[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByLiquidity.cs, 1.3, 1.4

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Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv4337/b3_Data/Selectors

Modified Files:
	SelectorByLiquidity.cs 
Log Message:
Added the new parameter numOfTopRowsToDelete to the SelectorByLiquidity:
now it is possible to select not only the most or the less liquid tickers,
but also tickers with a medium liquidity (by setting the number of top rows,
that is the less or most liquid tickers, that have to be deleted from the
resulting table, leaving only the desired n tickers)

Index: SelectorByLiquidity.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByLiquidity.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** SelectorByLiquidity.cs	17 Sep 2006 21:36:09 -0000	1.3
--- SelectorByLiquidity.cs	29 Mar 2009 18:35:36 -0000	1.4
***************
*** 35,99 ****
     public class SelectorByLiquidity : TickerSelector, ITickerSelector 
    {
! 		 private long minVolume = long.MinValue;
!         
      
      public SelectorByLiquidity(DataTable setOfTickersToBeSelected, 
                                 bool orderInASCmode,
                                 DateTime firstQuoteDate,
                                 DateTime lastQuoteDate,
                                 long maxNumOfReturnedTickers):
!                                     base(setOfTickersToBeSelected, 
!                                          orderInASCmode,
! 			firstQuoteDate,
! 			lastQuoteDate,
! 			maxNumOfReturnedTickers)
  		{
!      
  		}
!      public SelectorByLiquidity(DataTable setOfTickersToBeSelected, 
!        bool orderInASCmode,
!        DateTime firstQuoteDate,
!        DateTime lastQuoteDate,
!        long minVolume,
!        long maxNumOfReturnedTickers):
!                                     base(setOfTickersToBeSelected, 
!                                     orderInASCmode,
!                                     firstQuoteDate,
!                                     lastQuoteDate,
!                                     maxNumOfReturnedTickers)
!      {
!         this.minVolume = minVolume;
!      }
! 
!      public SelectorByLiquidity(string groupID, 
! 			 bool orderInASCmode,
! 			 DateTime firstQuoteDate,
! 			 DateTime lastQuoteDate,
! 			 long maxNumOfReturnedTickers):
! 			 base(groupID, 
! 			 orderInASCmode,
! 			 firstQuoteDate,
! 			 lastQuoteDate,
! 			 maxNumOfReturnedTickers)
! 		 {
!      
! 		 }
! 
! 		 public SelectorByLiquidity(string groupID, 
! 			 bool orderInASCmode,
! 			 DateTime firstQuoteDate,
! 			 DateTime lastQuoteDate,
! 			 long minVolume ,
! 			 long maxNumOfReturnedTickers ):
! 			 base(groupID, 
! 			 orderInASCmode,
! 			 firstQuoteDate,
! 			 lastQuoteDate,
! 			 maxNumOfReturnedTickers)
! 		 {
! 			 this.minVolume = minVolume;
! 		 }
! 
! 
      public DataTable GetTableOfSelectedTickers()
      {
--- 35,202 ----
     public class SelectorByLiquidity : TickerSelector, ITickerSelector 
    {
! 		private long minVolume;
! 		private long numberOfTopRowsToDelete;
      
