Pair:~p complete.~n",[{TableName,CPair}]);
init_ForexDB(TableName,CPair,List)->
{YearL,Remainder1} = split_with(46,List), % . 46
{MonthL,Remainder2} = split_with(46,Remainder1), % . 46
{DayL,Remainder3} = split_with(44,Remainder2), % , 44
{HourL,Remainder4} = split_with(58,Remainder3), % : 58
{MinuteL,Remainder5} = split_with(44,Remainder4), % , 44
{OpenL,Remainder6} = split_with(44,Remainder5), % , 44
{HighL,Remainder7} = split_with(44,Remainder6), % , 44
{LowL,Remainder8} = split_with(44,Remainder7), % , 44
{CloseL,Remainder9} = split_with(44,Remainder8), % , 44
{VolumeL,Remainder10} = split_with(13,Remainder9), %\r 13
[_|Remainder] = Remainder10, %gets rid of (\n 10)
%[YearL,46,MonthL,46,DayL,44,HourL,58,MinuteL,44,OpenL,44,HighL,44,LowL,44,CloseL,44,VolumeL,_] = List,
%io:format("here~p~n",[{YearL,MonthL,DayL,HourL,MinuteL,OpenL,HighL,LowL,CloseL,VolumeL}]),
Year = list_to_integer(YearL),
Month = list_to_integer(MonthL),
Day = list_to_integer(DayL),
Hour = list_to_integer(HourL),
Minute = list_to_integer(MinuteL),
Open = list_to_number(OpenL),
High = list_to_number(HighL),
Low = list_to_number(LowL),
Close = list_to_number(CloseL),
Volume = list_to_integer(VolumeL),
Key = {Year,Month,Day,Hour,Minute,0},
case ((Open+High+Low+Close) < 1000) and ((Open+High+Low+Close) > -1000) of
true ->
insert(TableName,Key,[{{CPair,open},Open},{{CPair,high},High},{{CPair,low},Low},{{CPair,close},Close},{{CPair,volume},Volume}]);
false ->
exit("******** ERROR during initial FX data insertion, exiting.")
end,
init_ForexDB(TableName,CPair,Remainder).
update_ForexDB(_TableName,_CPair,[])->
Key = get(new_key),
put(new_key,undefined),
Key;
update_ForexDB(TableName,CPair,List)->
{YearL,Remainder1} = split_with(46,List), % . 46
{MonthL,Remainder2} = split_with(46,Remainder1), % . 46
{DayL,Remainder3} = split_with(44,Remainder2), % , 44
{HourL,Remainder4} = split_with(58,Remainder3), % : 58
{MinuteL,Remainder5} = split_with(58,Remainder4), % : 44
{SecondL,Remainder6} = split_with(44,Remainder5), % , 44
{OpenL,Remainder7} = split_with(44,Remainder6), % , 44
{HighL,Remainder8} = split_with(44,Remainder7), % , 44
{LowL,Remainder9} = split_with(44,Remainder8), % , 44
{CloseL,Remainder10} = split_with(44,Remainder9), % , 44
{VolumeL,Remainder11} = split_with(13,Remainder10), %\r 13
[_|Remainder] = Remainder11, %gets rid of (\n 10)
%io:format("here~p~n",[{YearL,MonthL,DayL,HourL,MinuteL,OpenL,HighL,LowL,CloseL,VolumeL}]),
Year = list_to_integer(YearL),
Month = list_to_integer(MonthL),
Day = list_to_integer(DayL),
Hour = list_to_integer(HourL),
Minute = list_to_integer(MinuteL),
Second = list_to_integer(SecondL),
Open = list_to_number(OpenL),
High = list_to_number(HighL),
Low = list_to_number(LowL),
Close = list_to_number(CloseL),
Volume = list_to_integer(VolumeL),
Key = {Year,Month,Day,Hour,Minute,0},
case (Second == 0) and ((Open+High+Low+Close) < 1000) and ((Open+High+Low+Close) > -1000) of
true ->
case member(TableName,Key) of
false ->
insert(TableName,Key,[{{CPair,open},Open},{{CPair,high},High},{{CPair,low},Low},{{CPair,close},Close},{{CPair,volume},Volume}]),
case get(new_key) of
undefined ->
put(new_key,Key);
_ ->
done
end;
true ->
%io:format("******** ERROR during FX data insertion.~n"),
done
end;
false ->
done
end,
update_ForexDB(TableName,CPair,Remainder).
