[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-serv15309/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC

Modified Files:
	EndOfDayTimerHandlerDOR_OTC.cs RunDOR_OTC.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: RunDOR_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC/RunDOR_OTC.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunDOR_OTC.cs	19 Aug 2008 17:13:04 -0000	1.2
--- RunDOR_OTC.cs	29 Sep 2008 21:16:12 -0000	1.3
***************
*** 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;
***************
*** 37,169 ****
  	/// Script that implements the Double OverReaction Open To Close strategy:
  	/// at each open, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l tickers among the 
  	/// b best that more moves down (at open) and the s tickers among the w worst
  	/// that more moves up (at open).
! 	/// For chosing the b best and w worst tickers just the 
  	/// previous close to close ratio is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...) 
  	/// that overreactions may be followed by opposite overreactions.
  	/// At each close, open positions are closed.
  	/// </summary>
!   [Serializable]
!   public class RunDOR_OTC
!   {
!     private string scriptName;
!     private string tickerGroupID;
!     private string benchmark;
!     private int numberOfEligibleTickers;
!     private int numOfBestTickers;
!     private int numOfWorstTickers;
!     private int numOfTickersForBuying;
!     private int numOfTickersForShortSelling;
!     private DateTime startDate;
!     private DateTime endDate;
!     private double maxRunningHours;
!     private DateTime startingTimeForScript;
!     private Account account;
!     private IHistoricalQuoteProvider historicalQuoteProvider;
!     private IEndOfDayTimer endOfDayTimer;
! 
!     public RunDOR_OTC(string tickerGroupID, string benchmark,
!       int numberOfEligibleTickers, int numOfBestTickers, 
!       int numOfWorstTickers, int numOfTickersForBuying,
!       int numOfTickersForShortSelling,
!       DateTime startDate, DateTime endDate,
!       double maxRunningHours)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.benchmark = benchmark;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numOfBestTickers = numOfBestTickers;
!       this.numOfWorstTickers = numOfWorstTickers;
!       this.numOfTickersForBuying = numOfTickersForBuying;
!       this.numOfTickersForShortSelling = numOfTickersForShortSelling;
!       this.startDate = startDate;
!       this.endDate = endDate;
!       this.maxRunningHours = maxRunningHours;
!       this.scriptName = "DoubleOverReaction_OTC";
!       this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
!       this.endOfDayTimer = new IndexBasedEndOfDayTimer(
!         new EndOfDayDateTime( this.startDate ,
!         EndOfDaySpecificTime.MarketOpen ) , this.benchmark );
!     }

-     public void Run()
-     {
-       this.startingTimeForScript = DateTime.Now;
-       this.account = new Account( "DoubleOverReaction_OTC" , this.endOfDayTimer ,
-         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
-         this.historicalQuoteProvider ) ,
-         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
-         this.historicalQuoteProvider ) );
-       EndOfDayTimerHandlerDOR_OTC endOfDayTimerHandler =
-         new EndOfDayTimerHandlerDOR_OTC(this.tickerGroupID, this.numberOfEligibleTickers,
-         this.numOfBestTickers, this.numOfWorstTickers,
-         this.numOfTickersForBuying, this.numOfTickersForShortSelling, 
-         this.account, this.benchmark);
-       this.endOfDayTimer.MarketOpen += new MarketOpenEventHandler(
-         endOfDayTimerHandler.MarketOpenEventHandler );

!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         endOfDayTimerHandler.MarketCloseEventHandler );

!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         this.checkDateForReport);

!       this.endOfDayTimer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
!         endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!       
!       this.endOfDayTimer.Start();
!     }

!     private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDate ||
!         DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
!         //last date is reached by the timer or maxRunning hours
!         //are elapsed from the time script started
!         this.SaveScriptResults();
!     }

!     private void checkDateForReport_createDirIfNotPresent(string dirPath)
!     {
!       if(!Directory.Exists(dirPath))
!         Directory.CreateDirectory(dirPath);
!     }

