[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies BasicEndOfDayS

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

Modified Files:
	BasicEndOfDayStrategyForBacktester.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: BasicEndOfDayStrategyForBacktester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies/BasicEndOfDayStrategyForBacktester.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** BasicEndOfDayStrategyForBacktester.cs	16 Aug 2008 19:28:02 -0000	1.7
--- BasicEndOfDayStrategyForBacktester.cs	29 Sep 2008 21:14:23 -0000	1.8
***************
*** 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;
***************
*** 43,48 ****
  	/// that should be inherited by specific strategies
  	/// </summary>
  	public abstract class BasicEndOfDayStrategyForBacktester :
! 		IEndOfDayStrategyForBacktester
  	{
  		public event NewLogItemEventHandler NewLogItem;
--- 43,49 ----
  	/// that should be inherited by specific strategies
  	/// </summary>
+ 	[Serializable]
  	public abstract class BasicEndOfDayStrategyForBacktester :
! 		IStrategyForBacktester
  	{
  		public event NewLogItemEventHandler NewLogItem;
***************
*** 55,59 ****
  		protected IEligiblesSelector eligiblesSelector;
  		protected IInSampleChooser inSampleChooser;
! 		protected IHistoricalQuoteProvider historicalQuoteProviderForInSample;

  		protected DateTime lastOptimizationDateTime;
--- 56,60 ----
  		protected IEligiblesSelector eligiblesSelector;
  		protected IInSampleChooser inSampleChooser;
! 		protected HistoricalMarketValueProvider historicalMarketValueProviderForInSample;

  		protected DateTime lastOptimizationDateTime;
***************
*** 71,79 ****
  		}

! 		public bool StopBacktestIfMaxRunningHoursHasBeenReached
  		{
  			get
  			{
! 				return this.optimalWeightedPositionsAreToBeUpdated();
  			}
  		}
--- 72,80 ----
  		}

! 		public virtual bool StopBacktestIfMaxRunningHoursHasBeenReached
  		{
  			get
  			{
! 				return this.areOptimalWeightedPositionsToBeUpdated();
  			}
  		}
***************
*** 113,118 ****
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			IHistoricalQuoteProvider historicalQuoteProviderForInSample
! 			)
  		{
  			this.numDaysBeetweenEachOtpimization = numDaysBeetweenEachOtpimization;
--- 114,119 ----
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			HistoricalMarketValueProvider historicalMarketValueProviderForInSample
! 		)
  		{
  			this.numDaysBeetweenEachOtpimization = numDaysBeetweenEachOtpimization;
***************
*** 122,127 ****
  			this.eligiblesSelector = eligiblesSelector;
  			this.inSampleChooser = inSampleChooser;
! 			this.historicalQuoteProviderForInSample =
! 				historicalQuoteProviderForInSample;

  			this.returnIntervals =
--- 123,128 ----
  			this.eligiblesSelector = eligiblesSelector;
  			this.inSampleChooser = inSampleChooser;
! 			this.historicalMarketValueProviderForInSample =
! 				historicalMarketValueProviderForInSample;

  			this.returnIntervals =
***************
*** 129,133 ****
  		}

! 		#region MarketOpenEventHandler

  		protected abstract bool marketOpenEventHandler_arePositionsToBeClosed();
--- 130,134 ----
  		}

! 		#region marketOpenEventHandler

  		protected abstract bool marketOpenEventHandler_arePositionsToBeClosed();
***************
*** 136,141 ****
  			WeightedPositions marketOpenEventHandler_getPositionsToBeOpened();

! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.updateReturnIntervals();
--- 137,141 ----
  			WeightedPositions marketOpenEventHandler_getPositionsToBeOpened();

! 		private void marketOpenEventHandler()
  		{
  			this.updateReturnIntervals();
***************
*** 153,164 ****
  			}
  		}
! 		#endregion MarketOpenEventHandler

! 		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 		}

! 		#region MarketCloseEventHandler

  		protected abstract bool marketCloseEventHandler_arePositionsToBeClosed();
--- 153,164 ----
  			}
  		}
! 		#endregion marketOpenEventHandler