split_with(Seperator,List)->
split_with(Seperator,List,[]).
split_with(Seperator,[Char|List],ValAcc)->
case Char of
Seperator->
{lists:reverse(ValAcc),List};
_ ->
split_with(Seperator,List,[Char|ValAcc])
end;
split_with(_Seperator,[],ValAcc)->
{lists:reverse(ValAcc),[]}.
calculate_MetaData(TableName)->
USize = table_size(TableName),
Now = now(),
%Seperator = trunc(USize*0.10),
Start = index2key(TableName,last(TableName),prev,10000),
Stop = last(TableName),
update_element(metadata,TableName,[{size,USize},{last_updated,Now},{start,Start},{stop,Stop}]).
calculate_ForexTechnicals(TableName,CPair,StartKey)->
diff(TableName,{CPair,close},TableName,{CPair,diff},StartKey),
%updiff_downdiff(TableName,{CPair,diff},TableName,{CPair,up_diff},{CPair,down_diff},StartKey),
%ema(TableName,{CPair,up_diff},TableName,{CPair,ud_ema27},27,StartKey),
%ema(TableName,{CPair,down_diff},TableName,{CPair,dd_ema27},27,StartKey),
%ema(TableName,{CPair,close},TableName,{CPair,ema2},2,StartKey),
%ema(TableName,{CPair,close},TableName,{CPair,ema3},3,StartKey),
ema(TableName,{CPair,close},TableName,{CPair,ema6},6,StartKey),
%ema(TableName,{CPair,close},TableName,{CPair,ema9},9,StartKey),
ema(TableName,{CPair,close},TableName,{CPair,ema14},14,StartKey),
ema(TableName,{CPair,close},TableName,{CPair,ema26},26,StartKey),
ema(TableName,{CPair,close},TableName,{CPair,ema50},50,StartKey),
%ema(TableName,{CPair,close},TableName,{CPair,ema100},100,StartKey),
%sma(TableName,{CPair,close},TableName,{CPair,sma2},2,StartKey),
%sma(TableName,{CPair,close},TableName,{CPair,sma3},3,StartKey),
%sma(TableName,{CPair,close},TableName,{CPair,sma6},6,StartKey),
%sma(TableName,{CPair,close},TableName,{CPair,sma9},9,StartKey),
%sma(TableName,{CPair,close},TableName,{CPair,sma14},14,StartKey),
%sma(TableName,{CPair,close},TableName,{CPair,sma26},26,StartKey),
%sma(TableName,{CPair,close},TableName,{CPair,sma50},50,StartKey),
%sma(TableName,{CPair,close},TableName,{CPair,sma100},100,StartKey),
%rsi(TableName,{CPair,ud_ema27},{CPair,dd_ema27},TableName,{CPair,rsi},StartKey),
%macd(TableName,{CPair,ema14},{CPair,ema26},TableName,{CPair,macd},StartKey),
%ema(TableName,{CPair,macd},TableName,{CPair,macd_signal},9,StartKey),
%adi(TableName,{CPair,high},{CPair,low},{CPair,close},{CPair,volume},TableName,{CPair,adi},StartKey),
%sts(TableName,{CPair,high},{CPair,low},{CPair,close},TableName,{CPair,sts_kfast},{CPair,sts_dfast},{CPair,sts_dslow},{CPair,sts_dfull},StartKey),
%ema(TableName,{CPair,ema9},TableName,{CPair,bix9},9,StartKey),
%ema(TableName,{CPair,bix9},TableName,{CPair,trix9},9,StartKey),
done.
