[Quantproject-developers] QuantProject/b4_Business/a05_Timing IndexBasedEndOfDayTimer.cs, 1.9, 1.10

SourceForge Headquarters 1320 Columbia Street Suite 310 San Diego, CA 92101 +1 (858) 422-6466

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19753/b4_Business/a05_Timing

Modified Files:
	IndexBasedEndOfDayTimer.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: IndexBasedEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/IndexBasedEndOfDayTimer.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** IndexBasedEndOfDayTimer.cs	14 Jan 2008 23:21:03 -0000	1.9
--- IndexBasedEndOfDayTimer.cs	29 Sep 2008 21:22:45 -0000	1.10
***************
*** 3,7 ****

  IndexBasedEndOfDayTimer.cs
! Copyright (C) 2003 
  Marco Milletti

--- 3,7 ----

  IndexBasedEndOfDayTimer.cs
! Copyright (C) 2003
  Marco Milletti

***************
*** 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;
  using System.Collections;
--- 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;
  using System.Collections;
***************
*** 30,35 ****
  {
  	/// <summary>
! 	/// IEndOfDayTimer implementation using a market index as the base
! 	/// for time walking simulation
  	/// </summary>
  	[Serializable]
--- 30,36 ----
  {
  	/// <summary>
! 	/// ITimer implementation using a market index as the base
! 	/// for time walking simulation; end of day timing events are risen
! 	/// only for those days when the index is traded
  	/// </summary>
  	[Serializable]
***************
*** 37,132 ****
  	{
  		private string marketIndex;
!     public string MarketIndex
!     {
!       get	{	return this.marketIndex;	}
!     }
!     
!     private Quotes indexQuotes;
!     public Quotes IndexQuotes
!     {
!       get { return this.indexQuotes;  }
!     }

!     private int currentDateArrayPosition;
!     public int CurrentDateArrayPosition
!     {
!       get { return this.currentDateArrayPosition ;  }
!     }

!     private void indexBasedEndOfDayTimer( EndOfDayDateTime startDateTime,
!                                           string marketIndex)
!     {
!       this.marketIndex = marketIndex;
!       if ( this.indexQuotes.Rows.Count == 0 )
!       {
!         string errorMessage = "IndexBasedEndOfDayTimer error: the given " +
!           "index (" + marketIndex + ") has no quotes in the interval.";
!         throw new Exception( errorMessage );
!       }
!       this.StartDateTime = 
!         new EndOfDayDateTime(this.indexQuotes.GetQuoteDateOrFollowing(this.StartDateTime.DateTime),
!         EndOfDaySpecificTime.MarketOpen);
!       this.tickers = new Hashtable();
!       this.currentDateArrayPosition = 0;
!     }

!     public IndexBasedEndOfDayTimer( EndOfDayDateTime startDateTime,
!                                     string marketIndex): base(startDateTime)
  		{
! 			this.indexQuotes = new Quotes(marketIndex,startDateTime.DateTime,DateTime.Now);
!       this.indexBasedEndOfDayTimer(startDateTime, marketIndex);
  		}
-     
-     public IndexBasedEndOfDayTimer( EndOfDayDateTime startDateTime,
-                                     EndOfDayDateTime endDateTime,
-                                     string marketIndex): base(startDateTime)
-     {
-       this.indexQuotes = new Quotes(marketIndex,startDateTime.DateTime,endDateTime.DateTime.AddDays(10));
-       this.indexBasedEndOfDayTimer(startDateTime, marketIndex);
-     }

!     /// <summary>
! 		/// Starts the time walking simulation, based on index's dates
! 		/// </summary>
! 		public override void Start()
  		{
! 			base.activeTimer();
! 			while ( this.isActive )
  			{
!         base.callEvents();
! 				this.moveNext();
  			}
  		}
-     //move the current endOfDayDateTime to the next moment
-     //at which the market is surely open
-     protected override void moveNext()
-     {
-       EndOfDaySpecificTime nextSpecificTime = this.currentTime.GetNextEndOfDaySpecificTime();
-       if ( nextSpecificTime < this.currentTime.EndOfDaySpecificTime )
-       {
-         // the current end of day specific time is the last end of day specific time in the day
-         this.currentTime.DateTime =
-                         this.indexQuotes.GetFollowingDate(this.currentTime.DateTime, 1);
-         this.currentDateArrayPosition++;
-       }
-       this.currentTime.EndOfDaySpecificTime = nextSpecificTime;
-       
-     }
-     /// <summary>
-     /// Gets the previous index based date time
-     /// </summary>
-     public DateTime GetPreviousDateTime()
-     {
-       return this.indexQuotes.GetPrecedingDate(this.currentTime.DateTime,1);
-     }
-     /// <summary>
-     /// Gets the date time that is 'precedingDays' days before
-     /// the current date time of the current timer
-     /// </summary>
-     public DateTime GetPreviousDateTime(int precedingDays)
-     {
-       return this.indexQuotes.GetPrecedingDate(
-     		this.currentTime.DateTime,precedingDays);
-     }

