[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading EndOfDayTimerHandlerSimplePT.cs, 1.1, 1.2 RunSimplePairTrading.cs, 1.2, 1.3

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

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

Modified Files:
	EndOfDayTimerHandlerSimplePT.cs RunSimplePairTrading.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: EndOfDayTimerHandlerSimplePT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/EndOfDayTimerHandlerSimplePT.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerSimplePT.cs	14 May 2006 15:25:30 -0000	1.1
--- EndOfDayTimerHandlerSimplePT.cs	29 Sep 2008 21:16:41 -0000	1.2
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerSimplePT.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerSimplePT.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;
  using System.Data;
--- 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;
  using System.Data;
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Instruments;
  using QuantProject.Business.Financial.Ordering;
+ using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
  using QuantProject.Business.DataProviders;
***************
*** 40,365 ****
  {
  	
!   /// <summary>
!   /// Implements MarketOpenEventHandler,
!   /// MarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
!   /// for the implementation of the simple pair trading strategy
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerSimplePT
!   {
!     private string tickerGroupID;
!     protected string[] chosenTickers = new string[10];
!     //this array is designed for containing 
!     //five couples of eligible tickers for 
!     //the pair trading strategy
!     protected double[] averageGapsOfChosenTickers = new double[10];
!     protected double[] stdDevGapsOfChosenTickers = new double[10];
!     protected string[] lastOrderedTickers = new string[2];
!     protected int addedTickersCounter = 0;
!     protected float currentPair_firstTickerGain = 0.0F;
!     protected float currentPair_secondTickerGain = 0.0F;
!     
!     private int numberOfEligibleTickers;
!     private int numDaysForOptimizationPeriod;
!     private int generationNumberForGeneticOptimizer;
!     private int populationSizeForGeneticOptimizer;
!     protected string benchmark;
!     protected DateTime startDate;
!     protected DateTime endDate;
!     protected double maxNumOfStdDevForNormalGap;
!     private double maxLevelForNormalGap;
!     private int minNumOfDaysForGapComputation;
!     private int maxNumOfDaysForGapComputation;
!     private int numDaysBetweenEachOptimization;
!     private int numDaysElapsedSinceLastOptimization;
!     private double maxRunningHours;
!     protected Account account;
!     private int seedForRandomGenerator;
!     protected double minimumGainForClosingPositions;
!     protected double maximumToleratedLoss;
!     protected double initialAccountValue = 0.0;
!     protected int counterForDaysWithPositions = 0;
!     protected int currentNumDaysForGapComputation;
!     //it stores the value for the new account
!     protected HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
!     private OptimizationOutput optimizationOutput;
!     
!     public OptimizationOutput OptimizationOutput
!     {
!       get{return this.optimizationOutput;}
!     }
  
!     public EndOfDayTimerHandlerSimplePT(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numDaysForOptimizationPeriod,
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark,
!                                 DateTime startDate, DateTime endDate, 
!                                 double maxNumOfStdDevForNormalGap, int minNumOfDaysForGapComputation,
!                                 int maxNumOfDaysForGapComputation, int numDaysBetweenEachOptimization,
!                                 double maxRunningHours,
!                                 Account account)
!     {
!     	this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
!       this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
!       this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
!       this.benchmark = benchmark;
!       this.startDate = startDate;
!       this.endDate = endDate;
!       this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
!       this.minNumOfDaysForGapComputation = minNumOfDaysForGapComputation;
!       this.maxNumOfDaysForGapComputation = maxNumOfDaysForGapComputation;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.maxRunningHours = maxRunningHours;
!       this.account = account;
!       this.numDaysElapsedSinceLastOptimization = 0;
!       this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
!       this.historicalAdjustedQuoteProvider = new HistoricalAdjustedQuoteProvider();
!       this.minimumGainForClosingPositions = 0.002;
!       this.maximumToleratedLoss = 0.02;
!       this.optimizationOutput = new OptimizationOutput();
!     }
  
!         
!     public void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       
!     }
!        
!     #region MarketCloseEventHandler
!     
!     public void marketCloseEventHandler_closePositions()
!     {
!       if(this.account.Portfolio[ this.lastOrderedTickers[0] ] != null)
!         this.account.ClosePosition( this.lastOrderedTickers[0] );
  
