[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs,1.7,1.8

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20513/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
Added new types of selection for the TickerSelector class (added new methods to Quotes classes and renamed some previous elements for the enum SelectionType)

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** Quotes.cs	11 Aug 2004 21:36:55 -0000	1.7
--- Quotes.cs	22 Aug 2004 16:56:25 -0000	1.8
***************
*** 53,61 ****
      /// close to close ratio, within the given set of tickers
      /// </summary>
!     public static DataTable GetTickersByVolatility( bool orderByASC,
!       DataTable setOfTickers,
!       DateTime firstQuoteDate,
!       DateTime lastQuoteDate,
!       long maxNumOfReturnedTickers)
      {
        if(!setOfTickers.Columns.Contains("AdjCloseToCloseStandDev"))
--- 53,61 ----
      /// close to close ratio, within the given set of tickers
      /// </summary>
!     public static DataTable GetTickersByCloseToCloseVolatility( bool orderByASC,
!                                                               DataTable setOfTickers,
!                                                               DateTime firstQuoteDate,
!                                                               DateTime lastQuoteDate,
!                                                               long maxNumOfReturnedTickers)
      {
        if(!setOfTickers.Columns.Contains("AdjCloseToCloseStandDev"))
***************
*** 74,77 ****
--- 74,102 ----
  
      /// <summary>
+     /// returns tickers ordered by volatility computed with Standard deviation of adjusted 
+     /// close to open ratio, within the given set of tickers
+     /// </summary>
+     public static DataTable GetTickersByCloseToOpenVolatility( bool orderByASC,
+       DataTable setOfTickers,
+       DateTime firstQuoteDate,
+       DateTime lastQuoteDate,
+       long maxNumOfReturnedTickers)
+     {
+       if(!setOfTickers.Columns.Contains("CloseToOpenStandDev"))
+         setOfTickers.Columns.Add("CloseToOpenStandDev", System.Type.GetType("System.Double"));
+       foreach(DataRow row in setOfTickers.Rows)
+       {
+         row["CloseToOpenStandDev"] = 
+           QuantProject.DataAccess.Tables.Quotes.GetCloseToOpenStandardDeviation((string)row[0],
+           firstQuoteDate,
+           lastQuoteDate);
+       }
+       DataTable getTickersByVolatility = ExtendedDataTable.CopyAndSort(setOfTickers,"CloseToOpenStandDev", orderByASC);
+       ExtendedDataTable.DeleteRows(getTickersByVolatility, maxNumOfReturnedTickers);
+       return getTickersByVolatility;
+     }
+ 
+ 
+     /// <summary>
      /// returns tickers by average close to close performance within the given set of tickers
      /// </summary>
***************
*** 98,101 ****
--- 123,152 ----
  
      /// <summary>
+     /// returns tickers by average close to open performance within the given set of tickers
+     /// </summary>
+ 
+     public static DataTable GetTickersByAverageCloseToOpenPerformance( bool orderByASC,
+       DataTable setOfTickers,
+       DateTime firstQuoteDate,
+       DateTime lastQuoteDate,
+       long maxNumOfReturnedTickers)
+     {
+       if(!setOfTickers.Columns.Contains("AverageCloseToOpenPerformance"))
+         setOfTickers.Columns.Add("AverageCloseToOpenPerformance", System.Type.GetType("System.Double"));
+       foreach(DataRow row in setOfTickers.Rows)
+       {
+         row["AverageCloseToOpenPerformance"] = 
+           QuantProject.DataAccess.Tables.Quotes.GetAverageCloseToOpenPerformance((string)row[0],
+           firstQuoteDate,
+           lastQuoteDate);
+       }
+       DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,"AverageCloseToOpenPerformance", orderByASC);
+       ExtendedDataTable.DeleteRows(tableToReturn, maxNumOfReturnedTickers);
+       return tableToReturn;
+     }
+ 
+ 
+ 
+     /// <summary>
      /// 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
***************
*** 115,144 ****
        {
          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();
!             }
            }
          }
--- 166,240 ----
        {
          string firstTicker = (string)setOfTickers.Rows[j][0];
!         for(int i = j+1; i!= initialNumberOfRows; i++)
          {
            string secondTicker = (string)setOfTickers.Rows[i][0];
!           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);
!     }
! 
!     /// <summary>
!     /// Returns a table containing the Pearson correlation coefficient of the close to open ratios
!     /// for any possible couple of tickers contained in the given table, for the specified interval
!     /// </summary>
!     public static DataTable GetTickersByCloseToOpenPearsonCorrelationCoefficient( bool orderByASC,
!       DataTable setOfTickers,
!       DateTime firstQuoteDate,
!       DateTime lastQuoteDate)
!                                                               
!     {
!       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+1; i!= initialNumberOfRows; i++)
!         {
!           string secondTicker = (string)setOfTickers.Rows[i][0];
!           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.GetArrayOfFloatFromRatioOfColumns(dtFirstTicker, "quClose", "quOpen"),
!               ExtendedDataTable.GetArrayOfFloatFromRatioOfColumns(dtSecondTicker, "quClose", "quOpen"));
!             setOfTickers.Rows.Add(rowToAdd);
!           }
!           catch(Exception ex)
!           {
!             string notUsed = ex.ToString();
            }
          }
***************
*** 149,152 ****
--- 245,249 ----
  
  
+ 
  		private History history;