[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalAdjustedBarProvider.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-serv13461/b4_Business/a07_DataProviders

Added Files:
	HistoricalAdjustedBarProvider.cs 
Log Message:
Returns adjusted historical intraday market values

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

HistoricalAdjustedBarProvider.cs
Copyright (C) 2009
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;
using QuantProject.Data.DataProviders.Bars;

namespace QuantProject.Business.DataProviders
{
	/// <summary>
	/// Returns adjusted historical intraday market values
	/// </summary>
	public class HistoricalAdjustedBarProvider : HistoricalMarketValueProvider
	{
		private HistoricalBarProvider historicalBarProvider;
		private HistoricalRawQuoteProvider historicalRawQuoteProvider;
		private HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
		
		public HistoricalAdjustedBarProvider(
			HistoricalBarProvider historicalBarProvider ,
			HistoricalRawQuoteProvider historicalRawQuoteProvider ,
			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider )
		{
			this.historicalBarProvider = historicalBarProvider;
			this.historicalRawQuoteProvider = historicalRawQuoteProvider;
			this.historicalAdjustedQuoteProvider = historicalAdjustedQuoteProvider;
		}
		
		protected override string getDescription()
		{
			return "adjustedBarProvider";
		}
		
		#region GetMarketValue
		
		private double getAdjustmenFactor( string ticker ,	DateTime dateTime )
		{
			DateTime marketCloseDateTime = HistoricalEndOfDayTimer.GetMarketClose( dateTime );
			double rawClose = this.historicalRawQuoteProvider.GetMarketValue(
				ticker , marketCloseDateTime );
			double adjustedClose = this.historicalAdjustedQuoteProvider.GetMarketValue(
				ticker , marketCloseDateTime );
			double adjustmentFactor = adjustedClose / rawClose;
			return adjustmentFactor;
		}
		public override double GetMarketValue(	string ticker ,	DateTime dateTime )
		{
			double adjustmentFactor = this.getAdjustmenFactor( ticker , dateTime );
			double marketValue = double.NaN;
			try
			{
				marketValue = this.historicalBarProvider.GetMarketValue(
					ticker , dateTime ) * adjustmentFactor;
			}
			catch( MissingBarException missingBarException )
			{
				string forBreakPoint = missingBarException.Message; forBreakPoint += " ";
				throw new TickerNotExchangedException( ticker , dateTime );
			}
			return marketValue;
		}
		#endregion GetMarketValue
		
		public override bool WasExchanged( string ticker, DateTime dateTime )
		{
			bool wasExchanged =
				this.historicalBarProvider.WasExchanged( ticker , dateTime );
			return wasExchanged;
		}
	}
}