[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOve

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2916/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC

Modified Files:
	EndOfDayTimerHandlerDOR_OTC.cs 
Log Message:
- the code has been cleaned up to avoid warnings
- standard indentation has been applied

Index: EndOfDayTimerHandlerDOR_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC/EndOfDayTimerHandlerDOR_OTC.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerDOR_OTC.cs	16 Aug 2008 19:30:11 -0000	1.3
--- EndOfDayTimerHandlerDOR_OTC.cs	19 Aug 2008 17:11:27 -0000	1.4
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerDOR_OTC.cs
! Copyright (C) 2007 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerDOR_OTC.cs
! Copyright (C) 2007
  Marco Milletti
  
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  using System;
  using System.Data;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
  using System.Data;
***************
*** 37,187 ****
  {
  	/// <summary>
!   /// Implements MarketOpenEventHandler and MarketCloseEventHandler
!   /// These handlers contain the core strategy for
!   /// the Double OverReaction Open To Close Test,
!   /// based on the OverReaction Hypothesis
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerDOR_OTC
!   {
!     private string tickerGroupID;
!     private int numberOfEligibleTickers;
!     private string benchmark;
!     private Account account;
!     private int numOfWorstTickers;
!     private int numOfBestTickers;
!     private int numOfTickersForBuying;
!     private int numOfTickersForShortSelling;
!     private string[] bestTickers;
!     private string[] worstTickers;
!     private string[] chosenTickers;
!     private string[] lastOrderedTickers;
!     private ArrayList orders;
  		private bool thereAreEnoughBestTickers;
  		private bool thereAreEnoughWorstTickers;
!     
!     public EndOfDayTimerHandlerDOR_OTC(string tickerGroupID, int numberOfEligibleTickers, 
!                                             int numOfBestTickers, 
! 																			      int numOfWorstTickers, int numOfTickersForBuying,
! 																			      int numOfTickersForShortSelling,
! 																			      Account account, string benchmark)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.account = account;
!       this.benchmark = benchmark;
!       this.numOfBestTickers = numOfBestTickers;
!       this.bestTickers = new string[this.numOfBestTickers];
!       this.numOfWorstTickers = numOfWorstTickers;
!       this.worstTickers = new string[this.numOfWorstTickers];
!       this.numOfTickersForBuying = numOfTickersForBuying;
!       this.numOfTickersForShortSelling = numOfTickersForShortSelling;
!       this.chosenTickers = new string[this.numOfTickersForBuying + this.numOfTickersForShortSelling];
!       this.lastOrderedTickers = new string[this.chosenTickers.Length];
!       this.orders = new ArrayList();
!     }
!     
!     #region MarketOpenEventHandler
  
!     private void addOrderForTicker(string[] tickers, 
!                                    int tickerPosition )
!     {
!       SignedTickers signedTickers = new SignedTickers(tickers);
! 			string ticker = 
!         SignedTicker.GetTicker(tickers[tickerPosition]);
!       double cashForSinglePosition = 
!         this.account.CashAmount / this.chosenTickers.Length;
!       long quantity =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = 
  				new Order(signedTickers[tickerPosition].MarketOrderType,
!         new Instrument( ticker ) , quantity );
!       this.orders.Add(order);
!     }	
  
!     private void addChosenTickersToOrderList(string[] tickers)
!     {
!       for( int i = 0; i<tickers.Length; i++)
!       {
!         if(tickers[i] != null)
!         {  
!           this.addOrderForTicker( tickers, i );
!           this.lastOrderedTickers[i] = 
!             SignedTicker.GetTicker(tickers[i]);
!         }
!       }
!     }
  
!     private void openPositions(string[] tickers)
!     {
!       this.addChosenTickersToOrderList(tickers);
!       //execute orders actually
!       foreach(object item in this.orders)
!         this.account.AddOrder((Order)item);
!     }
!     
!     private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
!     {
!       IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
!       ExtendedDateTime nowAtOpen = 
!         new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
!         BarComponent.Open);
!       ExtendedDateTime previousClose =
!         new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
!         BarComponent.Close);
!       double currentValueAtOpen =
!         HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), nowAtOpen);
!       double previousValueAtClose = 
!         HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), previousClose);
!       
!       return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose; 
!     }
  
