DDFLink - Lauschke Consulting
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1. 15 Filter Text The filter text field allows to select only the matching lines using Perl 5 regular expression syntax This happens on the fly directly as the user types the regex in the filter text field The return type of DDF UtilityGrid is a Java object a JFrame so an advanced JLink Java programmer would be able to further manipulate this Java object for example extracting data from it the model object of the JFrame objects contains the table data or combining it with other Java objects handled by JLink Interactive Tree Representation Inspection of Mathematica Expressions The function DDFTree creates a new window containing a tree of the expression using expandable collapsible tree nodes At every node the name of the head of the expression at that level is shown The node can be expanded to display all its nodes or leaves Only leaves symbols that are atomic i e AtomQI is True can not be expanded anymore A very simple example involving only leaves under the root node DDFTree a b c d Pil a and d are atomic b 2 and c43 are not DDFTree a b 2 c42 d HornerForm creates an expression that has two nesting levels per order of the polynomial minus 1 DDFTree HornerForm 1 x x42 x43 x CI Times 0x e CH Plus BE e EI Times Ox e GJ Plus RE x Inspect the coefficients of the Taylor series visually DDFTree Ser2. EN AE 24 Installation Requirements e DDFPlus API Included in the set of package files e Mathematica 6 or later Available from www wolfram com o Current version is Mathematica 8 0 4 e Java 7 or later Available from www java com o Current version is Java 7 update 4 Security baseline is Java 7 update 3 e DDFLink 1 0 or later Available from www lauschkeconsulting com o Current version is DDFLink 1 0 Mathematica 7 has Java 6 bundled with it Mathematica 6 has Java 5 bundled with it Mathematica 8 has Java 6 bundled with it Installation and Configuration To use the Mathematica Package from Mathematica e Create a directory called DDFLink It is recommended to place this directory in your user home directory This is HomeDirectory not UserBaseDirectory Place all files from the DDF Link distribution 4 files in the DDFLink directory e Edit the file ddflinkconfig m in the DDFLink directory with a text editor to set the variables ddflinklocation ddflinkconnectionmode ddflinkusername ddflinkpassword ddflinkserver o ddflinklocation is the location of the DDFLink directory from step 1 above o ddflinkconnectionmode must be TCP if you use the TCP connection from ddfplus and UDP if you use the UDP connection from ddfplus Default is TCP which is the recommended mode for normal operation o ddflinkusername is the username you set up with ddfplus string ddflinkpassword is the password you set up with ddfplus string
3. Filter Text Pi The Mathematica Symbol Browser uses Perl 5 regular expression pattern matching so you can use backspace character as an escape character e g to see all Mathematica symbols beginning with a dollar sign The following shows all symbols that begin with Version Mathematica Symbols Mathematica Symbol Value Version 7 0 for Linux x86 32 b VersionNumber Filter Text Ver The symbols window also displays its contents on the tooltip so longer strings in the output can be further inspected with the tooltip or the window resized M 5MachineAddresses MachineDomain MachineDomains MachineEpsilon 220446049250313 16 MachinelD 6102 23786 95542 MachineName mooniac pc MachinePrecision MachineType MaxExtraPrecision MaxLicenseProcesses MaxLicenseSubprocesses MaxMachineNumber 1 7976931348623157 308 MaxNumber 5 2975574590400395044 MaxPiecewiseCases 5 2975574590400395044643301151 15 954589770191005 1323228467 MaxRootDegree 1000 The following shows all symbols that end with Plot Mathematica Symbols Mathematica Symbol Value ArrayPlot ArrayPlot raphPlot raphPlot ayeredGraphPlot LayeredGraphPlot inelntegralConvolution LinelntegralConvolution istContourPlot ListCurvePathPlot ListDensityPlot istLinelntegralConvoluti ListLinelntegralConvoluti istLinePlot ListLinePlot istLogLinearPlot ListLogLinearP
