Documentation

The documentation for the Time Series API consists of a User Guide and a Reference Manual.

User Guide: Click the following link to download the Time Series API - User Guide.
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Reference Manual: Click the following link to download the Time Series API - Reference Manual.
(executable file for MS-Windows. Double Click file to run.)

User Guide - Chapter Summary

Chapter 1 - Product Overview

Chapter 2 - Architecture

This chapter covers TSA's architecture and introduces the reader to TSA's fundamental data types as well as the central Strategy class. It then discusses how TSA's architecture is component based and presents how various abstractions and mechanisms successfully hide this component based architecture in favor or a more easily used formula syntax and semantics. Additional topics covered are how custom functions are written using formula syntax using TSA's extensive function library.

Chapter 3 - Writing Formulas

This chapter provides a more detailed description of the available data types, differentiating between scalar and vector types. It also describes the use of Lists, Tuples, as well as the direct use of Components. The chapter then discusses data input and output, followed by a more detailed look at how formula code is written using expressions and control of flow statements. This is then followed by a description of how more advanced formula functions, such as financial indicators, are implemented.

Chapter 4 - Components

Components are the fundamental building blocks of strategies. Normally, users do not need to deal with components directly as they are normally created and managed via formula code. However, when implementing strategies based on proprietary logic, or when optimizing performance, it is often necessary to extend the library's functionality by implementing new components.

Chapter 5 - Trading Strategies

This chapter explains how trading (or investment) strategy logic is structured, introduces class Strategy's many properties, and demonstrates how simulations are scheduled. It then covers order types such as market, stop and limit orders, as well as system generated auto stop loss orders, such as trailing, break-even, and standard stop loss orders. It then discusses the library's extensive performance reporting and logging facilities such as the performance-report, trade-log, transaction-log, order-log and others.

Chapter 6 - Building Applications

Before a strategy can be simulated successfully, the basic exception handling mechanism needs to be in place, and the application needs to be built. After discussing such basic topics as working with exceptions and namespaces, the chapter then continues with the more involved topic of debugging.
Although strategy logic is compiled by regular C++ compilers, regular debuggers are not so useful for troubleshooting strategy logic. This is because TSA's formula syntax represents a layer of abstraction which hides the complexity of the underlying components. It is the components, however, which ultimately perform all the work during a simulations. Errors in strategy logic thus do not result in exceptions but merely produce the wrong output. Troubleshooting strategies is thus performed by 'looking into' strategy logic with the help of the WATCH() macro which allows users to directly observer component outputs at each step of the simulation. This and other troubleshooting techniques are described in detail.

Chapter 7 - Database Classes

This chapter covers the native TSA time series database which is a stand alone, high performance, server-less set of classes for reading paged database files.

Chapter 8 - Support Classes

This chapter covers the support classes, such as classes CString, CDateTime, CVariant, and others.