[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading RunPairTrading.cs,

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15453/PairTrading

Modified Files:
	RunPairTrading.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: RunPairTrading.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/RunPairTrading.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunPairTrading.cs	19 Aug 2008 17:13:09 -0000	1.2
--- RunPairTrading.cs	29 Sep 2008 21:16:40 -0000	1.3
***************
*** 3,7 ****

  RunPairTrading.cs
! Copyright (C) 2003 
  Marco Milletti

--- 3,7 ----

  RunPairTrading.cs
! Copyright (C) 2003
  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;
--- 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;
***************
*** 40,44 ****
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Presentation.Reporting.WindowsForm;
  using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
--- 40,44 ----
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Presentation.Reporting.WindowsForm;
  using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
***************
*** 52,255 ****
  	/// </summary>
  	[Serializable]
!   public class RunPairTrading
  	{
!     protected string tickerGroupID;
!     protected int numberOfEligibleTickers;
!     protected int numDaysForOptimizationPeriod;
!     protected int generationNumberForGeneticOptimizer;
!     protected int populationSizeForGeneticOptimizer;
!     protected EndOfDayDateTime startDateTime;
!     protected EndOfDayDateTime endDateTime;
! 		protected IHistoricalQuoteProvider historicalQuoteProvider;
!     protected Account account;

!     protected IEndOfDayTimer endOfDayTimer;

!     protected string benchmark;
!     
!     protected string scriptName;
!     
!     protected double maxNumOfStdDevForNormalGap;
!     protected int minNumOfDaysForGapComputation;
!     protected int maxNumOfDaysForGapComputation;
!     protected int numDaysBetweenEachOptimization;
!     protected DateTime startingTimeForScript;
!     protected double maxRunningHours;
!     //if MaxNumberOfHoursForScript has elapsed and the script
!     //is still running, it will be stopped.
!     
!     public virtual string ScriptName
!     {
!     	get{return this.scriptName;}
!     	set{this.scriptName = value;}
!     }
!     
!     public DateTime TimerLastDate
!     {
!     	get{return this.endOfDayTimer.GetCurrentTime().DateTime ;}
!     }	
! 	
  //		public RunPairTrading(string benchmark,
! //                          DateTime startDate, DateTime endDate,
! //                          double maxLevelForNormalGap,
! //                          double maxRunningHours)
  //		{
! //     
! //      this.startDateTime = new EndOfDayDateTime(
! //        startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! //      this.endDateTime = new EndOfDayDateTime(
! //        endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
! //      this.maxLevelForNormalGap = maxLevelForNormalGap;
! //      this.benchmark = benchmark;
! //     	this.ScriptName = "EfficientGeneric";
! //     	this.startingTimeForScript = DateTime.Now;
! //      this.maxRunningHours = maxRunningHours;
! //      //this.numIntervalDays = 3;
  //		}
!     
!     public RunPairTrading(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numDaysForOptimizationPeriod, 
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer, string benchmark,
!                                 DateTime startDate, DateTime endDate, 
!                                 int minNumOfDaysForGapComputation, int maxNumOfDaysForGapComputation, 
!                                 double maxNumOfStdDevForNormalGap, int numDaysBetweenEachOptimization,
!                                 double maxRunningHours)
  		{
!       //this.progressBarForm = new ProgressBarForm();
!       this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
!       this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
!       this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
!       this.startDateTime = new EndOfDayDateTime(
!         startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
!       this.endDateTime = new EndOfDayDateTime(
!         endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.benchmark = benchmark;
!      	this.ScriptName = "PairTradingGeneric";
!      	this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
