[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooserForAlreadyClosing.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv22608/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooserForAlreadyClosing.cs 
Log Message:
Chooses two positions that seem to be an arbitrage opportunity.
The measured inefficiency must be seen to have narrowed now, before giving the entry signal.
Among the eligible couples, a couple is discarded if any of the two tickers have had a either split, or dividend, or any other event that may have caused an overnight price adjustment

Index: OutOfSampleChooserForAlreadyClosing.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooserForAlreadyClosing.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OutOfSampleChooserForAlreadyClosing.cs	18 Feb 2009 20:05:33 -0000	1.1
--- OutOfSampleChooserForAlreadyClosing.cs	28 Feb 2009 18:38:05 -0000	1.2
***************
*** 3,7 ****
  
  OutOfSampleChooserForAlreadyClosing.cs
! Copyright (C) 2008
  Glauco Siliprandi
  
--- 3,7 ----
  
  OutOfSampleChooserForAlreadyClosing.cs
! Copyright (C) 2009
  Glauco Siliprandi
  
***************
*** 23,28 ****
--- 23,32 ----
  using System;
  
+ using QuantProject.ADT.Timing;
+ using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Strategies.ReturnsManagement;
+ using QuantProject.Business.Strategies.ReturnsManagement.Time;
+ using QuantProject.Business.Timing;
  
  namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
***************
*** 30,34 ****
  	/// <summary>
  	/// Chooses two positions that seem to be an arbitrage opportunity.
! 	/// Among the eligible couples, a couple is discard if any of the two tickers
  	/// have had a either split, or dividend, or any other event that may
  	/// have caused an overnight price adjustment
--- 34,40 ----
  	/// <summary>
  	/// Chooses two positions that seem to be an arbitrage opportunity.
! 	/// The measured inefficiency must be seen to have narrowed now, before
! 	/// giving the entry signal.
! 	/// Among the eligible couples, a couple is discarded if any of the two tickers
  	/// have had a either split, or dividend, or any other event that may
  	/// have caused an overnight price adjustment
***************
*** 38,42 ****
  		OutOfSampleChooserForSingleLongAndShort
  	{
! 		private int numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing;
  		
  		public OutOfSampleChooserForAlreadyClosing(
--- 44,50 ----
  		OutOfSampleChooserForSingleLongAndShort
  	{
! 		private IInefficiencyCorrectionDetector inefficiencyCorrectionDetector;
! 		
! 		private PriceAdjustmentDetector adjustmentDetector;
  		
  		public OutOfSampleChooserForAlreadyClosing(
***************
*** 45,50 ****
  			double minThresholdForGoingShort ,
  			double maxThresholdForGoingShort ,
! 			int numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing ) :
  			base(
  				minThresholdForGoingLong ,
  				maxThresholdForGoingLong ,
--- 53,59 ----
  			double minThresholdForGoingShort ,
  			double maxThresholdForGoingShort ,
! 			IInefficiencyCorrectionDetector inefficiencyCorrectionDetector ) :
  			base(
+ 				new Time( 1 , 0 , 0 ) ,  // dummy parameter, not used by this derived class
  				minThresholdForGoingLong ,
  				maxThresholdForGoingLong ,
***************
*** 52,97 ****
  				maxThresholdForGoingShort )
  		{
! 			this.numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing =
! 				numberOfConsecutiveMinutesToSayTheInefficiencyIsClosing;
  		}
  		
  		#region getPositionsFromCandidate
  		
! 		#region hasThePriceBeenAdjustedLastNight
! 		private bool hasThePriceBeenAdjustedLastNight( WeightedPositions candidate )
  		{
! 			// qui!!!
! 			return false;
  		}
! 		#endregion hasThePriceBeenAdjustedLastNight
  		
  		#region getWeightedPositionsFromCandidateWithoutAdjustment
  		private WeightedPositions getWeightedPositionsFromCandidateWithoutAdjustment(
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  			WeightedPositions candidate )
  		{
! //			qui!!!!
! //			vedi OutOfSampleChooser.getWeightedPositionsFromCandidate(),
! //			testa l'inefficienza allo stesso modo, ma poi aggiungi il test
! //				per vedere se c'e' l'inizio di chiusura; devi considerare
! //				il passaggio dei tempi: probabilmente ti converra' modificare
! //				OutOfSampleChooserForSingleLongAndShort e passargli
! //				firstTimeToTestInefficiency nel costruttore per poi modificare
! //				OutOfSampleChooser.GetPositionsToBeOpened() togliendo i
! //				parametri firstDateTimeToTestInefficiency e dateTimeToClosePositions
! 			// qui!!!
! 			return candidate;
  		}
  		#endregion getWeightedPositionsFromCandidateWithoutAdjustment
  		