!       if(this.account.Portfolio[ this.lastOrderedTickers[1] ] != null)
!         this.account.ClosePosition( this.lastOrderedTickers[1] );
!     }
!     
!     private bool marketCloseEventHandler_isCurrentGainGoodEnoughOrStopLossConditionReached(EndOfDayDateTime currentEndOfDayDateTime)
!     {
!       bool returnValue = false;
!       double currentGain = 
!         (this.account.GetMarketValue() - this.initialAccountValue)/
!         this.initialAccountValue;
!       if(currentGain >= this.minimumGainForClosingPositions ||
!         -currentGain >= this.maximumToleratedLoss)
!         //gain is good enough or loss is too high ...  
!         returnValue = true;
  
!       return returnValue;
!     }
!     
!     private float marketCloseEventHandler_openPositions_getGap(int indexForPair,
!                                                                 DateTime firstDate,
!                                                                 DateTime lastDate)
!     {
!       Quotes firstTickerQuotes = new Quotes(this.chosenTickers[indexForPair], firstDate, lastDate); 
!       Quotes secondTickerQuotes = new Quotes(this.chosenTickers[indexForPair+1], firstDate, lastDate);
!       this.currentPair_firstTickerGain = 
!         (float)firstTickerQuotes.Rows[1]["quClose"]/(float)firstTickerQuotes.Rows[0]["quClose"];
!       this.currentPair_secondTickerGain = 
!         (float)secondTickerQuotes.Rows[1]["quClose"]/(float)secondTickerQuotes.Rows[0]["quClose"];
!       return  (this.currentPair_firstTickerGain - this.currentPair_secondTickerGain);
!     }
!     
!     private void marketCloseEventHandler_openPositions_open(int indexForPair)
!                                                             
!     {
!       double cashForSinglePosition = this.account.CashAmount/2;
!       long quantityForFirstTicker =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( this.chosenTickers[indexForPair] ) ) );
!       long quantityForSecondTicker =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( this.chosenTickers[indexForPair+1] ) ) );
!       OrderType orderTypeForFirstTicker = OrderType.MarketBuy;
!       OrderType orderTypeForSecondTicker = OrderType.MarketSellShort;
!       if(this.currentPair_firstTickerGain > this.currentPair_secondTickerGain)
!       {
!         orderTypeForFirstTicker = OrderType.MarketSellShort;
!         orderTypeForSecondTicker = OrderType.MarketBuy;
!       }
!       this.account.AddOrder(new Order( orderTypeForFirstTicker,
!                             new Instrument( this.chosenTickers[indexForPair] ) ,
!                             quantityForFirstTicker ));
!       this.account.AddOrder(new Order( orderTypeForSecondTicker,
!                             new Instrument( this.chosenTickers[indexForPair+1] ) ,
!                             quantityForSecondTicker ));
!       this.lastOrderedTickers[0] = this.chosenTickers[indexForPair];
!       this.lastOrderedTickers[1] = this.chosenTickers[indexForPair+1];
!     }
!     
!     private void marketCloseEventHandler_openPositions_setMaxLevelForNormalGap(int indexForPair)
!                                                             
!     {
!       this.maxLevelForNormalGap = this.averageGapsOfChosenTickers[indexForPair] +
!                                     this.maxNumOfStdDevForNormalGap * 
!                                     this.stdDevGapsOfChosenTickers[indexForPair];
!     }
!     
!     private void marketCloseEventHandler_openPositions(EndOfDayDateTime currentEndOfDayDateTime,
!                                                        IndexBasedEndOfDayTimer timer)
!     {
!       if(this.chosenTickers[0] != null)
!       //potential tickers for pair trading have been set
!       {
!         for(int i = 0; i<this.chosenTickers.Length - 1 && 
!           this.account.Portfolio.Count == 0; i++)
!         {
!           this.marketCloseEventHandler_openPositions_setMaxLevelForNormalGap(i);
!           if(Math.Abs(this.marketCloseEventHandler_openPositions_getGap(i, timer.GetPreviousDateTime(),
!             timer.GetCurrentTime().DateTime)) >= (float)this.maxLevelForNormalGap)
!           //currentGap is too high for being considered rational
!           //so there is an arbitrage opportunity
!             this.marketCloseEventHandler_openPositions_open(i);
!         }
!       	this.initialAccountValue = this.account.GetMarketValue();
!           //this.account.Portfolio.GetMarketValue(currentEndOfDayDateTime,this.historicalAdjustedQuoteProvider);
!       }
!     }
!         
!     public virtual void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       if(this.account.Portfolio.Count == 0)
!       //portfolio is empty
!       {
!         if(this.account.Transactions.Count == 0)
!             this.account.AddCash(30000);    
!         this.marketCloseEventHandler_openPositions(endOfDayTimingEventArgs.EndOfDayDateTime,
!                                                    (IndexBasedEndOfDayTimer)sender);
!       }
!       else // portfolio is not empty
!       {
!         this.counterForDaysWithPositions++;
!         if(this.counterForDaysWithPositions == this.currentNumDaysForGapComputation ||
!            this.marketCloseEventHandler_isCurrentGainGoodEnoughOrStopLossConditionReached(endOfDayTimingEventArgs.EndOfDayDateTime))
!         //a number of days equal to the number of days
!         //used for gap computation has elapsed or 
!         //the current gain is good enough or
!         //loss is too high
!         {
!           this.marketCloseEventHandler_closePositions();
!           this.counterForDaysWithPositions = 0;
!         }
!                  
!       }
!     }
!     #endregion
  
