[Quantproject-developers] QuantProject/b4_Business/a2_Strategies AccountStrategy.cs, 1.3, 1.4 Bench

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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13959

Modified Files:
	AccountStrategy.cs Benchmark.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: AccountStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/AccountStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** AccountStrategy.cs	9 Jan 2005 22:08:47 -0000	1.3
--- AccountStrategy.cs	29 Sep 2008 21:14:23 -0000	1.4
***************
*** 61,65 ****
                virtualOrder.Instrument ,
                (long) - ((Position)this.account.Portfolio[ virtualOrder.Instrument.Key ]).Quantity ,
!               virtualOrder.EndOfDayDateTime ) );
            if ( !this.account.Portfolio.IsLong( virtualOrder.Instrument ) )
              orders.Add( new Order( OrderType.MarketBuy ,
--- 61,65 ----
                virtualOrder.Instrument ,
                (long) - ((Position)this.account.Portfolio[ virtualOrder.Instrument.Key ]).Quantity ,
!               virtualOrder.DateTime ) );
            if ( !this.account.Portfolio.IsLong( virtualOrder.Instrument ) )
              orders.Add( new Order( OrderType.MarketBuy ,
***************
*** 68,72 ****
                  this.account.CashAmount +
                  this.account.Portfolio.GetMarketValue( this.account.DataStreamer ) ,
!                 this.account.DataStreamer ) , virtualOrder.EndOfDayDateTime ) );
            break;
          case OrderType.MarketSell:
--- 68,72 ----
                  this.account.CashAmount +
                  this.account.Portfolio.GetMarketValue( this.account.DataStreamer ) ,
!                 this.account.DataStreamer ) , virtualOrder.DateTime ) );
            break;
          case OrderType.MarketSell:
***************
*** 75,79 ****
                virtualOrder.Instrument ,
                (long) this.account.Portfolio.GetPosition( virtualOrder.Instrument ).Quantity ,
!               virtualOrder.EndOfDayDateTime ) );
            if ( !this.account.Portfolio.IsShort( virtualOrder.Instrument ) )
              orders.Add( new Order( OrderType.MarketSellShort ,
--- 75,79 ----
                virtualOrder.Instrument ,
                (long) this.account.Portfolio.GetPosition( virtualOrder.Instrument ).Quantity ,
!               virtualOrder.DateTime ) );
            if ( !this.account.Portfolio.IsShort( virtualOrder.Instrument ) )
              orders.Add( new Order( OrderType.MarketSellShort ,
***************
*** 83,87 ****
                this.account.Portfolio.GetMarketValue( dataStreamer ) ,
                dataStreamer ) ,
!               virtualOrder.EndOfDayDateTime ) );
            break;
          default:            
--- 83,87 ----
                this.account.Portfolio.GetMarketValue( dataStreamer ) ,
                dataStreamer ) ,
!               virtualOrder.DateTime ) );
            break;
          default:            

Index: Benchmark.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Benchmark.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** Benchmark.cs	7 Feb 2008 18:35:38 -0000	1.3
--- Benchmark.cs	29 Sep 2008 21:14:23 -0000	1.4
***************
*** 1,4 ****
--- 1,6 ----
  using System;

+ using QuantProject.ADT;
+ using QuantProject.ADT.Histories;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies.ReturnsManagement.Time;
***************
*** 15,19 ****
  	{
  		private string ticker;
! 		private HistoricalQuoteProvider historicalQuoteProvider;

  		public string Ticker
--- 17,21 ----
  	{
  		private string ticker;
! 		private HistoricalMarketValueProvider historicalQuoteProvider;

