parent
2614d010da
commit
ff63be720c
@ -0,0 +1,41 @@
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-- please run datagen.get_stock_data() to generate data/stock.csv first
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-- create table ticks(ID varchar(10), timestamp int, tradeDate date, price int);
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-- LOAD DATA INFILE "data/stock.csv"
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-- INTO TABLE ticks
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-- FIELDS TERMINATED BY ","
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-- SELECT max(price-mins(price))
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-- FROM ticks ASSUMING ASC timestamp
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-- WHERE ID="S"
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-- AND tradeDate='2003-01-10'
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-- create table base(ID varchar(10), name varchar(10));
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-- LOAD DATA INFILE "data/base.csv"
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-- INTO TABLE base
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-- FIELDS TERMINATED BY ","
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-- SELECT last(price)
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-- FROM ticks t, base b
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-- ASSUMING ASC name, ASC timestamp
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-- WHERE t.ID=b.ID
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-- AND name="x"
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create table TradedStocks(ID varchar(15), SeqNo int, TradeDate date, TimeStamp time, Type varchar(5));
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create table HistoricQuotes(ID varchar(15), TradeDate date, HighPrice real, LowPrice real, ClosePrice real, OpenPrice real, volume bigint);
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LOAD DATA INFILE "data/tick-price-file.csv"
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INTO TABLE TradedStocks
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FIELDS TERMINATED BY "|"
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LOAD DATA INFILE "data/hist-price-file.csv"
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INTO TABLE HistoricQuotes
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FIELDS TERMINATED BY "|"
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SELECT ts.ID, avgs(10, hq.ClosePrice)
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FROM TradedStocks AS ts NATURAL JOIN
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HistoricQuotes AS hq
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ASSUMING ASC hq.TradeDate
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GROUP BY ts.ID
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@ -0,0 +1,26 @@
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There are 2 programs included in this package:
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1. histgen - generation program for historical data
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2. tickgen - generation program for tick data
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histgen takes 2 parameters
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a) Scale-factor: Number of securities for which data is to be generated
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b) Depth of history: The number of days for which data is to be generated
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and genertes 2 files
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a) hist-base-file: contains all the static data
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b) hist-price-file: contains the pricing info
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c) hist-split-file: contains the split info
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tickgen also takes 2 parameters
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a) Scale-factor: Number of securities for which data is to be generated
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b) Ticks per day: A measure of the activity on a per security basis. e.g 100 would mean
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that each security ticks about 100 time in a trading day
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and generates 2 files
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a) tick-base-file
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b) tick-price-file
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run the programs without args to see the parameters required.
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------------------
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Make of programs:
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run the make program. It requires the C++ compiler (CC) to be in your path.
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@ -0,0 +1,61 @@
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// cmvc_id = %Z% %W% %I% %E% %U%
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#ifndef RandGenHEADER
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#define RandGenHEADER
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///////////////////////////////////////////////////////////////////////////////
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//
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// Copyright (c) 1997 Morgan Stanley & Co. Incorporated, All Rights Reserved
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//
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// Unpublished copyright. All rights reserved. This material contains
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// proprietary information that shall be used or copied only within Morgan
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// Stanley, except with written permission of Morgan Stanley.
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//
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// Module Name : RandGen.H
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// Version : %Z% %W% %I% %E% %U%
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// Project : DataGen
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// Description : Random Number generator
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//
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///////////////////////////////////////////////////////////////////////////////
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#include <stdlib.h>
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#include <iostream>
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#include <sys/time.h>
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using namespace std;
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class RandNumGen
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{
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public:
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RandNumGen(void)
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{
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struct timeval tv;
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gettimeofday(&tv,0 );
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srand(tv.tv_sec + tv.tv_usec);
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}
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RandNumGen(unsigned long seed_)
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{
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srand(seed_);
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}
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~RandNumGen(){}
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inline unsigned long operator() (void);
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inline int operator() (int min_, int max_);
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};
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// Implementation of inline functions
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inline unsigned long RandNumGen::operator() (void)
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{
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return rand();
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}
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inline int RandNumGen::operator() (int min_, int max_)
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{
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unsigned long t = (*this)();
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int r = max_ - min_;
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return (min_ + t % r);
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}
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#endif
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// cmvc_id = %Z% %W% %I% %E% %U%
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#ifndef TimeIMPLEMENTATION
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#define TimeIMPLEMENTATION
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///////////////////////////////////////////////////////////////////////////////
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//
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// Copyright (c) 1997 Morgan Stanley & Co. Incorporated, All Rights Reserved
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//
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// Unpublished copyright. All rights reserved. This material contains
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// proprietary information that shall be used or copied only within Morgan
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// Stanley, except with written permission of Morgan Stanley.
