[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward TsMSFTwalkForward.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18225

Modified Files:
	TsMSFTwalkForward.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: TsMSFTwalkForward.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward/TsMSFTwalkForward.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** TsMSFTwalkForward.cs	29 Nov 2004 17:36:31 -0000	1.2
--- TsMSFTwalkForward.cs	29 Sep 2008 21:20:26 -0000	1.3
***************
*** 3,7 ****
  
  TsMSFTsimpleTest.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  TsMSFTsimpleTest.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;
***************
*** 26,29 ****
--- 26,30 ----
  using QuantProject.ADT.Histories;
  using QuantProject.ADT.Optimizing;
+ using QuantProject.Data.DataProviders.Quotes;
  using QuantProject.Business.Financial.Instruments;
  using QuantProject.Business.Financial.Ordering;
***************
*** 45,87 ****
  		}
  
!     private History microsoftCloseHistory;
!     private History microsoftCloseHistorySMA;
  
!     public override void InitializeData()
!     {
!       Parameter parameter = (Parameter) this.Parameters[ "SMAdays" ];
!       microsoftCloseHistory = QuoteCache.GetCloseHistory( "MSFT" );
!       microsoftCloseHistorySMA = microsoftCloseHistory.GetSimpleMovingAverage( (int) parameter.Value );
!     }
  
!     public override Signals GetSignals( ExtendedDateTime extendedDateTime )
!     {
!       Signals signals = new Signals();
!       if ( extendedDateTime.BarComponent == BarComponent.Close )
!       {
!         Signal signal = new Signal();
!         if ( microsoftCloseHistory.Cross( microsoftCloseHistorySMA ,
!           extendedDateTime.DateTime ) )
!         {
!           signal.Add( new Order( OrderType.MarketBuy , new Instrument( "MSFT" ) , 1 ,
!             new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
!             EndOfDaySpecificTime.MarketOpen ) ) );
!           signals.Add( signal );
!         }
!         else
!         {
!           if ( microsoftCloseHistorySMA.Cross( microsoftCloseHistory ,
!             extendedDateTime.DateTime ) )
!           {
!             signal.Add( new Order( OrderType.MarketSell , new Instrument( "MSFT" ) , 1 ,
!               new EndOfDayDateTime(
!               new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
!               EndOfDaySpecificTime.MarketOpen ) ) );
!             signals.Add( signal );
!           }
!         }
!       }
!       return signals;
!     }
  	}
  }
--- 46,99 ----
  		}
  
! 		private History microsoftCloseHistory;
! 		private History microsoftCloseHistorySMA;
  
! 		public override void InitializeData()
! 		{
! 			Parameter parameter = (Parameter) this.Parameters[ "SMAdays" ];
! 			microsoftCloseHistory = HistoricalQuotesProvider.GetCloseHistory( "MSFT" );
! 			microsoftCloseHistorySMA = microsoftCloseHistory.GetSimpleMovingAverage( (int) parameter.Value );
! 		}
  
! 		public override Signals GetSignals( DateTime dateTime )
! 		{
! 			Signals signals = new Signals();
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! //			if ( dateTime.BarComponent == BarComponent.Close )
! 			{
! 				Signal signal = new Signal();
! 				if ( microsoftCloseHistory.Cross( microsoftCloseHistorySMA ,
! 				                                 dateTime ) )
! 				{
! 					signal.Add(
! 						new Order(
! 							OrderType.MarketBuy , new Instrument( "MSFT" ) , 1 ,
! 							HistoricalEndOfDayTimer.GetMarketOpen(
! 								new Instrument( "MSFT" ).GetNextMarketDay(
! 									dateTime ) ) ) );
! //							new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( dateTime.DateTime ) ,
! //							                     EndOfDaySpecificTime.MarketOpen ) ) );
! 					signals.Add( signal );
! 				}
! 				else
! 				{
! 					if ( microsoftCloseHistorySMA.Cross( microsoftCloseHistory ,
! 					                                    dateTime ) )
! 					{
! 						signal.Add(
! 							new Order(
! 								OrderType.MarketSell , new Instrument( "MSFT" ) , 1 ,
! 								HistoricalEndOfDayTimer.GetMarketOpen(
! 									new Instrument( "MSFT" ).GetNextMarketDay(
! 										dateTime ) ) ) );
! //								new EndOfDayDateTime(
! //									new Instrument( "MSFT" ).GetNextMarketDay( dateTime.DateTime ) ,
! //									EndOfDaySpecificTime.MarketOpen ) ) );
! 						signals.Add( signal );
! 					}
! 				}
! 			}
! 			return signals;
! 		}
  	}
  }