[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies PairsTradingIntradayStrategy.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv14383/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies

Modified Files:
	PairsTradingIntradayStrategy.cs 
Log Message:
- parameters checking has been added

- a new method
private DateTime getDateTimeToClosePositions()
has been added

Index: PairsTradingIntradayStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies/PairsTradingIntradayStrategy.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** PairsTradingIntradayStrategy.cs	20 Nov 2008 20:57:53 -0000	1.2
--- PairsTradingIntradayStrategy.cs	10 Dec 2008 19:39:53 -0000	1.3
***************
*** 69,72 ****
--- 69,76 ----
  				historicalMarketValueProviderForInSample )
  		{
+ 			this.checkParameters(
+ 				firstTimeToTestInefficiency ,
+ 				lastTimeToTestInefficiency ,
+ 				timeToClosePositions );
  			this.firstTimeToTestInefficiency = firstTimeToTestInefficiency;
  			this.lastTimeToTestInefficiency = lastTimeToTestInefficiency;
***************
*** 77,80 ****
--- 81,97 ----
  		}
  		
+ 		private void checkParameters(
+ 			Time firstTimeToTestInefficiency ,
+ 			Time lastTimeToTestInefficiency ,
+ 			Time timeToClosePositions )
+ 		{
+ 			if ( firstTimeToTestInefficiency >= lastTimeToTestInefficiency )
+ 				throw new Exception(
+ 					"firstTimeToTestInefficiency must come before lastTimeToTestInefficiency" );
+ 			if ( lastTimeToTestInefficiency >= timeToClosePositions )
+ 				throw new Exception(
+ 					"lastTimeToTestInefficiency must come before timeToClosePositions" );
+ 		}
+ 		
  		protected override string getTextIdentifier()
  		{
***************
*** 112,135 ****
  
  		#region getPositionsToBeOpened
! 		private DateTime getFirstDateTimeToTestInefficiency()
  		{
  			DateTime now = this.now();
! 			DateTime firstDateTimeToTestInefficiency = new DateTime(
  				now.Year , now.Month , now.Day ,
! 				this.firstTimeToTestInefficiency.Hour ,
! 				this.firstTimeToTestInefficiency.Minute ,
! 				this.firstTimeToTestInefficiency.Second );
  			return firstDateTimeToTestInefficiency;
  		}
  		private DateTime getLastDateTimeToTestInefficiency()
  		{
! 			DateTime now = this.now();
! 			DateTime lastDateTimeToTestInefficiency = new DateTime(
! 				now.Year , now.Month , now.Day ,
! 				this.lastTimeToTestInefficiency.Hour ,
! 				this.lastTimeToTestInefficiency.Minute ,
! 				this.lastTimeToTestInefficiency.Second );
  			return lastDateTimeToTestInefficiency;
  		}
  		protected override WeightedPositions getPositionsToBeOpened()
  		{
--- 129,170 ----
  
  		#region getPositionsToBeOpened
! 		private DateTime getDateTimeForCurrentDate( Time time )
  		{
  			DateTime now = this.now();
! 			DateTime dateTimeForCurrentDate = new DateTime(
  				now.Year , now.Month , now.Day ,
! 				time.Hour ,	time.Minute , time.Second );
! 			return dateTimeForCurrentDate;
! 		}
! 		private DateTime getFirstDateTimeToTestInefficiency()
! 		{
! //			DateTime now = this.now();
! //			DateTime firstDateTimeToTestInefficiency = new DateTime(
! //				now.Year , now.Month , now.Day ,
! //				this.firstTimeToTestInefficiency.Hour ,
! //				this.firstTimeToTestInefficiency.Minute ,
! //				this.firstTimeToTestInefficiency.Second );
! 			DateTime firstDateTimeToTestInefficiency =
! 				this.getDateTimeForCurrentDate( this.firstTimeToTestInefficiency );
  			return firstDateTimeToTestInefficiency;
  		}
  		private DateTime getLastDateTimeToTestInefficiency()
  		{
! //			DateTime now = this.now();
! //			DateTime lastDateTimeToTestInefficiency = new DateTime(
! //				now.Year , now.Month , now.Day ,
! //				this.lastTimeToTestInefficiency.Hour ,
! //				this.lastTimeToTestInefficiency.Minute ,
! //				this.lastTimeToTestInefficiency.Second );
! 			DateTime lastDateTimeToTestInefficiency =
! 				this.getDateTimeForCurrentDate( this.lastTimeToTestInefficiency );
  			return lastDateTimeToTestInefficiency;
  		}
+ 		private DateTime getDateTimeToClosePositions()
+ 		{
+ 			DateTime dateTimeToClosePositions =
+ 				this.getDateTimeForCurrentDate( this.timeToClosePositions );
+ 			return dateTimeToClosePositions;
+ 		}
  		protected override WeightedPositions getPositionsToBeOpened()
  		{
***************
*** 138,141 ****
--- 173,181 ----
  			DateTime lastDateTimeToTestInefficiency =
  				this.getLastDateTimeToTestInefficiency();
+ 			// attention! we are looking in the future here, but we do it
+ 			// just to avoid picking a ticker for which we don't have
+ 			// the market value when we will close the positions
+ 			DateTime dateTimeToClosePositions =
+ 				this.getDateTimeToClosePositions();
  			WeightedPositions weightedPositions =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
***************
*** 143,146 ****
--- 183,187 ----
  					firstDateTimeToTestInefficiency ,
  					lastDateTimeToTestInefficiency ,
+ 					dateTimeToClosePositions ,
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					this.inSampleReturnsManager );