[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForce

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17551/TestingOTCTypes/BruteForceOptimization

Modified Files:
	RunEfficientOTCTypesBruteForce.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: RunEfficientOTCTypesBruteForce.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization/RunEfficientOTCTypesBruteForce.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunEfficientOTCTypesBruteForce.cs	19 Aug 2008 17:13:05 -0000	1.2
--- RunEfficientOTCTypesBruteForce.cs	29 Sep 2008 21:19:35 -0000	1.3
***************
*** 3,7 ****

  RunEfficientOTCTypesBruteForce.cs
! Copyright (C) 2003 
  Marco Milletti

--- 3,7 ----

  RunEfficientOTCTypesBruteForce.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;
***************
*** 39,43 ****
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
--- 39,43 ----
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 48,174 ****
  {

!   /// <summary>
  	/// Script to test OTC daily, OTC multiday and OTC - CTO
! 	/// all together with one brute force optimization and 3 accounts (each for 
  	/// each type of strategy)
  	/// </summary>
!   [Serializable]
!   public class RunEfficientOTCTypesBruteForce : RunEfficientPortfolio
!   {
!     protected int numDaysBetweenEachOptimization;
!     private Account[] accounts;
!   
!     public RunEfficientOTCTypesBruteForce(string tickerGroupID, int numberOfEligibleTickers, 
!       int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
!       string benchmark,
!       DateTime startDate, DateTime endDate,
!       double maxRunningHours,
!      	int numDaysBetweenEachOptimization):
!       base(tickerGroupID, numberOfEligibleTickers, 
!       numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
!       1,100, benchmark,
!       startDate, endDate, 0.0,
!       PortfolioType.ShortAndLong, maxRunningHours)
!     {
!       this.ScriptName = "OTC_SR_PriceSelBruteForce";
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.accounts = new Account[4];
!     }
!     
!     #region auxiliary overriden methods for Run
!         
!     
!     protected override void run_initializeAccount()
!     {
!       for(int i = 0; i<this.accounts.Length; i++)
!       {
!         this.accounts[i] = new Account( this.ScriptName, this.endOfDayTimer ,
!                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
!                             this.historicalQuoteProvider ) ,
!                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
!                             this.historicalQuoteProvider ));
!       }
!      
!     }
!     
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCTypesBruteForce(this.tickerGroupID,
!         this.numberOfEligibleTickers,
!         this.numberOfTickersToBeChosen,
!         this.numDaysForOptimizationPeriod,
!         this.benchmark, this.numDaysBetweenEachOptimization,
!         this.accounts);
!     }
!     
!     protected override void run_initializeHistoricalQuoteProvider()
!     {
!       //this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!     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 RunEfficientPortfolio.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 + "Portfolio" +
!         this.numberOfTickersToBeChosen + "BruteForce";
!       string dirNameWhereToSaveAccounts =
!       	System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
!         "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
!         "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveBestGenomes =
!       	System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
!         "\\" + this.ScriptName + "\\";
!       
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveAccounts);
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       
!       for(int i = 0; i<this.accounts.Length; i++)
!       {
!         ObjectArchiver.Archive(accounts[i],
!           dirNameWhereToSaveAccounts +
!           fileName + "#" + i.ToString() + ".qPa");
!         ObjectArchiver.Archive(this.accounts[i].Transactions,
!           dirNameWhereToSaveTransactions +
!           fileName + "#" + i.ToString() + ".qPt");
!       }
!       OptimizationOutput optimizationOutput = new OptimizationOutput();
!       foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
!         optimizationOutput.Add(genomeRepresentation);
!       ObjectArchiver.Archive(optimizationOutput,
!                               dirNameWhereToSaveBestGenomes + 
!                               fileName + ".bgn");
!       this.endOfDayTimer.Stop();
!     }
  	}
  }
--- 48,185 ----
  {

! 	/// <summary>
  	/// Script to test OTC daily, OTC multiday and OTC - CTO
! 	/// all together with one brute force optimization and 3 accounts (each for
  	/// each type of strategy)
  	/// </summary>
! 	[Serializable]
! 	public class RunEfficientOTCTypesBruteForce : RunEfficientPortfolio
! 	{
! 		protected int numDaysBetweenEachOptimization;
! 		private Account[] accounts;
! 		
! 		public RunEfficientOTCTypesBruteForce(string tickerGroupID, int numberOfEligibleTickers,
! 		                                      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
! 		                                      string benchmark,
! 		                                      DateTime startDate, DateTime endDate,
! 		                                      double maxRunningHours,
! 		                                      int numDaysBetweenEachOptimization):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
! 			     1,100, benchmark,
! 			     startDate, endDate, 0.0,
! 			     PortfolioType.ShortAndLong, maxRunningHours)
! 		{
! 			this.ScriptName = "OTC_SR_PriceSelBruteForce";
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.accounts = new Account[4];
! 		}
! 		
! 		#region auxiliary overriden methods for Run
! 		
! 		
! 		protected override void run_initializeAccount()
! 		{
! 			for(int i = 0; i<this.accounts.Length; i++)
! 			{
! 				this.accounts[i] = new Account( this.ScriptName, this.endOfDayTimer ,
! 				                               new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 				                                                                  this.historicalMarketValueProvider ) ,
! 				                               new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 				                                                                   this.historicalMarketValueProvider ));
! 			}
! 			
! 		}
! 		
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCTypesBruteForce(this.tickerGroupID,
! 			                                                                       this.numberOfEligibleTickers,
! 			                                                                       this.numberOfTickersToBeChosen,
! 			                                                                       this.numDaysForOptimizationPeriod,
! 			                                                                       this.benchmark, this.numDaysBetweenEachOptimization,
! 			                                                                       this.accounts);
! 		}
! 		
! 		protected override void run_initializeHistoricalQuoteProvider()
! 		{
! 			//this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		private void newDateTimeEventHandler( object sender , DateTime dateTime )
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 				this.checkDateForReport( sender , dateTime );
! 		}
! 
! 		protected override void run_addEventHandlers()
! 		{
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );
! 			
! //			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 RunEfficientPortfolio.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 + "Portfolio" +
! 				this.numberOfTickersToBeChosen + "BruteForce";
! 			string dirNameWhereToSaveAccounts =
! 				System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveBestGenomes =
! 				System.Configuration.ConfigurationManager.AppSettings["GenomesArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveAccounts);
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			
! 			for(int i = 0; i<this.accounts.Length; i++)
! 			{
! 				ObjectArchiver.Archive(accounts[i],
! 				                       dirNameWhereToSaveAccounts +
! 				                       fileName + "#" + i.ToString() + ".qPa");
! 				ObjectArchiver.Archive(this.accounts[i].Transactions,
! 				                       dirNameWhereToSaveTransactions +
! 				                       fileName + "#" + i.ToString() + ".qPt");
! 			}
! 			OptimizationOutput optimizationOutput = new OptimizationOutput();
! 			foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 				optimizationOutput.Add(genomeRepresentation);
! 			ObjectArchiver.Archive(optimizationOutput,
! 			                       dirNameWhereToSaveBestGenomes +
! 			                       fileName + ".bgn");
! 			this.endOfDayTimer.Stop();
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForce

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization RunEfficientOTCTypesBruteForce.cs, 1.2, 1.3