[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByCloseToCloseCorrelationToBenchmark.cs, 1.5, 1.6

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory vz-cvs-3.sog:/tmp/cvs-serv5390/Selectors

Modified Files:
	SelectorByCloseToCloseCorrelationToBenchmark.cs 
Log Message:
SelectorByCloseToCloseCorrelationToBenchmark (selecting tickers with adj close quotes correlated to the adj close of a given benchmark) now implements only ITickerSelectorByDate

Index: SelectorByCloseToCloseCorrelationToBenchmark.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByCloseToCloseCorrelationToBenchmark.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** SelectorByCloseToCloseCorrelationToBenchmark.cs	14 Jan 2008 23:14:41 -0000	1.5
--- SelectorByCloseToCloseCorrelationToBenchmark.cs	21 Aug 2011 11:26:03 -0000	1.6
***************
*** 32,41 ****
    /// a given benchmark
    /// </summary>
!    public class SelectorByCloseToCloseCorrelationToBenchmark : TickerSelector, ITickerSelector
    {
      private string benchmark;
      private bool addBenchmarkToTheGivenSetOfTickers;
      /// <summary>
!     /// Creates a new instance of the selector
      /// </summary>
      /// <param name="setOfTickersToBeSelected">The data table containing
--- 32,51 ----
    /// a given benchmark
    /// </summary>
!   [Serializable] 
!   public class SelectorByCloseToCloseCorrelationToBenchmark : ITickerSelectorByDate
!    																														 
    {
      private string benchmark;
+     private bool orderInASCMode;
+     private int maxNumOfReturnedTickers;
+     private ITickerSelectorByDate tickerSelectorByDateForInitialTable;
+     private int lengthInDaysOfCorrelationPeriod;
      private bool addBenchmarkToTheGivenSetOfTickers;
+     private DateTime dateTimeOfCurrentSelection;
+     private DataTable currentSelection;
+ 
+     
      /// <summary>
!     /// Creates a new instance of the class
      /// </summary>
      /// <param name="setOfTickersToBeSelected">The data table containing
***************
*** 44,118 ****
      /// <param name="benchmark">Benchmark code</param>
      /// <param name="orderInASCmode">Ordering mode</param>
-     /// <param name="firstQuoteDate">The first date for the interval</param>
-     /// <param name="lastQuoteDate">The last date for the interval</param>
      /// <param name="maxNumOfReturnedTickers">Max number of tickers to be returned</param>
!     public SelectorByCloseToCloseCorrelationToBenchmark(DataTable setOfTickersToBeSelected,
                                                          string benchmark,
!                                                         bool orderInASCmode,
!                                                         DateTime firstQuoteDate,
!                                                         DateTime lastQuoteDate,
!                                                         long maxNumOfReturnedTickers,
!                                                         bool addBenchmarkToTheGivenSetOfTickers):
!                                                         base(setOfTickersToBeSelected, 
!                                                             orderInASCmode,
!                                                             firstQuoteDate,
!                                                             lastQuoteDate,
!                                                             maxNumOfReturnedTickers)
      {
!       this.benchmark = benchmark;
        this.addBenchmarkToTheGivenSetOfTickers = addBenchmarkToTheGivenSetOfTickers;
      }
!      
!      /// <summary>
!      /// Creates a new instance of the selector
!      /// </summary>
!      /// <param name="groupID">The group ID containing the tickers that have to be ordered by Pearson
!      /// 												correlation coefficient to a given benchmark</param>
!      /// <param name="benchmark">Benchmark to be used for computation of correlation coefficient</param>
!      /// <param name="orderInASCmode">Ordering mode</param>
!      /// <param name="firstQuoteDate">The first date for the interval</param>
!      /// <param name="lastQuoteDate">The last date for the interval</param>
!      /// <param name="maxNumOfReturnedTickers">Max number of tickers to be returned</param>
!      /// <param name="addBenchmarkToTheGivenSetOfTickers">If TRUE, the benchmark is added to
!      /// 																									output table (with correlation
!      /// 																									equal to 1) </param>
!      public SelectorByCloseToCloseCorrelationToBenchmark(string groupID, 
!                                                         string benchmark,
!                                                         bool orderInASCmode,
!                                                         DateTime firstQuoteDate,
!                                                         DateTime lastQuoteDate,
!                                                         long maxNumOfReturnedTickers,
!                                                         bool addBenchmarkToTheGivenSetOfTickers):
!                                                         base(groupID, 
!                                                             orderInASCmode,
!                                                             firstQuoteDate,
!                                                             lastQuoteDate,
!                                                             maxNumOfReturnedTickers)
!      {
!         this.benchmark = benchmark;
!         this.addBenchmarkToTheGivenSetOfTickers = addBenchmarkToTheGivenSetOfTickers;
!      }
! 
! 
!     public DataTable GetTableOfSelectedTickers()
!     {
!       if(this.setOfTickersToBeSelected == null)
!         return this.getTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
!                                     this.groupID,this.benchmark,
!                                     this.firstQuoteDate, this.lastQuoteDate,
!                                     this.maxNumOfReturnedTickers);        
! 
!       else
!         return this.getTickersByCloseToCloseCorrelationToBenchmark(this.isOrderedInASCMode,
!           this.setOfTickersToBeSelected,this.benchmark,
!           this.firstQuoteDate, this.lastQuoteDate,
!           this.maxNumOfReturnedTickers);      
!     }
!     public void SelectAllTickers()
      {
!       ;
      }
      