calculate_ForexMetaData(TableName,CPair,[Feature|FeatureList])->
First = first(TableName),
Last = last(TableName),
SortedList = lists:sort(to_list(TableName,First,Last,{CPair,Feature},[])),
Avg = average(TableName,{CPair,Feature}),
StDev = standard_deviation(TableName,First,next,Last,{CPair,Feature},Avg,1,0),
Dev = StDev*StDev,
Q25 = quantile(TableName,SortedList,0.25),
Q50 = quantile(TableName,SortedList,0.50),
Q75 = quantile(TableName,SortedList,0.75),
Max = max(TableName,{CPair,Feature},index2key(TableName,last(TableName),prev,5000)),
Min = min(TableName,{CPair,Feature},index2key(TableName,last(TableName),prev,5000)),
update_element(forex_metadata,{TableName,CPair,Feature},[{first,First},{last,Last},{avg,Avg},{dev,Dev},{stdev,StDev},{quantile25,Q25},{quantile50,Q50},{quantile75,Q75},{max,Max},{min,Min}]),
calculate_ForexMetaData(TableName,CPair,FeatureList);
calculate_ForexMetaData(_TableName,_CPair,[])->
done.
to_list(TableName,Key,EndKey,Feature,Acc)->
E = lookup_element(TableName,Key,Feature),
Element = case is_list(E) of
true ->
E;
false ->
[E]
end,
case Key == EndKey of
false ->
to_list(TableName,next(TableName,Key),EndKey,Feature,lists:append(Element,Acc));
true ->
lists:append(Element,Acc)
end.
quantile(TableName,SortedList,Quantile)->
Size = table_size(TableName),
lists:nth(trunc(Size*Quantile),SortedList).
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% DataAnalysis %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%===============================Find Start Index=====================================
%Calculates: The index number Pos elements in the direction Direction, and returns that Index.
%Input: TableName::ets_table_name, Index::val, Direction::next|prev, Pos::int
%Output: Index::val
index2key(TableName,Index)->
index2key(TableName,first(TableName),next,Index).
index2key(TableName,'$end_of_table',_Direction,_Pos)->
io:format("******** get_Index error: $end_of_table reached before proper key was reached,returning forex_db:last(TableName).~n"),
last(TableName);
index2key(_TableName,Key,_Direction,1)->
Key;
index2key(TableName,Key,Direction,Index)->
index2key(TableName,forex_db:Direction(TableName,Key),Direction,Index-1).
%%===============================List Average=====================================
%Calculates: The average of the list: SUMi-n(Ei)/n
%Input: List::list
%Output: List_Average::float
list_Average(List)-> %Simple Average.
lists:sum(List)/lists:length(List).
%%===============================Table Size=====================================
%Gets: The total number of elements in the table.
%Input: TableName::ets_table_name
%Output: TableSize::int
table_size(TableName)->
[_,_,_,{size,Size},_,_,_,_,_] = ets:info(TableName),
Size.
%%===============================Table Largest Value=====================================
%Gets: The largest value in the table in tupple's feature: Feature
%Input: TableName::ets_table_name, StartIndex:val, Direction::next|prev, EndIndex:val, ElemPos::int
%Output: LargestVal:float|int
max(TableName,Feature)->
StartKey = first(TableName),
EndKey = '$end_of_table',
max(TableName,StartKey,next,EndKey,Feature).
max(TableName,Feature,StartKey)->
EndKey = '$end_of_table',
max(TableName,StartKey,next,EndKey,Feature).
max(TableName,StartKey,Direction,EndKey,Feature)->
StartVal = lookup_element(TableName,StartKey,Feature),
max(TableName,StartKey,Direction,EndKey,Feature,StartVal).
max(_TableName,EndKey,_Direction,EndKey,_Feature,Largest)->
Largest;
max(TableName,Key,Direction,EndKey,Feature,Largest)->
Val = lookup_element(TableName,Key,Feature),
case Val > Largest of
true ->
max(TableName,forex_db:Direction(TableName,Key),Direction,EndKey,Feature,Val);
false ->
max(TableName,forex_db:Direction(TableName,Key),Direction,EndKey,Feature,Largest)
end.
%%===============================Table Smallest Value=====================================
%Calculates: The smallest value in the table in tupple's position: ElemPos
%Input: TableName::ets_table_name, StartIndex:val, Direction::next|prev, EndIndex:val, ElemPos::int
%Output: LargestVal:float|int
min(TableName,Feature)->
StartKey = first(TableName),
EndKey = '$end_of_table',
min(TableName,StartKey,next,EndKey,Feature).
min(TableName,Feature,StartKey)->
EndKey = '$end_of_table',
min(TableName,StartKey,next,EndKey,Feature).
min(TableName,StartKey,Direction,EndKey,Feature)->
StartVal = lookup_element(TableName,StartKey,Feature),
min(TableName,StartKey,Direction,EndKey,Feature,StartVal).
min(_TableName,EndKey,_Direction,EndKey,_Feature,Smallest)->
Smallest;
min(TableName,Key,Direction,EndKey,Feature,Smallest)->
Val = lookup_element(TableName,Key,Feature),
case Val < Smallest of
true ->
min(TableName,forex_db:Direction(TableName,Key),Direction,EndKey,Feature,Val);
false ->
min(TableName,forex_db:Direction(TableName,Key),Direction,EndKey,Feature,Smallest)
end.