4. o ddflinkserver is the servername ddfplus provides you with string O If you want to use a JLink jar that is different from the default file lt Mathematicalnstall gt SystemFiles Links JLink JLink jar set the variable jlinklocation to the full path location of the file JLink jar If you want to modify the Java runtime arguments used with DDF Link set the variable commandline in the file ddflinkconfig m to the string representation of the Java runtime arguments that you may want to modify from the default values e g to specify a particular Java runtime you want to use not the one that is included in the Mathematica distribution or to set additional runtime options memory settings JIT compilation etc Assigning to commandline will automatically reinstall the Java runtime The default is to not use a special command line and not to reinstall the Java runtime i e the variable assignment is missing to in the file Look and Feel Configuration DDFLink supports all standard and most third party add on plug in look and feels To install a third party look and feel download the jar file from the third party supplier place it in the DDF Link directory identify the name of the entry point class and place a line laf lt full name space class name to entry point class gt in a text file lookandfeel m in the DDFLink directory Example laf com jgoodies looks plastic Plastic3DLookAndFeel This will enable the look and feel im
5. which the user subscribes to the live streaming data feed This is unrelated to the look up functions DDFLink Functions Returning Mathematica Symbols or Performing Tasks The DDFLink package provides the following functions DDFSetSymbols s_ String Sets the symbols you want to retrieve live market data for watch list DDFGetSymbols Gets the symbols you want to retrieve live market data for watch list DDFTree expr_ An interactive Mathematica expression browser using expandable collapsible tree nodes DDFShowSymbols DDFShowUserSymbols DDFConnectionMode DDFContractinfo DDFExchangelnfo DDF QuoteCount DDFBookQuoteCount DDFDateCount DDFUtilityGrid DDFSetSymbolsf DDFShowContractinfo DDFShowExchangelnfo DDFShowWatchList DDFLink Utility Grid An interactive Mathematica symbol browser list for all Mathematica symbols including user defined symbols An interactive Mathematica symbol browser list for user and package symbols Returns the current connection mode with ddfplus either TCP or UDP Returns contract information for the given symbol Returns exchange information for the given exchange symbol The total number of quote events received during the current session The total number of book quote events received during the current session The total number of time stamp messages received during the current session A general utility grid that cr
6. DDFLink User Manual and Reference Guide Copyright 2012 Andreas Lauschke Consulting Introduction Features The DDFLink package provides A set of Mathematica functions that allow you to e Receive real time streaming tick data in Mathematica e Define your own event handler functions to manage the streaming tick data in Mathematica e Obtain instrument and exchange specifications Use Java table grids from Mathematica that display live streaming price updates e Mathematica symbol browser and Mathematica expression browser About DDFLink Version 1 0 Copyright 2012 Andreas Lauschke Consulting http www lauschkeconsulting com Table of Contents Ween EE 2 Healutesyan tn ae as lee Missa nis ante 2 tee 5 R QUIF MENTS unse latente hause 5 Installation and Configuration ne eu 5 Look and F el Configuration anreisen sangen 7 Worle in Mathematiea a ua ernennen 8 EE EE E RTE 8 Loading the Package rasen ee ee 8 Setting the List of Symbols to Receive Live Tick Data for Watch List 8 Definining the Streaming Event Handler Functpons 9 DDFLink Contract and Exchange Look Up Functions 11 DDFLink Functions Returning Mathematica Symbols or Performing Tasks 11 Interactive Tree Representation Inspection of Mathematica Expressions 13 Mathematiea SymboliBrowser 2 en a aaa 18 DDFLink for Advanced JLink Java Programmmg 22 e 23 MSI Ivan ae sehe 23 RH A re
7. DFBookQuoteFunction and DDFDateFunctions to allow you to make definitions for these event handlers Simply define DDF QuoteFunction Quote_ lt Mathematica code to handle quote events gt DDFBookQuoteFunction BookQuote_ lt Mathematica code to handle book quote events gt DDFDateFunction date_String lt Mathematica code to handle time stamp events gt in your Mathematica program or package NOTE Bear in mind that the Mathematica front end is not available when JLink owns the kernel and interacts with the Java runtime Whenever a Java event is received JLink links the kernel with the Java runtime blocking the Mathematica front end However as soon as the event is received microseconds nanoseconds later JLink releases the link and the kernel is owned by the Mathematica front end again It would thus be impossible to for example update live data in a Mathematica front end table graphics etc exactly in the moment of time when the event is received as the Mathematica front end is blocked during that instant However as soon as the event is fully received JLink releases the link to the Java runtime and re enables the link between the kernel and the Mathematica front end Any expression in the Mathematica front end to be updated based on the new event data can NOW be updated or other front ends could be used for example other Java front ends with JLink or Net front ends with NETLink The appendix shows a few simp
