[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting DataStreamerHandler.cs,NONE,1.1 RunBestTwoIndipendent.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22726/b7_Scripts/TickerSelectionTesting

Added Files:
	DataStreamerHandler.cs RunBestTwoIndipendent.cs 
Log Message:
Added new script file with use of TickerSelectorClass

--- NEW FILE: DataStreamerHandler.cs ---
/*
QuantProject - Quantitative Finance Library

DataStreamerHandler.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
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;
using System.Data;

using QuantProject.Business.Financial.Accounting;
using QuantProject.Data.DataProviders;
using QuantProject.ADT;
using QuantProject.Data.Selectors;

namespace QuantProject.Scripts.TickerSelectionTesting.BestTwoIndipendent
{
	/// <summary>
	/// Implements NewQuoteEventHandler. This is the core strategy!
	/// </summary>
	public class DataStreamerHandler
	{
		private Account account;
    private ExtendedDateTime openAccountDate;

		public Account Account
		{
			get { return this.account; }
		}
		public DataStreamerHandler()
		{
			this.account = new Account( "Main" );
      this.openAccountDate = new ExtendedDateTime(new DateTime(2002,1,1), BarComponent.Open);
      this.account.AddCash(this.openAccountDate, 10000);
		}
    
    private DataTable newQuoteEventHandler_getTickersToBuy(Quote encomingQuote)
    {
      TickerSelector liquidSelector = new TickerSelector(SelectionType.Liquidity, false,
                                      "NSDQ100", this.openAccountDate.DateTime,
                                      encomingQuote.ExtendedDataTable.DateTime,50);
      TickerSelector volatilityCTOselector = 
        new TickerSelector(liquidSelector.GetTableOfSelectedTickers(),
        SelectionType.CloseToOpenVolatility, true, "",
        this.openAccountDate.DateTime, encomingQuote.ExtendedDataTable.DateTime, 40);
      TickerSelector avgCTOperformanceSelector = 
        new TickerSelector(volatilityCTOselector.GetTableOfSelectedTickers(),
        SelectionType.AverageCloseToOpenPerformance, true, "",
        this.openAccountDate.DateTime, encomingQuote.ExtendedDataTable.DateTime, 20);
      TickerSelector correlationSelector = 
        new TickerSelector(avgCTOperformanceSelector.GetTableOfSelectedTickers(),
        SelectionType.CloseToOpenLinearCorrelation, true, "",
        this.openAccountDate.DateTime, encomingQuote.ExtendedDataTable.DateTime, 2);
      return correlationSelector.GetTableOfSelectedTickers();
    }

    public void NewQuoteEventHandler(
			Object sender , NewQuoteEventArgs eventArgs )
		{
      Quote encomingQuote = eventArgs.Quote;
      
      if(this.openAccountDate.DateTime.AddDays(30).CompareTo(encomingQuote.ExtendedDataTable.DateTime)<0)
      //it has elasped enough time for a significant simulation of the strategy
      {
          DataTable tickersToBuy = this.newQuoteEventHandler_getTickersToBuy(encomingQuote);
          //the script has to be completed ...

      }

		}
	}
}

--- NEW FILE: RunBestTwoIndipendent.cs ---
/*
QuantProject - Quantitative Finance Library

RunBestTwoIndipendent.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
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;
using System.Collections;
using System.Data;
using QuantProject.ADT;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Scripting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Testing;
using QuantProject.Data.DataTables;
using QuantProject.Data.DataProviders;
using QuantProject.Presentation.Reporting.WindowsForm;

namespace QuantProject.Scripts.TickerSelectionTesting.BestTwoIndipendent
{
	/// <summary>
	/// Script to test a strategy on many tickers inside a group, 
	/// chosing the best two indipendent tickers
	/// when a fixed time span has elapsed.
	/// </summary>
	public class RunBestTwoIndipendent : Script
	{
		private string groupID;
    private ReportTable reportTable;
    private ExtendedDateTime startDateTime;
    private ExtendedDateTime endDateTime;
    //private int numIntervalDays;
		private HistoricalDataStreamer historicalDataStreamer;
		private DataStreamerHandler dataStreamerHandler =
			new DataStreamerHandler();

		public RunBestTwoIndipendent()
		{
			this.reportTable = new ReportTable( "Summary_Reports" );
			this.startDateTime = new ExtendedDateTime(
				new DateTime( 2002 , 1 , 1 ) , BarComponent.Open );
			this.endDateTime = new ExtendedDateTime(
				new DateTime( 2002 , 12 , 31 ) , BarComponent.Close );
      //this.numIntervalDays = 7;
			this.groupID = "NSDQ100";
		}
    #region Run
    
    private void run_initializeHistoricalDataStreamer_addTickers()
    {
      Tickers_tickerGroups tickerInGroupID = new Tickers_tickerGroups(this.groupID);
      foreach(DataRow row in tickerInGroupID.Rows)
      {
        this.historicalDataStreamer.Add((string)row[Tickers_tickerGroups.Ticker]);
      }
    }
    
    private void run_initializeHistoricalDataStreamer()
		{
			this.historicalDataStreamer = new HistoricalDataStreamer();
			this.historicalDataStreamer.StartDateTime = this.startDateTime;
			this.historicalDataStreamer.EndDateTime = this.endDateTime;
			this.run_initializeHistoricalDataStreamer_addTickers();
		}
    
    public override void Run()
    {
			Report report;
			run_initializeHistoricalDataStreamer();
			this.historicalDataStreamer.NewQuote +=
				new NewQuoteEventHandler( this.dataStreamerHandler.NewQuoteEventHandler );
			this.historicalDataStreamer.GoSimulate();
			report = new Report( this.dataStreamerHandler.Account );
      report.Show();
      //????
      //report.Show( "Best Two Indipendent" , this.numIntervalDays , this.startDateTime , "MSFT" );
		}
    #endregion
	}
}