[Quantproject-developers] QuantProject/b7_Scripts MyTradingSystem.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15309

Modified Files:
	MyTradingSystem.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: MyTradingSystem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/MyTradingSystem.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** MyTradingSystem.cs	29 Nov 2004 16:13:55 -0000	1.2
--- MyTradingSystem.cs	29 Sep 2008 21:16:12 -0000	1.3
***************
*** 3,7 ****
  
  MyTradingSystem.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  MyTradingSystem.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,26 ****
  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.Collections;
  using QuantProject.ADT;
  using QuantProject.ADT.Histories;
--- 19,27 ----
  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.Collections;
+ 
  using QuantProject.ADT;
  using QuantProject.ADT.Histories;
***************
*** 30,33 ****
--- 31,35 ----
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
+ using QuantProject.Data.DataProviders.Quotes;
  
  namespace QuantProject.Scripts
***************
*** 38,87 ****
  	public class MyTradingSystem : TradingSystem
  	{
!     private History microsoftOpenHistory;
!     private History microsoftOpenHistorySMA;
  
!     public MyTradingSystem()
!     {
!     }
  
!     public override void InitializeData()
!     {
!       Parameter parameter = (Parameter) this.Parameters[ "SMAdays" ];
!       microsoftOpenHistory = QuoteCache.GetOpenHistory( "MSFT" );
!       microsoftOpenHistorySMA = microsoftOpenHistory.GetSimpleMovingAverage( (int) parameter.Value );
!     }
  
!     public override Signals GetSignals( ExtendedDateTime extendedDateTime )
!     {
!       Signals signals = new Signals();
!       Signal signal = new Signal();
!       if ( microsoftOpenHistory.Cross( microsoftOpenHistorySMA ,
!         extendedDateTime.DateTime ) && 
!           ( Convert.ToDouble(microsoftOpenHistorySMA.GetValue( extendedDateTime.DateTime )) >
!           ( Convert.ToDouble(microsoftOpenHistory.GetValue( extendedDateTime.DateTime )) *
!           ( 100 + Convert.ToInt32(
!           ((Parameter)this.Parameters[ "CrossPercentage" ]).Value ) ) / 100 ) ) )
!       {
!         signal.Add( new Order( OrderType.MarketBuy , new Instrument( "MSFT" ) , 1 ,
!           new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
!           EndOfDaySpecificTime.MarketOpen ) ) );
!         signals.Add( signal );
!       }
!       else
!       {
!         if ( microsoftOpenHistorySMA.Cross( microsoftOpenHistory ,
!           extendedDateTime.DateTime ) && 
!           ( Convert.ToDouble(microsoftOpenHistorySMA.GetValue( extendedDateTime.DateTime )) >
!           ( Convert.ToDouble(microsoftOpenHistory.GetValue( extendedDateTime.DateTime )) *
!           ( 100 + Convert.ToInt32( ((Parameter)this.Parameters[ "CrossPercentage" ]).Value ) ) / 100 ) ) ) 
!         {
!           signal.Add( new Order( OrderType.MarketSell , new Instrument( "MSFT" ) , 1 ,
!             new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
!             EndOfDaySpecificTime.MarketOpen ) ) );
!           signals.Add( signal );
!         }
!       }
!       return signals;
!     }
!   }
  }
--- 40,99 ----
  	public class MyTradingSystem : TradingSystem
  	{
! 		private History microsoftOpenHistory;
! 		private History microsoftOpenHistorySMA;
  
! 		public MyTradingSystem()
! 		{
! 		}
  
! 		public override void InitializeData()
! 		{
! 			Parameter parameter = (Parameter) this.Parameters[ "SMAdays" ];
! 			microsoftOpenHistory = HistoricalQuotesProvider.GetOpenHistory( "MSFT" );
! 			microsoftOpenHistorySMA = microsoftOpenHistory.GetSimpleMovingAverage( (int) parameter.Value );
! 		}
  
! 		public override Signals GetSignals( DateTime dateTime )
! 		{
! 			Signals signals = new Signals();
! 			Signal signal = new Signal();
! 			if ( microsoftOpenHistory.Cross( microsoftOpenHistorySMA ,
! 			                                dateTime ) &&
! 			    ( Convert.ToDouble(microsoftOpenHistorySMA.GetValue( dateTime )) >
! 			     ( Convert.ToDouble(microsoftOpenHistory.GetValue( dateTime )) *
! 			      ( 100 + Convert.ToInt32(
! 			      	((Parameter)this.Parameters[ "CrossPercentage" ]).Value ) ) / 100 ) ) )
! 			{
! 				signal.Add( new Order(
! 					OrderType.MarketBuy ,
! 					new Instrument( "MSFT" ) ,
! 					1 ,
! 					HistoricalEndOfDayTimer.GetMarketOpen(
! 						new Instrument( "MSFT" ).GetNextMarketDay( dateTime ) ) ) );
! 				//          new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( dateTime.DateTime ) ,
! 				//          EndOfDaySpecificTime.MarketOpen ) ) );
! 				signals.Add( signal );
! 			}
! 			else
! 			{
! 				if ( microsoftOpenHistorySMA.Cross( microsoftOpenHistory ,
! 				                                   dateTime ) &&
! 				    ( Convert.ToDouble(microsoftOpenHistorySMA.GetValue( dateTime )) >
! 				     ( Convert.ToDouble(microsoftOpenHistory.GetValue( dateTime )) *
! 				      ( 100 + Convert.ToInt32( ((Parameter)this.Parameters[ "CrossPercentage" ]).Value ) ) / 100 ) ) )
! 				{
! 					signal.Add( new Order(
! 						OrderType.MarketSell ,
! 						new Instrument( "MSFT" ) ,
! 						1 ,
! 						HistoricalEndOfDayTimer.GetMarketOpen(
! 							new Instrument( "MSFT" ).GetNextMarketDay( dateTime ) ) ) );
! //					                      new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( dateTime.DateTime ) ,
! //					                                           EndOfDaySpecificTime.MarketOpen ) ) );
! 					signals.Add( signal );
! 				}
! 			}
! 			return signals;
! 		}
! 	}
  }