[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a3_Ordering HistoricalEndOfDayOrderExecutor.cs, 1.6, 1.7

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14039/a3_Ordering

Modified Files:
	HistoricalEndOfDayOrderExecutor.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: HistoricalEndOfDayOrderExecutor.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering/HistoricalEndOfDayOrderExecutor.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** HistoricalEndOfDayOrderExecutor.cs	20 Dec 2005 19:37:57 -0000	1.6
--- HistoricalEndOfDayOrderExecutor.cs	29 Sep 2008 21:14:44 -0000	1.7
***************
*** 3,7 ****
  
  HistoricalEndOfDayOrderExecutor.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  HistoricalEndOfDayOrderExecutor.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 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;
--- 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;
***************
*** 40,62 ****
  	public class HistoricalEndOfDayOrderExecutor : IOrderExecutor
  	{
! 		private IEndOfDayTimer timer;
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
!     private ISlippageManager slippageManager;
  
! 		public HistoricalEndOfDayOrderExecutor( IEndOfDayTimer timer ,
! 			IHistoricalQuoteProvider historicalQuoteProvider )
  		{
  			this.timer = timer;
! 			this.historicalQuoteProvider = historicalQuoteProvider;
!       this.slippageManager = new ZeroSlippageManager();
  		}
!     public HistoricalEndOfDayOrderExecutor( IEndOfDayTimer timer ,
!       IHistoricalQuoteProvider historicalQuoteProvider, ISlippageManager slippageManager )
!     {
!       this.timer = timer;
!       this.historicalQuoteProvider = historicalQuoteProvider;
!       this.slippageManager = slippageManager;
!     }
!     [field:NonSerialized]
  		public event OrderFilledEventHandler OrderFilled;
  
--- 40,64 ----
  	public class HistoricalEndOfDayOrderExecutor : IOrderExecutor
  	{
! 		private Timer timer;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private ISlippageManager slippageManager;
  
! 		public HistoricalEndOfDayOrderExecutor(
! 			Timer timer , HistoricalMarketValueProvider historicalMarketValueProvider )
  		{
  			this.timer = timer;
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
! 			this.slippageManager = new ZeroSlippageManager();
  		}
! 		public HistoricalEndOfDayOrderExecutor(
! 			Timer timer ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ,
! 			ISlippageManager slippageManager )
! 		{
! 			this.timer = timer;
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
! 			this.slippageManager = slippageManager;
! 		}
! 		[field:NonSerialized]
  		public event OrderFilledEventHandler OrderFilled;
  
***************
*** 64,78 ****
  		public void Execute( Order order )
  		{
! 			double instrumentMarketPrice = 
!           this.historicalQuoteProvider.GetMarketValue(order.Instrument.Key ,
! 				                                          this.timer.GetCurrentTime());
!       double instrumentPriceWithSlippage = instrumentMarketPrice + 
!                                            this.slippageManager.GetSlippage(order);
!       EndOfDayTransaction endOfDayTransaction = new EndOfDayTransaction(
! 				TimedTransaction.GetTransactionType( order.Type ) , order.Instrument ,
! 				order.Quantity , instrumentPriceWithSlippage ,
! 				new EndOfDayDateTime( this.timer.GetCurrentTime().DateTime ,
! 				this.timer.GetCurrentTime().EndOfDaySpecificTime ) );
! 			OrderFilled( this , new OrderFilledEventArgs( order , endOfDayTransaction ) );
  		}
  	}
--- 66,83 ----
  		public void Execute( Order order )
  		{
! 			double instrumentMarketPrice =
! 				this.historicalMarketValueProvider.GetMarketValue(order.Instrument.Key ,
! 				                                            this.timer.GetCurrentDateTime());
! 			double instrumentPriceWithSlippage = instrumentMarketPrice +
! 				this.slippageManager.GetSlippage(order);
! 			TimedTransaction timedTransaction = new TimedTransaction(
! 				TimedTransaction.GetTransactionType( order.Type ) ,
! 				order.Instrument ,
! 				order.Quantity ,
! 				instrumentPriceWithSlippage ,
! 				this.timer.GetCurrentDateTime() );
! //				new EndOfDayDateTime( this.timer.GetCurrentTime().DateTime ,
! //				                     this.timer.GetCurrentTime().EndOfDaySpecificTime ) );
! 			OrderFilled( this , new OrderFilledEventArgs( order , timedTransaction ) );
  		}
  	}