[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows AverageReturnOnDayOfWeekWithOpenPositions.cs, 1.3, 1.4 AverageReturnOnDayWithOpenPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13426/a2_Accounting/h5_Reporting/StatisticsSummaryRows

Modified Files:
	AverageReturnOnDayOfWeekWithOpenPositions.cs 
	AverageReturnOnDayWithOpenPositions.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: AverageReturnOnDayOfWeekWithOpenPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows/AverageReturnOnDayOfWeekWithOpenPositions.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** AverageReturnOnDayOfWeekWithOpenPositions.cs	18 Aug 2008 21:13:16 -0000	1.3
--- AverageReturnOnDayOfWeekWithOpenPositions.cs	29 Sep 2008 21:13:46 -0000	1.4
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Accounting.Reporting.Tables;
  using QuantProject.Business.Financial.Accounting.Reporting.SummaryRows;
+ using QuantProject.Business.Timing;
  
  namespace QuantProject.Business.Financial.Accounting.Reporting.StatisticsSummaryRows
***************
*** 41,48 ****
  		private double getReturnForDate(DateTime date, DateTime previousDate)
  		{
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(date);
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(previousDate);
  			
  			return (accountValueOnCloseForDate / accountValueOnCloseForPreviousDate) - 1.0;
--- 42,54 ----
  		private double getReturnForDate(DateTime date, DateTime previousDate)
  		{
+ 			// TODO: this method works only if the equity line is computed
+ 			// at market close; an exception is thrown otherwise; change the
+ 			// logic to be more general
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( date ) );
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( previousDate ) );
  			
  			return (accountValueOnCloseForDate / accountValueOnCloseForPreviousDate) - 1.0;
***************
*** 51,58 ****
  		private bool hasPositionsOnDate( DateTime date, DateTime previousDate )
  		{
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(date);
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(previousDate);
  			
  			return accountValueOnCloseForDate != accountValueOnCloseForPreviousDate;
--- 57,69 ----
  		private bool hasPositionsOnDate( DateTime date, DateTime previousDate )
  		{
+ 			// TODO: this method works only if the equity line is computed
+ 			// at market close; an exception is thrown otherwise; change the
+ 			// logic to be more general
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( date ) );
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( previousDate ) );
  			
  			return accountValueOnCloseForDate != accountValueOnCloseForPreviousDate;
***************
*** 80,87 ****
  			this.rowDescription = this.getRowDescription();
  			DayOfWeek specificDayOfWeek = this.getSpecificDayOfWeek();
! 			History marketDays = Quotes.GetMarketDays(
! 				statisticsSummary.AccountReport.Benchmark,
! 				statisticsSummary.AccountReport.StartDateTime,
! 				statisticsSummary.AccountReport.EndDateTime.DateTime);
  			DateTime date;
  			DateTime previousDate;
--- 91,100 ----
  			this.rowDescription = this.getRowDescription();
  			DayOfWeek specificDayOfWeek = this.getSpecificDayOfWeek();
! //			History marketDays = Quotes.GetMarketDays(
! //				statisticsSummary.AccountReport.Benchmark,
! //				statisticsSummary.AccountReport.StartDateTime,
! //				statisticsSummary.AccountReport.EndDateTime);
! 			History marketDays =
! 				this.statisticsSummary.AccountReport.EquityLine;
  			DateTime date;
  			DateTime previousDate;

Index: AverageReturnOnDayWithOpenPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows/AverageReturnOnDayWithOpenPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** AverageReturnOnDayWithOpenPositions.cs	25 Apr 2008 17:11:41 -0000	1.1
--- AverageReturnOnDayWithOpenPositions.cs	29 Sep 2008 21:13:46 -0000	1.2
***************
*** 30,33 ****
--- 30,34 ----
  using QuantProject.Business.Financial.Accounting.Reporting.Tables;
  using QuantProject.Business.Financial.Accounting.Reporting.SummaryRows;
+ using QuantProject.Business.Timing;
  
  namespace QuantProject.Business.Financial.Accounting.Reporting.StatisticsSummaryRows
***************
*** 56,63 ****
  		private double getReturnForDate(DateTime date, DateTime previousDate)
  		{
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(date);
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(previousDate);
  			
  			return (accountValueOnCloseForDate / accountValueOnCloseForPreviousDate) - 1.0;
--- 57,70 ----
  		private double getReturnForDate(DateTime date, DateTime previousDate)
  		{
+ 			// TODO: this method works only if the equity line is computed
+ 			// at market close; an exception is thrown otherwise; change the
+ 			// logic to be more general; furthermore, this code is duplicated
+ 			// and common to AverageReturnOnDayOfWeekWithOpenPositions.cs
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( date ) );
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( previousDate ) );
  			
  			return (accountValueOnCloseForDate / accountValueOnCloseForPreviousDate) - 1.0;
***************
*** 66,73 ****
  		private bool hasPositionsOnDate( DateTime date, DateTime previousDate )
  		{
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(date);
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(previousDate);
  			
  			return accountValueOnCloseForDate != accountValueOnCloseForPreviousDate;
--- 73,87 ----
  		private bool hasPositionsOnDate( DateTime date, DateTime previousDate )
  		{
+ 			// TODO: this method works only if the equity line is computed
+ 			// at market close; an exception is thrown otherwise; change the
+ 			// logic to be more general; furthermore, this code is duplicated
+ 			// and common to AverageReturnOnDayOfWeekWithOpenPositions.cs
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( date ) );
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						previousDate ) );
  			
  			return accountValueOnCloseForDate != accountValueOnCloseForPreviousDate;
***************
*** 79,86 ****
  			this.statisticsSummary = statisticsSummary;
  			this.rowDescription = "Average % return on days with open positions ";
! 			History marketDays = Quotes.GetMarketDays(
! 				statisticsSummary.AccountReport.Benchmark,
! 				statisticsSummary.AccountReport.StartDateTime,
! 				statisticsSummary.AccountReport.EndDateTime.DateTime);
  			DateTime date;
  			DateTime previousDate;
--- 93,102 ----
  			this.statisticsSummary = statisticsSummary;
  			this.rowDescription = "Average % return on days with open positions ";
! //			History marketDays = Quotes.GetMarketDays(
! //				statisticsSummary.AccountReport.Benchmark,
! //				statisticsSummary.AccountReport.StartDateTime,
! //				statisticsSummary.AccountReport.EndDateTime);
! 			History marketDays =
! 				this.statisticsSummary.AccountReport.EquityLine;
  			DateTime date;
  			DateTime previousDate;