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source: trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading/3.4/InstanceProviders/CsvProblemInstanceProvider.cs @ 11171

Last change on this file since 11171 was 11171, checked in by ascheibe, 10 years ago

#2115 merged r11170 (copyright update) into trunk

File size: 3.7 KB
Line 
1#region License Information
2/* HeuristicLab
3 * Copyright (C) 2002-2014 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
4 *
5 * This file is part of HeuristicLab.
6 *
7 * HeuristicLab is free software: you can redistribute it and/or modify
8 * it under the terms of the GNU General Public License as published by
9 * the Free Software Foundation, either version 3 of the License, or
10 * (at your option) any later version.
11 *
12 * HeuristicLab is distributed in the hope that it will be useful,
13 * but WITHOUT ANY WARRANTY; without even the implied warranty of
14 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
15 * GNU General Public License for more details.
16 *
17 * You should have received a copy of the GNU General Public License
18 * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
19 */
20#endregion
21
22using System;
23using System.Collections;
24using System.Collections.Generic;
25using System.IO;
26using System.Linq;
27using HeuristicLab.Common;
28using HeuristicLab.Problems.Instances;
29using HeuristicLab.Problems.Instances.DataAnalysis;
30
31namespace HeuristicLab.Problems.DataAnalysis.Trading {
32  public class CsvProblemInstanceProvider : ProblemInstanceProvider<IProblemData> {
33    public override string Name {
34      get { return "CSV File"; }
35    }
36    public override string Description {
37      get {
38        return "Comma separated values file importer";
39      }
40    }
41    public override Uri WebLink {
42      get { return new Uri("http://dev.heuristiclab.com/trac/hl/core/wiki/UsersFAQ#DataAnalysisImportFileFormat"); }
43    }
44    public override string ReferencePublication {
45      get { return ""; }
46    }
47
48    public override IEnumerable<IDataDescriptor> GetDataDescriptors() {
49      return new List<IDataDescriptor>();
50    }
51    public override IProblemData LoadData(IDataDescriptor descriptor) {
52      throw new NotImplementedException();
53    }
54
55    public override bool CanImportData {
56      get { return true; }
57    }
58    public override IProblemData ImportData(string path) {
59      TableFileParser csvFileParser = new TableFileParser();
60      csvFileParser.Parse(path, csvFileParser.AreColumnNamesInFirstLine(path));
61
62      Dataset dataset = new Dataset(csvFileParser.VariableNames, csvFileParser.Values);
63      string targetVar = (from v in dataset.DoubleVariables
64                          where dataset.GetReadOnlyDoubleValues(v).Min() <= 0
65                          where dataset.GetReadOnlyDoubleValues(v).Max() >= 0
66                          select v).LastOrDefault();
67      if (targetVar == null) throw new ArgumentException("The target variable must contain changes (deltas) of the asset price over time.");
68
69      // turn off input variables that are constant in the training partition
70      var allowedInputVars = new List<string>();
71      var trainingIndizes = Enumerable.Range(0, (csvFileParser.Rows * 2) / 3);
72      if (trainingIndizes.Count() >= 2) {
73        foreach (var variableName in dataset.DoubleVariables) {
74          if (dataset.GetDoubleValues(variableName, trainingIndizes).Range() > 0)
75            allowedInputVars.Add(variableName);
76        }
77      } else {
78        allowedInputVars.AddRange(dataset.DoubleVariables);
79      }
80
81      IProblemData problemData = new ProblemData(dataset, allowedInputVars, targetVar);
82
83      var trainingPartEnd = trainingIndizes.Last();
84      problemData.TrainingPartition.Start = trainingIndizes.First();
85      problemData.TrainingPartition.End = trainingPartEnd;
86      problemData.TestPartition.Start = trainingPartEnd;
87      problemData.TestPartition.End = csvFileParser.Rows;
88
89      problemData.Name = Path.GetFileName(path);
90
91      return problemData;
92    }
93  }
94}
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