!     private void setChosenTickers_addTickersForShorting()
!     {
!       DataTable worstTickersOrderedByGainAtOpen = new DataTable();
!       worstTickersOrderedByGainAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
!       worstTickersOrderedByGainAtOpen.Columns.Add("gainAtOpen", Type.GetType("System.Double"));
!       object[] values = new object[2];
!       for (int i = 0; i<this.worstTickers.Length; i++)
!       {
!         values[0] = this.worstTickers[i];
!         values[1] = this.setChosenTickers_getGainOrLossFromPreviousClose(this.worstTickers[i]);
!         worstTickersOrderedByGainAtOpen.Rows.Add(values);
!       }
!       DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
!       orderedRows = worstTickersOrderedByGainAtOpen.Select("", "gainAtOpen DESC");
!       for(int i = 0;i<this.numOfTickersForShortSelling; i++)
!           if( (double)orderedRows[i]["gainAtOpen"] > 0.0 )
!           //at open, current ticker is gaining
!              this.chosenTickers[this.numOfTickersForBuying + i] = "-" +
!                                               (string)orderedRows[i]["ticker"];
!     }
!       
!     private void setChosenTickers_addTickersForBuying()
!     {
!       DataTable bestTickersOrderedByLossAtOpen = new DataTable();
!       bestTickersOrderedByLossAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
!       bestTickersOrderedByLossAtOpen.Columns.Add("lossAtOpen", Type.GetType("System.Double"));
!       object[] values = new object[2];
!       for (int i = 0; i<this.bestTickers.Length; i++)
!       {
!         values[0] = this.bestTickers[i];
!         values[1] = - this.setChosenTickers_getGainOrLossFromPreviousClose(this.bestTickers[i]);
!         bestTickersOrderedByLossAtOpen.Rows.Add(values);
!       }
!       DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
!       orderedRows = bestTickersOrderedByLossAtOpen.Select("", "lossAtOpen DESC");
!       for( int i = 0; i<this.numOfTickersForBuying; i++)
!            if( (double)orderedRows[i]["lossAtOpen"] > 0.0 )
!            //at open, current ticker is losing
!               this.chosenTickers[i] = (string)orderedRows[i]["ticker"];
!     }
  
!     private void setChosenTickersBothForLongAndShort()
!     {
! 			if( this.thereAreEnoughBestTickers && 
! 					this.thereAreEnoughWorstTickers )
!       {
  				try
  				{
--- 37,187 ----
  {
  	/// <summary>
! 	/// Implements MarketOpenEventHandler and MarketCloseEventHandler
! 	/// These handlers contain the core strategy for
! 	/// the Double OverReaction Open To Close Test,
! 	/// based on the OverReaction Hypothesis
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerDOR_OTC
! 	{
! 		private string tickerGroupID;
! 		private int numberOfEligibleTickers;
! 		private string benchmark;
! 		private Account account;
! 		private int numOfWorstTickers;
! 		private int numOfBestTickers;
! 		private int numOfTickersForBuying;
! 		private int numOfTickersForShortSelling;
! 		private string[] bestTickers;
! 		private string[] worstTickers;
! 		private string[] chosenTickers;
! 		private string[] lastOrderedTickers;
! 		private ArrayList orders;
  		private bool thereAreEnoughBestTickers;
  		private bool thereAreEnoughWorstTickers;
! 		
! 		public EndOfDayTimerHandlerDOR_OTC(string tickerGroupID, int numberOfEligibleTickers,
! 		                                   int numOfBestTickers,
! 		                                   int numOfWorstTickers, int numOfTickersForBuying,
! 		                                   int numOfTickersForShortSelling,
! 		                                   Account account, string benchmark)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.account = account;
! 			this.benchmark = benchmark;
! 			this.numOfBestTickers = numOfBestTickers;
! 			this.bestTickers = new string[this.numOfBestTickers];
! 			this.numOfWorstTickers = numOfWorstTickers;
! 			this.worstTickers = new string[this.numOfWorstTickers];
! 			this.numOfTickersForBuying = numOfTickersForBuying;
! 			this.numOfTickersForShortSelling = numOfTickersForShortSelling;
! 			this.chosenTickers = new string[this.numOfTickersForBuying + this.numOfTickersForShortSelling];
! 			this.lastOrderedTickers = new string[this.chosenTickers.Length];
! 			this.orders = new ArrayList();
! 		}
! 		
! 		#region MarketOpenEventHandler
  
