Forum Applications Trading Strategies (Algo Quant)

reading csv file and signal class

timfargo2000Participant December 19, 2011 at 4:02 am

Hi all,

I have two questions regarding algoquant and will appreciate any input:

1. Where is the signal class in the example of ‘factor model’( http://www.numericalmethod.com/wiki/numericalmethod/browser/algoquant/algoquant/src/com/numericalmethod/algoquant/model/factormodel )? Does it just mean the datatypes such as “Depth”. “MarketCondition” as shown in the Strategy interface? 2. Any built in classes in algoquant to read csv file?
RyuParticipant December 19, 2011 at 4:37 am

Hi numerical,

#1 As of now there is no ‘Signal’ class in package …factormodel. Those classes are not simulating a particular strategy looping over historical data. They are for analyzing a particular factor’s contribution to p&l. See the relevant references for more information on Fama-Macbeth and CAPM.

#2 AlgoQuant comes with SuperCSV to read csv files. You may take a look at this page for some examples: http://supercsv.sourceforge.net/codeExamples.html

Alternatively, if you zip your csv files, AlgoQuant has a .csv.zip reader that it uses everywhere. See these for examples: http://www.numericalmethod.com/wiki/numericalmethod/browser/algoquant/algoquant/src/com/numericalmethod/algoquant/data/historicaldata/gaincapital/GainCapitalFxCsvZipFileReader.java http://www.numericalmethod.com/wiki/numericalmethod/browser/algoquant/algoquant/src/com/numericalmethod/algoquant/data/historicaldata/compustat/CompanyDB.java

Thanks.