! 		#region OneHourAfterMarketCloseEventHandler
!       
!     protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
!      	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
!         new SelectorByQuotationAtEachMarketDay( temporizedGroup.GetTableOfSelectedTickers(),
!                                                 false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                                 currentDate, this.numberOfEligibleTickers, this.benchmark);
!       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!     }
!     
!     private void setTickers_setChosenTickers_addGenomeForOptimizationOutput(Genome genome, DateTime currentDate)
!     {
!       this.optimizationOutput.Add(new GenomeRepresentation(this.maxNumOfStdDevForNormalGap,
!                                                            genome,
!                                                            currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                                            currentDate));
!     }
  
!     private void setTickers_setChosenTickers_addTickers(Genome genome)
!     {
!       this.chosenTickers[this.addedTickersCounter] = 
!             ((GenomeMeaningSimplePT)genome.Meaning).FirstTicker;
!       this.chosenTickers[this.addedTickersCounter+1] = 
!         ((GenomeMeaningSimplePT)genome.Meaning).SecondTicker;
!       
!       this.averageGapsOfChosenTickers[this.addedTickersCounter] = 
!             ((GenomeMeaningSimplePT)genome.Meaning).AverageGap;
!       this.stdDevGapsOfChosenTickers[this.addedTickersCounter] =
!             ((GenomeMeaningSimplePT)genome.Meaning).StdDevGap;
  
!       this.currentNumDaysForGapComputation = ((GenomeMeaningSimplePT)genome.Meaning).NumOfDaysForGap;
!       
!       this.addedTickersCounter += 2;
!     }
!     
!     private bool setTickers_setChosenTickers_isAnyTickerOfGenomeInChosenTickers(Genome genome)
!     {
!       bool returnValue = false;
!       foreach(string ticker in this.chosenTickers)
!       {
!         if(ticker == ((GenomeMeaningSimplePT)genome.Meaning).FirstTicker ||
!            ticker == ((GenomeMeaningSimplePT)genome.Meaning).SecondTicker)
!           returnValue = true;
!       }
!       return returnValue;
!     }
!     
!     private void setTickers_setChosenTickers(GeneticOptimizer GO, DateTime currentDate)
!     {
!       this.addedTickersCounter = 0;
!       for(int i = 0;
!           i<GO.CurrentGeneration.Count -1 &&
!             addedTickersCounter<this.chosenTickers.Length;
!           i++)
!       {
!         Genome currentGenome = (Genome)GO.CurrentGeneration[GO.CurrentGeneration.Count-i-1];
!         if(!this.setTickers_setChosenTickers_isAnyTickerOfGenomeInChosenTickers(currentGenome))
!         {
!           this.setTickers_setChosenTickers_addTickers(currentGenome);
!           this.setTickers_setChosenTickers_addGenomeForOptimizationOutput(currentGenome,
!                                                                           currentDate);
!         }
!       }
!     }
  
!     private void setTickers(DateTime currentDate)
!     {
!       
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       IGenomeManager genManForSimplePT = 
!         new GenomeManagerForSimplePT(setOfTickersToBeOptimized,
!         	                            currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!         	                            currentDate,
!         	                            this.minNumOfDaysForGapComputation,
!         	                            this.maxNumOfDaysForGapComputation,
!                                       this.maxNumOfStdDevForNormalGap);
!       
!       GeneticOptimizer GO = new GeneticOptimizer(genManForSimplePT,
!                                                 this.populationSizeForGeneticOptimizer,
!                                                 this.generationNumberForGeneticOptimizer,
!                                                 this.seedForRandomGenerator);
!       GO.Run(false);
!       this.setTickers_setChosenTickers(GO, currentDate);
!     }
  
