[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies PairsTradingStrategy.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18913/Strategies

Modified Files:
	PairsTradingStrategy.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: PairsTradingStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies/PairsTradingStrategy.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** PairsTradingStrategy.cs	17 May 2008 18:06:22 -0000	1.4
--- PairsTradingStrategy.cs	29 Sep 2008 21:21:35 -0000	1.5
***************
*** 40,47 ****
  	/// Pairs Trading strategy with in sample optimizations
  	/// </summary>
  	public class PairsTradingStrategy : SymmetricEndOfDayStrategyForBacktester
  	{
! 		private IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample;
  		private OutOfSampleChooser outOfSampleChooser;
  
--- 40,48 ----
  	/// Pairs Trading strategy with in sample optimizations
  	/// </summary>
+ 	[Serializable]
  	public class PairsTradingStrategy : SymmetricEndOfDayStrategyForBacktester
  	{
! 		private HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample;
  		private OutOfSampleChooser outOfSampleChooser;
  
***************
*** 53,59 ****
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			IHistoricalQuoteProvider historicalQuoteProviderForInSample ,
! 			IHistoricalQuoteProvider
! 			historicalQuoteProviderForChosingPositionsOutOfSample ,
  			OutOfSampleChooser outOfSampleChooser ) :
  			base(
--- 54,60 ----
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			HistoricalMarketValueProvider historicalMarketValueProviderForInSample ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample ,
  			OutOfSampleChooser outOfSampleChooser ) :
  			base(
***************
*** 64,71 ****
  			eligiblesSelector ,
  			inSampleChooser ,
! 			historicalQuoteProviderForInSample )
  		{
! 			this.historicalQuoteProviderForChosingPositionsOutOfSample =
! 				historicalQuoteProviderForChosingPositionsOutOfSample;			
  			this.outOfSampleChooser = outOfSampleChooser;
  		}
--- 65,72 ----
  			eligiblesSelector ,
  			inSampleChooser ,
! 			historicalMarketValueProviderForInSample )
  		{
! 			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! 				historicalMarketValueProviderForChosingPositionsOutOfSample;			
  			this.outOfSampleChooser = outOfSampleChooser;
  		}
***************
*** 94,98 ****
  				ReturnInterval secondLastReturnInterval =
  					this.getSecondLastReturnInterval();
! 				areToBeClosed = this.now().IsEqualTo( secondLastReturnInterval.End );				
  			}
  			return ( areToBeClosed );
--- 95,99 ----
  				ReturnInterval secondLastReturnInterval =
  					this.getSecondLastReturnInterval();
! 				areToBeClosed = ( this.now() == secondLastReturnInterval.End );				
  			}
  			return ( areToBeClosed );
***************
*** 103,108 ****
  		{
  			bool beginsTheLastInterval =
! 				( this.now().IsEqualTo(
! 				this.lastIntervalAppended().Begin ) );
  			return ( beginsTheLastInterval );
  		}
--- 104,109 ----
  		{
  			bool beginsTheLastInterval =
! 				( this.now() ==
! 				this.lastIntervalAppended().Begin );
  			return ( beginsTheLastInterval );
  		}
***************
*** 114,118 ****
  				this.bestTestingPositionsInSample ,
  				this.returnIntervals ,
! 				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
  				this.inSampleReturnsManager );
  			return weightedPositions;
--- 115,119 ----
  				this.bestTestingPositionsInSample ,
  				this.returnIntervals ,
! 				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  				this.inSampleReturnsManager );
  			return weightedPositions;