!       this.minNumOfDaysForGapComputation = minNumOfDaysForGapComputation;
!       this.maxNumOfDaysForGapComputation = maxNumOfDaysForGapComputation;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!      	this.startingTimeForScript = DateTime.Now;
!       this.maxRunningHours = maxRunningHours;
!       //this.numIntervalDays = 3;
  		}
!     
!    
!     #region Run
!  		
!     protected virtual void run_initializeEndOfDayTimer()
!     {
!       //default endOfDayTimer
!     	this.endOfDayTimer =
!         new IndexBasedEndOfDayTimer( this.startDateTime, this.benchmark );
!     	
!     }
!     
!     protected virtual void run_initializeAccount()
!     {
!       //default account with no commissions and no slippage calculation
!     	this.account = new Account( this.scriptName , this.endOfDayTimer ,
!         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) ,
!         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ));
!      
!     }
!     protected virtual void run_initializeEndOfDayTimerHandler()
!     {
!      	//always needs specific implementation in inherited classes; 
!     }
!     
!     protected virtual void run_initializeHistoricalQuoteProvider()
!     {
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!     protected void checkDateForReport_createDirIfNotPresent(string dirPath)
!     {
!     	if(!Directory.Exists(dirPath))
!     		Directory.CreateDirectory(dirPath);
!     }
!     
!     protected virtual void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
!          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();
!     }
!     
!     public virtual void SaveScriptResults()
!     {
!       string fileName = "From"+this.numberOfEligibleTickers +
!                       "OptDays" + this.numDaysForOptimizationPeriod + "GenNum" + 
!                       this.generationNumberForGeneticOptimizer +
!                       "PopSize" + this.populationSizeForGeneticOptimizer;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
!                          								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
!                        									"\\" + this.ScriptName + "\\";
! //      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
! //                                        "\\" + this.ScriptName + "\\";
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentTime(),
!                                     		this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!                              dirNameWhereToSaveReports + 
!                              fileName + ".qPr");
!       //
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
!       ObjectArchiver.Archive(this.account.Transactions,
!                              dirNameWhereToSaveTransactions +
!                              fileName + ".qPt");
!       //
! //      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       
!       this.endOfDayTimer.Stop();
!        
!     }
!     
!     protected virtual void run_initialize()
!     {
!       run_initializeHistoricalQuoteProvider();
!       run_initializeEndOfDayTimer();
!       run_initializeAccount();
!       run_initializeEndOfDayTimerHandler();
!       //run_initializeProgressHandlers();
!     }
!     protected virtual void run_addEventHandlers()
!     {
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       //in inherited classes'override method: 
!       //add here TimerHandler's handlers to timer's events
!       //example
!       //this.endOfDayTimer.EVENT_NAME +=
!       //  new EVENT_NAMEEventHandler(
!       //  this.endOfDayTimerHandler.EVENT_NAMEEventHandler);
!     }
!     
!     
!     public virtual void Run()
!     {
!       this.run_initialize();
!       this.run_addEventHandlers();
!       //this.progressBarForm.Show();
!       this.endOfDayTimer.Start();
!     }
!     
!     #endregion 
!     
  	}
  }
--- 52,263 ----
  	/// </summary>
  	[Serializable]
! 	public class RunPairTrading
  	{
! 		protected string tickerGroupID;
! 		protected int numberOfEligibleTickers;
! 		protected int numDaysForOptimizationPeriod;
! 		protected int generationNumberForGeneticOptimizer;
! 		protected int populationSizeForGeneticOptimizer;
! 		protected DateTime startDateTime;
! 		protected DateTime endDateTime;
! 		protected HistoricalMarketValueProvider historicalMarketValueProvider;
! 		protected Account account;