+ 		#region SelectorByLiquidity Constructors
+ 		
+ 		private void selectorByLiquidity_checkParameters(DataTable setOfTickersToBeSelected,
+ 		                                                 long maxNumOfReturnedTickers,
+                                											 long numberOfTopRowsToDelete)
+ 		{
+ 			if( (int)maxNumOfReturnedTickers+(int)numberOfTopRowsToDelete > 
+ 			   setOfTickersToBeSelected.Rows.Count )
+ 				throw new Exception("parameters maxNumOfReturnedTickers=" + maxNumOfReturnedTickers.ToString() +
+ 				                    " and numberOfTopRowsToDelete=" + numberOfTopRowsToDelete.ToString() +
+ 				                    " are too high " +
+ 				                    "for the given setOfTickersToBeSelected (num of rows: " +
+ 				                    setOfTickersToBeSelected.Rows.Count.ToString() + ")");
+ 		}
+ 		
+ 		/// <summary>
+ 		/// ITickerSelector class for selecting tickers 
+ 		/// by liquidity
+ 		/// </summary>
+ 		/// <param name="setOfTickersToBeSelected">DataTable containing
+ 		/// tickers that have to be selected</param>
+ 		/// <param name="orderInASCmode">If true, returned tickers
+ 		/// are ordered in Ascending mode - from less to most. If false
+ 		/// , returned tickers are ordered in descending mode - from most to less</param>
+ 		/// <param name="firstQuoteDate"></param>
+ 		/// <param name="lastQuoteDate"></param>
+ 		/// <param name="maxNumOfReturnedTickers">Max number of selected
+ 		/// tickers to be returned</param>
+ 		/// <param name="numberOfTopRowsToDelete">Number of top rows that have to be
+ 		/// deleted from the returned table. In other words,
+ 		/// max number of selected tickers are chosen after skipping the
+ 		/// first "numberOfTopRowsToDelete" rows from the tickers' table
+ 		/// resulting from selection by liquidity on the given initial
+ 		/// set of tickers 
+ 		/// </param>
+ 		/// <returns></returns>
      public SelectorByLiquidity(DataTable setOfTickersToBeSelected, 
                                 bool orderInASCmode,
                                 DateTime firstQuoteDate,
                                 DateTime lastQuoteDate,
+                                long maxNumOfReturnedTickers,
+                                long numberOfTopRowsToDelete):
+                           base(setOfTickersToBeSelected, 
+                                orderInASCmode,
+ 															 firstQuoteDate,
+ 															 lastQuoteDate,
+ 															 maxNumOfReturnedTickers)
+ 		{
+     	this.selectorByLiquidity_checkParameters(setOfTickersToBeSelected,
+ 		 	                                         maxNumOfReturnedTickers,
+ 		 	                                         numberOfTopRowsToDelete);
+ 			this.minVolume = long.MinValue;
+ 		 	this.numberOfTopRowsToDelete = numberOfTopRowsToDelete;
+ 		}
+     /// <summary>
+ 		/// ITickerSelector class for selecting tickers 
+ 		/// by liquidity
+ 		/// </summary>
+ 		/// <param name="setOfTickersToBeSelected">DataTable containing
+ 		/// tickers that have to be selected</param>
+ 		/// <param name="orderInASCmode">If true, returned tickers
+ 		/// are ordered in Ascending mode - from less to most. If false
+ 		/// , returned tickers are ordered in descending mode - from most to less</param>
+ 		/// <param name="firstQuoteDate"></param>
+ 		/// <param name="lastQuoteDate"></param>
+ 		/// <param name="minVolume">Filter by volume: only tickers having
+ 		/// average volume >= minVolume in the given period are selected</param>
+ 		/// <param name="maxNumOfReturnedTickers">Max number of selected
+ 		/// tickers to be returned</param>
+ 		/// <param name="numberOfTopRowsToDelete">Number of top rows that have to be
+ 		/// deleted from the returned table. In other words,
+ 		/// max number of selected tickers are chosen after skipping the
+ 		/// first "numberOfTopRowsToDelete" rows from the tickers' table
+ 		/// resulting from selection by liquidity on the given initial
+ 		/// set of tickers 
+ 		/// </param>
+ 		/// <returns></returns>
+ 		public SelectorByLiquidity(DataTable setOfTickersToBeSelected,
+ 													     bool orderInASCmode,
+ 													     DateTime firstQuoteDate,
+ 													     DateTime lastQuoteDate,
+ 													     long minVolume,
+ 													     long maxNumOfReturnedTickers,