%%===============================Table Average=====================================
%Calculates: The average of the table: SUMi-n(Ei)/n for the element at position: ElemPos
%Input: TableName::ets_table_name, StartIndex::val, Direction::next|prev, EndIndex::val, ElemPos::int
%Output: Average::float
average(TableName,Feature)->
StartKey = first(TableName),
EndKey = last(TableName),
average(TableName,StartKey,EndKey,Feature).
average(TableName,Feature,StartKey)->
EndKey = last(TableName),
average(TableName,StartKey,EndKey,Feature).
average(TableName,StartKey,EndKey,Feature)->
average(TableName,StartKey,EndKey,Feature,0,0).
average(TableName,EndKey,EndKey,Feature,ElemCounter,AvgAcc)->
case EndKey == '$end_of_table' of
true ->
AvgAcc/ElemCounter;
false ->
Val = lookup_element(TableName,EndKey,Feature),
(Val+AvgAcc)/(ElemCounter+1)
end;
average(TableName,Key,EndKey,Feature,ElemCounter,AvgAcc)->
Val = lookup_element(TableName,Key,Feature),
average(TableName,next(TableName,Key),EndKey,Feature,ElemCounter+1,Val+AvgAcc).
%%===============================Table Standard Deviation=====================================
%Calculates: The standard deviation of the table: Sqrt(SUMi-n(pow(Ei-TabAvg,2))) for the element at position: ElemPos
%Input: TableName::ets_table_name, StartIndex::val, Direction::next|prev, EndIndex::val, ElemPos::int
%Output: StandardDeviation::float
standard_deviation(TableName,Feature)->
FirstKey = first(TableName),
EndKey = '$end_of_table',
standard_deviation(TableName,FirstKey,next,EndKey,Feature).
standard_deviation(TableName,StartKey,Direction,EndKey,Feature)->
Average = average(TableName,StartKey,EndKey,Feature),
standard_deviation(TableName,StartKey,Direction,EndKey,Feature,Average,0,0).
standard_deviation(_TableName,EndKey,_Direction,EndKey,_Feature,_Avg,ElemCounter,SDAcc)->
math:sqrt(SDAcc/ElemCounter);
standard_deviation(TableName,Key,Direction,EndKey,Feature,Avg,ElemCounter,SDAcc)->
Val = lookup_element(TableName,Key,Feature),
standard_deviation(TableName,forex_db:Direction(TableName,Key),Direction,EndKey,Feature,Avg,ElemCounter+1,math:pow(Val-Avg,2)+SDAcc).
%%===============================Table Normalizer=====================================
%Calcualtes: The normalizer of the table: sqrt(SUMi-n(Ei*Ei))
%Input: TableName::ets_table_name, ElemPos::int
%Output: Normalizer::float
calculate_normalizer(TableName,Feature)->%TODO: allow for normalizer to be stored in metadata for consistant retrevial values.
StartKey = first(TableName),
EndKey = '$end_of_table',
calculate_normalizer(TableName,StartKey,next,EndKey,Feature,0).
calculate_normalizer(TableName,StartIndex,Direction,EndIndex,Feature)->
calculate_normalizer(TableName,StartIndex,Direction,EndIndex,Feature,0).
calculate_normalizer(_TableName,EndIndex,_Direction,EndIndex,_Feature,NormalizerAcc)->
math:sqrt(NormalizerAcc);
calculate_normalizer(TableName,Index,Direction,EndIndex,Feature,NormalizerAcc)->
Val = lookup_element(TableName,Index,Feature),
calculate_normalizer(TableName,forex_db:Direction(TableName,Index),Direction,EndIndex,Feature,math:pow(Val,2)+NormalizerAcc).
