LIB_MYSQLUDF_TA

Checkout README in the source distribution for the most up to date version of this document.

Implements technical analysis functions as MySQL UDFs.

Currently implemented functions are:

TA_SMA

TA_EMA

TA_RSI

TA_TR (True Range)

TA_SUM (Running sum, as opposed to aggregate sum provided by mysql)

TA_PREVIOUS (Returns a result N periods ago)

Other indicators which can be derived from these functions include:

MACD

Bollinger Bands

Possibly others

INSTALLING

Compile the library

I have only tried building this on Linux with MySQL 5.1 . If you manage to build it on other

systems please let me know.

You need the following to build this library:

gcc or some other C compiler

mysql development packages

Just run make and it should build a shared library lib_mysqludf_ta.so. You might need to edit the

Makefile to tell the compiler where to find the MySQL development header files.

Install the shared library

As root, run:

make install

This simply copies the library to /usr/lib/mysql/plugin and restarts mysql. Again, you might need

to edit the Makefile if your MySQL plugin directory is different.

Register the UDFs with MySQL

The provided installdb SQL script will register all functions with mysql server:

mysql -u root -p < installdb

Basic test

From the MySQL prompt try the following simple test

SELECT ta_ema(10.0, 1);

This should return 10.0

More information

For more information on building mysql udf libraries:

http://dev.mysql.com/doc/refman/5.1/en/udf-compiling.html

http://dev.mysql.com/doc/refman/5.1/en/adding-udf.html

http://rpbouman.blogspot.com/2007/09/creating-mysql-udfs-with-microsoft.html

API

To try the examples below import the provided sampledb.sql into an existing MySQL database.

mysqlimport somedb < sampledb.sql

ta_ema

ta_rsi

ta_sma

ta_sum

ta_tr

ta_previous

ta_max

ta_min

ta_ema - Exponential moving average

ta_ema (float data, int period)

Arguments

data - The data to average

period - Running period to calculate for

Example

To calculate a 50 period EMA of closing prices:

SELECT datetime, ta_ema(close, 50) FROM EURUSD_86400;

sma - Simple Moving Average ( aka Running average )

ta_sma (float data, int period)

Arguments

data - The data to average

period - Running period to calculate for

Example

To calculate a 50 period SMA of closing prices:

SELECT datetime, ta_sma(close, 50) FROM EURUSD_86400;

rsi - Relative Strength Index

ta_rsi (float data, int period)

Arguments

data - The data to average

period - Running period to calculate for

Example

To calculate a 14 period RSI of closing prices:

SELECT datetime, ta_rsi(close, 14) FROM EURUSD_86400;

To calculate a 10 period ema of ta_rsi(14):

SELECT datetime, ta_ema(ta_rsi(close, 14), 10) FROM EURUSD_86400;

tr - Calculate True Range

ta_tr (float high, float low, float close)

Arguments

high - The Highest price for the period

low - The Lowest price for the period

close - The Closing price for the period

Example

To calculate True Range

SELECT datetime, ta_tr(high, low, close) FROM EURUSD_86400;

ta_sum - Running Sum ( as opposed to aggregate sum )

ta_sum (float data, int period)

Arguments

data - The data to average

period - Running period to calculate for

Example

This function is useful for calculating some indicators, such as Bollinger Bands.

To calculate a 50 running sum of closing prices:

SELECT datetime, ta_sum(close, 50) FROM EURUSD_86400;

To calculate the upper limit Bollinger Band of 2 standard deviations over a 21 period sma:

SELECT datetime, ta_sma(close,21) + 2*SQRT(ta_sum(POW(close - ta_sma(close, 21), 2), 21)/21)

FROM EURUSD_86400;

To calculate the lower limit Bollinger Band of 2 standard deviations over a 21 period sma:

SELECT datetime, ta_sma(close,21) - 2*SQRT(ta_sum(POW(close - ta_sma(close, 21), 2), 21)/21)

FROM EURUSD_86400;

ta_max - Running Max ( as opposed to aggregate max )

ta_max (float data, int period)

Arguments

data - The data to search the maximum value

period - Running period to calculate for

Example

To return the maximum close over the last 50 periods:

SELECT datetime, ta_max(close, 50) FROM EURUSD_86400;

ta_min - Running Min ( as opposed to aggregate min )

ta_min (float data, int period)

Arguments

data - The data to search the minimum value

period - Running period to calculate for

Example

To return the minimum close over the last 50 periods:

SELECT datetime, ta_min(close, 50) FROM EURUSD_86400;

ta_previous - Return results N periods ago

ta_previous (float data, int period)

Arguments

data - The data to lookback into

period - Number of periods to look back into

Example

See if today's close is greater than yesterday's close

SELECT datetime, close > ta_previous(close,1) FROM EURUSD_86400;

OTHER DERIVED INDICATORS

macd - Moving Average Convergence / Divergence

MACD is defined as the difference between two emas

SELECT datetime, ta_ema(close,12) - ta_ema(close,26) AS MACD FROM EURUSD_86400;

The MACD signal line is defined as an EMA of MACD

SELECT datetime, ta_ema(ema(close,12) - ta_ema(close,26), 9) AS MACD_SIGNAL FROM

EURUSD_86400;

USING WITH INTEGER DATA INSTEAD OF FLOATS

Financial data tends to be stored as floats, however sometimes it might be useful to run these

functions with integer data.

The quickest way to achieve this is to use MySQL CAST:

SELECT ta_ema(CAST(integer_data_field AS DECIMAL(65), 14) FROM TABLE;

CREATING NEW FUNCTIONS

The easiest way might be to copy one of the existing .c files to a different name and modify its

implementation. The provided Makefile will pick up new .c files with no modification.

CONTRIBUTING

The development repository for this project is hosted at

github: http://github.com/joaocosta/lib_mysqludf_ta

 READMEDESCRIPTION:

Implements technical analysis functions as MySQL UDFs.

Currently implemented functions are:

TA_SMATA_EMATA_RSITA_TR (True Range)TA_SUM (Running sum, as opposed to aggregate sum provided by mysql)TA_PREVIOUS

Other indicators which can be derived from those functions include:

MACDBollinger BandsADX

Possibly others

AVAILABILITY:

Source repository at:http://github.com/joaocosta/lib_mysqludf_ta

COMPILING:

Windows:

A binary dll is shipped with this release.

The following article describes how to compile MySQL UDFs in Windows:http://rpbouman.blogspot.com/2007/09/creating-mysql-udfs-with-microsoft.html

Linux:

You need the following to build this library:

- gcc or some other C compiler- mysql development packages (eg: "yum install mysql-devel" in Fedora)

Just run make and it should build a shared library lib_mysqludf_ta.so.You might need to edit the Makefile to tell the compiler where to find the MySQL development header files.

For more information on compiling MySQL UDFs:http://dev.mysql.com/doc/refman/5.1/en/udf-compiling.htmlhttp://dev.mysql.com/doc/refman/5.1/en/adding-udf.html

INSTALLING:

You need to copy the binary library to the MySQL plugin directory.To find out what the MySQL plugin directory is run this in MySQL prompt:

show variables like 'plugin_dir';

Install the UDFs

From the MySQL prompt:

Windows

CREATE FUNCTION ta_ema RETURNS REAL SONAME 'lib_mysqludf_ta.dll';CREATE FUNCTION ta_rsi RETURNS REAL SONAME 'lib_mysqludf_ta.dll';CREATE FUNCTION ta_sma RETURNS REAL SONAME 'lib_mysqludf_ta.dll';

CREATE FUNCTION ta_sum RETURNS REAL SONAME 'lib_mysqludf_ta.dll';CREATE FUNCTION ta_tr RETURNS REAL SONAME 'lib_mysqludf_ta.dll';CREATE FUNCTION ta_max RETURNS REAL SONAME 'lib_mysqludf_ta.dll';CREATE FUNCTION ta_min RETURNS REAL SONAME 'lib_mysqludf_ta.dll';CREATE FUNCTION ta_previous RETURNS REAL SONAME 'lib_mysqludf_ta.dll';

Linux

CREATE FUNCTION ta_ema RETURNS REAL SONAME 'lib_mysqludf_ta.so';CREATE FUNCTION ta_rsi RETURNS REAL SONAME 'lib_mysqludf_ta.so';CREATE FUNCTION ta_sma RETURNS REAL SONAME 'lib_mysqludf_ta.so';CREATE FUNCTION ta_sum RETURNS REAL SONAME 'lib_mysqludf_ta.so';CREATE FUNCTION ta_tr RETURNS REAL SONAME 'lib_mysqludf_ta.so';CREATE FUNCTION ta_max RETURNS REAL SONAME 'lib_mysqludf_ta.so';CREATE FUNCTION ta_min RETURNS REAL SONAME 'lib_mysqludf_ta.so';CREATE FUNCTION ta_previous RETURNS REAL SONAME 'lib_mysqludf_ta.so';