! 		protected QuantProject.Business.Timing.Timer timer;

! 		protected string benchmark;
! 		
! 		protected string scriptName;
! 		
! 		protected double maxNumOfStdDevForNormalGap;
! 		protected int minNumOfDaysForGapComputation;
! 		protected int maxNumOfDaysForGapComputation;
! 		protected int numDaysBetweenEachOptimization;
! 		protected DateTime startingTimeForScript;
! 		protected double maxRunningHours;
! 		//if MaxNumberOfHoursForScript has elapsed and the script
! 		//is still running, it will be stopped.
! 		
! 		public virtual string ScriptName
! 		{
! 			get{return this.scriptName;}
! 			set{this.scriptName = value;}
! 		}
! 		
! 		public DateTime TimerLastDate
! 		{
! 			get{return this.timer.GetCurrentDateTime() ;}
! 		}
! 		
  //		public RunPairTrading(string benchmark,
! 		//                          DateTime startDate, DateTime endDate,
! 		//                          double maxLevelForNormalGap,
! 		//                          double maxRunningHours)
  //		{
! //
! 		//      this.startDateTime = new EndOfDayDateTime(
! 		//        startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 		//      this.endDateTime = new EndOfDayDateTime(
! 		//        endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
! 		//      this.maxLevelForNormalGap = maxLevelForNormalGap;
! 		//      this.benchmark = benchmark;
! 		//     	this.ScriptName = "EfficientGeneric";
! 		//     	this.startingTimeForScript = DateTime.Now;
! 		//      this.maxRunningHours = maxRunningHours;
! 		//      //this.numIntervalDays = 3;
  //		}
! 		
! 		public RunPairTrading(string tickerGroupID, int numberOfEligibleTickers,
! 		                      int numDaysForOptimizationPeriod,
! 		                      int generationNumberForGeneticOptimizer,
! 		                      int populationSizeForGeneticOptimizer, string benchmark,
! 		                      DateTime startDate, DateTime endDate,
! 		                      int minNumOfDaysForGapComputation, int maxNumOfDaysForGapComputation,
! 		                      double maxNumOfStdDevForNormalGap, int numDaysBetweenEachOptimization,
! 		                      double maxRunningHours)
  		{
! 			//this.progressBarForm = new ProgressBarForm();
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
! 			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
! 			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
! 			this.startDateTime =
! 				HistoricalEndOfDayTimer.GetFiveMinutesBeforeMarketClose( startDate );
! //				new EndOfDayDateTime(
! //				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime =
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( endDate );
! //				new EndOfDayDateTime(
! //				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			this.benchmark = benchmark;
! 			this.ScriptName = "PairTradingGeneric";
! 			this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
! 			this.minNumOfDaysForGapComputation = minNumOfDaysForGapComputation;
! 			this.maxNumOfDaysForGapComputation = maxNumOfDaysForGapComputation;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.startingTimeForScript = DateTime.Now;
! 			this.maxRunningHours = maxRunningHours;
! 			//this.numIntervalDays = 3;
  		}
! 		
! 		
! 		#region Run
! 		
! 		protected virtual void run_initializeEndOfDayTimer()
! 		{
! 			//default endOfDayTimer
! 			this.timer =
! 				new IndexBasedEndOfDayTimer( this.startDateTime, this.benchmark );
! 			
! 		}
! 		
! 		protected virtual void run_initializeAccount()
! 		{
! 			//default account with no commissions and no slippage calculation
! 			this.account = new Account( this.scriptName , this.timer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.timer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.timer ,
! 			                                                               this.historicalMarketValueProvider ));
! 			
! 		}
! 		protected virtual void run_initializeEndOfDayTimerHandler()
! 		{
! 			//always needs specific implementation in inherited classes;
! 		}
! 		
! 		protected virtual void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		protected void checkDateForReport_createDirIfNotPresent(string dirPath)
! 		{
! 			if(!Directory.Exists(dirPath))
! 				Directory.CreateDirectory(dirPath);
! 		}
! 		
! 		protected virtual void checkDateForReport(
! 			Object sender , DateTime dateTime )
! 		{
! 			if(dateTime>=this.endDateTime ||
! 			   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();
! 		}
! 		
! 		public virtual void SaveScriptResults()
! 		{
! 			string fileName = "From"+this.numberOfEligibleTickers +
! 				"OptDays" + this.numDaysForOptimizationPeriod + "GenNum" +
! 				this.generationNumberForGeneticOptimizer +
! 				"PopSize" + this.populationSizeForGeneticOptimizer;
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			//      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
! 			//                                        "\\" + this.ScriptName + "\\";
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.timer.GetCurrentDateTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			//
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! 			ObjectArchiver.Archive(this.account.Transactions,
! 			                       dirNameWhereToSaveTransactions +
! 			                       fileName + ".qPt");
! 			//
! 			//      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			
! 			this.timer.Stop();
! 			
! 		}
! 		
! 		protected virtual void run_initialize()
! 		{
! 			run_initializeHistoricalQuoteProvider();
! 			run_initializeEndOfDayTimer();
! 			run_initializeAccount();
! 			run_initializeEndOfDayTimerHandler();
! 			//run_initializeProgressHandlers();
! 		}
! 		protected virtual void run_addEventHandlers()
! 		{
! 			this.timer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
! 
! //			this.timer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! 			
! 			//in inherited classes'override method:
! 			//add here TimerHandler's handlers to timer's events
! 			//example
! 			//this.endOfDayTimer.EVENT_NAME +=
! 			//  new EVENT_NAMEEventHandler(
! 			//  this.endOfDayTimerHandler.EVENT_NAMEEventHandler);
! 		}
! 		
! 		
! 		public virtual void Run()
! 		{
! 			this.run_initialize();
! 			this.run_addEventHandlers();
! 			//this.progressBarForm.Show();
! 			this.timer.Start();
! 		}
! 		
! 		#endregion
! 		
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading RunPairTrading.cs,

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading RunPairTrading.cs, 1.2, 1.3