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//
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// Module Name : Time.C
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// Version : %Z% %W% %I% %E% %U%
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// Project :
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// Description :
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//
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///////////////////////////////////////////////////////////////////////////////
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#include <stdio.h>
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#include "Time.H"
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Time::Time(char *startTime_)
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{
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sscanf(startTime_,"%d:%d:%d", &_hrs, &_mins, &_secs);
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cout << "Hrs: " << _hrs << ",Mins: " << _mins << ",Secs: " << _secs << endl;
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}
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Time::~Time()
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{}
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Time &Time::operator++ (int)
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{
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_secs++;
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adjust();
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return *this;
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}
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void Time::adjust(void)
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{
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if (_secs >= 60)
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{
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_mins += _secs/60;
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_secs = _secs%60;
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}
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if (_mins >= 60)
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{
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_hrs += _mins/60;
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_mins = _mins%60;
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}
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if (_hrs >= 24) _hrs = _hrs = _hrs%24;
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}
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ostream &operator<< (ostream &os_, Time &that_)
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{
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if (that_.hrs() < 10) os_ << "0";
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os_ << that_.hrs();
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os_ << ":" ;
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if (that_.mins() < 10) os_ << "0";
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os_ << that_.mins();
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os_ << ":" ;
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if (that_.secs() < 10) os_ << "0";
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os_ << that_.secs();
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return os_;
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}
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#endif
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@ -0,0 +1,43 @@
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// cmvc_id = %Z% %W% %I% %E% %U%
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#ifndef TimeHEADER
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#define TimeHEADER
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///////////////////////////////////////////////////////////////////////////////
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//
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// Copyright (c) 1997 Morgan Stanley & Co. Incorporated, All Rights Reserved
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//
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// Unpublished copyright. All rights reserved. This material contains
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// proprietary information that shall be used or copied only within Morgan
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// Stanley, except with written permission of Morgan Stanley.
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//
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// Module Name : Time.H
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// Version : %Z% %W% %I% %E% %U%
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// Project :
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// Description :
