GEP::Core::Float::TimeSeries::NormalTimeSeries Class Reference

Reads a normal time series that is with fixed time periods/frames. More...

Inheritance diagram for GEP::Core::Float::TimeSeries::NormalTimeSeries:

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Collaboration diagram for GEP::Core::Float::TimeSeries::NormalTimeSeries:

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List of all members.

Public Member Functions

 NormalTimeSeries ()
float[] ReadFile (string filePath, int maxLookBehind)
 Reads a time series from a file.
float[][] ReadFile (string filePath, int[] lookBehinds, int frequency)
 Reads a time series from a file.
void ReadFileAndAddToAlphabet (Alphabet variablesSet, ref int variablesSetStartIndex, string filePath, int[] variableDisplayIndexs, string variableName, int[] lookBehinds, int frequency)
 Reads a time series from a file and adds the result to an Alphabet of Variables.
void ReadFileAndAddToAlphabet (Alphabet variablesSet, ref int variablesSetIndex, string filePath, int variableDisplayIndex, string variableName)
 Reads a time series from a file and adds the result to an Alphabet of Variables.

Public Attributes

int _dateTimeColIndex
 The index of the datetime column. Counting starts from 0.
int _dataColIndex
 The index of the data column, the actual time series. Counting starts from 0.
string[] _colDelimiters
 The column delimiters.
int _dataStartRow
 The starting row of the time series part to be processed. Counting starts from 0.
int _dataEndRow
 The last row of the time series to be processed. Couting starts from 0.
DateTimeFormatInfo _dateTimeFormats
 The date time format info of formats used in this series.
string[] _dateTimeFormatsArr
 The formats of date times used in this series.
CultureInfo _cultureInfo
 The one used to format the time series. It is the string that denotes cultures in the .NET framework. Example: "en-US".
DateTime _from
 The starting date time of the period to be considered.
DateTime _to
 The ending date time of the period to be considered.
float _devider
 Number by which all records will be divided. Done to avoid too big or too small numbers.
string _timePeriod
 The time period / frame used in this time series.
int _delay
 The number of periods / time frames to move backwards in time before starting to process.
int _n_TimeFramesToSkip = -1
 Used when a time series is with time frame / period less than "MN", to denote how many records to skip from each month.


Detailed Description

Reads a normal time series that is with fixed time periods/frames.

Every time series file starts with a header that describes how to read the data. After that it continues with column separated values, that have a new line as row separator. Below is the format of the header.

        <para>rowStart rowEnd datetimeColIndex dataColIndex devider delay</para>
        <para>timePeriod</para>
        <para>cultureInfo</para>
        <para>DateTimeFormat1</para>
        <para>[dateTimeFormat2]</para>
        <para>[.]</para>
        <para>[.]</para>
        <para>[.]</para>
        <para>New empty line</para>
        <para>columnDelimiter1</para>
        <para>[columnDelimiter2]</para>
        <para>New empty line</para>

rowStart is the starting row from which data will be processed. Row counting starts from number 0, right after the header ends. Rows that are not considered may not comply with the time series format.

rowEnd is the ending row of the data to be processed.

The column index of the datetime field. Counting starts from 0.

The column index of the data field, the actual time series. Counting starts from 0.

Divider is a number, by which all records will be divided. Done to avoid too big or too small numbers.

delay is the number of periods to move backwards in time before starting to process. Imagine there is a macro-economic indicator released every month, but it is released two months after the corresponding month. You really don't want to use data that was not available at that time, so you set up a delay.

timePeriod can be any of the following:

"M1", "M5", "M15", "M30", "H1", "H4", "D1", "W1", "MN", "Q1", "Y1".

Those correspond to:

1 minute, 5 minutes, 15 minutes, 30 minutes, 1 hour, 4 hours, 1 day, 1 week, 1 month, 1 quarter /3 months, 1 year.

cultureInfo is the one used to format the time series. It is the string that denotes cultures in the .NET framework. Example: "en-US".

Date time formats are all the formats that will appear in the series. These formats follow the default .NET custom datetime formatting rules.

Column delimiters are sequences of symbols that delimit columns in the time series. Be careful how you order them, when some of them contain others. They are tested in ascending order for presence.

Definition at line 57 of file NormalTimeSeries.cs.


The documentation for this class was generated from the following file:
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