  		public string Ticker
***************
*** 31,35 ****
  		#region GetTimeStep
  		private void getTimeStep_checkParameters(
! 			EndOfDayDateTime timeStepBegin )
  		{
  			if ( !this.historicalQuoteProvider.WasExchanged( this.ticker ,
--- 33,37 ----
  		#region GetTimeStep
  		private void getTimeStep_checkParameters(
! 			DateTime timeStepBegin )
  		{
  			if ( !this.historicalQuoteProvider.WasExchanged( this.ticker ,
***************
*** 40,46 ****
  		}
  		private void isExchanged_checkParameter(
! 			EndOfDayDateTime endOfDayDateTime )
  		{
! 			if ( endOfDayDateTime.DateTime.Year >
  				DateTime.Now.Year )
  				throw new Exception( "It looks like this is a loop! " +
--- 42,48 ----
  		}
  		private void isExchanged_checkParameter(
! 			DateTime dateTime )
  		{
! 			if ( dateTime.Year >
  				DateTime.Now.Year )
  				throw new Exception( "It looks like this is a loop! " +
***************
*** 49,69 ****
  					this.ticker + "'" );
  		}
! 		private bool isExchanged( EndOfDayDateTime endOfDayDateTime )
  		{
! 			this.isExchanged_checkParameter( endOfDayDateTime );
  			bool isTraded =	this.historicalQuoteProvider.WasExchanged(
! 				this.ticker , endOfDayDateTime );
  			return isTraded;
  		}
  		private ReturnInterval getTimeStep_actually(
! 			EndOfDayDateTime timeStepBegin )
  		{
! 			EndOfDayDateTime currentEndOfDayDateTime =
! 				timeStepBegin.GetNextMarketStatusSwitch();
! 			while ( !this.isExchanged( currentEndOfDayDateTime ) )
! 				currentEndOfDayDateTime =
! 				currentEndOfDayDateTime.GetNextMarketStatusSwitch();
  			ReturnInterval timeStep =
! 				new ReturnInterval( timeStepBegin , currentEndOfDayDateTime );
  			return timeStep;
  		}
--- 51,74 ----
  					this.ticker + "'" );
  		}
! 		private bool isExchanged( DateTime dateTime )
  		{
! 			this.isExchanged_checkParameter( dateTime );
  			bool isTraded =	this.historicalQuoteProvider.WasExchanged(
! 				this.ticker , dateTime );
  			return isTraded;
  		}
  		private ReturnInterval getTimeStep_actually(
! 			DateTime timeStepBegin )
  		{
! 			DateTime currentDateTime =
! 				HistoricalEndOfDayTimer.GetNextMarketStatusSwitch( timeStepBegin );
! //				timeStepBegin.GetNextMarketStatusSwitch();
! 			while ( !this.isExchanged( currentDateTime ) )
! 				currentDateTime =
! 					HistoricalEndOfDayTimer.GetNextMarketStatusSwitch( currentDateTime );
! //				currentEndOfDayDateTime =
! //				currentEndOfDayDateTime.GetNextMarketStatusSwitch();
  			ReturnInterval timeStep =
! 				new ReturnInterval( timeStepBegin , currentDateTime );
  			return timeStep;
  		}
***************
*** 73,80 ****
  		/// <param name="timeStepBegin"></param>
  		/// <returns></returns>
! 		public ReturnInterval GetTimeStep( EndOfDayDateTime timeStepBegin )
  		{
  			this.getTimeStep_checkParameters( timeStepBegin );
! 			ReturnInterval timeStep = this.getTimeStep_actually( timeStepBegin );
  			return timeStep;
  		}
--- 78,86 ----
  		/// <param name="timeStepBegin"></param>
  		/// <returns></returns>
! 		public ReturnInterval GetTimeStep( DateTime timeStepBegin )
  		{
  			this.getTimeStep_checkParameters( timeStepBegin );
! 			ReturnInterval timeStep =
! 				this.getTimeStep_actually( timeStepBegin );
  			return timeStep;
  		}
***************
*** 84,123 ****
  		/// Returns either the next market close or the next market open
  		/// (when the benchmark is exchanged), whichever is the nearest. 
! 		/// If endOfDayDateTime is either a market close or a market open
! 		/// when the benchmark is exchanged, then endOfDayDateTime itself
  		/// is returned
  		/// </summary>
! 		/// <param name="endOfDayDateTime"></param>
  		/// <returns></returns>
! 		public EndOfDayDateTime GetThisOrNextMarketStatusSwitch(
! 			EndOfDayDateTime endOfDayDateTime )
  		{
! 			EndOfDayDateTime currentEndOfDayDateTime = endOfDayDateTime;
! 			while ( !this.isExchanged( currentEndOfDayDateTime ) )
! 				currentEndOfDayDateTime =
! 					currentEndOfDayDateTime.GetNextMarketStatusSwitch();
! 			return currentEndOfDayDateTime;
  		}