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public virtual void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	this.seedForRandomGenerator++;
!       if(this.numDaysElapsedSinceLastOptimization == 
!     	   this.numDaysBetweenEachOptimization - 1)
!     	{
!     		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
!       	//sets tickers to be chosen at next Market Open event
!       	this.numDaysElapsedSinceLastOptimization = 0;
!     	}
!       else
!       {
!         this.numDaysElapsedSinceLastOptimization++;
!       }
!     }
! 		   
!     #endregion
  		
!   }
  }
--- 41,368 ----
  {
  	
! 	/// <summary>
! 	/// Implements MarketOpenEventHandler,
! 	/// MarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
! 	/// for the implementation of the simple pair trading strategy
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerSimplePT : EndOfDayStrategy
! 	{
! 		private string tickerGroupID;
! 		protected string[] chosenTickers = new string[10];
! 		//this array is designed for containing
! 		//five couples of eligible tickers for
! 		//the pair trading strategy
! 		protected double[] averageGapsOfChosenTickers = new double[10];
! 		protected double[] stdDevGapsOfChosenTickers = new double[10];
! 		protected string[] lastOrderedTickers = new string[2];
! 		protected int addedTickersCounter = 0;
! 		protected float currentPair_firstTickerGain = 0.0F;
! 		protected float currentPair_secondTickerGain = 0.0F;
! 		
! 		private int numberOfEligibleTickers;
! 		private int numDaysForOptimizationPeriod;
! 		private int generationNumberForGeneticOptimizer;
! 		private int populationSizeForGeneticOptimizer;
! 		protected string benchmark;
! 		protected DateTime startDate;
! 		protected DateTime endDate;
! 		protected double maxNumOfStdDevForNormalGap;
! 		private double maxLevelForNormalGap;
! 		private int minNumOfDaysForGapComputation;
! 		private int maxNumOfDaysForGapComputation;
! 		private int numDaysBetweenEachOptimization;
! 		private int numDaysElapsedSinceLastOptimization;
! 		private double maxRunningHours;
! //		protected Account account;
! 		private int seedForRandomGenerator;
! 		protected double minimumGainForClosingPositions;
! 		protected double maximumToleratedLoss;
! 		protected double initialAccountValue = 0.0;
! 		protected int counterForDaysWithPositions = 0;
! 		protected int currentNumDaysForGapComputation;
! 		//it stores the value for the new account
! 		protected HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
! 		private OptimizationOutput optimizationOutput;
! 		
! 		public OptimizationOutput OptimizationOutput
! 		{
! 			get{return this.optimizationOutput;}
! 		}
  
! 		public EndOfDayTimerHandlerSimplePT(string tickerGroupID, int numberOfEligibleTickers,
! 		                                    int numDaysForOptimizationPeriod,
! 		                                    int generationNumberForGeneticOptimizer,
! 		                                    int populationSizeForGeneticOptimizer,
! 		                                    string benchmark,
! 		                                    DateTime startDate, DateTime endDate,
! 		                                    double maxNumOfStdDevForNormalGap, int minNumOfDaysForGapComputation,
! 		                                    int maxNumOfDaysForGapComputation, int numDaysBetweenEachOptimization,
! 		                                    double maxRunningHours,
! 		                                    Account account)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
! 			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
! 			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
! 			this.benchmark = benchmark;
! 			this.startDate = startDate;
! 			this.endDate = endDate;
! 			this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
! 			this.minNumOfDaysForGapComputation = minNumOfDaysForGapComputation;
! 			this.maxNumOfDaysForGapComputation = maxNumOfDaysForGapComputation;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.maxRunningHours = maxRunningHours;
! 			this.account = account;
! 			this.numDaysElapsedSinceLastOptimization = 0;
! 			this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
! 			this.historicalAdjustedQuoteProvider = new HistoricalAdjustedQuoteProvider();
! 			this.minimumGainForClosingPositions = 0.002;
! 			this.maximumToleratedLoss = 0.02;
! 			this.optimizationOutput = new OptimizationOutput();
! 		}
  