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//
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///////////////////////////////////////////////////////////////////////////////
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#include <iostream>
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using namespace std;
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class Time
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{
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public:
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Time(char *startTime_);
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~Time();
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Time &operator++(int);
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void adjust(void);
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int hrs(void) { return _hrs; }
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int mins(void) { return _mins; }
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int secs(void) { return _secs; }
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friend ostream &operator<< (ostream &os_, Time &that_);
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private:
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int _hrs, _mins, _secs;
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};
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#endif
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#include <sys/types.h>
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#include <time.h>
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#include <iostream>
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#include "cal.H"
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using namespace std;
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Calendar::Calendar(void)
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{
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time_t clk = time(0);
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struct tm *now = localtime(&clk);
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_currdate = asJulianNumber(now->tm_mon+1, now->tm_mday, now->tm_year+1900);
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}
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Calendar::~Calendar()
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{}
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// year_ in yyyy format
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unsigned int Calendar::asJulianNumber(int month_,int day_,int year_)
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{
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unsigned long c,ya;
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if (month_>2) month_-=3;
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else { month_+=9; year_--; }
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c=year_/100;
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ya=year_-100*c;
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return ((146097*c)>>2)+((1461*ya)>>2)+(153*month_+2)/5+day_+1721119;
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}
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void Calendar::split(int& month_,int& day_,int& year_)
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{
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unsigned long d;
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unsigned long j=_currdate-1721119;
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year_=(int) (((j<<2)-1)/146097);
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j=(j<<2)-1-146097*year_;
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d=(j>>2);
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j=((d<<2)+3)/1461;
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d=(d<<2)+3-1461*j;
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d=(d+4)>>2;
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month_=(int)(5*d-3)/153;
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d=5*d-3-153*month_;
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day_=(int)((d+5)/5);
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year_=(int)(100*year_+j);
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if (month_<10) month_+=3;
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else { month_-=9; year_++; }
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}
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int Calendar::dayInWeek(void)
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{
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return ((((_currdate+1)%7)+6)%7)+1;
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}
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Calendar &Calendar::nextWeekday(void)