!     public void SaveScriptResults()
!     {
!       TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName = 
! 				"SecondsElapsed_" + 
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
!         DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
!         this.scriptName +  "_From_" + this.tickerGroupID +
!         "_elig_" + this.numberOfEligibleTickers + 
!       	"_best_" + this.numOfBestTickers +
!       	"_worst_" + this.numOfWorstTickers +
!       	"_forLong_" + this.numOfTickersForBuying +
!       	"_forShort_" + this.numOfTickersForShortSelling;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
!         "\\" + this.scriptName + "\\";
!           
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!         this.endOfDayTimer.GetCurrentTime(),
!         this.benchmark,
!         new HistoricalRawQuoteProvider() );
! //        new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!         dirNameWhereToSaveReports + 
!         fileName + ".qPr");
!             
!       this.endOfDayTimer.Stop();
!     }
!   }   
  }
--- 37,178 ----
  	/// Script that implements the Double OverReaction Open To Close strategy:
  	/// at each open, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l tickers among the
  	/// b best that more moves down (at open) and the s tickers among the w worst
  	/// that more moves up (at open).
! 	/// For chosing the b best and w worst tickers just the
  	/// previous close to close ratio is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...)
  	/// that overreactions may be followed by opposite overreactions.
  	/// At each close, open positions are closed.
  	/// </summary>
! 	[Serializable]
! 	public class RunDOR_OTC
! 	{
! 		private string scriptName;
! 		private string tickerGroupID;
! 		private string benchmark;
! 		private int numberOfEligibleTickers;
! 		private int numOfBestTickers;
! 		private int numOfWorstTickers;
! 		private int numOfTickersForBuying;
! 		private int numOfTickersForShortSelling;
! 		private DateTime startDate;
! 		private DateTime endDate;
! 		private double maxRunningHours;
! 		private DateTime startingTimeForScript;
! 		private Account account;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private Timer timer;

+ 		public RunDOR_OTC(string tickerGroupID, string benchmark,
+ 		                  int numberOfEligibleTickers, int numOfBestTickers,
+ 		                  int numOfWorstTickers, int numOfTickersForBuying,
+ 		                  int numOfTickersForShortSelling,
+ 		                  DateTime startDate, DateTime endDate,
+ 		                  double maxRunningHours)
+ 		{
+ 			this.tickerGroupID = tickerGroupID;
+ 			this.benchmark = benchmark;
+ 			this.numberOfEligibleTickers = numberOfEligibleTickers;
+ 			this.numOfBestTickers = numOfBestTickers;
+ 			this.numOfWorstTickers = numOfWorstTickers;
+ 			this.numOfTickersForBuying = numOfTickersForBuying;
+ 			this.numOfTickersForShortSelling = numOfTickersForShortSelling;
+ 			this.startDate = startDate;
+ 			this.endDate = endDate;
+ 			this.maxRunningHours = maxRunningHours;
+ 			this.scriptName = "DoubleOverReaction_OTC";
+ 			this.historicalMarketValueProvider = new HistoricalRawQuoteProvider();
+ 			this.timer = new IndexBasedEndOfDayTimer(
+ 				HistoricalEndOfDayTimer.GetMarketOpen( this.startDate ) , this.benchmark );
+ //				new EndOfDayDateTime( this.startDate ,
+ //				                     EndOfDaySpecificTime.MarketOpen ) , this.benchmark );
+ 		}

! 		public void Run()
! 		{
! 			this.startingTimeForScript = DateTime.Now;
! 			this.account = new Account( "DoubleOverReaction_OTC" , this.timer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.timer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.timer ,
! 			                                                               this.historicalMarketValueProvider ) );
! 			EndOfDayTimerHandlerDOR_OTC endOfDayTimerHandler =
! 				new EndOfDayTimerHandlerDOR_OTC(this.tickerGroupID, this.numberOfEligibleTickers,
! 				                                this.numOfBestTickers, this.numOfWorstTickers,
! 				                                this.numOfTickersForBuying, this.numOfTickersForShortSelling,
! 				                                this.account, this.benchmark);
! 			
! 			this.timer.NewDateTime +=
! 				new NewDateTimeEventHandler( endOfDayTimerHandler.NewDateTimeEventHandler );
! 			
! //			this.timer.MarketOpen += new MarketOpenEventHandler(
! //				endOfDayTimerHandler.MarketOpenEventHandler );
! //
! //			this.timer.MarketClose += new MarketCloseEventHandler(
! //				endOfDayTimerHandler.MarketCloseEventHandler );

! 			this.timer.NewDateTime += new NewDateTimeEventHandler(
! 				this.checkDateForReport);

! //			this.timer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
! //				endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 			
! 			this.timer.Start();
! 		}

! 		private void checkDateForReport(
! 			Object sender , DateTime dateTime)
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 			{
! 				if( dateTime >= this.endDate ||
! 				   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 					//last date is reached by the timer or maxRunning hours
! 					//are elapsed from the time script started
! 					this.SaveScriptResults();
! 			}
! 		}