! 		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			
! 		}
! 		
! 		#region marketCloseEventHandler
! 		
! 		public void marketCloseEventHandler_closePositions()
! 		{
! 			if(this.account.Portfolio[ this.lastOrderedTickers[0] ] != null)
! 				this.account.ClosePosition( this.lastOrderedTickers[0] );
  
! 			if(this.account.Portfolio[ this.lastOrderedTickers[1] ] != null)
! 				this.account.ClosePosition( this.lastOrderedTickers[1] );
! 		}
! 		
! 		private bool marketCloseEventHandler_isCurrentGainGoodEnoughOrStopLossConditionReached(
! 			DateTime currentDateTime )
! 		{
! 			bool returnValue = false;
! 			double currentGain =
! 				(this.account.GetMarketValue() - this.initialAccountValue)/
! 				this.initialAccountValue;
! 			if(currentGain >= this.minimumGainForClosingPositions ||
! 			   -currentGain >= this.maximumToleratedLoss)
! 				//gain is good enough or loss is too high ...
! 				returnValue = true;
  
! 			return returnValue;
! 		}
! 		
! 		private float marketCloseEventHandler_openPositions_getGap(int indexForPair,
! 		                                                           DateTime firstDate,
! 		                                                           DateTime lastDate)
! 		{
! 			Quotes firstTickerQuotes = new Quotes(this.chosenTickers[indexForPair], firstDate, lastDate);
! 			Quotes secondTickerQuotes = new Quotes(this.chosenTickers[indexForPair+1], firstDate, lastDate);
! 			this.currentPair_firstTickerGain =
! 				(float)firstTickerQuotes.Rows[1]["quClose"]/(float)firstTickerQuotes.Rows[0]["quClose"];
! 			this.currentPair_secondTickerGain =
! 				(float)secondTickerQuotes.Rows[1]["quClose"]/(float)secondTickerQuotes.Rows[0]["quClose"];
! 			return  (this.currentPair_firstTickerGain - this.currentPair_secondTickerGain);
! 		}
! 		
! 		private void marketCloseEventHandler_openPositions_open(int indexForPair)
! 			
! 		{
! 			double cashForSinglePosition = this.account.CashAmount/2;
! 			long quantityForFirstTicker =
! 				Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( this.chosenTickers[indexForPair] ) ) );
! 			long quantityForSecondTicker =
! 				Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( this.chosenTickers[indexForPair+1] ) ) );
! 			OrderType orderTypeForFirstTicker = OrderType.MarketBuy;
! 			OrderType orderTypeForSecondTicker = OrderType.MarketSellShort;
! 			if(this.currentPair_firstTickerGain > this.currentPair_secondTickerGain)
! 			{
! 				orderTypeForFirstTicker = OrderType.MarketSellShort;
! 				orderTypeForSecondTicker = OrderType.MarketBuy;
! 			}
! 			this.account.AddOrder(new Order( orderTypeForFirstTicker,
! 			                                new Instrument( this.chosenTickers[indexForPair] ) ,
! 			                                quantityForFirstTicker ));
! 			this.account.AddOrder(new Order( orderTypeForSecondTicker,
! 			                                new Instrument( this.chosenTickers[indexForPair+1] ) ,
! 			                                quantityForSecondTicker ));
! 			this.lastOrderedTickers[0] = this.chosenTickers[indexForPair];
! 			this.lastOrderedTickers[1] = this.chosenTickers[indexForPair+1];
! 		}
! 		
! 		private void marketCloseEventHandler_openPositions_setMaxLevelForNormalGap(int indexForPair)
! 			
! 		{
! 			this.maxLevelForNormalGap = this.averageGapsOfChosenTickers[indexForPair] +
! 				this.maxNumOfStdDevForNormalGap * 
! 				this.stdDevGapsOfChosenTickers[indexForPair];
! 		}
! 		
! 		private void marketCloseEventHandler_openPositions(
! 			DateTime currentDateTime , IndexBasedEndOfDayTimer timer )
! 		{
! 			if(this.chosenTickers[0] != null)
! 				//potential tickers for pair trading have been set
! 			{
! 				for(int i = 0; i<this.chosenTickers.Length - 1 &&
! 				    this.account.Portfolio.Count == 0; i++)
! 				{
! 					this.marketCloseEventHandler_openPositions_setMaxLevelForNormalGap(i);
! 					if(Math.Abs(this.marketCloseEventHandler_openPositions_getGap(
! 						i, timer.GetPreviousDateTime(),
! 						timer.GetCurrentDateTime())) >= (float)this.maxLevelForNormalGap)
! 						//currentGap is too high for being considered rational
! 						//so there is an arbitrage opportunity
! 						this.marketCloseEventHandler_openPositions_open(i);
! 				}
! 				this.initialAccountValue = this.account.GetMarketValue();
! 				//this.account.Portfolio.GetMarketValue(currentEndOfDayDateTime,this.historicalAdjustedQuoteProvider);
! 			}
! 		}
! 		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			if(this.account.Portfolio.Count == 0)
! 				//portfolio is empty
! 			{
! 				if(this.account.Transactions.Count == 0)
! 					this.account.AddCash(30000);
! 				this.marketCloseEventHandler_openPositions(dateTime,
! 				                                           (IndexBasedEndOfDayTimer)sender);
! 			}
! 			else // portfolio is not empty
! 			{
! 				this.counterForDaysWithPositions++;
! 				if(this.counterForDaysWithPositions == this.currentNumDaysForGapComputation ||
! 				   this.marketCloseEventHandler_isCurrentGainGoodEnoughOrStopLossConditionReached(dateTime))
! 					//a number of days equal to the number of days
! 					//used for gap computation has elapsed or
! 					//the current gain is good enough or
! 					//loss is too high
! 				{
! 					this.marketCloseEventHandler_closePositions();
! 					this.counterForDaysWithPositions = 0;
! 				}
! 				
! 			}
! 		}
! 		#endregion
  