! //		public void FiveMinutesBeforeMarketCloseEventHandler(
! //			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! //		{
! //		}

! 		#region marketCloseEventHandler

  		protected abstract bool marketCloseEventHandler_arePositionsToBeClosed();
***************
*** 167,172 ****
  			WeightedPositions marketCloseEventHandler_getPositionsToBeOpened();

! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.updateReturnIntervals();
--- 167,171 ----
  			WeightedPositions marketCloseEventHandler_getPositionsToBeOpened();

! 		private void marketCloseEventHandler()
  		{
  			this.updateReturnIntervals();
***************
*** 184,240 ****
  			}
  		}
! 		#endregion MarketCloseEventHandler

! 		#region OneHourAfterMarketCloseEventHandler
! 		private bool optimalWeightedPositionsAreToBeUpdated()
  		{
- //			TimeSpan timeSpanSinceLastOptimization =
- //				this.now().DateTime - this.lastOptimizationDateTime;
- //			bool areToBeUpdated =	( timeSpanSinceLastOptimization.Days >=
- //				this.numDaysBeetweenEachOtpimization );
- //			return areToBeUpdated;
  			DateTime dateTimeForNextOptimization =
  				this.lastOptimizationDateTime.AddDays(
! 				this.numDaysBeetweenEachOtpimization );
  			bool areToBeUpdated =
  				( ( ( this.account.Portfolio.Count == 0 )
! 				&& ( ( this.lastOptimizationDateTime == DateTime.MinValue ) ) ) ||
! 				( this.now().DateTime >= dateTimeForNextOptimization ) );
  			return areToBeUpdated;
  		}
  		#region getInSampleReturnIntervals
! 		private EndOfDayDateTime getInSampleReturnIntervals_getFirstDate()
  		{
! 			DateTime firstDateTime = this.now().DateTime.AddDays(
  				-this.numDaysForInSampleOptimization );
! 			EndOfDayDateTime firstDate = new EndOfDayDateTime(
! 				firstDateTime , EndOfDaySpecificTime.MarketOpen );
! 			return firstDate;
  		}
  		private ReturnIntervals getInSampleReturnIntervals()
  		{
! 			EndOfDayDateTime firstDate =
! 				this.getInSampleReturnIntervals_getFirstDate();
! 			EndOfDayDateTime lastDate =
! 				new EndOfDayDateTime( this.now().DateTime ,
! 				EndOfDaySpecificTime.MarketClose );
  			ReturnIntervals inSampleReturnIntervals =
  				new ReturnIntervals( this.intervalsSelectorForInSample );
! 			inSampleReturnIntervals.AppendFirstInterval( firstDate );
! 			if ( inSampleReturnIntervals.LastEndOfDayDateTime.IsLessThan(
! 				lastDate ) )
  				inSampleReturnIntervals.AppendIntervalsButDontGoBeyondLastDate(
! 					lastDate );
  			return inSampleReturnIntervals;
  		}
  		#endregion getInSampleReturnIntervals
  		private void checkQualityFor_bestTestingPositionsInSample()
  		{
  			for( int i = 0 ; i < this.bestTestingPositionsInSample.Length ; i++ )
  				if ( this.bestTestingPositionsInSample[ i ] == null )
! 					throw new Exception(
! 						"The IInSampleChooser should have returned an array " +
! 						"of non null bestTestingPositionsInSample!" );
  		}
  		private void notifyMessage( EligibleTickers eligibleTickers )
--- 183,254 ----
  			}
  		}
! 		#endregion marketCloseEventHandler

