[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger WFMultiOneRankDebugEndOfDayTimerHandler.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18335/ReportDebugger

Modified Files:
	WFMultiOneRankDebugEndOfDayTimerHandler.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: WFMultiOneRankDebugEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/ReportDebugger/WFMultiOneRankDebugEndOfDayTimerHandler.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFMultiOneRankDebugEndOfDayTimerHandler.cs	27 Nov 2005 00:04:08 -0000	1.2
--- WFMultiOneRankDebugEndOfDayTimerHandler.cs	29 Sep 2008 21:20:55 -0000	1.3
***************
*** 3,7 ****
  
  WFMultiOneRankDebugEndOfDayTimerHandler.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  WFMultiOneRankDebugEndOfDayTimerHandler.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 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;
***************
*** 35,39 ****
  	/// Strategy to debug the in sample optimization
  	/// </summary>
! 	public class WFMultiOneRankDebugEndOfDayTimerHandler
  	{
  		private Account account;
--- 35,40 ----
  	/// Strategy to debug the in sample optimization
  	/// </summary>
! 	public class WFMultiOneRankDebugEndOfDayTimerHandler :
! 		QuantProject.Business.Strategies.EndOfDayTimerHandler
  	{
  		private Account account;
***************
*** 46,49 ****
--- 47,51 ----
  			this.signedTickers = signedTickers;
  		}
+ 		
  		#region FiveMinutesBeforeMarketCloseEventHandler
  		private string getTicker( string signedTicker )
***************
*** 75,79 ****
  			this.account.ClosePosition( ticker );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
  		{
  			ArrayList tickers = new ArrayList();
--- 77,81 ----
  			this.account.ClosePosition( ticker );
  		}
! 		private void marketCloseEventHandler_closePositions()
  		{
  			ArrayList tickers = new ArrayList();
***************
*** 90,100 ****
  			double todayMarketValueAtClose =
  				this.account.DataStreamer.GetCurrentBid( ticker );
! 			EndOfDayDateTime yesterdayAtClose = new
! 				EndOfDayDateTime(
! 				this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
! 				EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose =
  				historicalAdjustedQuoteProvider.GetMarketValue(
! 				ticker , yesterdayAtClose );
  			double returnForLongPosition =
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
--- 92,104 ----
  			double todayMarketValueAtClose =
  				this.account.DataStreamer.GetCurrentBid( ticker );
! 			DateTime yesterdayAtClose =
! 				HistoricalEndOfDayTimer.GetMarketClose(
! 					this.account.Timer.GetCurrentDateTime().AddDays( - 1 ) );
! //			new	EndOfDayDateTime(
! //				this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
! //				EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose =
  				historicalAdjustedQuoteProvider.GetMarketValue(
! 					ticker , yesterdayAtClose );
  			double returnForLongPosition =
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
***************
*** 126,132 ****
  			OrderType orderType = this.getOrderType( signedTicker );
  			bool returnValue = ( ( ( orderType ==
! 				OrderType.MarketBuy ) && ( positionType == PositionType.Short ) ) ||
! 				( orderType ==	OrderType.MarketSellShort ) &&
! 				( positionType == PositionType.Long ) );
  			return returnValue;
  		}
--- 130,136 ----
  			OrderType orderType = this.getOrderType( signedTicker );
  			bool returnValue = ( ( ( orderType ==
! 			                        OrderType.MarketBuy ) && ( positionType == PositionType.Short ) ) ||
! 			                    ( orderType ==	OrderType.MarketSellShort ) &&
! 			                    ( positionType == PositionType.Long ) );
  			return returnValue;
  		}
***************
*** 134,138 ****
  		{
  			return this.isCurrentlyReversed( this.signedTickers[ 0 ] );
! 			}
  		private long getQuantity(	string ticker )
  		{
--- 138,142 ----
  		{
  			return this.isCurrentlyReversed( this.signedTickers[ 0 ] );
! 		}
  		private long getQuantity(	string ticker )
  		{
***************
*** 150,154 ****
  			long quantity = this.getQuantity( ticker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
! 				quantity );
  			this.account.AddOrder( order );
  		}
--- 154,158 ----
  			long quantity = this.getQuantity( ticker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
! 			                        quantity );
  			this.account.AddOrder( order );
  		}
***************
*** 157,161 ****
  		{
  			this.openPosition( this.getTicker( signedTicker ) ,
! 				this.getOrderType( signedTicker ) );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openReversePosition(
--- 161,165 ----
  		{
  			this.openPosition( this.getTicker( signedTicker ) ,
! 			                  this.getOrderType( signedTicker ) );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openReversePosition(
***************
*** 175,179 ****
  					signedTicker );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
  //			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
--- 179,183 ----
  					signedTicker );
  		}
! 		private void marketCloseEventHandler_openPositions()
  		{
  //			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
***************
*** 182,209 ****
  					signedTicker );
  		}
! 		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed()
  		{
  			bool returnValue = ( this.account.Portfolio.Count > 0 ) &&
  				(	( this.isLinearCombinationTodayValueHigherThanYesterday() &&
! 				this.isCurrentlyReversed() ) ||
! 				( !this.isLinearCombinationTodayValueHigherThanYesterday() &&
! 				!this.isCurrentlyReversed() ) );
  			return returnValue;
  		}
! 		private bool fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeOpened()
  		{
  			bool returnValue = ( this.account.Portfolio.Count == 0 );
  			return returnValue;
  		}
! 		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( this.fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeClosed() )
! 				this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
! 			if ( this.fiveMinutesBeforeMarketCloseEventHandler_arePositionsToBeOpened() )
! 				fiveMinutesBeforeMarketCloseEventHandler_openPositions();
  		}
  		#endregion
  
  	}
  }
--- 186,225 ----
  					signedTicker );
  		}
! 		private bool marketCloseEventHandler_arePositionsToBeClosed()
  		{
  			bool returnValue = ( this.account.Portfolio.Count > 0 ) &&
  				(	( this.isLinearCombinationTodayValueHigherThanYesterday() &&
! 				   this.isCurrentlyReversed() ) ||
! 				 ( !this.isLinearCombinationTodayValueHigherThanYesterday() &&
! 				  !this.isCurrentlyReversed() ) );
  			return returnValue;
  		}
! 		private bool marketCloseEventHandler_arePositionsToBeOpened()
  		{
  			bool returnValue = ( this.account.Portfolio.Count == 0 );
  			return returnValue;
  		}
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			if ( this.marketCloseEventHandler_arePositionsToBeClosed() )
! 				this.marketCloseEventHandler_closePositions();
! 			if ( this.marketCloseEventHandler_arePositionsToBeOpened() )
! 				marketCloseEventHandler_openPositions();
  		}
  		#endregion
  
+ 		protected override void marketOpenEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			;
+ 		}
+ 
+ 		protected override void oneHourAfterMarketCloseEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			;
+ 		}
+ 
  	}
  }