!     private DataTable getTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
                                                  DataTable setOfTickers, string benchmark,
                                                  DateTime firstQuoteDate,
--- 54,88 ----
      /// <param name="benchmark">Benchmark code</param>
      /// <param name="orderInASCmode">Ordering mode</param>
      /// <param name="maxNumOfReturnedTickers">Max number of tickers to be returned</param>
!     public SelectorByCloseToCloseCorrelationToBenchmark(ITickerSelectorByDate tickerSelectorByDateForInitialTable,
!                                                         int lengthInDaysOfCorrelationPeriod,
                                                          string benchmark,
!                                                         bool orderInASCMode,
!                                                         int maxNumOfReturnedTickers,
!                                                         bool addBenchmarkToTheGivenSetOfTickers)
      {
!       this.tickerSelectorByDateForInitialTable = tickerSelectorByDateForInitialTable;
!       this.lengthInDaysOfCorrelationPeriod = lengthInDaysOfCorrelationPeriod;
!     	this.benchmark = benchmark;
!     	this.orderInASCMode = orderInASCMode;
!     	this.maxNumOfReturnedTickers = maxNumOfReturnedTickers;
        this.addBenchmarkToTheGivenSetOfTickers = addBenchmarkToTheGivenSetOfTickers;
+       this.dateTimeOfCurrentSelection = new DateTime(1900,1,1,16,0,0);
      }
!     
!     public DataTable GetTableOfSelectedTickers(DateTime dateTime)
      {
!       if(dateTime != this.dateTimeOfCurrentSelection ||
!     	   this.currentSelection == null)
!     		this.getTableOfSelectedTickers_updateCurrentSelection(this.orderInASCMode,
!     	    this.tickerSelectorByDateForInitialTable.GetTableOfSelectedTickers(dateTime),
!     	    this.benchmark,
!     	    dateTime.AddDays(-this.lengthInDaysOfCorrelationPeriod), dateTime,
!           this.maxNumOfReturnedTickers);
!     	
!     	return this.currentSelection;
      }
      