! 		#region oneHourAfterMarketCloseEventHandler
! 		
! 		#region areOptimalWeightedPositionsToBeUpdated
! 		private bool areOptimalWeightedPositionsToBeUpdated_actually()
  		{
  			DateTime dateTimeForNextOptimization =
  				this.lastOptimizationDateTime.AddDays(
! 					this.numDaysBeetweenEachOtpimization );
! 			DateTime currentSimulatedDateTime = this.now();
  			bool areToBeUpdated =
  				( ( ( this.account.Portfolio.Count == 0 )
! 				   && ( ( this.lastOptimizationDateTime == DateTime.MinValue ) ) ) ||
! 				 ( currentSimulatedDateTime >= dateTimeForNextOptimization ) );
  			return areToBeUpdated;
  		}
+ 		private bool areOptimalWeightedPositionsToBeUpdated()
+ 		{
+ 			bool areToBeUpdated;
+ //			if ( !this.account.Timer.IsActive )
+ //				// the backtester has stopped the timer because the
+ //				// backtest has gone beyond max running hours
+ //				areToBeUpdated = false;
+ //			else
+ 				areToBeUpdated =
+ 					this.areOptimalWeightedPositionsToBeUpdated_actually();
+ 			return areToBeUpdated;
+ 		}
+ 		#endregion areOptimalWeightedPositionsToBeUpdated
+ 		
  		#region getInSampleReturnIntervals
! 		private DateTime getInSampleReturnIntervals_getFirstDateTime()
  		{
! 			DateTime someDaysBefore = this.now().AddDays(
  				-this.numDaysForInSampleOptimization );
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( someDaysBefore );
! //			EndOfDayDateTime firstDate = new EndOfDayDateTime(
! //				someDaysBefore , EndOfDaySpecificTime.MarketOpen );
! 			return firstDateTime;
  		}
  		private ReturnIntervals getInSampleReturnIntervals()
  		{
! 			DateTime firstDateTime =
! 				this.getInSampleReturnIntervals_getFirstDateTime();
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( this.now() );
! //				new EndOfDayDateTime( this.now().DateTime ,
! //				                     EndOfDaySpecificTime.MarketClose );
  			ReturnIntervals inSampleReturnIntervals =
  				new ReturnIntervals( this.intervalsSelectorForInSample );
! 			inSampleReturnIntervals.AppendFirstInterval( firstDateTime );
! 			if ( inSampleReturnIntervals.LastDateTime < lastDateTime )
  				inSampleReturnIntervals.AppendIntervalsButDontGoBeyondLastDate(
! 					lastDateTime );
  			return inSampleReturnIntervals;
  		}
  		#endregion getInSampleReturnIntervals
+ 		
  		private void checkQualityFor_bestTestingPositionsInSample()
  		{
  			for( int i = 0 ; i < this.bestTestingPositionsInSample.Length ; i++ )
  				if ( this.bestTestingPositionsInSample[ i ] == null )
! 				throw new Exception(
! 					"The IInSampleChooser should have returned an array " +
! 					"of non null bestTestingPositionsInSample!" );
  		}
  		private void notifyMessage( EligibleTickers eligibleTickers )
***************
*** 249,262 ****
  				this.NewMessage( this , newMessageEventArgs );
  		}
- 		#region logOptimizationInfo
- //		private void outputMessage( string message )
- //		{
- //			string dateStamp =
- //				ExtendedDateTime.GetShortDescriptionForFileName( DateTime.Now );
- //			MessageManager.DisplayMessage( message ,
- //				"NotificationMessagesForCurrentStrategy_" +
- //				dateStamp + ".Txt" );
- //		}

  		protected abstract LogItem getLogItem( EligibleTickers eligibleTickers );

--- 263,268 ----
  				this.NewMessage( this , newMessageEventArgs );
  		}

+ 		#region logOptimizationInfo
  		protected abstract LogItem getLogItem( EligibleTickers eligibleTickers );

***************
*** 274,277 ****
--- 280,284 ----
  		}
  		#endregion logOptimizationInfo
+ 		
  		private void updateOptimalTestingPositions_actually()
  		{
***************
*** 280,290 ****
  			EligibleTickers eligibleTickers =
  				this.eligiblesSelector.GetEligibleTickers(
! 				inSampleReturnIntervals.BordersHistory );
  			this.inSampleReturnsManager = new ReturnsManager(
  				inSampleReturnIntervals ,
! 				this.historicalQuoteProviderForInSample );
  			this.bestTestingPositionsInSample =
  				(TestingPositions[])this.inSampleChooser.AnalyzeInSample(
! 				eligibleTickers , this.inSampleReturnsManager );
  			this.checkQualityFor_bestTestingPositionsInSample();

