Archive for the ‘Finance’ tag

Erlang_logoInspired by Dave Thomas’ “A First Erlang” post I decided to use Erlang to retrieve stock quotes from Google’s Finance API.  I wrote a simple Erlang program that let me explore third party JSON libraries and Erlang’s http library.

In Erlang, the -module directive defines an Erlang module, which is how code is organized in Erlang, the -export directive tells Erlang which functions in this module to expose. My Erlang module is called quote, and I’m storing it in the file quote.erl. I’m also exposing a single function get_stock_quote which accepts a single parameter.

-module(quote).
-export([get_stock_quote/1]).

Next I’ll define an Erlang macro called BASE_URL which contains the base URL of the Google Finance API. The function get_google_url builds the full URL by appending the symbol to the base URL.

-define(BASE_URL, "http://www.google.com/finance/info?client=ig&q=".
get_google_url(Symbol) ->
  ?BASE_URL ++ Symbol.

After retrieving a stock quote for MSFT in our browser I noticed that the data  returned from Google Finance is a JSON(ish) object surrounded by some extraneous text which has to be removed before we can do anything else.  Later I’ll use an external library to convert the string into a JSON object and extract the price and date.

get_stock_quote(Symbol) ->
  %% Don't know why I need the following line
  %% mentioned in inets documentation
  inets:start(),
  URL = get_google_url(Symbol),
  { ok, {_Status, _Headers, Body }} = http:request(URL),
  PureData = lists:subtract(lists:subtract(Body, "// [ "), "] ").

The code to make http request is simple, http:request() returns the HTTP status, headers and body but the call was throwing an exception on my machine; after reading the http documentation included with Erlang I learned that a call inets:start() has to be made before making a http request.  The variable PureData contains the string which will transform into our JSON object, I had to use the lists:subtract function to remove extra characters from the beginning and end of the string.

After some searching (and cursing) I found a third party library, json_parser, on Process One’s Comprehensive Erlang Archive Network. I downloaded a copy of the development version, renamed the source file to json_parser.erl, compiled json_praser and referenced it from quotes.erl with the -import(json_parser) import directive.

The documentation for json_parser is fairly sparse—the dvm_parser function in the library returns a tuple with more data then I need and I’m only interested in the actual JSON data which I’ parsed into the RealData variable and passed onto the parse_json_tuple function which extracts the fields I’m interested in.

{_,{_,RealData},_} = json_parser:dvm_parser(list_to_binary(PureData)),
parse_json_tuple(list_to_tuple(RealData)).

Finally, I parse the data in the RealData tuple and returned the CurrentPrice and Quote time:

parse_json_tuple(RealData) ->
  %% this is ugly and needs to be refactored
  {_,_,_,_,{_,CurrentPrice},_,{_,CurrentTime},_,_,_} = RealData,
  {CurrentPrice, CurrentTime}.

To use the code, you have to compile the quote.erl file by calling the  c(quote) function in the Erlang Shell, then call the get_stock_quote function with the a stock symbol: quote:get_stock_quote(“MSFT”) from the Erlang shell.

This isn’t the best use of Erlang, but I wanted to ease into Erlang before exploring the more complicated recursive and distributed functionality, later I’ll refactor the code to be more Erlang-y and modify the program to retrieve quotes in parallel using Erlang’s  concurrency magic.

*Edit*I Just discovered that Google Finance returns a slightly different dataset when the market is closed, I’ll update the parse_json_tuple function with the changes soon.

Full Listing

   1:  -module(quote).
   2:  -export([get_stock_quote/1]).
   3:  -import(json_parser).
   4:  
   5:  -define(BASE_URL, "http://www.google.com/finance/info?client=ig&q=".
   6:  
   7:  get_google_url(Symbol) ->
   8:      ?BASE_URL ++ Symbol.
   9:  
  10:  parse_json_tuple(RealData) ->
  11:      %% this is ugly and needs to be refactored
  12:     {_,_,_,_,{_,CurrentPrice},_,{_,CurrentTime},_,_,_} = RealData,
  13:      {CurrentPrice, CurrentTime}.
  14:  
  15:  get_stock_quote(Symbol) ->
  16:      %% Don't know why I need the following line
  17:      %% mentioned in inets documentation
  18:      inets:start(),
  19:      URL =  get_google_url(Symbol),
  20:      { ok, {_Status, _Headers, Body }} = http:request(URL),
  21:      PureData = lists:subtract(lists:subtract(Body, "// [ "), "] "),
  22:      {_,{_,RealData},_} = json_parser:dvm_parser(list_to_binary(PureData)),
  23:      parse_json_tuple(list_to_tuple(RealData)).

qtrading.p.chanErnest Chan has written a straightforward introduction to quantitative trading for the home trader; while this book is a great blueprint for someone who has never traded and is thinking about to doing his own trading, it’s too shallow for anyone who has been exposed to any sort of trading.

He does a good job of covering the most common trading pitfalls and he does an adequate job of discussing data gathering and backdating, nevertheless, he spends four chapters covering common sense concepts and techniques. I found his Matlab and Excel code to be of little use and I wish he used an open source package such as R instead of Matlab, in-fact, I wish he had devoted a chapter to the use of open source software packages in trading.

I only recommend this book for people who have never traded, if you have some experience in trading then skip the book and follow his blog instead.

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