! 		private void checkDateForReport_createDirIfNotPresent(string dirPath)
! 		{
! 			if(!Directory.Exists(dirPath))
! 				Directory.CreateDirectory(dirPath);
! 		}

! 		public void SaveScriptResults()
! 		{
! 			TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName =
! 				"SecondsElapsed_" +
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				this.scriptName +  "_From_" + this.tickerGroupID +
! 				"_elig_" + this.numberOfEligibleTickers +
! 				"_best_" + this.numOfBestTickers +
! 				"_worst_" + this.numOfWorstTickers +
! 				"_forLong_" + this.numOfTickersForBuying +
! 				"_forShort_" + this.numOfTickersForShortSelling;
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.scriptName + "\\";
! 			
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.timer.GetCurrentDateTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalRawQuoteProvider() );
! 			//        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			
! 			this.timer.Stop();
! 		}
! 	}
  }

Index: EndOfDayTimerHandlerDOR_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC/EndOfDayTimerHandlerDOR_OTC.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerDOR_OTC.cs	19 Aug 2008 17:11:27 -0000	1.4
--- EndOfDayTimerHandlerDOR_OTC.cs	29 Sep 2008 21:16:12 -0000	1.5
***************
*** 31,35 ****
  using QuantProject.Business.Strategies;
  using QuantProject.Data;
! using QuantProject.Data.DataProviders;
  using QuantProject.Data.Selectors;

--- 31,35 ----
  using QuantProject.Business.Strategies;
  using QuantProject.Data;
! using QuantProject.Data.DataProviders.Quotes;
  using QuantProject.Data.Selectors;

***************
*** 82,86 ****
  		}

! 		#region MarketOpenEventHandler

  		private void addOrderForTicker(string[] tickers,
--- 82,86 ----
  		}

! 		#region marketOpenEventHandler

  		private void addOrderForTicker(string[] tickers,
***************
*** 123,137 ****
  		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;
--- 123,143 ----
  		private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
  		{
! 			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.Timer;
! 			DateTime nowAtOpen =
! 				HistoricalEndOfDayTimer.GetMarketOpen( currentTimer.GetCurrentDateTime() );
! //				new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
! //				                     BarComponent.Open);
! 			DateTime previousClose =
! 				HistoricalEndOfDayTimer.GetMarketClose( currentTimer.GetPreviousDateTime() );
! //				new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
! //				                     BarComponent.Close);
  			double currentValueAtOpen =
! 				HistoricalQuotesProvider.GetAdjustedMarketValue(
! 					SignedTicker.GetTicker(signedTicker),
! 					nowAtOpen , MarketStatusSwitch.Open );
  			double previousValueAtClose =
! 				HistoricalQuotesProvider.GetAdjustedMarketValue(
! 					SignedTicker.GetTicker(signedTicker),
! 					previousClose , MarketStatusSwitch.Close );

  			return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose;
***************
*** 201,206 ****
  		/// <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)
--- 207,212 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		private void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
***************
*** 219,223 ****
  		#endregion

! 		#region MarketCloseEventHandler

  		private void closePosition( string ticker )
--- 225,229 ----
  		#endregion

! 		#region marketCloseEventHandler

  		private void closePosition( string ticker )
***************
*** 235,240 ****
  		}

! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.closePositions();
--- 241,246 ----
  		}

! 		public void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.closePositions();
***************
*** 243,247 ****
  		#endregion

! 		#region OneHourAfterMarketCloseEventHandler

  		private void oneHourAfterMarketCloseEventHandler_clear()
--- 249,253 ----
  		#endregion

! 		#region oneHourAfterMarketCloseEventHandler

  		private void oneHourAfterMarketCloseEventHandler_clear()
***************
*** 261,269 ****
  		/// <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);
--- 267,275 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.oneHourAfterMarketCloseEventHandler_clear();
! 			DateTime currentDate = dateTime;
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
  			                                                      currentDate);
***************
*** 350,353 ****
--- 356,371 ----
  		}
  		#endregion
+ 		
+ 		public virtual void NewDateTimeEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ 				this.marketOpenEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ 				this.marketCloseEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
+ 				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
+ 		}
+ 
  	}
  }

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

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC EndOfDayTimerHandlerDOR_OTC.cs, 1.4, 1.5 RunDOR_OTC.cs, 1.2, 1.3