! 		#region oneHourAfterMarketCloseEventHandler
! 		
! 		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible =
! 				new SelectorByQuotationAtEachMarketDay( temporizedGroup.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 				                                       currentDate, this.numberOfEligibleTickers, this.benchmark);
! 			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
! 		}
! 		
! 		private void setTickers_setChosenTickers_addGenomeForOptimizationOutput(Genome genome, DateTime currentDate)
! 		{
! 			this.optimizationOutput.Add(new GenomeRepresentation(this.maxNumOfStdDevForNormalGap,
! 			                                                     genome,
! 			                                                     currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 			                                                     currentDate));
! 		}
  
! 		private void setTickers_setChosenTickers_addTickers(Genome genome)
! 		{
! 			this.chosenTickers[this.addedTickersCounter] =
! 				((GenomeMeaningSimplePT)genome.Meaning).FirstTicker;
! 			this.chosenTickers[this.addedTickersCounter+1] =
! 				((GenomeMeaningSimplePT)genome.Meaning).SecondTicker;
! 			
! 			this.averageGapsOfChosenTickers[this.addedTickersCounter] =
! 				((GenomeMeaningSimplePT)genome.Meaning).AverageGap;
! 			this.stdDevGapsOfChosenTickers[this.addedTickersCounter] =
! 				((GenomeMeaningSimplePT)genome.Meaning).StdDevGap;
  
! 			this.currentNumDaysForGapComputation = ((GenomeMeaningSimplePT)genome.Meaning).NumOfDaysForGap;
! 			
! 			this.addedTickersCounter += 2;
! 		}
! 		
! 		private bool setTickers_setChosenTickers_isAnyTickerOfGenomeInChosenTickers(Genome genome)
! 		{
! 			bool returnValue = false;
! 			foreach(string ticker in this.chosenTickers)
! 			{
! 				if(ticker == ((GenomeMeaningSimplePT)genome.Meaning).FirstTicker ||
! 				   ticker == ((GenomeMeaningSimplePT)genome.Meaning).SecondTicker)
! 					returnValue = true;
! 			}
! 			return returnValue;
! 		}
! 		
! 		private void setTickers_setChosenTickers(GeneticOptimizer GO, DateTime currentDate)
! 		{
! 			this.addedTickersCounter = 0;
! 			for(int i = 0;
! 			    i<GO.CurrentGeneration.Count -1 &&
! 			    addedTickersCounter<this.chosenTickers.Length;
! 			    i++)
! 			{
! 				Genome currentGenome = (Genome)GO.CurrentGeneration[GO.CurrentGeneration.Count-i-1];
! 				if(!this.setTickers_setChosenTickers_isAnyTickerOfGenomeInChosenTickers(currentGenome))
! 				{
! 					this.setTickers_setChosenTickers_addTickers(currentGenome);
! 					this.setTickers_setChosenTickers_addGenomeForOptimizationOutput(currentGenome,
! 					                                                                currentDate);
! 				}
! 			}
! 		}
  