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{
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(*this) += 1;
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while (!isWeekday()) (*this)+= 1;
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return *this;
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}
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int Calendar::isWeekday(void)
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{
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return (dayInWeek()<6)?1:0;
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}
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Calendar &Calendar::operator+= (int incr_)
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{
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_currdate += incr_;
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return *this;
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}
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ostream &operator<< (ostream &os_, Calendar &that_)
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{
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int mo, day, year;
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that_.split(mo,day,year);
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os_ << year << "-" << mo << "-" << day;
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// the below is a pain for monetdb
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//os_ << mo << "/" << day << "/" << year;
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return os_;
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}
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@ -0,0 +1,26 @@
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#ifndef _CAL_H_
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#define _CAL_H_
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#include <iostream>
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using namespace std;
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class Calendar
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{
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public:
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Calendar(void);
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~Calendar();
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unsigned int asJulianNumber(int month_, int day_, int year_);
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int isWeekday(void);
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Calendar &operator+= (int incr_);
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friend ostream &operator<< (ostream &os_,Calendar &that_);
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int dayInWeek(void);
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Calendar &nextWeekday(void);
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void split(int &mo_, int &day_, int &year_);
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private:
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unsigned int _currdate;
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};
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#endif
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@ -0,0 +1,76 @@
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#include <sys/types.h>
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#include <time.h>
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#include <iostream>
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#include "cal.H"
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Calendar::Calendar(void)
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{
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time_t clk = time(0);
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struct tm *now = localtime(&clk);
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_currdate = asJulianNumber(now->tm_mon+1, now->tm_mday, now->tm_year+1900);
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}
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Calendar::~Calendar()
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{}
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// year_ in yyyy format
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unsigned int Calendar::asJulianNumber(int month_,int day_,int year_)
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{
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unsigned long c,ya;
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if (month_>2) month_-=3;
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else { month_+=9; year_--; }
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c=year_/100;
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ya=year_-100*c;