%%===============================Diff=====================================
%Calculates:
%Output:
diff(FromTableName,FromFeature,ToTableName,ToFeature)->
StartKey = next(FromTableName,first(FromTableName)),
EndKey = '$end_of_table',
diff(FromTableName,FromFeature,ToTableName,ToFeature,StartKey,EndKey).
diff(FromTableName,FromFeature,ToTableName,ToFeature,StartKey)->
EndKey = '$end_of_table',
diff(FromTableName,FromFeature,ToTableName,ToFeature,StartKey,EndKey).
diff(_FromTableName,_FromFeature,_ToTableName,_ToFeature,EndKey,EndKey)->
%io:format("Diff complete: FTN:~p FF:~p TTN:~p TF:~p~n",[FromTableName,FromFeature,ToTableName,ToFeature]),
done;
diff(FromTableName,FromFeature,ToTableName,ToFeature,Key,EndKey)->
case prev(FromTableName,Key) of
'$end_of_table' ->
update_element(ToTableName,Key,[{ToFeature,0}]);
PrevKey ->
CurrVal = lookup_element(FromTableName,Key,FromFeature),
PrevVal = lookup_element(FromTableName,PrevKey,FromFeature),
Diff = CurrVal - PrevVal,
update_element(ToTableName,Key,[{ToFeature,Diff}])
end,
diff(FromTableName,FromFeature,ToTableName,ToFeature,next(FromTableName,Key),EndKey).
%%===============================Up Diff & Down Diff=====================================
%Calculates:
%Output:
updiff_downdiff(FromTableName,FromDiff,ToTableName,ToUpDiff,ToDownDiff)->
FirstKey = first(FromTableName),
EndKey = '$end_of_table',
updiff_downdiff(FromTableName,FromDiff,ToTableName,ToUpDiff,ToDownDiff,FirstKey,EndKey).
updiff_downdiff(FromTableName,FromDiff,ToTableName,ToUpDiff,ToDownDiff,Key)->
FirstKey = Key,
EndKey = '$end_of_table',
updiff_downdiff(FromTableName,FromDiff,ToTableName,ToUpDiff,ToDownDiff,FirstKey,EndKey).
updiff_downdiff(_FromTableName,_FromDiff,_ToTableName,_ToUpDiff,_ToDownDiff,EndKey,EndKey)->
%io:format("updiff_downdiff complete: FTN:~p FD:~p TTN:~p TUD:~p TDD:~p~n",[FromTableName,FromDiff,ToTableName,ToUpDiff,ToDownDiff]),
done;
updiff_downdiff(FromTableName,FromDiff,ToTableName,ToUpDiff,ToDownDiff,Key,EndKey)->
CloseDiff = lookup_element(FromTableName,Key,FromDiff),
{UpDiff,DownDiff} = updiff_downdiff(CloseDiff),
update_element(ToTableName,Key,[{ToUpDiff,UpDiff},{ToDownDiff,DownDiff}]),
updiff_downdiff(FromTableName,FromDiff,ToTableName,ToUpDiff,ToDownDiff,next(FromTableName,Key),EndKey).
updiff_downdiff(CloseDiff)->
case CloseDiff == 0 of
false ->
case CloseDiff > 0 of
true ->
{CloseDiff,0};
false ->
{0,CloseDiff}
end;
true ->
{0,0}
end.
%%=============================== Exponential Moving Average=====================================
%EMA = P*Alpha + (PrevEMA*(1-Alpha)) = P*Alpha + PrevEMA - PrevEMA*Alpha
%EMAWiki = PrevEMA + Alpha*(P-PrevEMA) = PrevEMA + Alpha*P - Alpha*PrevEMA = P*Alpha + PrevEMA - PrevEMA*Alpha
%P = CurPrice, Alpha = 2/(1+N), N = Number of Time Periods, First EMA is SMA.
ema(FromTableName,FromFeature,ToTableName,ToFeature,Period)->
Alpha = 2/(1+Period),
StartKey = first(FromTableName),
EndKey = '$end_of_table',
ema(FromTableName,FromFeature,ToTableName,ToFeature,StartKey,EndKey,Alpha).