+ 													     long numberOfTopRowsToDelete):
+                           base(setOfTickersToBeSelected, 
+ 		                           orderInASCmode,
+ 		                           firstQuoteDate,
+ 		                           lastQuoteDate,
+ 		                           maxNumOfReturnedTickers)
+     {
+     	this.selectorByLiquidity_checkParameters(setOfTickersToBeSelected,
+ 		 	                                         maxNumOfReturnedTickers,
+ 		 	                                         numberOfTopRowsToDelete);
+ 			this.minVolume = minVolume;
+       this.numberOfTopRowsToDelete = numberOfTopRowsToDelete;
+     }
+ 		public SelectorByLiquidity(DataTable setOfTickersToBeSelected, 
+                                bool orderInASCmode,
+                                DateTime firstQuoteDate,
+                                DateTime lastQuoteDate,
                                 long maxNumOfReturnedTickers):
!                           base(setOfTickersToBeSelected, 
!                                orderInASCmode,
! 															 firstQuoteDate,
! 															 lastQuoteDate,
! 															 maxNumOfReturnedTickers)
  		{
!     	this.selectorByLiquidity_checkParameters(setOfTickersToBeSelected,
! 		 	                                         maxNumOfReturnedTickers,
! 		 	                                         0);
! 			this.minVolume = long.MinValue;
! 		 	this.numberOfTopRowsToDelete = 0;
  		}
!     public SelectorByLiquidity(DataTable setOfTickersToBeSelected, 
! 												       bool orderInASCmode,
! 												       long minVolume,
! 												       DateTime firstQuoteDate,
! 												       DateTime lastQuoteDate,
! 												       long maxNumOfReturnedTickers):
!                           base(setOfTickersToBeSelected, 
!                           		 orderInASCmode,
!                           		 firstQuoteDate,
!                           		 lastQuoteDate,
!                           		 maxNumOfReturnedTickers)
!     {
!     	this.selectorByLiquidity_checkParameters(setOfTickersToBeSelected,
! 		 	                                         maxNumOfReturnedTickers,
! 		 	                                         0);
! 			this.minVolume = minVolume;
!       this.numberOfTopRowsToDelete = 0;
!     }
!     public SelectorByLiquidity(string groupID, 
! 															 bool orderInASCmode,
! 															 DateTime firstQuoteDate,
! 															 DateTime lastQuoteDate,
! 															 long maxNumOfReturnedTickers):
! 													base(groupID, 
! 												 			 orderInASCmode,
! 												 			 firstQuoteDate,
! 												  		 lastQuoteDate,
! 												 			 maxNumOfReturnedTickers)
! 		{
!     	this.minVolume = long.MinValue;
! 		}
! 		public SelectorByLiquidity(string groupID, 
! 															 bool orderInASCmode,
! 															 DateTime firstQuoteDate,
! 															 DateTime lastQuoteDate,
! 															 long minVolume ,
! 															 long maxNumOfReturnedTickers ):
! 												  base(groupID, 
! 												 			 orderInASCmode,
! 												 			 firstQuoteDate,
! 												 			 lastQuoteDate,
! 												 			 maxNumOfReturnedTickers)
! 		{
! 			this.minVolume = minVolume;
! 		}
! 		
! 		#endregion SelectorByLiquidityConstructors
! 		
      public DataTable GetTableOfSelectedTickers()
      {
***************
*** 130,134 ****
              this.lastQuoteDate,
              this.minVolume,
!             this.maxNumOfReturnedTickers);
          else
            returnTickers =
--- 233,238 ----
              this.lastQuoteDate,
              this.minVolume,
!             this.maxNumOfReturnedTickers,
!             this.numberOfTopRowsToDelete);
          else
            returnTickers =
***************
*** 137,149 ****
              this.firstQuoteDate,
              this.lastQuoteDate,
!             this.maxNumOfReturnedTickers);
        }
        return returnTickers;
  		}
! 		 public void SelectAllTickers()
! 		 {
! 			 ;
! 		 }	
! 
! 	 }
  }
--- 241,253 ----
              this.firstQuoteDate,
              this.lastQuoteDate,
!             this.maxNumOfReturnedTickers,
!             this.numberOfTopRowsToDelete);
        }
        return returnTickers;
  		}
! 		public void SelectAllTickers()
! 		{
! 			;
! 		}	
! 	}
  }