! 		private void addOrderForTicker(string[] tickers,
! 		                               int tickerPosition )
! 		{
! 			SignedTickers signedTickers = new SignedTickers(tickers);
! 			string ticker =
! 				SignedTicker.GetTicker(tickers[tickerPosition]);
! 			double cashForSinglePosition =
! 				this.account.CashAmount / this.chosenTickers.Length;
! 			long quantity =
! 				Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
! 			Order order =
  				new Order(signedTickers[tickerPosition].MarketOrderType,
! 				          new Instrument( ticker ) , quantity );
! 			this.orders.Add(order);
! 		}
  
! 		private void addChosenTickersToOrderList(string[] tickers)
! 		{
! 			for( int i = 0; i<tickers.Length; i++)
! 			{
! 				if(tickers[i] != null)
! 				{
! 					this.addOrderForTicker( tickers, i );
! 					this.lastOrderedTickers[i] =
! 						SignedTicker.GetTicker(tickers[i]);
! 				}
! 			}
! 		}
  
! 		private void openPositions(string[] tickers)
! 		{
! 			this.addChosenTickersToOrderList(tickers);
! 			//execute orders actually
! 			foreach(object item in this.orders)
! 				this.account.AddOrder((Order)item);
! 		}
! 		
! 		private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
! 		{
! 			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
! 			ExtendedDateTime nowAtOpen =
! 				new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
! 				                     BarComponent.Open);
! 			ExtendedDateTime previousClose =
! 				new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
! 				                     BarComponent.Close);
! 			double currentValueAtOpen =
! 				HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), nowAtOpen);
! 			double previousValueAtClose =
! 				HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), previousClose);
! 			
! 			return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose;
! 		}
  
! 		private void setChosenTickers_addTickersForShorting()
! 		{
! 			DataTable worstTickersOrderedByGainAtOpen = new DataTable();
! 			worstTickersOrderedByGainAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
! 			worstTickersOrderedByGainAtOpen.Columns.Add("gainAtOpen", Type.GetType("System.Double"));
! 			object[] values = new object[2];
! 			for (int i = 0; i<this.worstTickers.Length; i++)
! 			{
! 				values[0] = this.worstTickers[i];
! 				values[1] = this.setChosenTickers_getGainOrLossFromPreviousClose(this.worstTickers[i]);
! 				worstTickersOrderedByGainAtOpen.Rows.Add(values);
! 			}
! 			DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
! 			orderedRows = worstTickersOrderedByGainAtOpen.Select("", "gainAtOpen DESC");
! 			for(int i = 0;i<this.numOfTickersForShortSelling; i++)
! 				if( (double)orderedRows[i]["gainAtOpen"] > 0.0 )
! 				//at open, current ticker is gaining
! 				this.chosenTickers[this.numOfTickersForBuying + i] = "-" +
! 					(string)orderedRows[i]["ticker"];
! 		}
! 		
! 		private void setChosenTickers_addTickersForBuying()
! 		{
! 			DataTable bestTickersOrderedByLossAtOpen = new DataTable();
! 			bestTickersOrderedByLossAtOpen.Columns.Add("ticker", Type.GetType("System.String"));
! 			bestTickersOrderedByLossAtOpen.Columns.Add("lossAtOpen", Type.GetType("System.Double"));
! 			object[] values = new object[2];
! 			for (int i = 0; i<this.bestTickers.Length; i++)
! 			{
! 				values[0] = this.bestTickers[i];
! 				values[1] = - this.setChosenTickers_getGainOrLossFromPreviousClose(this.bestTickers[i]);
! 				bestTickersOrderedByLossAtOpen.Rows.Add(values);
! 			}
! 			DataRow[] orderedRows = new DataRow[this.bestTickers.Length];
! 			orderedRows = bestTickersOrderedByLossAtOpen.Select("", "lossAtOpen DESC");
! 			for( int i = 0; i<this.numOfTickersForBuying; i++)
! 				if( (double)orderedRows[i]["lossAtOpen"] > 0.0 )
! 				//at open, current ticker is losing
! 				this.chosenTickers[i] = (string)orderedRows[i]["ticker"];
! 		}
  