!     private void getTableOfSelectedTickers_updateCurrentSelection( bool orderByASC,
                                                  DataTable setOfTickers, string benchmark,
                                                  DateTime firstQuoteDate,
***************
*** 122,135 ****
        if(!setOfTickers.Columns.Contains("CloseToCloseCorrelationToBenchmark"))
          setOfTickers.Columns.Add("CloseToCloseCorrelationToBenchmark", System.Type.GetType("System.Double"));
!       float[] benchmarkQuotes = QuantProject.Data.DataTables.Quotes.GetArrayOfAdjustedCloseQuotes(benchmark, firstQuoteDate, lastQuoteDate);
        foreach(DataRow row in setOfTickers.Rows)
        {
!         float[] tickerQuotes = QuantProject.Data.DataTables.Quotes.GetArrayOfAdjustedCloseQuotes((string)row[0], 
                                  firstQuoteDate, lastQuoteDate);
!         row["CloseToCloseCorrelationToBenchmark"] =
!               BasicFunctions.PearsonCorrelationCoefficient(benchmarkQuotes, tickerQuotes);
        }
        DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,
!                                                               "CloseToCloseCorrelationToBenchmark>=0.0 OR " +
                                                                "CloseToCloseCorrelationToBenchmark<0.0",
                                                                "CloseToCloseCorrelationToBenchmark",
--- 92,110 ----
        if(!setOfTickers.Columns.Contains("CloseToCloseCorrelationToBenchmark"))
          setOfTickers.Columns.Add("CloseToCloseCorrelationToBenchmark", System.Type.GetType("System.Double"));
!       double[] benchmarkQuotes = QuantProject.Data.DataTables.Quotes.GetDoubleArrayOfAdjustedCloseQuotes(benchmark, firstQuoteDate, lastQuoteDate);
!       double correlation;
        foreach(DataRow row in setOfTickers.Rows)
        {
!         double[] tickerQuotes = QuantProject.Data.DataTables.Quotes.GetDoubleArrayOfAdjustedCloseQuotes((string)row[0], 
                                  firstQuoteDate, lastQuoteDate);
!         correlation = 0.0;
!         if(benchmarkQuotes.Length == tickerQuotes.Length)
!         	correlation = 
!         		BasicFunctions.PearsonCorrelationCoefficient(benchmarkQuotes, tickerQuotes);
! 
!       	row["CloseToCloseCorrelationToBenchmark"] = correlation;
        }
        DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,
!                                                               "CloseToCloseCorrelationToBenchmark>0.0 OR " +
                                                                "CloseToCloseCorrelationToBenchmark<0.0",
                                                                "CloseToCloseCorrelationToBenchmark",
***************
*** 142,163 ****
          tableToReturn.Rows.Add(newRow);
        }
!       return tableToReturn;
!     }
!     
!     private DataTable getTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
! 																					      string groupID, string benchmark,
! 																					      DateTime firstQuoteDate,
! 																					      DateTime lastQuoteDate,
! 																					      long maxNumOfReturnedTickers)
!     {
!       DataTable tickersOfGroup = Tickers_tickerGroups.GetTickers(groupID);
!       return this.getTickersByCloseToCloseCorrelationToBenchmark(orderByASC,
! 																					      tickersOfGroup, benchmark,
! 																					      firstQuoteDate,
! 																					      lastQuoteDate,
! 																					      maxNumOfReturnedTickers);
      }
      
! 	
  	}
  }
--- 117,139 ----
          tableToReturn.Rows.Add(newRow);
        }
!       this.currentSelection = tableToReturn;
!       this.dateTimeOfCurrentSelection = lastQuoteDate;
! 			string[] currentSelectionForDebugging = 
! 				ExtendedDataTable.GetArrayOfStringFromRows(this.currentSelection);
      }
      
! //    private DataTable getTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
! //																					      string groupID, string benchmark,
! //																					      DateTime firstQuoteDate,
! //																					      DateTime lastQuoteDate,
! //																					      long maxNumOfReturnedTickers)
! //    {
! //      DataTable tickersOfGroup = Tickers_tickerGroups.GetTickers(groupID);
! //      return this.getTableOfSelectedTickers_updateCurrentSelection(orderByASC,
! //																					      tickersOfGroup, benchmark,
! //																					      firstQuoteDate,
! //																					      lastQuoteDate,
! //																					      maxNumOfReturnedTickers);
! //    }
  	}
  }