#region License Information
/* HeuristicLab
* Copyright (C) Heuristic and Evolutionary Algorithms Laboratory (HEAL)
*
* This file is part of HeuristicLab.
*
* HeuristicLab is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* HeuristicLab is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with HeuristicLab. If not, see .
*/
#endregion
using System;
using System.Collections;
using System.Collections.Generic;
using System.Net;
using System.Xml;
using HeuristicLab.Problems.Instances;
using System.Linq;
namespace HeuristicLab.Problems.DataAnalysis.Trading {
public class EcbProblemInstanceProvider : ProblemInstanceProvider {
private class EcbDataDescriptor : IDataDescriptor {
public string Name { get; set; }
public string Description { get; set; }
}
public override string Name {
get { return "European Central Bank FX Data Provider"; }
}
public override string Description {
get { return "Downloads exchange rate data from the ECB"; }
}
public override Uri WebLink {
get { return new Uri("http://www.ecb.europa.eu/stats/eurofxref/"); }
}
public override string ReferencePublication {
get { return string.Empty; }
}
public override IEnumerable GetDataDescriptors() {
var l = new List();
try {
using (var client = new WebClient()) {
var s = client.OpenRead("http://www.ecb.europa.eu/stats/eurofxref/eurofxref-hist-90d.xml");
if (s == null) return l;
using (var reader = new XmlTextReader(s)) {
reader.MoveToContent();
reader.ReadToDescendant("Cube", "http://www.ecb.int/vocabulary/2002-08-01/eurofxref");
reader.ReadToDescendant("Cube", "http://www.ecb.int/vocabulary/2002-08-01/eurofxref");
reader.ReadToDescendant("Cube", "http://www.ecb.int/vocabulary/2002-08-01/eurofxref");
do {
l.Add(new EcbDataDescriptor() { Name = "EUR / " + reader.GetAttribute("currency"), Description = string.Empty });
} while (reader.ReadToNextSibling("Cube", "http://www.ecb.int/vocabulary/2002-08-01/eurofxref"));
}
}
}
catch (Exception) {
}
return l;
}
public override IProblemData LoadData(IDataDescriptor descriptor) {
var values = new List();
var tList = new List();
var dList = new List();
values.Add(tList);
values.Add(dList);
using (var client = new WebClient()) {
var s = client.OpenRead("http://www.ecb.europa.eu/stats/eurofxref/eurofxref-hist.xml");
if (s != null)
using (var reader = new XmlTextReader(s)) {
reader.MoveToContent();
reader.ReadToDescendant("Cube", "http://www.ecb.int/vocabulary/2002-08-01/eurofxref");
reader.ReadToDescendant("Cube", "http://www.ecb.int/vocabulary/2002-08-01/eurofxref");
// foreach time
do {
reader.MoveToAttribute("time");
tList.Add(reader.ReadContentAsDateTime());
reader.MoveToElement();
reader.ReadToDescendant("Cube", "http://www.ecb.int/vocabulary/2002-08-01/eurofxref");
// foreach currencys
do {
// find matching entry
if (descriptor.Name.Contains(reader.GetAttribute("currency"))) {
reader.MoveToAttribute("rate");
dList.Add(reader.ReadContentAsDouble());
reader.MoveToElement();
// skip remaining siblings
while (reader.ReadToNextSibling("Cube", "http://www.ecb.int/vocabulary/2002-08-01/eurofxref")) ;
break;
}
} while (reader.ReadToNextSibling("Cube", "http://www.ecb.int/vocabulary/2002-08-01/eurofxref"));
} while (reader.ReadToNextSibling("Cube", "http://www.ecb.int/vocabulary/2002-08-01/eurofxref"));
}
}
// keep only the rows with data for this exchange rate
if (tList.Count > dList.Count)
tList.RemoveRange(dList.Count, tList.Count - dList.Count);
else if (dList.Count > tList.Count)
dList.RemoveRange(tList.Count, dList.Count - tList.Count);
// entries in ECB XML are ordered most recent first => reverse lists
tList.Reverse();
dList.Reverse();
// calculate exchange rate deltas
var changes = new[] { 0.0 } // first element
.Concat(dList.Zip(dList.Skip(1), (prev, cur) => cur - prev)).ToList();
values.Add(changes);
var targetVariable = "d(" + descriptor.Name + ")";
var allowedInputVariables = new string[] { targetVariable };
var ds = new Dataset(new string[] { "Day", descriptor.Name, targetVariable }, values);
return new ProblemData(ds, allowedInputVariables, targetVariable);
}
}
}