! 		private void setChosenTickersBothForLongAndShort()
! 		{
! 			if( this.thereAreEnoughBestTickers &&
! 			   this.thereAreEnoughWorstTickers )
! 			{
  				try
  				{
***************
*** 190,246 ****
  				}
  				catch(Exception ex)
! 				{int dummy = 1; dummy++;}
!       }
!     }
  
!     /// <summary>
!     /// Handles a "Market Open" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(30000);
!       this.setChosenTickersBothForLongAndShort();
!       bool allTickersHasBeenChosenForLongAndShort = true;
!       for( int i = 0; i<this.chosenTickers.Length; i++)
!       {
!         if(this.chosenTickers[i] == null)
!           allTickersHasBeenChosenForLongAndShort = false;
!       }
!       if(allTickersHasBeenChosenForLongAndShort)
!         this.openPositions(this.chosenTickers);
!     }
  
!     #endregion
  
!     #region MarketCloseEventHandler
  
!     private void closePosition( string ticker )
!     {
!       this.account.ClosePosition( ticker );
!     }
!     
!     private void closePositions()
!     {
!       if(this.lastOrderedTickers != null)
!         foreach( string ticker in this.lastOrderedTickers )
!                 for( int i = 0; i<this.account.Portfolio.Keys.Count; i++ )
!                     if( this.account.Portfolio[ticker]!=null )
!                        closePosition( ticker );
!     }
!     
!     public void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!      	this.closePositions();
!     }
  
!     #endregion
  
!     #region OneHourAfterMarketCloseEventHandler
!     
  		private void oneHourAfterMarketCloseEventHandler_clear()
  		{
--- 190,248 ----
  				}
  				catch(Exception ex)
! 				{
! 					string forBreakpoint = ex.Message; forBreakpoint = forBreakpoint + "";
! 				}
! 			}
! 		}
  
! 		/// <summary>
! 		/// Handles a "Market Open" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
! 				this.account.AddCash(30000);
! 			this.setChosenTickersBothForLongAndShort();
! 			bool allTickersHasBeenChosenForLongAndShort = true;
! 			for( int i = 0; i<this.chosenTickers.Length; i++)
! 			{
! 				if(this.chosenTickers[i] == null)
! 					allTickersHasBeenChosenForLongAndShort = false;
! 			}
! 			if(allTickersHasBeenChosenForLongAndShort)
! 				this.openPositions(this.chosenTickers);
! 		}
  
! 		#endregion
  
! 		#region MarketCloseEventHandler
  
! 		private void closePosition( string ticker )
! 		{
! 			this.account.ClosePosition( ticker );
! 		}
! 		
! 		private void closePositions()
! 		{
! 			if(this.lastOrderedTickers != null)
! 				foreach( string ticker in this.lastOrderedTickers )
! 				for( int i = 0; i<this.account.Portfolio.Keys.Count; i++ )
! 				if( this.account.Portfolio[ticker]!=null )
! 				closePosition( ticker );
! 		}
! 		
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.closePositions();
! 		}
  
! 		#endregion
  
! 		#region OneHourAfterMarketCloseEventHandler
! 		
  		private void oneHourAfterMarketCloseEventHandler_clear()
  		{
***************
*** 252,303 ****
  				this.chosenTickers[i] = null;
  		}
!  
  
