Adaptative Dynamic loop mechanism

Hello,

I am struggling with the code with some dynamic/adaptative buy and sell signals. I would be very grateful if you could help me if you have some ideas to do that.

I have 2 arrays, a buy array with 2 columns, date and price, and other sell array, with same 2 columns. These 2 arrays are of different sizes.

So what I want to do, is to take the first cell in the first array say, its 01/03/2014, I will look for the first date after this date in the sell array first column say 01/05/2014, in order to get the correspond sell signal. Then I need to get the next buy date, which will be the first date superior than 01/05/2014 in the buy array, then look for the first sell date after 01/05/2014 in the sell array 1st column, then again go back to the buy array to get buy signal after 01/05/2014 in buy arrays 1st column etc etc.

I have tried with a loop on buy then on sell, but I am struggling to make it stop at the first date superior to the buy date. I am bit confused on how to implement this.

Could anyone help me please?

D

[Guillaume]

One important bit missing from your description is whether or not the two arrays are sorted by date. Are they?

Also, how is the date stored? A string? a datenum? a datevec?

[Davin]

Hello Guillaume,

Yes they are. they are also in datenum form :

An example :

Buy Array

730441  1365.4
730443  1341.03
730460  1328.72
730476  1328.05
730477  1322.18
730481  1305.33
730484  1313.71
730485  1300.29
730488  1297.8
730567  1281.43
730568  1301.93
730569  1298.16
730572  1327.68
730730  1330.77
730734  1344.16
731708  1332.84
731714  1323.59
731717  1336.61

Sell Array

730370  1349.82
730371  1328.44
730411  1322.85
730412  1319
730414  1289.48
730422  1306.17
730425  1336.12
730517  1358.83
730518  1356.85
730562  1360.04
730594  1362.8
730595  1350.91
730596  1342.83
730602  1335.18
730603  1354.63
730604  1332
730609  1347.31
730610  1332.05

Hope it answers yr question.

Thanks

D

Answer 1

[Guillaume]

Does this do what you want?

buyarray =  [730441  1365.4
             730443  1341.03
             730460  1328.72
             730476  1328.05
             730477  1322.18
             730481  1305.33
             730484  1313.71
             730485  1300.29
             730488  1297.8
             730567  1281.43
             730568  1301.93
             730569  1298.16
             730572  1327.68
             730730  1330.77
             730734  1344.16
             731708  1332.84
             731714  1323.59
             731717  1336.61];
sellarray = [730370  1349.82
             730371  1328.44
             730411  1322.85
             730412  1319
             730414  1289.48
             730422  1306.17
             730425  1336.12
             730517  1358.83
             730518  1356.85
             730562  1360.04
             730594  1362.8
             730595  1350.91
             730596  1342.83
             730602  1335.18
             730603  1354.63
             730604  1332
             730609  1347.31
             730610  1332.05];

currentdate = buyarray(1, 1); %starting date
lookin = 1; %1 for search in sellarray, 0 for search in buyarray
while true %loop until break
   if lookin %search in sellarray
      sellrow = find(sellarray(:, 1) > currentdate, 1); %find first value greater than currentdate
      if isempty(sellrow) %reached end of array
         break;
      end
      sellsignal = sellarray(sellrow, 2);
      currentdate = sellarray(sellrow, 1);  
      fprintf('sell: %f (date: %d)\n', sellsignal, currentdate); %do whatever you want
   else  %search in buyarray
      buyrow = find(buyarray(:, 1) > currentdate, 1);
      if isempty(buyrow) %reached end of array
         break;
      end
      buysignal = buyarray(buyrow, 2);
      currentdate = buyarray(buyrow, 1);
      fprintf('buy: %f (date: %d)\n', buysignal, currentdate); %do whatever you want
   end
   lookin = ~lookin; %switch array to look in.
end

[Davin]

Thanks Guillaume, it worked fine. I will try to replicate this way of doing in the future...