--- 287,297 ----
  			EligibleTickers eligibleTickers =
  				this.eligiblesSelector.GetEligibleTickers(
! 					inSampleReturnIntervals.BordersHistory );
  			this.inSampleReturnsManager = new ReturnsManager(
  				inSampleReturnIntervals ,
! 				this.historicalMarketValueProviderForInSample );
  			this.bestTestingPositionsInSample =
  				(TestingPositions[])this.inSampleChooser.AnalyzeInSample(
! 					eligibleTickers , this.inSampleReturnsManager );
  			this.checkQualityFor_bestTestingPositionsInSample();

***************
*** 295,310 ****
  		{
  			this.updateOptimalTestingPositions_actually();
! 			this.lastOptimizationDateTime = this.now().DateTime;
  //			FixedLengthTwoPhasesLogItem logItem =
  //				new FixedLengthTwoPhasesLogItem( this.now() );
  //			logItem.BestWeightedPositionsInSample = this.bestWeightedPositionsInSample;
  		}
! 		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( this.optimalWeightedPositionsAreToBeUpdated() )
  				this.updateOptimalTestingPositions();
  		}
! 		#endregion OneHourAfterMarketCloseEventHandler

  //		protected bool isInsampleOptimizationNeeded()
--- 302,328 ----
  		{
  			this.updateOptimalTestingPositions_actually();
! 			this.lastOptimizationDateTime = this.now();
  //			FixedLengthTwoPhasesLogItem logItem =
  //				new FixedLengthTwoPhasesLogItem( this.now() );
  //			logItem.BestWeightedPositionsInSample = this.bestWeightedPositionsInSample;
  		}
! 		private void oneHourAfterMarketCloseEventHandler()
  		{
! 			if ( this.areOptimalWeightedPositionsToBeUpdated() )
  				this.updateOptimalTestingPositions();
  		}
! 		#endregion oneHourAfterMarketCloseEventHandler
! 		
! 		#region NewDateTimeEventHandler
! 		public void NewDateTimeEventHandler( Object sender , DateTime dateTime )
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
! 				this.marketOpenEventHandler();
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 				this.marketCloseEventHandler();
! 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
! 				this.oneHourAfterMarketCloseEventHandler();
! 		}
! 		#endregion NewDateTimeEventHandler

  //		protected bool isInsampleOptimizationNeeded()
***************
*** 320,340 ****
  //		}

! 		protected EndOfDayDateTime now()
  		{
! 			return this.account.EndOfDayTimer.GetCurrentTime();
  		}
  		private void updateReturnIntervals()
  		{
! 			EndOfDayDateTime currentEndOfDayDateTime = this.now();
  			if ( this.returnIntervals.Count == 0 )
  				// no interval has been added yet
  				this.returnIntervals.AppendFirstInterval(
! 					currentEndOfDayDateTime );
  			else
  				// at least one interval has already been added
! 				if ( this.returnIntervals.LastEndOfDayDateTime.IsLessThanOrEqualTo(
! 				currentEndOfDayDateTime ) )
  				this.returnIntervals.AppendIntervalsToGoJustBeyond(
! 					currentEndOfDayDateTime );
  		}
  		protected ReturnInterval lastIntervalAppended()
--- 338,359 ----
  //		}

! 		protected DateTime now()
  		{
! 			DateTime simulatedDateTime =
! 				this.account.Timer.GetCurrentDateTime();
! 			return simulatedDateTime;
  		}
  		private void updateReturnIntervals()
  		{
! 			DateTime currentDateTime = this.now();
  			if ( this.returnIntervals.Count == 0 )
  				// no interval has been added yet
  				this.returnIntervals.AppendFirstInterval(
! 					currentDateTime );
  			else
  				// at least one interval has already been added
! 				if ( this.returnIntervals.LastDateTime <= currentDateTime )
  				this.returnIntervals.AppendIntervalsToGoJustBeyond(
! 					currentDateTime );
  		}
  		protected ReturnInterval lastIntervalAppended()

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies BasicEndOfDayS

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies BasicEndOfDayStrategyForBacktester.cs, 1.7, 1.8