Code for Intraday Liquidity Calculation

[cpp]

/*
* Stefan Binder, Duk Jang, Tai Tran
* This Ox program calculates liquidity and liquidity percentage from a trading period for a stock
* The intraday pattern assists trading strategies formation
*/

const decl ROWS = 3416;
const decl COLUMNS = 4;
const decl PARCELS = 6;
const decl PRICE = 0;
const decl VOLUME = 1;
const decl DAY = 2;
const decl HOUR = 3;
const decl OPEN = 10;
const decl NUMBEROFPARCELS = 6;
const decl CLOSE = OPEN + NUMBEROFPARCELS - 1;
const decl NUMBEROFDAYS = 5;
const decl FILENAME = "tradedata.csv";
const decl PARCELOUTPUT = "ParcelLiquidity.csv";
const decl DAYOUTPUT = "DayLiquidity.csv";

main()
{
    decl m;
    decl liquidity=0;
    decl parcel;
    decl day;
    decl parcelPercent;
    decl dayPercent;
    decl i,j,k;
    decl fileParcel,fileDay;

    m = new matrix[ROWS][COLUMNS];
    m = loadmat(FILENAME);
    day = new matrix[1][NUMBEROFDAYS];
    dayPercent = new matrix[1][NUMBEROFDAYS];
    parcel = new matrix[1][PARCELS];
    parcelPercent = new matrix[1][PARCELS];

    for (i = 0 ; i < ROWS ; i++)
    {
        for (j = 0 ; j < NUMBEROFPARCELS ; j++)    if (m[i][HOUR] == OPEN+j)    parcel[0][j] += m[i][VOLUME];

        for (k = 0 ; k < NUMBEROFDAYS ; k++)    if (m[i][DAY] == k+1)    day[0][k] += m[i][VOLUME];

        liquidity += m[i][VOLUME];
    }

    for (i = 0 ; i < PARCELS ; i++)    parcelPercent[0][i] = parcel[0][i] / liquidity;
    for (i = 0 ; i < NUMBEROFDAYS ; i++) dayPercent[0][i] = day[0][i] / liquidity;

    print("\nUNSW - FINS5566 S2 2010 - Group 13 - Stefan Binder, Duk Jang, Tai Tran\n&quot;

    fileParcel = fopen(PARCELOUTPUT,"w&quot;
    fileDay = fopen(DAYOUTPUT,"w&quot;
    for (i = 0 ; i < NUMBEROFPARCELS ; i++)
    {
        print("\nLiquidity from ", OPEN+i, " to ", OPEN+i+1, " is ", parcel[0][i], " which is ", parcelPercent[0][i]*100, " percent&quot;
        fprint(fileParcel, "\nLiquidity from ", OPEN+i, " to ", OPEN+i+1, " is ", parcel[0][i], "," ,parcelPercent[0][i]*100);
    }
    for (i = 0 ; i < NUMBEROFDAYS ; i++)
    {
        print("\nLiquidity on day ", i+1, " is ", day[0][i], " which is ", dayPercent[0][i]*100, " percent&quot;
        fprint(fileDay, "\nLiquidity on day ", i+1, " is,", day[0][i], "," ,dayPercent[0][i]*100);
    }
}

[/cpp]

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