8. atten opts Options netwindow form NETNew System Windows Forms Form form Width size 1 form Height size 2 form Text title form Opacity opacity box NETNew Wolfram NETLink UI MathPictureBox box Parent form LoadNETType System Windows Forms DockStyle LoadNETType System Drawing Color box Dock DockStyle Fill box BackColor Color White box PictureType format Flatten opts Options netwindow Automatic gt Automatic ShowNETWindowf form box MathCommand ToString Unevaluated func InputForm form Location NETNew System Drawing Point icoords 1 icoords 2 KeepNE TObject form KeepNETObject box form box SetAttributes sendnetwindow HoldFirst sendnetwindowf form_ NETObjectQ box_ NETObjectQ func_ opts__ OptionQ NETBlock Module icoords size title opacity icoords size title opacity windowcoords windowsize windowtitle windowopacity Flatten opts Options sendnetwindow form Width size 1 form Height size 2 form Text title form Opacity opacity box MathCommand ToString Unevaluated func InputForm lfficoords 300 300 form Location NETNew System Drawing Point icoords 1 icoords 2 KeepNETObject form KeepNE TObject box form box closewindow x_ x Disposel
9. ct for example extracting data from it the model object of the JFrame objects contains the table data or combining it with other Java objects handled by JLink Mathematica Symbol Browser DDFLink provides two Mathematica symbol browsers one showing all symbols and one showing all user and package symbols the contents of the Global context cs Mathematica Symbols Mathematica Symbol Value ort AbortKernels AbortProtect Above Abs AbsoluteCurrentValue JAbsoluteCurrentValue AbsoluteDashing AbsoluteDashing AbsoluteFileName AbsoluteFileName AbsoluteOptions AbsoluteOptions AbsolutePointsize AbsolutePointsize AbsoluteThickness AbsoluteThickness AbsoluteTime AbsoluteTime AbsoluteTiming AbsoluteTiming AccountingForm AccountingForm Accumulate Accumulate Accuracy Accuracy AccuracyGoal AccuracyGoal ActionDelay ActionDelay At the bottom of the window is a filter field where you can enter the names of Mathematica symbols or parts thereof and the window will automatically filter out the Mathematica symbols that contain the strings or substrings you have entered This shows a list of all Mathematica symbols containing Pi cac Mathematica Symbols EllipticPi EllipticPi Pi CB 141592653589793 PieChart PieChart3D RGBColor 1 0 5 0 5 Pivoting PixelConstrained PixelConstrained PrimePi MaxPiecewiseCases PipeSupported
10. eates a new Java Swing window to display user specified tabular data in a JTable n rows 2 columns A function to set reset the watch list for real time streaming quotes Creates a new Java Swing window showing contract info for the given symbol Creates a new Java Swing window showing current exchange information for the given exchange Creates a new Java Swing window showing the user s current watch list DDF Link provides a simple general purpose Java Swing based data grid to view tabular data DDF UtilityGrid lt 2 dim data array gt lt window title gt lt first column label gt lt second column label gt creates a new Java Swing window and displays the contents of the first argument a 2 dimensional array of data consisting of 2 columns and an arbitrary number of rows using window title and column labels For example the following creates anew Java Swing window showing the dates when the third Wednesday of the month and the third Friday of the month in 2010 are not in the same week DDF UtilityGrid ToString amp amp Select Table NestWhile DaysPlus 1 amp 2010 i 15 DayOfWeek Wednesday amp NestWhile DaysPlus 1 amp 2010 i 15 DayOfWeek Friday amp i 12 DaysBetween 1 2 lt 0 amp Window Title Wednesday Friday Window Title a gt lt Wednesday Friday 2010 1 20 2010 1 15 2010 4 16 2010 7 21 2010 7 16 2010 10 20 12010 10
11. et windows and update their contents with new contents The function netwindow creates a new Net window displaying the result ofthe Mathematica expression func passed as first argument It returns two symbols which are pointers to the corresponding Net objects in the Net runtime which must be stored in Mathematica symbols to be used afterwards with the function sendnetwindow or it s not possible to update the contents of that window these effectively function as pointers or references or handles to the corresponding Net objects If they are not stored in Mathematica symbols there is no more reference to the Net window or its contents Use it like form box netwindow Pi 2 and when updating the contents of the window pass them to the function sendnetwindow form box sendnetwindow form box Pif3 When you are done and no longer need the Net window you should dispose of the resources and remove the Mathematica references to it closewindowf form ReleaseNE TObject form ReleaseNE TObject box These are the function definitions for netwindow and sendnetwindowJ Options netwindow windowsize gt 300 300 windowtitle gt windowcoords gt 300 300 windowopacity gt 0 8 format gt Automatic netwindow func_ opts__ OptionQ NETBlock Module form box icoords size title opacity icoords size title opacity windowcoords windowsize windowtitle windowopacity Fl