! 		private void setTickers(DateTime currentDate)
! 		{
! 			
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			IGenomeManager genManForSimplePT =
! 				new GenomeManagerForSimplePT(setOfTickersToBeOptimized,
! 				                             currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 				                             currentDate,
! 				                             this.minNumOfDaysForGapComputation,
! 				                             this.maxNumOfDaysForGapComputation,
! 				                             this.maxNumOfStdDevForNormalGap);
! 			
! 			GeneticOptimizer GO = new GeneticOptimizer(genManForSimplePT,
! 			                                           this.populationSizeForGeneticOptimizer,
! 			                                           this.generationNumberForGeneticOptimizer,
! 			                                           this.seedForRandomGenerator);
! 			GO.Run(false);
! 			this.setTickers_setChosenTickers(GO, currentDate);
! 		}
  
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			this.seedForRandomGenerator++;
! 			if(this.numDaysElapsedSinceLastOptimization ==
! 			   this.numDaysBetweenEachOptimization - 1)
! 			{
! 				this.setTickers( dateTime );
! 				//sets tickers to be chosen at next Market Open event
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 			else
! 			{
! 				this.numDaysElapsedSinceLastOptimization++;
! 			}
! 		}
  		
! 		#endregion
! 		
! 	}
  }

Index: RunSimplePairTrading.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/RunSimplePairTrading.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunSimplePairTrading.cs	19 Aug 2008 17:13:09 -0000	1.2
--- RunSimplePairTrading.cs	29 Sep 2008 21:16:41 -0000	1.3
***************
*** 3,7 ****
  
  RunSimplePairTrading.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunSimplePairTrading.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;
***************
*** 36,147 ****
  {
  	
!   /// <summary>
  	/// Script to test the pair trading strategy on two single tickers
  	/// </summary>
!   [Serializable]
!   public class RunSimplePairTrading : RunPairTrading
!   {
!     private EndOfDayTimerHandlerSimplePT endOfDayTimerHandler;
!     public RunSimplePairTrading(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numDaysForOptimizationPeriod, 
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer, string benchmark,
!                                 DateTime startDate, DateTime endDate, 
!                                 double maxNumOfStdDevForNormalGap, int minNumOfDaysForGapComputation,
!                                 int maxNumOfDaysForGapComputation, int numDaysBetweenEachOptimization,
!                                 double maxRunningHours):
!                                 base(tickerGroupID, numberOfEligibleTickers,
!                                 numDaysForOptimizationPeriod, 
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer, benchmark,
!                                 startDate, endDate, 
!                                 minNumOfDaysForGapComputation, maxNumOfDaysForGapComputation,
!                                 maxNumOfStdDevForNormalGap, numDaysBetweenEachOptimization,
!                                 maxRunningHours)
!     {
  
!     }
!     
!     #region auxiliary overriden methods for Run
!         
!     
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerSimplePT(this.tickerGroupID,
!         this.numberOfEligibleTickers,
!         this.numDaysForOptimizationPeriod,
!         this.generationNumberForGeneticOptimizer, 
!         this.populationSizeForGeneticOptimizer,
!         this.benchmark, this.startDateTime.DateTime, this.endDateTime.DateTime,
!         this.maxNumOfStdDevForNormalGap, this.minNumOfDaysForGapComputation,
!         this.maxNumOfDaysForGapComputation,
!         this.numDaysBetweenEachOptimization, this.maxRunningHours, this.account);
!     }
!     
!     
!     protected override 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 
!     
!     //necessary far calling RunPairTrading.Run()
!     //in classes that inherit from this class
!     public override void Run()
!     {
!       base.Run();
!     }
!     public override void SaveScriptResults()
!     {
!       string fileName = "From"+this.numberOfEligibleTickers +
!         "OptDays" + this.numDaysForOptimizationPeriod + "GenNum" + 
!         this.generationNumberForGeneticOptimizer +
!         "PopSize" + this.populationSizeForGeneticOptimizer;
!       string dirNameWhereToSaveAccounts =
!       	System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
!         "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
!         "\\" + this.ScriptName + "\\";
! //      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
! //        "\\" + this.ScriptName + "\\";
!       
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveAccounts);
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! //      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!     
!       ObjectArchiver.Archive(this.account,
!         dirNameWhereToSaveAccounts +
!         fileName + ".qPa");
!       ObjectArchiver.Archive(this.account.Transactions,
!         dirNameWhereToSaveTransactions +
!         fileName + ".qPt");
!     
! //      OptimizationOutput optimizationOutput = new OptimizationOutput();
! //      foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! //        optimizationOutput.Add(genomeRepresentation);
! //      ObjectArchiver.Archive(optimizationOutput,
! //                              dirNameWhereToSaveBestGenomes + 
! //                              fileName + ".bgn");
!       this.endOfDayTimer.Stop();
!       new OutputDisplayer(this.startDateTime.DateTime, this.endDateTime.DateTime,
!                           this.endOfDayTimerHandler.OptimizationOutput).Show();
!       
!     }
  	}
  }
--- 36,152 ----
  {
  	