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.oneHourAfterMarketCloseEventHandler_clear(); 
!       DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
!       SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
!                                             currentDate);
!       DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
!       //remark from here for DEBUG
!       
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup = 
  				new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
! 							false, currentDate.AddDays(-30), currentDate,
! 							tickersFromGroup.Rows.Count, this.benchmark);
  
! 			SelectorByAverageRawOpenPrice byPrice = 
!         new SelectorByAverageRawOpenPrice( quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(),
! 							false, currentDate.AddDays(-10), currentDate,
! 							tickersFromGroup.Rows.Count, 25 );
!       
!       SelectorByLiquidity mostLiquidSelector =
!         new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
!         false,currentDate.AddDays(-30), currentDate,
!         this.numberOfEligibleTickers);
!       
!       SelectorByOpenToCloseVolatility lessVolatile = 
!       	new SelectorByOpenToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
!       	                                    true,currentDate.AddDays(-30), currentDate,
!       	                                    this.numberOfEligibleTickers/2);
!  
!       SelectorByAverageCloseToClosePerformance bestTickersFromLessVolatile =
!         new SelectorByAverageCloseToClosePerformance(lessVolatile.GetTableOfSelectedTickers(),
!         false,currentDate,currentDate,this.bestTickers.Length);
  
!       SelectorByAverageCloseToClosePerformance worstTickersFromLessVolatile =
!         new SelectorByAverageCloseToClosePerformance(lessVolatile.GetTableOfSelectedTickers(),
!         true,currentDate,currentDate,this.worstTickers.Length);
  
  			DataTable tableOfBestTickers = bestTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfBestTickers.Rows.Count >= this.bestTickers.Length)
! 			{	
  				this.thereAreEnoughBestTickers = true;
  				for(int i = 0;i<this.bestTickers.Length;i++)
--- 254,305 ----
  				this.chosenTickers[i] = null;
  		}
! 		
  
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			this.oneHourAfterMarketCloseEventHandler_clear();
! 			DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
! 			                                                      currentDate);
! 			DataTable tickersFromGroup = temporizedGroup.GetTableOfSelectedTickers();
! 			//remark from here for DEBUG
! 			
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromGroup =
  				new SelectorByQuotationAtEachMarketDay(tickersFromGroup,
! 				                                       false, currentDate.AddDays(-30), currentDate,
! 				                                       tickersFromGroup.Rows.Count, this.benchmark);
  
! 			SelectorByAverageRawOpenPrice byPrice =
! 				new SelectorByAverageRawOpenPrice( quotedAtEachMarketDayFromGroup.GetTableOfSelectedTickers(),
! 				                                  false, currentDate.AddDays(-10), currentDate,
! 				                                  tickersFromGroup.Rows.Count, 25 );
! 			
! 			SelectorByLiquidity mostLiquidSelector =
! 				new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
! 				                        false,currentDate.AddDays(-30), currentDate,
! 				                        this.numberOfEligibleTickers);
! 			
! 			SelectorByOpenToCloseVolatility lessVolatile =
! 				new SelectorByOpenToCloseVolatility(mostLiquidSelector.GetTableOfSelectedTickers(),
! 				                                    true,currentDate.AddDays(-30), currentDate,
! 				                                    this.numberOfEligibleTickers/2);
! 			
! 			SelectorByAverageCloseToClosePerformance bestTickersFromLessVolatile =
! 				new SelectorByAverageCloseToClosePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				                                             false,currentDate,currentDate,this.bestTickers.Length);
  
! 			SelectorByAverageCloseToClosePerformance worstTickersFromLessVolatile =
! 				new SelectorByAverageCloseToClosePerformance(lessVolatile.GetTableOfSelectedTickers(),
! 				                                             true,currentDate,currentDate,this.worstTickers.Length);
  