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return ((146097*c)>>2)+((1461*ya)>>2)+(153*month_+2)/5+day_+1721119;
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}
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||||
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void Calendar::split(int& month_,int& day_,int& year_)
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{
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unsigned long d;
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unsigned long j=_currdate-1721119;
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year_=(int) (((j<<2)-1)/146097);
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j=(j<<2)-1-146097*year_;
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d=(j>>2);
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j=((d<<2)+3)/1461;
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d=(d<<2)+3-1461*j;
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d=(d+4)>>2;
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month_=(int)(5*d-3)/153;
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d=5*d-3-153*month_;
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day_=(int)((d+5)/5);
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year_=(int)(100*year_+j);
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if (month_<10) month_+=3;
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else { month_-=9; year_++; }
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||||
}
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|
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int Calendar::dayInWeek(void)
|
||||
{
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return ((((_currdate+1)%7)+6)%7)+1;
|
||||
}
|
||||
|
||||
Calendar &Calendar::nextWeekday(void)
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||||
{
|
||||
(*this) += 1;
|
||||
while (!isWeekday()) (*this)+= 1;
|
||||
return *this;
|
||||
}
|
||||
|
||||
int Calendar::isWeekday(void)
|
||||
{
|
||||
return (dayInWeek()<6)?1:0;
|
||||
}
|
||||
|
||||
Calendar &Calendar::operator+= (int incr_)
|
||||
{
|
||||
_currdate += incr_;
|
||||
return *this;
|
||||
}
|
||||
|
||||
ostream &operator<< (ostream &os_, Calendar &that_)
|
||||
{
|
||||
int mo, day, year;
|
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that_.split(mo,day,year);
|
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os_ << mo << "/" << day << "/" << year;
|
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return os_;
|
||||
}
|
||||
@ -0,0 +1,58 @@
|
||||
// cmvc_id = %Z% %W% %I% %E% %U%
|
||||
|
||||
#ifndef genIMPLEMENTATION
|
||||
#define genIMPLEMENTATION
|
||||
|
||||
#include <iostream.h>
|
||||
#include "RandGen.H"
|
||||
|
||||
int num[6];
|
||||
int nelems=0;
|
||||
|
||||
int member(int a_)
|
||||
{
|
||||
for (int i=0; i<nelems; i++)
|
||||
{
|
||||
if (num[i] == a_) return 1;
|
||||
}
|
||||
return 0;
|
||||
}
|
||||
|
||||
int gen(int flag_)
|
||||
{
|
||||
RandNumGen rg;
|
||||
if (flag_ == 0)
|
||||
{
|
||||
for (int i=0;i<6;i++) num[i] = 0;
|
||||
nelems=0;
|
||||
return 0;
|
||||
}
|
||||
|
||||
int rn;
|
||||
while (1)
|
||||
{
|
||||
rn = rg(1,52);
|
||||
if (member(rn) == 0) break;
|
||||
}
|
||||
|
||||
num[nelems++] = rn;
|
||||
return rn;
|
||||
}
|
||||
|
||||
int main(int ac, char *av[])
|
||||
{
|
||||
if (ac < 2)
|
||||
{
|
||||
cerr << "Usage: " << av[0] << " <number>" << endl;
|
||||
return 1;
|
||||
}
|
||||
|
||||
int k = atoi(av[1]);
|
||||
for(int i=0; i<k; i++)
|
||||
{
|
||||
gen(0);
|
||||
for (int j=0;j<6;j++) cout << gen(1) << " ";
|
||||
cout << endl;
|
||||
}
|
||||
}
|
||||
#endif
|
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@ -0,0 +1,198 @@
|
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// cmvc_id = %Z% %W% %I% %E% %U%
|
||||
|
||||
#ifndef histgenIMPLEMENTATION
|
||||
#define histgenIMPLEMENTATION
|
||||
|
||||
#include <stdlib.h>
|
||||
#include <stdio.h>
|
||||
#include <unistd.h>
|
||||
#include <iostream>
|
||||
#include <fstream>
|
||||
#include <sys/time.h>
|
||||
|
||||
#include "RandGen.H"
|
||||
#include "cal.H"
|
||||
using namespace std;
|
||||
inline int max(int a, int b)
|
||||
{
|
||||
return (a>b)?a:b;
|
||||
}
|
||||
|
||||
inline int min(int a, int b)
|
||||
{
|
||||
return (a<b)?a:b;
|
||||
}
|
||||
|
||||
int main(int ac, char *av[])
|
||||
{
|
||||
RandNumGen rg;
|
||||
int i, j, d, k;
|
||||
ofstream basefile("../../data/hist-base-file.csv");
|
||||
ofstream pricefile("../../data/hist-price-file.csv");
|
||||
ofstream splitfile("../../data/hist-split-file.csv");
|
||||
ofstream dividendfile("../../data/hist-dividend-file.csv");
|
||||
|
||||
if (!basefile)
|
||||
{
|
||||
cerr << "Cannot open base-file" << endl;
|
||||
return 1;
|
||||
}
|
||||
|
||||
if (!pricefile)
|
||||
{
|
||||
cerr << "Cannot open price-file" << endl;
|
||||
return 1;
|
||||
}
|
||||
|
||||
if (!splitfile)
|
