[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/In

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

Modified Files:
	EndOfDayTimerHandlerSimplePTIS.cs RunSimplePairTradingIS.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: EndOfDayTimerHandlerSimplePTIS.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample/EndOfDayTimerHandlerSimplePTIS.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerSimplePTIS.cs	14 May 2006 15:25:30 -0000	1.1
--- EndOfDayTimerHandlerSimplePTIS.cs	29 Sep 2008 21:16:41 -0000	1.2
***************
*** 94,105 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	if(((IndexBasedEndOfDayTimer)sender).GetPreviousDateTime() !=
!           endOfDayTimingEventArgs.EndOfDayDateTime.DateTime)
        //it is not the first date fired by the timer, so the
        // gap can be computed
!           base.MarketCloseEventHandler(sender, endOfDayTimingEventArgs);
      }

--- 94,105 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void marketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
      	if(((IndexBasedEndOfDayTimer)sender).GetPreviousDateTime() !=
!           dateTime)
        //it is not the first date fired by the timer, so the
        // gap can be computed
!           base.marketCloseEventHandler(sender, dateTime);
      }

***************
*** 109,114 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {

--- 109,114 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void oneHourAfterMarketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {

Index: RunSimplePairTradingIS.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample/RunSimplePairTradingIS.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunSimplePairTradingIS.cs	14 May 2006 15:25:30 -0000	1.1
--- RunSimplePairTradingIS.cs	29 Sep 2008 21:16:41 -0000	1.2
***************
*** 3,7 ****

  RunSimplePairTradingIS.cs
! Copyright (C) 2003 
  Marco Milletti

--- 3,7 ----

  RunSimplePairTradingIS.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;
***************
*** 39,180 ****
  {

!   /// <summary>
  	/// Script to test the pair trading strategy for
  	/// two tickers for a given time period
  	/// </summary>
!   [Serializable]
!   public class RunSimplePairTradingIS
!   {
!     private double maxNumOfStdDevForNormalGap;
!     private int numDaysForGap;
!     private double averageGap;
!     private double stdDevGap;
!     private EndOfDayTimerHandlerSimplePT endOfDayTimerHandler;
!     private string firstTicker;
!     private string secondTicker;
!     private DateTime startDateTime;
!     private DateTime endDateTime;
!     private IHistoricalQuoteProvider historicalQuoteProvider;
!     private Account account;
!     private IEndOfDayTimer endOfDayTimer;
!     private string benchmark;
!     private string scriptName;

!     public RunSimplePairTradingIS(double maxNumOfStdDevForNormalGap,
!                                   int numDaysForGap,
!                                   double averageGap,
!                                   double stdDevGap,
!                                   string firstTicker, string secondTicker,
!                                   DateTime startDate, DateTime endDate)
!                                   
!     {
!       this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
!       this.numDaysForGap = numDaysForGap;
!       this.averageGap = averageGap;
!       this.stdDevGap = stdDevGap;
!       this.firstTicker = firstTicker;
!       this.secondTicker = secondTicker;
!       this.startDateTime = startDate;
!       this.endDateTime = endDate;
!       this.benchmark = "^GSPC";
!       this.scriptName = "SimplePairTradingForGivenTickers";
!     }
!     
!     #region Run
!         
!     private void run_initializeEndOfDayTimer()
!     {
!       //default endOfDayTimer
!       this.endOfDayTimer =
!         new IndexBasedEndOfDayTimer( new EndOfDayDateTime(this.startDateTime,
!                                                           EndOfDaySpecificTime.MarketOpen),
!                                      this.benchmark );
!     	
!     }
!     
!     protected 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 ));
!      
!     }
!         
!     private void run_initializeHistoricalQuoteProvider()
!     {
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!         
!     private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime)
!         //last date is reached by the timer
!         this.showReport();
!     }
!     
!     private void showReport()
!     {
!       AccountReport accountReport = this.account.CreateReport(this.scriptName, 1,
!                                         this.endOfDayTimer.GetCurrentTime(),
!                                         this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       Report report = new Report(accountReport);
!       report.Show();
!       this.endOfDayTimer.Stop();
!        
!     }
!     
!     private void run_initialize()
!     {
!       run_initializeHistoricalQuoteProvider();
!       run_initializeEndOfDayTimer();
!       run_initializeAccount();
!       run_initializeEndOfDayTimerHandler();
!     }
!     
!     
!     public void Run()
!     {
!       this.run_initialize();
!       this.run_addEventHandlers();
!       this.endOfDayTimer.Start();
!     }
!     
!     private void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerSimplePTIS(this.maxNumOfStdDevForNormalGap,
!                                                                      this.numDaysForGap,
!                                                                      this.averageGap,
!                                                                      this.stdDevGap,
!                                                                      this.firstTicker, this.secondTicker,
!                                                                      this.startDateTime, this.endDateTime,
!                                                                      this.account);
!     }
!     
!     
!     private void run_addEventHandlers()
!     {
!       this.endOfDayTimer.MarketOpen +=
!         new MarketOpenEventHandler(
!         this.endOfDayTimerHandler.MarketOpenEventHandler);  
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       this.endOfDayTimer.OneHourAfterMarketClose +=
!         new OneHourAfterMarketCloseEventHandler(
!         this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!     }
!     #endregion 
!     
  	}
  }
--- 39,187 ----
  {

