[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalMarketValueProviderWithQuoteBackupOnClose.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv12942/a07_DataProviders

Added Files:
	HistoricalMarketValueProviderWithQuoteBackupOnClose.cs 
Log Message:
Returns market values from the given historicalMarketValueProvider, but if the requested market value is at market close, and the historicalMarketValueProvider doesn't have that quote, than the raw close is returned (from the quotes table)

--- NEW FILE: HistoricalMarketValueProviderWithQuoteBackupOnClose.cs ---
/*
QuantProject - Quantitative Finance Library

HistoricalMarketValueProviderWithQuoteBackupOnClose.cs
Copyright (C) 2008
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
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 QuantProject.Business.Timing;

namespace QuantProject.Business.DataProviders
{
	/// <summary>
	/// Returns market values from the given historicalMarketValueProvider, but
	/// if the requested market value is at market close, and the
	/// historicalMarketValueProvider doesn't have that quote, than
	/// the raw close is returned (from the quotes table)
	/// </summary>
	[Serializable]
	public class HistoricalMarketValueProviderWithQuoteBackupOnClose :
		HistoricalMarketValueProvider
	{
		private HistoricalMarketValueProvider historicalMarketValueProvider;
		
		private HistoricalRawQuoteProvider historicalRawQuoteProvider;
		
		public HistoricalMarketValueProviderWithQuoteBackupOnClose(
			HistoricalMarketValueProvider historicalMarketValueProvider )
		{
			this.historicalMarketValueProvider = historicalMarketValueProvider;
			
			this.historicalRawQuoteProvider = new HistoricalRawQuoteProvider();
		}
		
		protected override string getDescription()
		{
			string description =
				this.historicalMarketValueProvider.Description + "_whtBckpOnCls";
			return description;
		}

		#region GetMarketValue
		private double getRawCloseIfTheCase( string ticker , DateTime dateTime )
		{
			double marketValue = double.NaN;
			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
				// dateTime is at market close
				marketValue = this.historicalRawQuoteProvider.GetMarketValue(
					ticker , dateTime );
			else
				// dateTime is not at market close
				throw new TickerNotExchangedException( ticker , dateTime );
			return marketValue;
		}
		public override double GetMarketValue( string ticker , DateTime dateTime )
		{
			double marketValue;
			if ( this.historicalMarketValueProvider.WasExchanged( ticker , dateTime ) )
				marketValue = this.historicalMarketValueProvider.GetMarketValue(
					ticker , dateTime );
			else
				// this.historicalMarketValueProvider doesn't have a market value for
				// the given ticker, at the given dateTime
				marketValue = this.getRawCloseIfTheCase( ticker , dateTime );
			return marketValue;
		}
		#endregion GetMarketValue
			
		
		#region WasExchanged
		
		private bool isRawCloseAnAvailableBackup( string ticker , DateTime dateTime )
		{
			bool isBackupAvailable = HistoricalEndOfDayTimer.IsMarketClose( dateTime );
			isBackupAvailable = isBackupAvailable &&
				this.historicalRawQuoteProvider.WasExchanged( ticker , dateTime );
			return isBackupAvailable;
		}
		public override bool WasExchanged( string ticker , DateTime dateTime )
		{
			bool wasExchanged = this.historicalMarketValueProvider.WasExchanged(
				ticker , dateTime );
			wasExchanged = wasExchanged ||
				this.isRawCloseAnAvailableBackup( ticker , dateTime );
			return wasExchanged;
		}
		#endregion WasExchanged
	}
}