[Quantproject-developers] QuantProject/b2_DataAccess/Tables Quotes.cs,1.16,1.17

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20513/b2_DataAccess/Tables

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/b2_DataAccess/Tables/Quotes.cs,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** Quotes.cs	4 Aug 2004 22:55:09 -0000	1.16
--- Quotes.cs	22 Aug 2004 16:56:25 -0000	1.17
***************
*** 413,419 ****
  
      /// <summary>
!     /// Returns tickers ordered by a volatility index (stdDev of adjustedCloseToClose ratio)
      /// </summary>
!     public static DataTable GetTickersByVolatility( bool orderInASCMode, string groupID,
                                                      DateTime firstQuoteDate,
                                                      DateTime lastQuoteDate,
--- 413,419 ----
  
      /// <summary>
!     /// Returns tickers ordered by a close to close volatility index (stdDev of adjustedCloseToClose ratio)
      /// </summary>
!     public static DataTable GetTickersByCloseToCloseVolatility( bool orderInASCMode, string groupID,
                                                      DateTime firstQuoteDate,
                                                      DateTime lastQuoteDate,
***************
*** 439,442 ****
--- 439,468 ----
      
      /// <summary>
+     /// Returns tickers ordered by a close to open volatility index (stdDev of Close To Open ratio)
+     /// </summary>
+     public static DataTable GetTickersByCloseToOpenVolatility( bool orderInASCMode, string groupID,
+       DateTime firstQuoteDate,
+       DateTime lastQuoteDate,
+       long maxNumOfReturnedTickers)
+     {
+       string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
+         "StDev(quotes.quClose/quotes.quOpen) AS CloseToOpenStandDev " +
+         "FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " +
+         "ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " +
+         "ON quotes.quTicker = tickers_tickerGroups.ttTiId " +
+         "WHERE tickers_tickerGroups.ttTgId='" + groupID + "' " +
+         "AND quotes.quDate BETWEEN " +
+         SQLBuilder.GetDateConstant(firstQuoteDate) + " AND " +
+         SQLBuilder.GetDateConstant(lastQuoteDate) + 
+         "GROUP BY tickers.tiTicker, tickers.tiCompanyName " +
+         "ORDER BY StDev(quotes.quClose/quotes.quOpen)";
+       string sortDirection = " DESC";
+       if(orderInASCMode)
+         sortDirection = " ASC";
+       sql = sql + sortDirection;
+       return SqlExecutor.GetDataTable( sql );
+     }
+ 
+     /// <summary>
      /// Returns tickers ordered by average close to close performance 
      /// </summary>
***************
*** 465,468 ****
--- 491,520 ----
  
      /// <summary>
+     /// Returns tickers ordered by average close to open performance (in the same bar)
+     /// </summary>
+     public static DataTable GetTickersByAverageCloseToOpenPerformance( bool orderInASCMode, string groupID,
+                                                             DateTime firstQuoteDate,
+                                                             DateTime lastQuoteDate,
+                                                             long maxNumOfReturnedTickers)
+     {
+       string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
+         "Avg(quotes.quClose/quotes.quOpen) AS AverageCloseToOpenPerformance " +
+         "FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " +
+         "ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " +
+         "ON quotes.quTicker = tickers_tickerGroups.ttTiId " +
+         "WHERE tickers_tickerGroups.ttTgId='" + groupID + "' " +
+         "AND quotes.quDate BETWEEN " +
+         SQLBuilder.GetDateConstant(firstQuoteDate) + " AND " +
+         SQLBuilder.GetDateConstant(lastQuoteDate) + 
+         "GROUP BY tickers.tiTicker, tickers.tiCompanyName " +
+         "ORDER BY Avg(quotes.quClose/quotes.quOpen)";
+       string sortDirection = " DESC";
+       if(orderInASCMode)
+         sortDirection = " ASC";
+       sql = sql + sortDirection;
+       return SqlExecutor.GetDataTable( sql );
+     }
+ 
+     /// <summary>
      /// returns the average traded value for the given ticker in the specified interval
      /// </summary>
***************
*** 512,515 ****
--- 564,591 ----
  
      /// <summary>
+     /// returns the average close to open performance value for the given ticker in the specified interval
+     /// </summary>
+     public static double GetAverageCloseToOpenPerformance( string ticker,
+       DateTime firstQuoteDate,
+       DateTime lastQuoteDate)
+                                                 
+     {
+       DataTable dt;
+       string sql = "SELECT quotes.quTicker, " +
+         "Avg([quClose]/[quOpen]) AS AverageCloseToOpenPerformance " +
+         "FROM quotes WHERE quTicker ='" + 
+         ticker + "' " +
+         "AND quotes.quDate BETWEEN " + SQLBuilder.GetDateConstant(firstQuoteDate) + 
+         " AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + 
+         " GROUP BY quotes.quTicker";
+       dt = SqlExecutor.GetDataTable( sql );
+       if(dt.Rows.Count==0)
+         return 0;
+       else
+         return (double)dt.Rows[0]["AverageCloseToOpenPerformance"];
+     }
+ 
+ 
+     /// <summary>
      /// returns the standard deviation of the adjusted close to close ratio
      /// for the given ticker in the specified interval
***************
*** 535,539 ****
      }
      
!     
      
  
--- 611,637 ----
      }
      
!     /// <summary>
!     /// returns the standard deviation of the adjusted close to open ratio
!     /// for the given ticker in the specified interval
!     /// </summary>
!     public static double GetCloseToOpenStandardDeviation( string ticker,
!       DateTime firstQuoteDate,
!       DateTime lastQuoteDate)
!                                                 
!     {
!       DataTable dt;
!       string sql = "SELECT quotes.quTicker, " +
!         "StDev(quotes.quClose/quotes.quOpen) AS CloseToOpenStandDev " +
!         "FROM quotes WHERE quTicker ='" + 
!         ticker + "' " +
!         "AND quotes.quDate BETWEEN " + SQLBuilder.GetDateConstant(firstQuoteDate) + 
!         " AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + 
!         " GROUP BY quotes.quTicker";
!       dt = SqlExecutor.GetDataTable( sql );
!       if(dt.Rows.Count==0)
!         return 0;
!       else
!         return (double)dt.Rows[0]["CloseToOpenStandDev"];
!     }