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yahooTS Class Reference

Process historical equity (stock) data downloaded from finance.yahoo.com. More...

#include <yahooTS.h>

List of all members.

Public Types
enum	dataKind {   badEnum, Open, High, Low,   Close, Volume, lastEnum }
Public Methods
	yahooTS ()
	yahooTS (const char *p)
const double*	getTS (const char *fileName, double *a, size_t &N, dataKind kind) const
	Read a Yahoo equity time series from a file. More...
void	path (const char *p)
const char*	path ()
Private Methods
const char*	getStr_ (char *&line, char *buf, size_t bufSize) const
	Copy from the input string until either the end of the string (e.g., the null) is reached or a comma is found. More...
void	parseVals_ (char *line, double *vals, const size_t n) const
	Parse a comma separated line of values into a vector of doubles. More...
const double	getValue_ (char *line, const yahooTS::dataKind kind) const
	A data line from a Yahoo historical data file consists of a set of comma separated values:. More...
Private Attributes
const char*	path_

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Detailed Description

Process historical equity (stock) data downloaded from finance.yahoo.com.

The data is downloaded in "spread sheet" format from the historical data page. There is probably some limitation on using this data (e.g., no commercial use and no resale) so use at your own risk.

The format of the file is ASCII. The first line lists the title for each of the fields in the file. The titles and the fields are comma separated.

This class is specific to the data format that was downloaded from Yahoo at the time. More general code could be written to easily account for changing formats. However, I just wanted to extract the data.

The Yahoo data has two places of accuracy, presumably reflecting decimalization. The equity time series are adjusted for splits and dividends, backward in time from the most recent time in the time series. This can cause problems over long periods of time since at some point a stock that pays dividends will pay all of it's worth out in dividends and the value will become negative (as a result, a reinvest is a better choice).

The format for the data is:

<title line> <time series line>+

(e.g,. a titled followed by one or more time series lines).

The title line consists of six comma separated strings (e.g., "Date,Open,High,Low,Close,Volume"). Time time series lines have the values suggested in the title. For my current purposes I am not interested in date values, so these are ignored. All values are returned as vectors of doubles, although volume is an unsigned integer value.

Definition at line 79 of file yahooTS.h.

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Member Enumeration Documentation

enum yahooTS::dataKind

Enumeration values: badEnum   Open   High   Low   Close   Volume   lastEnum   Definition at line 86 of file yahooTS.h. { badEnum, Open, High, Low, Close, Volume, lastEnum } dataKind;

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Constructor & Destructor Documentation

yahooTS::yahooTS ( ) [inline]

Definition at line 94 of file yahooTS.h. { path_ = 0; };

yahooTS::yahooTS ( const char * p ) [inline]

Definition at line 98 of file yahooTS.h. : path_(p) {}

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Member Function Documentation

const char * yahooTS::getStr_ ( char *& line, char * buf, size_t bufSize ) const [private]

Copy from the input string until either the end of the string (e.g., the null) is reached or a comma is found. Parameters: line   A reference to a pointer to the input string. This pointer is incremented until either the end of string or a comma is encountered. When this function returns line will either point to the end of the string or a character following a comma. buf   A buffer into which the string will be copied. bufSize   The size of buf. Definition at line 56 of file yahooTS.cpp. Referenced by parseVals_(). { const char *rtnPtr = 0; if (line != 0) { for (size_t charCnt = 0; charCnt < bufSize-1 && *line != '\0'; charCnt++) { if (*line == ',') { line++; break; } else { buf[charCnt] = *line++; } } buf[charCnt] = '\0'; if (charCnt > 0) { rtnPtr = buf; } } return rtnPtr; } // getStr_

const double * yahooTS::getTS ( const char * fileName, double * a, size_t & N, const yahooTS::dataKind kind ) const