  	}
--- 38,173 ----
  	{
  		private string marketIndex;
! 		public string MarketIndex
! 		{
! 			get	{	return this.marketIndex;	}
! 		}

! 		private Quotes indexQuotes;
! 		public Quotes IndexQuotes
! 		{
! 			get { return this.indexQuotes;  }
! 		}
! 		
! 		private int currentDateArrayPosition;
! 		public int CurrentDateArrayPosition
! 		{
! 			get { return this.currentDateArrayPosition ;  }
! 		}

! 		
! 		#region commonInitialization
! 		private void indexBasedEndOfDayTimer(
! 			DateTime startDateTime, string marketIndex)
! 		{
! 			this.marketIndex = marketIndex;
! 			if ( this.indexQuotes.Rows.Count == 0 )
! 			{
! 				string errorMessage = "IndexBasedEndOfDayTimer error: the given " +
! 					"index (" + marketIndex + ") has no quotes in the interval.";
! 				throw new Exception( errorMessage );
! 			}
! 			this.StartDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( startDateTime );
! 			this.tickers = new Hashtable();
! 			this.currentDateArrayPosition = 0;
! 		}
! 		private void commonInitialization(
! 			string marketIndex ,
! 			DateTime startDateTime ,
! 			DateTime endDateTime )
! 		{
! 			DateTime startDate =
! 				ExtendedDateTime.GetDate( startDateTime );
! 			this.indexQuotes = new Quotes(marketIndex,startDate,DateTime.Now);
! 			this.indexBasedEndOfDayTimer(startDateTime, marketIndex);
! 		}
! 		#endregion commonInitialization

! 		public IndexBasedEndOfDayTimer(
! 			DateTime startDateTime,
! 			string marketIndex): base(startDateTime)
  		{
! 			this.commonInitialization( marketIndex,startDateTime,DateTime.Now );
  		}

! 		public IndexBasedEndOfDayTimer(
! 			DateTime startDateTime,
! 			DateTime endDateTime,
! 			string marketIndex): base(startDateTime)
  		{
! 			this.commonInitialization( marketIndex,startDateTime,endDateTime.AddDays(10) );
! 		}
! 		
! //		/// <summary>
! //		/// Starts the time walking simulation, based on index's dates
! //		/// </summary>
! //		public override void Start()
! //		{
! //			base.activateTimer();
! //			while ( this.isActive )
! //			{
! //				base.callEvents();
! //				this.moveNext();
! //			}
! //		}
! 		
! 		#region moveNext
! 		private void moveNext_with_currentDateTime_properlyInitialized()
! 		{
! 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose(
! 				this.currentDateTime ) )
  			{
! 				// current time is the last end of day event for the day
! 				DateTime followingDateForIndex =
! 					this.indexQuotes.GetFollowingDate(this.currentDateTime, 1);
! 				this.currentDateTime =
! 					HistoricalEndOfDayTimer.GetMarketOpen( followingDateForIndex );
! 				this.currentDateArrayPosition++;
  			}
+ 			else
+ 				// current time is the last end of day event for the day
+ 				base.moveNext();
+ 				
+ //			this.currentDateTime =
+ //				HistoricalEndOfDayTimer.ge
+ //			EndOfDaySpecificTime nextSpecificTime = this.currentTime.GetNextEndOfDaySpecificTime();
+ //			if ( nextSpecificTime < this.currentTime.EndOfDaySpecificTime )
+ //			{
+ //				// the current end of day specific time is the last end of day specific time in the day
+ //				this.currentTime.DateTime =
+ //					this.indexQuotes.GetFollowingDate(this.currentTime.DateTime, 1);
+ //				this.currentDateArrayPosition++;
+ //			}
+ //			this.currentTime.EndOfDaySpecificTime = nextSpecificTime;
+ 		}
+ 		//move the current endOfDayDateTime to the next moment
+ 		//at which the market is surely open
+ 		protected override void moveNext()
+ 		{
+ 			DateTime dateTimeForTheFirstStep =
+ 				HistoricalEndOfDayTimer.GetMarketOpen(
+ 			    	this.indexQuotes.StartDate );
+ 			if ( this.currentDateTime < dateTimeForTheFirstStep )
+ 				this.currentDateTime = dateTimeForTheFirstStep;
+ 			this.moveNext_with_currentDateTime_properlyInitialized();
+ 		}
+ 		#endregion moveNext
+ 		
+ 		/// <summary>
+ 		/// Gets the previous index based date time
+ 		/// </summary>
+ 		public DateTime GetPreviousDateTime()
+ 		{
+ 			return this.indexQuotes.GetPrecedingDate(this.currentDateTime,1);
+ 		}
+ 		/// <summary>
+ 		/// Gets the date time that is 'precedingDays' days before
+ 		/// the current date time of the current timer
+ 		/// </summary>
+ 		public DateTime GetPreviousDateTime(int precedingDays)
+ 		{
+ 			return this.indexQuotes.GetPrecedingDate(
+ 				this.currentDateTime,precedingDays);
  		}

  	}