[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles ByPriceMostLiquidLessVo

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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sfp-cvsdas-2.v30.ch3.sourceforge.com:/tmp/cvs-serv18844/a2_Strategies/Eligibles

Modified Files:
	ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.cs 
Log Message:
The code has been reformatted, and it now follows "standard" indentation

Index: ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.cs	29 Sep 2008 21:14:49 -0000	1.3
--- ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.cs	28 Mar 2010 14:11:44 -0000	1.4
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 42,52 ****
  	/// -step 2: from tickers selected by step 1, the most liquid
  	///  are selected (not more than maxNumberOfMostLiquidTickersToBeChosen);
! 	/// -step 3: from tickers selected by step 2, the ones that are 
  	/// less volatile (OTC returns in the last
  	/// numOfDaysForVolatilityComputation days
! 	/// are analyzed) are selected 
  	/// (not more than maxNumberOfEligibleTickersToBeChosen);
  	/// -step 4: from tickers selected by step 3, the ones that are
! 	/// always quoted at all market days are selected 
  	/// (not more than maxNumberOfEligibleTickersToBeChosen);
  	/// </summary>
--- 42,52 ----
  	/// -step 2: from tickers selected by step 1, the most liquid
  	///  are selected (not more than maxNumberOfMostLiquidTickersToBeChosen);
! 	/// -step 3: from tickers selected by step 2, the ones that are
  	/// less volatile (OTC returns in the last
  	/// numOfDaysForVolatilityComputation days
! 	/// are analyzed) are selected
  	/// (not more than maxNumberOfEligibleTickersToBeChosen);
  	/// -step 4: from tickers selected by step 3, the ones that are
! 	/// always quoted at all market days are selected
  	/// (not more than maxNumberOfEligibleTickersToBeChosen);
  	/// </summary>
***************
*** 74,78 ****
  		private void byPriceMostLiquidLessVolatileOTCAlwaysQuoted_checkParameters()
  		{
! 			if(this.maxNumberOfMostLiquidTickersToBeChosen <= 
  			   this.maxNumberOfEligibleTickersToBeChosen)
  				throw new Exception("The set of the most liquid tickers has to " +
--- 74,78 ----
  		private void byPriceMostLiquidLessVolatileOTCAlwaysQuoted_checkParameters()
  		{
! 			if(this.maxNumberOfMostLiquidTickersToBeChosen <=
  			   this.maxNumberOfEligibleTickersToBeChosen)
  				throw new Exception("The set of the most liquid tickers has to " +
***************
*** 81,90 ****

  		public ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
! 			string tickersGroupID , bool temporizedGroup, 
  			int maxNumberOfEligibleTickersToBeChosen,
  			int maxNumberOfMostLiquidTickersToBeChosen,
! 		 	int numOfDaysForAverageOpenRawPriceComputation,
  			int numOfDaysForVolatilityComputation,
! 		 	double minPrice, double maxPrice)
  		{
  			this.temporizedGroup = temporizedGroup;
--- 81,90 ----

  		public ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
! 			string tickersGroupID , bool temporizedGroup,
  			int maxNumberOfEligibleTickersToBeChosen,
  			int maxNumberOfMostLiquidTickersToBeChosen,
! 			int numOfDaysForAverageOpenRawPriceComputation,
  			int numOfDaysForVolatilityComputation,
! 			double minPrice, double maxPrice)
  		{
  			this.temporizedGroup = temporizedGroup;
***************
*** 92,100 ****
  			this.maxNumberOfEligibleTickersToBeChosen =
  				maxNumberOfEligibleTickersToBeChosen;
! 			this.maxNumberOfMostLiquidTickersToBeChosen = 
  				maxNumberOfMostLiquidTickersToBeChosen;
  			this.numOfDaysForAverageOpenRawPriceComputation =
  				numOfDaysForAverageOpenRawPriceComputation;
! 			this.numOfDaysForVolatilityComputation = 
  				numOfDaysForVolatilityComputation;
  			this.minPrice = minPrice;
--- 92,100 ----
  			this.maxNumberOfEligibleTickersToBeChosen =
  				maxNumberOfEligibleTickersToBeChosen;
! 			this.maxNumberOfMostLiquidTickersToBeChosen =
  				maxNumberOfMostLiquidTickersToBeChosen;
  			this.numOfDaysForAverageOpenRawPriceComputation =
  				numOfDaysForAverageOpenRawPriceComputation;
! 			this.numOfDaysForVolatilityComputation =
  				numOfDaysForVolatilityComputation;
  			this.minPrice = minPrice;
***************
*** 106,144 ****
  			History history )
  		{
! 			DateTime currentDate = history.LastDateTime; 