ema(FromTableName,FromFeature,ToTableName,ToFeature,Period,StartKey)->
Alpha = 2/(1+Period),
EndKey = '$end_of_table',
ema(FromTableName,FromFeature,ToTableName,ToFeature,StartKey,EndKey,Alpha).
ema(_FromTableName,_FromFeature,_ToTableName,_ToFeature,EndKey,EndKey,_Alpha)->
%io:format("ema complete: FTN:~p FF:~p TTN:~p TF:~p~n",[FromTableName,FromFeature,ToTableName,ToFeature]),
done;
ema(FromTableName,FromFeature,ToTableName,ToFeature,Key,EndKey,Alpha)->
case prev(ToTableName,Key) of
'$end_of_table' ->
FirstVal = lookup_element(FromTableName,Key,FromFeature),
update_element(ToTableName,Key,[{ToFeature,FirstVal}]);
PrevKey ->
Price = lookup_element(FromTableName,Key,FromFeature),
PrevEMA = lookup_element(ToTableName,PrevKey,ToFeature),
EMA = Price*Alpha + (PrevEMA*(1-Alpha)),
update_element(ToTableName,Key,[{ToFeature,EMA}])
end,
ema(FromTableName,FromFeature,ToTableName,ToFeature,next(FromTableName,Key),EndKey,Alpha).
%%=============================== Simple Moving Average=====================================
% 1 2 3 4 5
% 1+2+3/3 = 2, 2+3+4/3 = 3, 3+4+5/3 = 4
% 2 -1/3 + 4/3 = 2+3/3 = 3, 3 -2/3 + 5/3 = 4
sma(FromTableName,FromFeature,ToTableName,ToFeature,Period)->
StartKey = index2key(FromTableName,Period),
TrailingKey = first(FromTableName),
EndKey = '$end_of_table',
Avg = average(FromTableName,TrailingKey,StartKey,FromFeature),
%io:format("~p~n",[{StartKey,TrailingKey,EndKey,Avg}]),
update_element(ToTableName,StartKey,[{ToFeature,Avg}]),
sma(FromTableName,FromFeature,ToTableName,ToFeature,TrailingKey,next(FromTableName,StartKey),EndKey,Period).
sma(FromTableName,FromFeature,ToTableName,ToFeature,Period,StartKey)->
case StartKey == first(FromTableName) of
true ->
sma(FromTableName,FromFeature,ToTableName,ToFeature,Period);
false ->
TrailingKey = index2key(FromTableName,StartKey,prev,Period),
EndKey = '$end_of_table',
Avg = average(FromTableName,TrailingKey,StartKey,FromFeature),
update_element(ToTableName,StartKey,[{ToFeature,Avg}]),
sma(FromTableName,FromFeature,ToTableName,ToFeature,TrailingKey,next(FromTableName,StartKey),EndKey,Period)
end.
sma(_FromTableName,_FromFeature,_ToTableName,_ToFeature,_TrailingKey,EndKey,EndKey,_Period)->
%io:format("sma complete: FTN:~p FF:~p TTN:~p TF:~p~n",[FromTableName,FromFeature,ToTableName,ToFeature]),
done;
sma(FromTableName,FromFeature,ToTableName,ToFeature,TrailingKey,Key,EndKey,Period)->
CurrPrice = lookup_element(FromTableName,Key,FromFeature),
TrailingPrice = lookup_element(FromTableName,TrailingKey,FromFeature),
PrevSMA = lookup_element(ToTableName,prev(ToTableName,Key),ToFeature),
SMA = PrevSMA - TrailingPrice/Period + CurrPrice/Period,
%io:format("~p~n",[{Key,TrailingKey,EndKey,CurrPrice,TrailingPrice,PrevSMA,SMA}]),
update_element(ToTableName,Key,[{ToFeature,SMA}]),
sma(FromTableName,FromFeature,ToTableName,ToFeature,next(FromTableName,TrailingKey),next(FromTableName,Key),EndKey,Period).