12. his data periodically for example with the Mathematica function AddPeriodical lt expr gt lt time interval gt which allows the user to define a task that is to be executed periodically with lt time interval gt permitting sub second time intervals to be specified However as Periodicals in Mathematica use front end sharing from the JLink package the same issue as described above applies with Periodicals Another possibility to update an expression created with the Mathematica front end based on new live tick data from the event handler is to use an infinite While loop that updates the expression whenever the number of received events has changed by storing the value of the DDF Link function DDFQuoteQuotel in the event handler function DDFQuoteFunction Quote_ storequote Quote newquotecount DDFQuoteCount Module storequotecount 0 While True Pause 0 01 wait 10 ms If storequotecount lt newquotecount check if a new quote event was received Print storequote execute code using the Mathematica front end possibly involving Dynamic variables storequotecount newquotecount store the new quote count E However this method has the disadvantage that it is running permanently in the evaluating cell in the Mathematica front end and doesn t allow the user the change the code in it while it is executing It is generally much better to use Mathematica code to control Java or Net windows in the event handler f
13. ies Tan x x 0 12 SeriesData Cix Do e EI List RE Do Rationalf1 3 Do Rational 2 15 Do Rational 17 315 Do TN Rational 62 2835 Do Rationalf1382 155925 Da AER Dr The real usefulness of DDFTree becomes evident when used on complex deeply nested expression structures Sometimes Mathematica expressions can be so complex that it is hard to understand the nested symbol structure so DDFTree makes it possible to zoom in on a branch of interest while leaving others collapsed DDFTree Plot3D Sin x Sin y x Pi Pi y Pi Pi E Graphics3D GraphicsComplex List e Gj List e J List e EG List C EdgeForm e EI GraphicsGroup CJ List e CH Polygon e E Polygon e 27 Polygon List Cy List List Ty List e GJ List e GJ List o EI GrayLevel CH Line E List E List List List CH Rule IN VertexNormals e CH List CJ List C Rule EI Rule BoxRatios e J List CC Rule e CC Rule CH Rule IN PlotRangePadding gt pd List While the Mathematica function TreeForm shows the expression in a top down fashion in a possibly more intuitive and visually appealing form the DDFLink function DDFTree allows for interactive and selective inspection of the branches leaves of a complex nested expression The return type of DDFTree is a Java object so an advanced JLink Java programmer would be able to further manipulate this Java obje
14. le Mathematica functions to use Java or Net windows for this purpose For very simple tabular data the utility grid function DDFUtilityGrid included with DDFLink can be used for this purpose as it is a Java window that is controlled from Mathematica and is thus available in the Mathematica event handler function when the Mathematica front end is not available In practice the delay is entirely negligible as it only takes a few microseconds or nanoseconds for JLink to switch the links but it is very important to note that while JLink links the kernel to the Java runtime the Mathematica front end is completely inaccessible from the kernel This affects only the link between the kernel and the Mathematica front end not the kernel itself It would for example be possible to record all tick data and possibly write it to a file DDF QuoteFunction Quote_ Write stream Quote for the quote event handler function after a stream OpenWrite lt path file location gt statement was executed to open a file and a file stream for writing or OpenAppend to append to a file To update expressions created with the Mathematica front end this will usually be a table ora chart or other Mathematica graphics expression based on new live tick data during the execution of the event handler one could use Java or Net windows that update live The appendix of this user guide contains several such functions It is also possible to poll for t