FUNCTIONS:To try the examples below import the provided sampledb.sql into a MySQL database.

mysqladmin -u root create lib_tamysql -u root lib_ta < sampledb.sqlmysql -u root lib_ta------------------------------------------------------------------------------------------------------

ta_ema - Exponential moving average

ta_ema( float data, int period)

data - The data to averageperiod - Running period to calculate for

Example:To calculate a 50 period EMA of closing prices:

SELECT datetime, ta_ema(close, 50)FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

------------------------------------------------------------------------------------------------------

ta_sma - Simple Moving Average ( aka Running average )

ta_sma( float data, int period)

data - The data to averageperiod - Running period to calculate for

Example:To calculate a 50 period SMA of closing prices:

SELECT datetime, ta_sma(close, 50)FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

------------------------------------------------------------------------------------------------------

ta_rsi - Relative Strength Index

ta_rsi( float data, int period)

data - The data to calculate rsi forperiod - Running period to calculate for

Example:To calculate a 14 period RSI of closing prices:

SELECT datetime, ta_rsi(close, 14)FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

To calculate a 10 period ta_ema of ta_rsi(14):

SELECT datetime, ta_ema(ta_rsi(close, 14), 10)FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

------------------------------------------------------------------------------------------------------

ta_sum - Running Sum ( as opposed to aggregate sum )This function is useful for calculating some indicators, such as Bollinger Bands.

ta_sum( float data, int period)

data - The data to averageperiod - Running period to calculate for

Example:To calculate a 50 running sum of closing prices:

SELECT datetime, ta_sum(close, 50)FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

To calculate the upper limit Bollinger Band of 2 standard deviations over a 21 period sma:SELECT datetime, ( ta_sma(close,21) + 2*SQRT(ta_sum(POW(close - ta_sma(close, 21), 2), 21)/21) ) AS `BOL_UP`FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

To calculate the lower limit Bollinger Band of 2 standard deviations over a 21 period sma:SELECT datetime, ( ta_sma(close,21) - 2*SQRT(ta_sum(POW(close - ta_sma(close, 21), 2), 21)/21) ) AS `BOL_DOWN`

FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

------------------------------------------------------------------------------------------------------

ta_tr - Calculate True Range

ta_tr( float high, float low, float close)

high - The Highest price for the periodlow - The Lowest price for the periodclose - The Closing price of the period

Example:To calculate True Range

SELECT datetime, ta_tr(high, low, close)FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

------------------------------------------------------------------------------------------------------

ta_previous - Calculate True Range

ta_previous( float data, int period)

data - The data to lookback intoperiod - Number of periods to look back into

Example:See if today's close is greater than yesterday's closeSELECT datetime, close > ta_previous(close,1)

FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

------------------------------------------------------------------------------------------------------

ta_max - Running Max

ta_max( float data, int period)

data - The data to search the maximum forperiod - Running period to calculate for

Example:To return the maximum close over the last 50 periods:SELECT datetime, ta_max(close, 50)FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

------------------------------------------------------------------------------------------------------

ta_min - Running Min

ta_min( float data, int period)

data - The data to search the minimum forperiod - Running period to calculate for

Example:To return the minimum close over the last 50 periods:SELECT datetime, ta_min(close, 50)FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

------------------------------------------------------------------------------------------------------

macd - Moving Average Convergence / Divergence

MACD is defined as the difference between two emas

SELECT datetime, ta_ema(close,12) - ta_ema(close,26) AS `MACD`FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

The MACD signal line is defined as an EMA of MACDSELECT datetime, ta_ema(ta_ema(close,12) - ta_ema(close,26), 9) AS `MACD_SIGNAL`FROM ( SELECT * FROM EURUSD_86400 ORDER BY datetime ASC ) AS T;

------------------------------------------------------------------------------------------------------

USING WITH INTEGER DATA INSTEAD OF FLOATS:

Financial data tends to be stored as floats, however sometimes it might be useful to run these functions with integer data. The quickest way to achieve this is to use MySQL CAST:

SELECT ta_ema(CAST(integer_data_field AS DECIMAL(65), 14) FROM TABLE;

CREATING NEW FUNCTIONS:

The easiest way might be to copy one of the existing .c files to a different name and modify its implementation.The provided Makefile will pick up new .c files.