||||
{
|
||||
cerr << "Cannot open split-file" << endl;
|
||||
return 1;
|
||||
}
|
||||
|
||||
if (!dividendfile)
|
||||
{
|
||||
cerr << "Cannot open dividend-file" << endl;
|
||||
return 1;
|
||||
}
|
||||
|
||||
|
||||
|
||||
if (ac < 2)
|
||||
{
|
||||
cerr << "Usage: " << av[0] << " <scale - no of elements> [depth - in days. Default = 4000days]" << endl;
|
||||
return 1;
|
||||
}
|
||||
|
||||
int scale=0, ndays = 4000;
|
||||
if (ac >= 2) scale = atoi(av[1]);
|
||||
if (ac >= 3) ndays = atoi(av[2]);
|
||||
|
||||
// Generation of base info
|
||||
int nex = 5;
|
||||
char *ex[] = { "NY", "O", "AM", "LN", "TK"};
|
||||
|
||||
int nsic = 10;
|
||||
char *sic[] = { "COMPUTERS", "CHEMICALS", "FINANCIAL", "INDUSTRIAL", "PHARMACEUTICALS",
|
||||
"MEDICAL", "BANKING", "SOFTWARE", "ENTERTAINMENT", "CONSTRUCTION" };
|
||||
|
||||
char *cu[] = { "USD", "DEM", "JPY", "FFR", "GBP"};
|
||||
int ncu = 5;
|
||||
|
||||
char *spr[] = { "AAA", "AA", "A", "BBB", "BB", "B", "CCC", "CC", "C"};
|
||||
int nspr = 9;
|
||||
|
||||
|
||||
unsigned int rnum;
|
||||
char id[100];
|
||||
char descr[256];
|
||||
// the below is a pain with monetdb, changing to better date format
|
||||
//char *crdate = "3/11/1999";
|
||||
char *crdate = "1999-11-03";
|
||||
|
||||
basefile << "Id|Ex|Descr|SIC|SPR|Cu|CreateDate" << endl;
|
||||
for (i=0; i<scale; i++)
|
||||
{
|
||||
sprintf(id,"Security_%d", i);
|
||||
sprintf(descr, "'Financial security number: %d'", i);
|
||||
|
||||
basefile << id;
|
||||
basefile << "|" << ex[rg(0,nex)];
|
||||
basefile << "|" << descr;
|
||||
basefile << "|" << sic[rg(0,nsic)];
|
||||
basefile << "|" << spr[rg(0,nspr)];
|
||||
basefile << "|" << cu[rg(0, ncu)];
|
||||
basefile << "|" << crdate;
|
||||
basefile << endl;
|
||||
}
|
||||
|
||||
basefile.close();
|
||||
|
||||
|
||||
// generation of price info
|
||||
double *minop = new double[scale];
|
||||
for (i=0; i<scale; i++) minop[i] = 0.0;
|
||||
|
||||
double *op = new double[scale];
|
||||
for (i=0; i<scale; i++) op[i] = 0.0;
|
||||
|
||||
unsigned long *vs = new unsigned long[scale];
|
||||
for (i=0; i<scale; i++) vs[i] = 0;
|
||||
|
||||
double cp, hp, lp;
|
||||
Calendar cal;
|
||||
|
||||
pricefile << "Id|TradeDate|HighPrice|LowPrice|ClosePrice|OpenPrice|Volume" << endl;
|
||||
splitfile << "Id|SplitDate|EntryDate|SplitFactor" << endl;
|
||||
dividendfile << "Id|XdivDate|DivAmt|AnnounceDate" << endl;
|
||||
|
||||
for (d=0;d<ndays; d++)
|
||||
{
|
||||
cal.nextWeekday();
|
||||
for (k=0;k<scale;k++)
|
||||
{
|
||||
sprintf(id,"Security_%d", k);
|
||||
|
||||
if (op[k]==0.0) op[k] = rg(0,100);
|
||||
if (minop[k]==0.0) minop[k] = op[k];
|
||||
|
||||
if (vs[k]==0) vs[k] = rg();
|
||||
else vs[k] = vs[k]*(100.0+rg(-10,+10))/100.0;
|
||||
|
||||
int skew = rg(0,+2);
|
||||
double f = (100.0 + rg(-2,3+skew))/100.0;
|
||||
cp = op[k] * f;
|
||||
hp = max(op[k], cp) * (100.0+rg(0,+10))/100.0;
|
||||
lp = min(op[k], cp) * (100.0-rg(0,+10))/100.0;
|
||||
|
||||
pricefile << id;
|
||||
pricefile << "|" << cal;
|
||||
pricefile << "|" << hp;
|
||||
pricefile << "|" << lp;
|
||||
pricefile << "|" << cp;
|
||||
pricefile << "|" << op[k];
|
||||
pricefile << "|" << vs[k];
|
||||
pricefile << endl;
|
||||
|
||||
op[k] = cp;
|
||||
|
||||
|
||||
// check splits
|
||||
if (op[k] > 2.0*minop[k])
|
||||
{
|
||||
int splitfactor = rg(1,4);
|
||||
op[k] /= (double)splitfactor;
|
||||
vs[k] *= splitfactor;
|
||||
|
||||
splitfile << id;
|
||||
splitfile << "|" << cal;
|
||||
splitfile << "|" << cal;
|
||||
splitfile << "|" << splitfactor;
|
||||
splitfile << endl;
|
||||
}
|
||||
|
||||
// check dividends
|
||||
if (op[k] > minop[k])
|
||||
{
|
||||
// dividend as a fraction of current closing price
|
||||
double dividend = (rg(1, 100) / 100.0) * cp;
|
||||
|
||||
dividendfile << id;
|
||||
dividendfile << "|" << cal;
|
||||
dividendfile << "|" << dividend;
|
||||
// assumes announced and disbursed same day,
|
||||
// queries can be trivially modified to do away with this assumption
|
||||
dividendfile << "|" << cal;
|
||||
dividendfile << endl;
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
}
|
||||
splitfile.close();
|
||||
pricefile.close();
|
||||
dividendfile.close();
|
||||
}
|
||||
|
||||
|
||||
#endif
|
||||
@ -0,0 +1,20 @@
|
||||
.PHONY: clean
|
||||
|
||||
all: histgen tickgen
|
||||
|
||||
clean:
|
||||
rm -rf *.o histgen tickgen
|
||||
|
||||
%.o: %.C
|
||||
g++-12 -Ofast -march=native -g -c $<
|
||||
|
||||
tickgen: cal.o Time.o tickgen.o
|
||||
g++-12 -lstdc++ -Ofast -march=native -flto -o tickgen cal.o Time.o tickgen.o
|
||||
|
||||
histgen: cal.o histgen.o
|
||||
g++-12 -lstdc++ -Ofast -flto -march=native -o histgen cal.o histgen.o
|
||||
|
||||
timetest: Time.o timetest.o
|
||||
g++-12 -lstdc++ -g -o timetest Time.o timetest.o
|
||||
|
||||
|
||||
@ -0,0 +1,197 @@
|
||||
// cmvc_id = %Z% %W% %I% %E% %U%
|
||||
|
||||