! 	/// <summary>
  	/// Script to test the pair trading strategy for
  	/// two tickers for a given time period
  	/// </summary>
! 	[Serializable]
! 	public class RunSimplePairTradingIS
! 	{
! 		private double maxNumOfStdDevForNormalGap;
! 		private int numDaysForGap;
! 		private double averageGap;
! 		private double stdDevGap;
! 		private EndOfDayTimerHandlerSimplePT endOfDayTimerHandler;
! 		private string firstTicker;
! 		private string secondTicker;
! 		private DateTime startDateTime;
! 		private DateTime endDateTime;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private Account account;
! 		private Timer timer;
! 		private string benchmark;
! 		private string scriptName;

! 		public RunSimplePairTradingIS(double maxNumOfStdDevForNormalGap,
! 		                              int numDaysForGap,
! 		                              double averageGap,
! 		                              double stdDevGap,
! 		                              string firstTicker, string secondTicker,
! 		                              DateTime startDate, DateTime endDate)
! 			
! 		{
! 			this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
! 			this.numDaysForGap = numDaysForGap;
! 			this.averageGap = averageGap;
! 			this.stdDevGap = stdDevGap;
! 			this.firstTicker = firstTicker;
! 			this.secondTicker = secondTicker;
! 			this.startDateTime = startDate;
! 			this.endDateTime = endDate;
! 			this.benchmark = "^GSPC";
! 			this.scriptName = "SimplePairTradingForGivenTickers";
! 		}
! 		
! 		#region Run
! 		
! 		private void run_initializeEndOfDayTimer()
! 		{
! 			//default endOfDayTimer
! 			this.timer =
! 				new IndexBasedEndOfDayTimer(
! 					HistoricalEndOfDayTimer.GetMarketOpen( this.startDateTime ) ,
! 					//      		new EndOfDayDateTime(this.startDateTime,
! 					//                                                          EndOfDaySpecificTime.MarketOpen),
! 					this.benchmark );
! 			
! 		}
! 		
! 		protected 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 ));
! 			
! 		}
! 		
! 		private void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		
! 		private void checkDateForReport( Object sender , DateTime dateTime )
! 		{
! 			if(dateTime>=this.endDateTime)
! 				//last date is reached by the timer
! 				this.showReport();
! 		}
! 		
! 		private void showReport()
! 		{
! 			AccountReport accountReport = this.account.CreateReport(this.scriptName, 1,
! 			                                                        this.timer.GetCurrentDateTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			Report report = new Report(accountReport);
! 			report.Show();
! 			this.timer.Stop();
! 			
! 		}
! 		
! 		private void run_initialize()
! 		{
! 			run_initializeHistoricalQuoteProvider();
! 			run_initializeEndOfDayTimer();
! 			run_initializeAccount();
! 			run_initializeEndOfDayTimerHandler();
! 		}
! 		
! 		
! 		public void Run()
! 		{
! 			this.run_initialize();
! 			this.run_addEventHandlers();
! 			this.timer.Start();
! 		}
! 		
! 		private void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerSimplePTIS(this.maxNumOfStdDevForNormalGap,
! 			                                                               this.numDaysForGap,
! 			                                                               this.averageGap,
! 			                                                               this.stdDevGap,
! 			                                                               this.firstTicker, this.secondTicker,
! 			                                                               this.startDateTime, this.endDateTime,
! 			                                                               this.account);
! 		}
! 		
! 		
! 		private void run_addEventHandlers()
! 		{
! 			this.timer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.timer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
! 
! //			this.timer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //					this.endOfDayTimerHandler.MarketOpenEventHandler);
! //			
! //			this.timer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.endOfDayTimerHandler.MarketCloseEventHandler);
! //			
! //			this.timer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! //			
! //			this.timer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 		}
! 		#endregion
! 		
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/In

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample EndOfDayTimerHandlerSimplePTIS.cs, 1.1, 1.2 RunSimplePairTradingIS.cs, 1.1, 1.2