%%=============================== Relative Strength Index=====================================
rsi(FromTableName,FromFeature_EMAofU,FromFeature_EMAofD,ToTableName,ToFeature_RSI)->
StartKey = first(FromTableName),
EndKey = '$end_of_table',
rsi(FromTableName,FromFeature_EMAofU,FromFeature_EMAofD,ToTableName,ToFeature_RSI,StartKey,EndKey).
rsi(FromTableName,FromFeature_EMAofU,FromFeature_EMAofD,ToTableName,ToFeature_RSI,Key)->
StartKey = Key,
EndKey = '$end_of_table',
rsi(FromTableName,FromFeature_EMAofU,FromFeature_EMAofD,ToTableName,ToFeature_RSI,StartKey,EndKey).
rsi(_FromTableName,_From_MAofU,_From_MAofD,_ToTableName,_ToFeature,EndKey,EndKey)->
%io:format("rsi complete: FTN:~p FMAofU:~p FMAofD:~p TTN:~p TF:~p~n",[FromTableName,From_MAofU,From_MAofD,ToTableName,ToFeature]),
done;
rsi(FromTableName,FromFeature_EMAofU,FromFeature_EMAofD,ToTableName,ToFeature_RSI,Key,EndKey)->
EMAofU = lookup_element(FromTableName,Key,FromFeature_EMAofU),
EMAofD = lookup_element(FromTableName,Key,FromFeature_EMAofD),
RS = case EMAofD == 0 of
true ->
-2;
false ->
EMAofU/EMAofD
end,
if
RS == 1 -> io:format("RS == 1, Key:~p~n",[Key]);
EMAofD == 0 -> io:format("EMAofD == 0, Key:~p~n",[Key]);
true -> done
end,
%io:format("RS:~p~n",[RS]),
RSI = 100 - 100*(1/(1+RS)),
update_element(ToTableName,Key,[{ToFeature_RSI,RSI}]),
rsi(FromTableName,FromFeature_EMAofU,FromFeature_EMAofD,ToTableName,ToFeature_RSI,next(FromTableName,Key),EndKey).
%%=============================== Accumulation/Distribution Index =====================================
%CLV = ((Close-Low)-(High-Close))/(High-Low)
%accdist = AccDistPrev + Volume*CLV
adi(FromTableName,FromHigh,FromLow,FromClose,FromVolume,ToTableName,ToADI)->
FirstKey = first(FromTableName),
EndKey = '$end_of_table',
adi(FromTableName,FromHigh,FromLow,FromClose,FromVolume,ToTableName,ToADI,FirstKey,EndKey).
adi(FromTableName,FromHigh,FromLow,FromClose,FromVolume,ToTableName,ToADI,Key)->
FirstKey = Key,
EndKey = '$end_of_table',
adi(FromTableName,FromHigh,FromLow,FromClose,FromVolume,ToTableName,ToADI,FirstKey,EndKey).
adi(_FromTableName,_FromHigh,_FromLow,_FromClose,_FromVolume,_ToTableName,_ToADI,EndKey,EndKey)->
%io:format("clv cmplt: FTN:~p FH:~p FL:~p FC:~p FV:~p TTN:~p",[FromTableName,FromHigh,FromLow,FromClose,FromVolume,ToTableName]),
done;
adi(FromTableName,FromHigh,FromLow,FromClose,FromVolume,ToTableName,ToADI,Key,EndKey)->
case prev(ToTableName,Key) of
'$end_of_table' ->
update_element(ToTableName,Key,[{ToADI,0}]);
PrevKey ->
Volume = lookup_element(FromTableName,Key,FromVolume),
PrevADI = lookup_element(ToTableName,PrevKey,ToADI),
High = lookup_element(FromTableName,Key,FromHigh),
Low = lookup_element(FromTableName,Key,FromLow),
Close = lookup_element(FromTableName,Key,FromClose),
CLV = clv(High,Low,Close),
ADI = PrevADI + Volume*CLV,
update_element(ToTableName,Key,[{ToADI,ADI}])
end,
adi(FromTableName,FromHigh,FromLow,FromClose,FromVolume,ToTableName,ToADI,next(FromTableName,Key),EndKey).
clv(High,Low,Close)->
case High == Low of
true ->
0;
false ->
((Close - Low) - (High-Close))/(High-Low)
end.
%%=============================== Stochastic Oscilator=====================================
%K_Fast = 100*(Close - Lowest_from_n_periods)/(Highiest_from_n_periods-Lowest_from_n_periods) n = 14 DONE
%D_Fast = EMA(K_Fast,3) DONE
%K_Slow = EMA(K_Fast,3)
%D_Slow = EMA(K_Slow,14) DONE