! 		protected override WeightedPositions getWeightedPositionsFromCandidate(
  			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  			WeightedPositions candidate )
  		{
  			WeightedPositions weightedPositionsFromCandidate = null;
! 			if ( !this.hasThePriceBeenAdjustedLastNight( candidate ) )
  				weightedPositionsFromCandidate =
  					this.getWeightedPositionsFromCandidateWithoutAdjustment(
! 						returnsManagerForLastSecondPhaseInterval , candidate );
  			return weightedPositionsFromCandidate;
  		}
--- 61,145 ----
  				maxThresholdForGoingShort )
  		{
! 			this.inefficiencyCorrectionDetector = inefficiencyCorrectionDetector;
! 			
! 			this.adjustmentDetector = new PriceAdjustmentDetector();
! 		}
! 		
! 		protected override DateTime getFirstDateTimeToTestInefficiency(DateTime currentDateTime)
! 		{
! 			DateTime yesterdayAtCurrentTime = currentDateTime.AddDays( -1 );
! 			DateTime yesterdayAtClose = HistoricalEndOfDayTimer.GetMarketClose(
! 				yesterdayAtCurrentTime ).AddMinutes( - 1 );  // I'm subtracting 1 minute
! 										// because the bar for 15.59 is there much more often
! 										// and I believe that bar open value to be really
! 										// next to the official close
! 			return yesterdayAtClose;
  		}
  		
  		#region getPositionsFromCandidate
  		
! 		#region hasThePriceBeenAdjustedWithinTheInterval
! 		
! //		private double getAdjustedCloseToCloseReturn( string ticker , ReturnInterval returnInterval )
! //		{
! //			ReturnsManager returnManager = new ReturnsManager(
! //				returnIntervals , this.historicalAdjustedQuoteProvider
! //
! //			}
! 
! 		private bool doWeKnowThePriceHasNotBeenAdjustedWithinTheInterval(
! 			WeightedPositions candidate , ReturnInterval returnInterval	)
  		{
! 			bool doWeKnowNotAdjusted = false;
! 			try
! 			{
! 				doWeKnowNotAdjusted =
! 					(
! 						( !this.adjustmentDetector.HasThePriceBeenAdjusted(
! 							candidate[ 0 ].Ticker , returnInterval.Begin , returnInterval.End ) )
! 						&&
! 						( !this.adjustmentDetector.HasThePriceBeenAdjusted(
! 							candidate[ 1 ].Ticker , returnInterval.Begin , returnInterval.End ) )
! 					);
! 			}
! 			catch( TickerNotExchangedException tickerNotExchangedException )
! 			{
! 				string toAvoidCompileWarning = tickerNotExchangedException.Message;
! 			}
! 			return doWeKnowNotAdjusted;
  		}
! 		#endregion hasThePriceBeenAdjustedWithinTheInterval
  		
  		#region getWeightedPositionsFromCandidateWithoutAdjustment
  		private WeightedPositions getWeightedPositionsFromCandidateWithoutAdjustment(
! 			DateTime currentDateTime ,
! 			ReturnsManager returnsManagerToTestInefficiency ,
  			WeightedPositions candidate )
  		{
! 			WeightedPositions weightedPositions = base.getWeightedPositionsIfThereIsInefficiency(
! 				currentDateTime , returnsManagerToTestInefficiency , candidate );
! 			if ( ( weightedPositions != null ) &&
! 			    this.inefficiencyCorrectionDetector.IsInefficiencyCorrectionHappening(
! 			    	currentDateTime ,
! 			    	returnsManagerToTestInefficiency.ReturnIntervals[ 0 ] ,
! 			    	weightedPositions ) )
! 				// the candidate is inefficient but the gap is closing
! 				weightedPositions = candidate;
! 			return weightedPositions;
  		}
  		#endregion getWeightedPositionsFromCandidateWithoutAdjustment
  		
! 		protected override WeightedPositions getWeightedPositionsIfThereIsInefficiency(
! 			DateTime currentDateTime ,
  			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
  			WeightedPositions candidate )
  		{
  			WeightedPositions weightedPositionsFromCandidate = null;
! 			if ( this.doWeKnowThePriceHasNotBeenAdjustedWithinTheInterval(
! 				candidate ,
! 				returnsManagerForLastSecondPhaseInterval.ReturnIntervals[ 0 ] ) )
  				weightedPositionsFromCandidate =
  					this.getWeightedPositionsFromCandidateWithoutAdjustment(
! 						currentDateTime , returnsManagerForLastSecondPhaseInterval , candidate );
  			return weightedPositionsFromCandidate;
  		}