15. lot istLogLogPlot ListLogLogPlot istLogPlot ListLogPlot istPlot ListPlot Filter Text Plot Calc Link Mathematica Symbol The following shows all symbols that contain Plot but don t begin with L Mathematica Symbols Value ArrayPlot ArrayPlot ContourPlot ContourPlot ContourPlot3D ContourPlot3D DensityPlot DensityPlot DiscretePlot DiscretePlot GraphPlot GraphPlot GraphPlot3D GraphPlot3D MatrixPlot MatrixPlot MaxPlotPoints MaxPlotPoints ParametricPlot ParametricPlot ParametricPlot3D ParametricPlot3D Plot Plot3D Plot3 Matrix PlotDivision Plotjoined PlotLabel PlotMarkers PlotPoints Plot Plot3D Plot3 Matrix PlotDivision Plotjoined PlotLabel PlotMarkers PlotPoints Filter Text AL Plot The symbol browser includes your own symbols as well as the symbols of Mathematica packages you have loaded For example if you have made a symbol definition mysymbol 232 it will be included in the symbol list The list displayed contains everything included in Names which includes the symbols from loaded packages The other Mathematica symbol browser only displays the contents of the Global context This includes all user defined symbols unless they were put in their own contexts You can launch as many Mathematica symbol browsers as you want and filter fo
16. mediately for the Mathematica package To also use the look and feel from Calc through the OpenOffice plug in extension add the jar file to the OpenOffice class path as described in steps 3 and 4 in the previous section If no file lookandfeel m exists in the DDFLink directory or laf is assigned the string default DDFLink will use the system s default look and feel For a good overview of various free and commercial look and feels visit http www javootoo com The following Look and Feels have been tested to work with DDFLink JGoodies Plastic3D JGoodies PlasticXP JGoodies Plastic JGoodies Windows Office2003 Windows only OfficeXP Windows only VisualStudio2005 Windows only Nimrod Fh Tiny Tonic Tonic Slim Infonode Napkin SquareNess EaSynth which can be downloaded from javootoo The Alloy look and feel has also been tested to work with DDFLink which can be obtained from http lookandfeel incors com Working in Mathematica Getting Started Loading the Package To start using the link from Mathematica you must first load the DDFLink package With Mathematica version 6 and above Get ToFileName HomeDirectory DDFLink DDFLink m With Mathematica version 7 and above Get FileNameJoin HomeDirectory DDFLink DDFLink m If you installed DDFLink in a different location not in the user home directory you need to load the package file DDFLink m from that location Setting the Lis
17. nterface if you choose so Appendix A This appendix shows a few Java and Net functions that can be used in the event handler functions to create new or update existing windows with Mathematica expressions for example tables grids or graphics The send type functions described below should then be in the event handler functions DDFQuoteFunction DDFBookQuoteFunction DDFDateFunction Using Java For the following Mathematica Java functions to work you need the JLink package installed and running However with DDF Link this is already happening DDFLink loads JLink right at the beginning If you want to use the following functions without DDFLink you first have to load the JLink package Needs JLink Then you can use the following functions to create new Java windows and update their contents with new contents The function javawindow creates a new Java window displaying the result of the Mathematica expression func passed as first argument It returns two symbols which are pointers to the corresponding Java objects in the Java runtime which must be stored in Mathematica symbols to be used afterwards with the function sendjavawindowf or it s not possible to update the contents of that window these effectively function as pointers or references or handles to the corresponding Java objects If they are not stored in Mathematica symbols there is no more reference to the Java window or its content
18. r symbols in them independently of one another New symbols browsers HAVE to be launched after new symbols have been created user defined or from a Mathematica package that was loaded to make them appear in the displayed list Once a symbol browser is displayed the symbol list contained therein can not be changed updated anymore This is not considered a drawback because when the user is done with a task in the symbol browser the user will most likely close the window which also releases the memory space held for the list of over 3600 symbols along with their values in the Java heap and a new one with an updated symbol list can always be popped up again with a simple click on the push button Show All Symbols on the DDFLink control center pane The return type of DDFShowSymbols and DDFShowUserSymbols is a Java object so an advanced JLink Java programmer would be able to further manipulate this Java object for example extracting data from it the model object of the JFrame objects contains the table data or combining it with other Java objects handled by JLink DDFLink for Advanced JLink Java Programming DDF Link fully exposes its API to the advanced JLink and Java programmer The link object used by DDF Link is called ddflink You can inspect its Fields and Methods and constructor and events with the usual JLink functions for these purposes Fields Methods Constructor Events That allows you to get to the bare metal of the i