  		/// <summary>
! 		/// Returns the EndOfDayHistory of the benchmark
  		/// between the two given EndOfDayDateTimes
  		/// </summary>
! 		public EndOfDayHistory GetEndOfDayHistory(
! 			EndOfDayDateTime firstEndOfDayDateTime,
! 			EndOfDayDateTime lastEndOfDayDateTime )
  		{
! 			if( lastEndOfDayDateTime.IsLessThanOrEqualTo(firstEndOfDayDateTime) )
! 				throw new Exception("lastEndOfDayDateTime has to be greater than " +
  					"firstEndOfDayDateTime !!");
! 			EndOfDayHistory endOfDayHistory = new EndOfDayHistory();
! 			EndOfDayDateTime endOfDayDateTimeToAddToHistory =
! 				firstEndOfDayDateTime.Copy();
! 			while( endOfDayDateTimeToAddToHistory.IsLessThanOrEqualTo(lastEndOfDayDateTime) )
  			{
! 				if( this.isExchanged( endOfDayDateTimeToAddToHistory ) )
! 					endOfDayHistory.Add( endOfDayDateTimeToAddToHistory, endOfDayDateTimeToAddToHistory );
! 				endOfDayDateTimeToAddToHistory =
! 					endOfDayDateTimeToAddToHistory.GetNextMarketStatusSwitch();
  			}
  			return endOfDayHistory;
--- 90,139 ----
  		/// Returns either the next market close or the next market open
  		/// (when the benchmark is exchanged), whichever is the nearest. 
! 		/// If dateTime is either a market close or a market open
! 		/// when the benchmark is exchanged, then dateTime itself
  		/// is returned
  		/// </summary>
! 		/// <param name="dateTime"></param>
  		/// <returns></returns>
! 		public DateTime GetThisOrNextMarketStatusSwitch(
! 			DateTime dateTime )
  		{
! 			DateTime currentDateTime = dateTime;
! 			if ( !HistoricalEndOfDayTimer.IsMarketStatusSwitch( currentDateTime ) )
! 				currentDateTime =
! 					HistoricalEndOfDayTimer.GetNextMarketStatusSwitch(
! 						currentDateTime );
! 			while ( !this.isExchanged( currentDateTime ) )
! 				currentDateTime =
! 					HistoricalEndOfDayTimer.GetNextMarketStatusSwitch(
! 						currentDateTime );
! //					currentEndOfDayDateTime.GetNextMarketStatusSwitch();
! 			return currentDateTime;
  		}

  		/// <summary>
! 		/// Returns the End of Day History of the benchmark
  		/// between the two given EndOfDayDateTimes
  		/// </summary>
! 		public History GetEndOfDayHistory(
! 			DateTime firstDateTime,
! 			DateTime lastDateTime )
  		{
! 			if( lastDateTime <=	firstDateTime )
! 				throw new Exception("lastDateTime has to be greater than " +
  					"firstEndOfDayDateTime !!");
! 			History endOfDayHistory = new History();
! 			DateTime dateTimeToAddToHistory =
! 				ExtendedDateTime.Copy( firstDateTime );
! //				firstDateTime.Copy();
! 			while( dateTimeToAddToHistory <= lastDateTime )
  			{
! 				if( this.isExchanged( dateTimeToAddToHistory ) )
! 					endOfDayHistory.Add(
! 						dateTimeToAddToHistory ,
! 						dateTimeToAddToHistory );
! 				dateTimeToAddToHistory =
! 					HistoricalEndOfDayTimer.GetNextMarketStatusSwitch(
! 						dateTimeToAddToHistory );
  			}
  			return endOfDayHistory;

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies AccountStrategy.cs, 1.3, 1.4 Bench

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies AccountStrategy.cs, 1.3, 1.4 Benchmark.cs, 1.3, 1.4