Changeset 9991 for trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading

Timestamp:

09/19/13 11:29:28 (11 years ago)

Author:

gkronber

Message:

#1508

• fixed a bug in the ECB problem instance provider (reversed time series)
• improved the ProblemInstanceProviderViewGeneric class to show a progress bar while loading the problem instance
• fixed the build fail (in SolutionLineChartView)

File:

• trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading/3.4/EcbProblemInstanceProvider.cs (modified) (3 diffs)

trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading/3.4/EcbProblemInstanceProvider.cs

@@ -78 +78 @@
       var tList = new List<DateTime>();
       var dList = new List<double>();
-      double prevValue = 0;
       values.Add(tList);
       values.Add(dList);
@@ -100 +99 @@
                 if (descriptor.Name.Contains(reader.GetAttribute("currency"))) {
                   reader.MoveToAttribute("rate");
-                  var curValue = reader.ReadContentAsDouble();
-                  if (!dList.Any())
-                    dList.Add(0.0);
-                  else {
-                    dList.Add(curValue - prevValue);
-                  }
-                  prevValue = curValue;
+                  dList.Add(reader.ReadContentAsDouble());
 
                   reader.MoveToElement();
@@ -117 +110 @@
           }
       }
-      var allowedInputVariables = new string[] { descriptor.Name };
-      var targetVariable = descriptor.Name;
-      var ds = new Dataset(new string[] { "Day", descriptor.Name }, values);
+      // 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);
     }