#ifndef histgenIMPLEMENTATION
|
||||
#define histgenIMPLEMENTATION
|
||||
|
||||
#include <stdlib.h>
|
||||
#include <stdio.h>
|
||||
#include <unistd.h>
|
||||
#include <iostream>
|
||||
#include <fstream>
|
||||
#include <sys/time.h>
|
||||
|
||||
#include "RandGen.H"
|
||||
#include "cal.H"
|
||||
#include "Time.H"
|
||||
|
||||
using namespace std;
|
||||
|
||||
inline int max(int a, int b)
|
||||
{
|
||||
return (a>b)?a:b;
|
||||
}
|
||||
|
||||
inline int min(int a, int b)
|
||||
{
|
||||
return (a<b)?a:b;
|
||||
}
|
||||
|
||||
int main(int ac, char *av[])
|
||||
{
|
||||
RandNumGen rg;
|
||||
int i, j, d, k;
|
||||
ofstream basefile("../../data/tick-base-file.csv");
|
||||
ofstream pricefile("../../data/tick-price-file.csv");
|
||||
|
||||
|
||||
if (!basefile)
|
||||
{
|
||||
cerr << "Cannot open base-file" << endl;
|
||||
return 1;
|
||||
}
|
||||
|
||||
if (!pricefile)
|
||||
{
|
||||
cerr << "Cannot open price-file" << endl;
|
||||
return 1;
|
||||
}
|
||||
|
||||
if (ac < 2)
|
||||
{
|
||||
cerr << "Usage: " << av[0] << " <n -scale> [t -ticks per day.Default=100] [d - no of days.Default=90]" << endl;
|
||||
return 1;
|
||||
}
|
||||
|
||||
int n=0,t=100,days=90;
|
||||
|
||||
if (ac >= 2) n = atoi(av[1]);
|
||||
if (ac >= 3) t = atoi(av[2]);
|
||||
if (ac >= 4) days = atoi(av[3]);
|
||||
|
||||
|
||||
int tps = (n*t)/28800; // ticks per second
|
||||
tps++;
|
||||
cout << "Ticks per second: " << tps << endl;
|
||||
|
||||
// Generation of base info
|
||||
int nex = 5;
|
||||
char *ex[] = { "NY", "O", "AM", "LN", "TK"};
|
||||
|
||||
int nsic = 10;
|
||||
char *sic[] = { "COMPUTERS", "CHEMICALS", "FINANCIAL", "INDUSTRIAL", "PHARMACEUTICALS",
|
||||
"MEDICAL", "BANKING", "SOFTWARE", "ENTERTAINMENT", "CONSTRUCTION" };
|
||||
|
||||
char *cu[] = { "USD", "DEM", "JPY", "FFR", "GBP"};
|
||||
int ncu = 5;
|
||||
|
||||
char *spr[] = { "AAA", "AA", "A", "BBB", "BB", "B", "CCC", "CC", "C"};
|
||||
int nspr = 9;
|
||||
|
||||
|
||||
unsigned int rnum;
|
||||
char id[100];
|
||||
char descr[256];
|
||||
char *crdate = "3/11/1999";
|
||||
|
||||
basefile << "Id | Ex | Descr | SIC | Cu" << endl;
|
||||
|
||||
for (i=0; i<n; i++)
|
||||
{
|
||||
sprintf(id,"Security_%d", i);
|
||||
sprintf(descr, "'Financial security number: %d'", i);
|
||||
|
||||
basefile << id;
|
||||
basefile << " | " << ex[rg(0,nex)];
|
||||
basefile << " | " << descr;
|
||||
basefile << " | " << sic[rg(0,nsic)];
|
||||
basefile << " | " << cu[rg(0, ncu)];
|
||||
basefile << endl;
|
||||
}
|
||||
basefile.close();
|
||||
|
||||
|
||||
// generation of price info
|
||||
double tick=1.0/32.0;
|
||||
|
||||
// 1. gen the starting price of each security
|
||||
double *bp = new double[n];
|
||||
int *seq = new int[n];
|
||||
|
||||
for (i=0;i<n;i++)
|
||||
{
|
||||
bp[i] = rg(0,100);
|
||||
seq[i] = 0;
|
||||
}
|
||||
|
||||
Calendar cal;
|
||||
Time tm("9:00:00");
|
||||
cal.nextWeekday();
|
||||
|
||||
pricefile << "Id | SeqNo | TradeDate | TimeStamp | Type" << endl;
|
||||
|
||||
for (k=0;k<days; k++)
|
||||
{
|
||||
// for each second of the business day - 8*60*60
|
||||
for(i=0;i<28800;i++)
|
||||
{
|
||||
// generate the required ticks
|
||||
for(j=0;j<tps;j++)
|
||||
{
|
||||
//1. select a security
|
||||
int sec = rg(0,n);
|
||||
sprintf(id, "Security_%d", sec);
|
||||
|
||||
//2. select if it is a trade, ask, bid
|
||||
int tqb = rg(0,4);
|
||||
switch (tqb)
|
||||
{
|
||||
case 0: // trade
|
||||
{
|
||||
double tp = bp[sec];
|
||||
int ts = rg(1,100) * 100;
|
||||
pricefile << id;
|
||||
pricefile << "|" << ++seq[sec];
|
||||
pricefile << "|" << cal;
|
||||
pricefile << "|" << tm;
|
||||
pricefile << "|T" << endl;
|
||||
break;
|
||||
}
|
||||
case 1: // ask
|
||||
{
|
||||
double ap = rg(0,4)*tick+bp[sec];
|
||||
int as = rg(1,100) * 100;
|
||||
pricefile << id;
|
||||
pricefile << "|" << ++seq[sec];
|
||||
pricefile << "|" << cal;
|
||||
pricefile << "|" << tm;
|
||||
pricefile << "|Q" << endl;
|
||||
break;
|
||||
}
|
||||
case 2: // bid
|
||||
{
|
||||
int dir = (rg(3,10) > 5)? +1:-1;
|
||||
bp[sec] = (dir*rg(0,3)*tick)+bp[sec];
|
||||
int bs = rg(1,100) * 100;
|
||||
pricefile << id;
|
||||
pricefile << "|" << ++seq[sec];
|
||||
pricefile << "|" << cal;
|
||||
pricefile << "|" << tm;
|
||||
pricefile << "|Q" << endl;
|
||||
break;
|
||||
}
|
||||
case 3: // cancel/correct as a trade
|
||||
{
|
||||
if (rg(0,100) < 5) break;
|
||||
double tp = bp[sec];
|
||||
int ts = rg(1,100) * 100;
|
||||
pricefile << id;
|
||||
pricefile << "|" << ++seq[sec];
|
||||
pricefile << "|" << cal;
|
||||
pricefile << "|" << tm;
|
||||
pricefile << "|CT" << endl;
|
||||
break;
|
||||
}
|
||||
default:
|
||||
break;
|
||||
}
|
||||
}
|
||||
// Go to the next second
|
||||
tm++;
|
||||
}
|
||||
cal.nextWeekday();
|
||||
}
|
||||
pricefile.close();
|
||||
}
|
||||
|
||||
|
||||
#endif
|
||||
Loading…
Reference in new issue