  			DataTable tableOfBestTickers = bestTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfBestTickers.Rows.Count >= this.bestTickers.Length)
! 			{
  				this.thereAreEnoughBestTickers = true;
  				for(int i = 0;i<this.bestTickers.Length;i++)
***************
*** 312,316 ****
  			DataTable tableOfWorstTickers = worstTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfWorstTickers.Rows.Count >= this.worstTickers.Length)
! 			{	
  				this.thereAreEnoughWorstTickers = true;
  				for(int i = 0;i<this.worstTickers.Length;i++)
--- 314,318 ----
  			DataTable tableOfWorstTickers = worstTickersFromLessVolatile.GetTableOfSelectedTickers();
  			if(tableOfWorstTickers.Rows.Count >= this.worstTickers.Length)
! 			{
  				this.thereAreEnoughWorstTickers = true;
  				for(int i = 0;i<this.worstTickers.Length;i++)
***************
*** 322,351 ****
  				}
  			}
! //     //for DEBUG
! //     //remark from here for real running
! //       SelectorByLiquidity mostLiquidSelector =
! //        new SelectorByLiquidity(tickersFromGroup,
! //        false,currentDate.AddDays(-30), currentDate,
! //        this.numberOfEligibleTickers);
  //
! //      SelectorByAverageCloseToClosePerformance bestTickersFromMostLiquid =
! //        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! //        false,currentDate,currentDate,this.bestTickers.Length);
  //
! //      SelectorByAverageCloseToClosePerformance worstTickersFromMostLiquid =
! //        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! //        true,currentDate,currentDate,this.worstTickers.Length);
  //
! //      DataTable tableOfBestTickers = bestTickersFromMostLiquid.GetTableOfSelectedTickers();
! //      for(int i = 0;i<this.bestTickers.Length;i++)
! //        if(tableOfBestTickers.Rows[i][0] != null)
! //           this.bestTickers[i] = (string)tableOfBestTickers.Rows[i][0];
  //
! //      DataTable tableOfWorstTickers = worstTickersFromMostLiquid.GetTableOfSelectedTickers();
! //      for(int i = 0;i<this.worstTickers.Length;i++)
! //        if(tableOfWorstTickers.Rows[i][0] != null)
! //          this.worstTickers[i] = (string)tableOfWorstTickers.Rows[i][0];
!     }
!     #endregion
!   }
  }
--- 324,353 ----
  				}
  			}
! 			//     //for DEBUG
! 			//     //remark from here for real running
! 			//       SelectorByLiquidity mostLiquidSelector =
! 			//        new SelectorByLiquidity(tickersFromGroup,
! 			//        false,currentDate.AddDays(-30), currentDate,
! 			//        this.numberOfEligibleTickers);
  //
! 			//      SelectorByAverageCloseToClosePerformance bestTickersFromMostLiquid =
! 			//        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! 			//        false,currentDate,currentDate,this.bestTickers.Length);
  //
! 			//      SelectorByAverageCloseToClosePerformance worstTickersFromMostLiquid =
! 			//        new SelectorByAverageCloseToClosePerformance(mostLiquidSelector.GetTableOfSelectedTickers(),
! 			//        true,currentDate,currentDate,this.worstTickers.Length);
  //
! 			//      DataTable tableOfBestTickers = bestTickersFromMostLiquid.GetTableOfSelectedTickers();
! 			//      for(int i = 0;i<this.bestTickers.Length;i++)
! 			//        if(tableOfBestTickers.Rows[i][0] != null)
! 			//           this.bestTickers[i] = (string)tableOfBestTickers.Rows[i][0];
  //
! 			//      DataTable tableOfWorstTickers = worstTickersFromMostLiquid.GetTableOfSelectedTickers();
! 			//      for(int i = 0;i<this.worstTickers.Length;i++)
! 			//        if(tableOfWorstTickers.Rows[i][0] != null)
! 			//          this.worstTickers[i] = (string)tableOfWorstTickers.Rows[i][0];
! 		}
! 		#endregion
! 	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOve

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC EndOfDayTimerHandlerDOR_OTC.cs, 1.3, 1.4