[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs,1.6,1.7

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25636/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
Changed implementation for the method returning a table containing the PearsonCorrelationCoefficient for any possible couple of tickers from a given table of tickers (now it's more efficient)


Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** Quotes.cs	4 Aug 2004 23:02:05 -0000	1.6
--- Quotes.cs	11 Aug 2004 21:36:55 -0000	1.7
***************
*** 100,104 ****
      /// Returns a table containing the Pearson correlation coefficient of the adjusted close to close ratios
      /// for any possible couple of tickers contained in the given table, for the specified interval
-     /// (the function has been implemented just for testing purposes)
      /// </summary>
      public static DataTable GetTickersByAdjCloseToClosePearsonCorrelationCoefficient( bool orderByASC,
--- 100,103 ----
***************
*** 108,152 ****
                                                                
      {
        if(!setOfTickers.Columns.Contains("PearsonCorrelationCoefficient"))
          setOfTickers.Columns.Add("PearsonCorrelationCoefficient", System.Type.GetType("System.Double"));
        int initialNumberOfRows = setOfTickers.Rows.Count;
!       char[] separator = new char[1];
!       separator[0] = ';';
!       for(int j=0; j!= setOfTickers.Rows.Count; j++)
        {
          string firstTicker = (string)setOfTickers.Rows[j][0];
!         if(firstTicker.IndexOfAny(separator)== -1)
          {
!           for(int i = 0; i!= setOfTickers.Rows.Count; i++)
            {
!             string secondTicker = (string)setOfTickers.Rows[i][0];
!             
!             if(secondTicker.IndexOfAny(separator)== -1)
              {
!               DataTable dtFirstTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(firstTicker,
!                                                                                   firstQuoteDate,
!                                                                                   lastQuoteDate);
! 
!               DataTable dtSecondTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(secondTicker,
!                                                                                         firstQuoteDate,
!                                                                                         lastQuoteDate);
!               DataRow rowToAdd = setOfTickers.NewRow();
!               rowToAdd[0]=firstTicker + ";" + secondTicker;
!               try
!               {
!                 rowToAdd["PearsonCorrelationCoefficient"] = 
!                   QuantProject.ADT.Statistics.BasicFunctions.PearsonCorrelationCoefficient(
!                   ExtendedDataTable.GetArrayOfFloatFromColumn(dtFirstTicker, "quAdjustedCloseToCloseRatio"),
!                   ExtendedDataTable.GetArrayOfFloatFromColumn(dtSecondTicker, "quAdjustedCloseToCloseRatio"));
!                 setOfTickers.Rows.Add(rowToAdd);
!               }
!               catch(Exception ex)
!               {
!                 string notUsed = ex.ToString();
!               }
              }
            }
          }
        }
        return ExtendedDataTable.CopyAndSort(setOfTickers,"PearsonCorrelationCoefficient", orderByASC);
      }
--- 107,148 ----
                                                                
      {
+       if(!setOfTickers.Columns.Contains("CorrelatedTicker"))
+         setOfTickers.Columns.Add("CorrelatedTicker", System.Type.GetType("System.String"));
        if(!setOfTickers.Columns.Contains("PearsonCorrelationCoefficient"))
          setOfTickers.Columns.Add("PearsonCorrelationCoefficient", System.Type.GetType("System.Double"));
        int initialNumberOfRows = setOfTickers.Rows.Count;
!       for(int j=0; j!= initialNumberOfRows; j++)
        {
          string firstTicker = (string)setOfTickers.Rows[j][0];
!         for(int i = j; i!= initialNumberOfRows; i++)
          {
!           string secondTicker = (string)setOfTickers.Rows[i][0];
!           if(firstTicker != secondTicker)
            {
!             DataTable dtFirstTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(firstTicker,
!                                                                                 firstQuoteDate,
!                                                                                 lastQuoteDate);
!             DataTable dtSecondTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(secondTicker,
!                                                                                       firstQuoteDate,
!                                                                                       lastQuoteDate);
!             DataRow rowToAdd = setOfTickers.NewRow();
!             rowToAdd[0] = firstTicker;
!             rowToAdd["CorrelatedTicker"] = secondTicker;
!             try
              {
!               rowToAdd["PearsonCorrelationCoefficient"] = 
!                 QuantProject.ADT.Statistics.BasicFunctions.PearsonCorrelationCoefficient(
!                 ExtendedDataTable.GetArrayOfFloatFromColumn(dtFirstTicker, "quAdjustedCloseToCloseRatio"),
!                 ExtendedDataTable.GetArrayOfFloatFromColumn(dtSecondTicker, "quAdjustedCloseToCloseRatio"));
!               setOfTickers.Rows.Add(rowToAdd);
!             }
!             catch(Exception ex)
!             {
!               string notUsed = ex.ToString();
              }
            }
          }
        }
+       ExtendedDataTable.DeleteRows(setOfTickers, 0, initialNumberOfRows - 1);
        return ExtendedDataTable.CopyAndSort(setOfTickers,"PearsonCorrelationCoefficient", orderByASC);
      }