Read a Yahoo equity time series from a file. Yahoo allows historical equity data to be downloaded in "spread sheet" format. In this format there is a title line, listing the data columns (e.g., date, open, high, low, close and volume). Following the title line are comma separated values. In reading this Yahoo data file, the first line is skipped. The Yahoo data values are listed from most recent to oldest. In the data vector returned, a[0] will be the oldest and a[N-1] will be the most recent. Parameters: fileName   name of the file containing the time series. This file will be prefixed by the path in the class variable path_. a   A pointer to a vector of doubles that will be initialized with values from fileName. N   Number of doubles that will fit in a N is an input/output variable. The value returned in N will be the actual number of values read. kind   The kind of time series to fetch from fileName (e.g., open, high, low, close, volume. Returns: If there was no error reading data from fileName the function returns a pointer to the initialized array (e.g., the argument a). If the data could not be read, a null pointer (0) is returned. Definition at line 208 of file yahooTS.cpp. Referenced by main(). { const double *rtnPtr = 0; char fullPath[512]; size_t freePath = sizeof( fullPath ); FILE *fptr; if (path_ != 0) { strncpy( fullPath, path_, freePath-1 ); freePath = freePath - strlen( fullPath ); } strncat( fullPath, fileName, freePath-1 ); fptr = fopen( fullPath, "r" ); if (fptr != 0) { char line[512]; size_t lineSize = sizeof( line ); int ix = N-1; if (fgets( line, lineSize, fptr ) != 0) { rtnPtr = a; while (fgets( line, lineSize, fptr ) != 0) { if (ix >= 0) { a[ix] = getValue_( line, kind ); ix--; } else { break; } } // while } else { fprintf(stderr, "getTS: title line expected\n"); } ix++; N = N - ix; } else { const char *error = strerror( errno ); fprintf(stderr, "getTS: Error opening %s: %s\n", fullPath, error ); } return rtnPtr; } // getTS

const double yahooTS::getValue_ ( char * line, const yahooTS::dataKind kind ) const [private]

A data line from a Yahoo historical data file consists of a set of comma separated values:. date,open,high,low,close,volume This function is passed a Yahoo data line and a kind value which indicates which value to return. Date is is ignored, so the value of kind should be one of: Open, High, Low, Close, Volume. Definition at line 151 of file yahooTS.cpp. Referenced by getTS(). { double retval = 0; if (kind > badEnum && kind < lastEnum) { const size_t NUM_VALS = 5; double vals[ NUM_VALS ]; parseVals_( line, vals, NUM_VALS ); size_t ix = (size_t)kind - 1; if (ix < NUM_VALS) { retval = vals[ix]; } } return retval; } // getValue

void yahooTS::parseVals_ ( char * line, double * vals, const size_t n ) const [private]

Parse a comma separated line of values into a vector of doubles. The comma separated values are: Date,Open,High,Low,Close,Volume The date value is skipped. Parameters: line   A pointer to a line of Yahoo historical data vals   A vector of doubles that the values in the historical data line will be stored. n   The number of elements in vals Definition at line 101 of file yahooTS.cpp. Referenced by getValue_(). { char buf[128]; const char *ptr; // skip the date ptr = getStr_( line, buf, sizeof( buf ) ); if (ptr == 0) { fprintf(stderr, "parseVals: date expected\n" ); return; } // get the Open, High, Low, Close and Volume values size_t cnt = 0; for (dataKind kind = Open; kind <= Volume && cnt < n; kind = (dataKind)((size_t)kind + 1)) { ptr = getStr_( line, buf, sizeof( buf ) ); if (ptr == 0) { fprintf(stderr, "parseVals: value expected\n"); return; } double v; sscanf( buf, "%lf", &v ); vals[cnt] = v; cnt++; } } // parseVals_

const char * yahooTS::path ( ) [inline]

Definition at line 106 of file yahooTS.h. { return path_; }

void yahooTS::path ( const char * p ) [inline]

Definition at line 105 of file yahooTS.h. { path_ = p; }

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Member Data Documentation

const char * yahooTS::path_ [private]

Definition at line 82 of file yahooTS.h.

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The documentation for this class was generated from the following files:

• yahooTS.h
• yahooTS.cpp

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