! 	/// <summary>
  	/// Script to test the pair trading strategy on two single tickers
  	/// </summary>
! 	[Serializable]
! 	public class RunSimplePairTrading : RunPairTrading
! 	{
! 		private EndOfDayTimerHandlerSimplePT endOfDayTimerHandler;
! 		public RunSimplePairTrading(string tickerGroupID, int numberOfEligibleTickers,
! 		                            int numDaysForOptimizationPeriod,
! 		                            int generationNumberForGeneticOptimizer,
! 		                            int populationSizeForGeneticOptimizer, string benchmark,
! 		                            DateTime startDate, DateTime endDate,
! 		                            double maxNumOfStdDevForNormalGap, int minNumOfDaysForGapComputation,
! 		                            int maxNumOfDaysForGapComputation, int numDaysBetweenEachOptimization,
! 		                            double maxRunningHours):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate,
! 			     minNumOfDaysForGapComputation, maxNumOfDaysForGapComputation,
! 			     maxNumOfStdDevForNormalGap, numDaysBetweenEachOptimization,
! 			     maxRunningHours)
! 		{
  
! 		}
! 		
! 		#region auxiliary overriden methods for Run
! 		
! 		
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerSimplePT(this.tickerGroupID,
! 			                                                             this.numberOfEligibleTickers,
! 			                                                             this.numDaysForOptimizationPeriod,
! 			                                                             this.generationNumberForGeneticOptimizer,
! 			                                                             this.populationSizeForGeneticOptimizer,
! 			                                                             this.benchmark, this.startDateTime, this.endDateTime,
! 			                                                             this.maxNumOfStdDevForNormalGap, this.minNumOfDaysForGapComputation,
! 			                                                             this.maxNumOfDaysForGapComputation,
! 			                                                             this.numDaysBetweenEachOptimization, this.maxRunningHours, this.account);
! 		}
! 		
! 		
! 		protected override 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
! 		
! 		//necessary far calling RunPairTrading.Run()
! 		//in classes that inherit from this class
! 		public override void Run()
! 		{
! 			base.Run();
! 		}
! 		public override void SaveScriptResults()
! 		{
! 			string fileName = "From"+this.numberOfEligibleTickers +
! 				"OptDays" + this.numDaysForOptimizationPeriod + "GenNum" +
! 				this.generationNumberForGeneticOptimizer +
! 				"PopSize" + this.populationSizeForGeneticOptimizer;
! 			string dirNameWhereToSaveAccounts =
! 				System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			//      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
! 			//        "\\" + this.ScriptName + "\\";
! 			
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveAccounts);
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! 			//      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			
! 			ObjectArchiver.Archive(this.account,
! 			                       dirNameWhereToSaveAccounts +
! 			                       fileName + ".qPa");
! 			ObjectArchiver.Archive(this.account.Transactions,
! 			                       dirNameWhereToSaveTransactions +
! 			                       fileName + ".qPt");
! 			
! 			//      OptimizationOutput optimizationOutput = new OptimizationOutput();
! 			//      foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 			//        optimizationOutput.Add(genomeRepresentation);
! 			//      ObjectArchiver.Archive(optimizationOutput,
! 			//                              dirNameWhereToSaveBestGenomes +
! 			//                              fileName + ".bgn");
! 			this.timer.Stop();
! 			new OutputDisplayer(this.startDateTime, this.endDateTime,
! 			                    this.endOfDayTimerHandler.OptimizationOutput).Show();
! 			
! 		}
  	}
  }