19. s Use it like canvas javawindow Pi 2 and when updating the contents of the window pass them to the function sendjavawindow canvas sendjavawindowlcanvas PiX3 When you are done and no longer need the Java window you should dispose of the resources and remove the Mathematica references to it form dispose ReleaseJavaObject canvas These are the function definitions for javawindow and sendjavawindow SetAttributes javawindow HoldFirst SetAttributes sendjavawindow HoldFirst javawindow func_ feoption_ True width_Integer 300 height_Integer 300 JavaBlock frame JavaNewl com wolfram jlink MathFrame frame setLayout JavaNew java awt BorderLayout mathCanvas JavaNew com wolfram jlink MathCanvas frame add Center mathCanvas frame setSize width height frame layout mathCanvas setimageType MathCanvas GRAPHICS mathCanvas setUsesF E feoption mathCanvas setMathCommand ToString Unevaluated func InputForm JavaShow frame mathCanvas J sendjavawindow mathCanvas_ func_ feoption_ True JavaBlock mathCanvas setlmageType MathCanvas GRAPHICS mathCanvas setUsesFE feoption mathCanvas setMathCommand ToString Unevaluated func InputForm mathCanvas recompute mathCanvas J Using Net You first have to load the NETLink package Needs NETLink You should do this BEFORE loading the DDFLink package Then you can use the following functions to create new N
20. t of Symbols to Receive Live Tick Data for Watch List Next you have to set the watch list unless you don t want to receive live tick data with DDF Link You do this with DDFSetSymbols DDFSetSymbols DELL YHOO ESU0 QQQQ E6M0 subscribes to the DELL and YHOO and ESUO and QQQQ and E6MO symbols You will receive a message for every tick in these symbols now What to do with these messages most likely you will want to extract the market data from the XML expression is done in the event handler functions see below Note that you HAVE to set the symbol list watch list if you want to receive live streaming market data When the DDFLink package is loaded no symbol list is defined If you want to receive live streaming data it is recommended to set the symbol list immediately after loading the package and to then define the event handler functions see next step Definining the Streaming Event Handler Functions There are three types of streaming event handler functions quote data book quote data and date time data You receive a quote data message whenever ddfplus sends a quote data message for a symbol in your watch list you receive a book quote data message whenever ddfplus sends a book quote data message for a symbol in your watch list and you receive a date time message whenever ddfplus sends a time stamp associated with a tick messsage for a symbol in your watch list DDFLink provides the functions DDFQuoteFunction D
21. unction which can be changed any time even when receiving live streaming data once the event handler function has been updated it will take effect immediately DDFLink Contract and Exchange Look Up Functions The DDFLink functions DDFContractinfo and DDFExchangelnfo can be used to retrieve information about market symbols and obtain exchange information For example DDFContractinfo ESH0 returns information about the ESHO contract month symbol root symbol short symbol symbol symbol type and expiration year DDFExchangelnfo N returns current exchange information for the NYSE Advancing Issues Declining Issues Advancing Shares Declining Shares New Highs New Lows Exchange Code These can be viewed in a Java Swing based interactive data viewer that is included in DDF Link DDFShowContractinfo ESH0 creates a new interactive Swing window with the contract information for ESHO DDFShowWatchList creates a new interactive Swing window with the symbol list DDFShowExchangelnfo N creates a new interactive Swing window with the current market information about the NYSE The DDFLink functions that return data in interactive Java Swing windows have Show in the function name DDFShowWatchList DDFShowContractinfo and DDFShowExchangelnfo Note that for these look up functions the symbol does not have to be in the watch list Any valid symbol can be used The watch list contains only the symbols for
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