  			SelectorByGroup group;
  			if(this.temporizedGroup)
! 			//the group is "temporized": returned set of tickers
! 			// depends on time
  				group = new SelectorByGroup(this.tickersGroupID,
  				                            currentDate);
!       else//the group is not temporized
!       	group = new SelectorByGroup(this.tickersGroupID);
!       DataTable tickersFromGroup = group.GetTableOfSelectedTickers();

!       int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
!       SelectorByAverageRawOpenPrice byPrice =
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,
!       	                                  currentDate.AddDays(-this.numOfDaysForAverageOpenRawPriceComputation),
!       	                                  currentDate,
!       	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  this.minPrice,this.maxPrice, 0.00001, double.MaxValue);
!      	DataTable dataTableByPrice =
  				byPrice.GetTableOfSelectedTickers();

  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity( dataTableByPrice ,
!         false, history.FirstDateTime, currentDate,
!         this.maxNumberOfMostLiquidTickersToBeChosen);
!       DataTable dataTableMostLiquid =
  				mostLiquidSelector.GetTableOfSelectedTickers();

!       SelectorByOpenToCloseVolatility lessVolatileSelector =
  				new SelectorByOpenToCloseVolatility( dataTableMostLiquid ,
!         true, currentDate.AddDays(-this.numOfDaysForVolatilityComputation), currentDate,
!         this.maxNumberOfEligibleTickersToBeChosen);
!       
!       DataTable dataTableLessVolatile =
  				lessVolatileSelector.GetTableOfSelectedTickers();
  //			DataSet dataSet = new DataSet();
--- 106,144 ----
  			History history )
  		{
! 			DateTime currentDate = history.LastDateTime;

  			SelectorByGroup group;
  			if(this.temporizedGroup)
! 				//the group is "temporized": returned set of tickers
! 				// depends on time
  				group = new SelectorByGroup(this.tickersGroupID,
  				                            currentDate);
! 			else//the group is not temporized
! 				group = new SelectorByGroup(this.tickersGroupID);
! 			DataTable tickersFromGroup = group.GetTableOfSelectedTickers();

! 			int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
! 			SelectorByAverageRawOpenPrice byPrice =
! 				new SelectorByAverageRawOpenPrice(tickersFromGroup,false,
! 				                                  currentDate.AddDays(-this.numOfDaysForAverageOpenRawPriceComputation),
! 				                                  currentDate,
! 				                                  numOfTickersInGroupAtCurrentDate,
! 				                                  this.minPrice,this.maxPrice, 0.00001, double.MaxValue);
! 			DataTable dataTableByPrice =
  				byPrice.GetTableOfSelectedTickers();

  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity( dataTableByPrice ,
! 				                        false, history.FirstDateTime, currentDate,
! 				                        this.maxNumberOfMostLiquidTickersToBeChosen);
! 			DataTable dataTableMostLiquid =
  				mostLiquidSelector.GetTableOfSelectedTickers();

! 			SelectorByOpenToCloseVolatility lessVolatileSelector =
  				new SelectorByOpenToCloseVolatility( dataTableMostLiquid ,
! 				                                    true, currentDate.AddDays(-this.numOfDaysForVolatilityComputation), currentDate,
! 				                                    this.maxNumberOfEligibleTickersToBeChosen);
! 			
! 			DataTable dataTableLessVolatile =
  				lessVolatileSelector.GetTableOfSelectedTickers();
  //			DataSet dataSet = new DataSet();
***************
*** 146,157 ****
  //			dataSet.WriteXml( "c:\\qpReports\\pairsTrading\\eligiblesCon_ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.xml" );

!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
!         new SelectorByQuotationAtEachMarketDay( dataTableLessVolatile ,
!         false, history,
!         this.maxNumberOfEligibleTickersToBeChosen);
!       DataTable dataTableToBeReturned =
  				quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();

!       return
  				new EligibleTickers( dataTableToBeReturned );
  		}
--- 146,157 ----
  //			dataSet.WriteXml( "c:\\qpReports\\pairsTrading\\eligiblesCon_ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.xml" );

! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection =
! 				new SelectorByQuotationAtEachMarketDay( dataTableLessVolatile ,
! 				                                       false, history,
! 				                                       this.maxNumberOfEligibleTickersToBeChosen);
! 			DataTable dataTableToBeReturned =
  				quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();

! 			return
  				new EligibleTickers( dataTableToBeReturned );
  		}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles ByPriceMostLiquidLessVo

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.cs, 1.3, 1.4