[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank DataStreamerHandler.cs,1.1,1.2

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv18199/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	DataStreamerHandler.cs 
Log Message:
Minor changes. This class will probably be removed.

Index: DataStreamerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/DataStreamerHandler.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** DataStreamerHandler.cs	28 Aug 2004 17:07:10 -0000	1.1
--- DataStreamerHandler.cs	29 Nov 2004 16:03:28 -0000	1.2
***************
*** 21,24 ****
--- 21,25 ----
  */
  using System;
+ using System.Collections;
  
  using QuantProject.Business.Financial.Accounting;
***************
*** 32,49 ****
  	public class DataStreamerHandler
  	{
  		private Account account;
  
  		public Account Account
  		{
  			get { return this.account; }
  		}
! 		public DataStreamerHandler()
  		{
  			this.account = new Account( "Main" );
  		}
  		public void NewQuoteEventHandler(
  			Object sender , NewQuoteEventArgs eventArgs )
  		{
  		}
  	}
  }
--- 33,120 ----
  	public class DataStreamerHandler
  	{
+     private EligibleTickers eligibleTickers;
+ 		private BestPerformingTickers bestPerformingTickers;
+ 		private ChosenTickers chosenTickers;
+ 
+     private int numberEligibleTickers = 100;
+ 		private int numberBestPeformingTickers = 20;
+ 		private int numberOfTickersToBeChosen = 5;
+ 		private int windowDays;
+ 
  		private Account account;
  
+ 		public int NumberEligibleTickers
+ 		{
+ 			get { return this.numberEligibleTickers; }
+ 		}
+ 		public int NumberBestPeformingTickers
+ 		{
+ 			get { return this.numberBestPeformingTickers; }
+ 		}
  		public Account Account
  		{
  			get { return this.account; }
  		}
! 		/// <summary>
! 		/// 
! 		/// </summary>
! 		/// <param name="numberEligibleTickers">number of tickers to be chosen with the first selection:
! 		/// the best performers will be chosen among these first selected instruments</param>
! 		/// <param name="numberBestPeformingTickers">number of instruments to be chosen, as the best
! 		/// performers, among the eligible tickers</param>
! 		/// <param name="numberOfTickersToBeChosen">number of instruments to be chosen,
! 		/// among the best performers</param>
! 		/// <param name="windowDays">number of days between two consecutive
! 		/// best performing ticker calculation</param>
! 		public DataStreamerHandler( int numberEligibleTickers , int numberBestPeformingTickers ,
! 			int numberOfTickersToBeChosen , int windowDays )
  		{
+ 			this.numberEligibleTickers = numberEligibleTickers;
+ 			this.numberBestPeformingTickers = numberBestPeformingTickers;
+ 			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
+ 			this.windowDays = windowDays;
+ 
  			this.account = new Account( "Main" );
+ 
+ 			this.eligibleTickers = new EligibleTickers( numberEligibleTickers );
+ 			this.bestPerformingTickers = new BestPerformingTickers( numberBestPeformingTickers );
+ 			this.chosenTickers = new ChosenTickers( this.numberOfTickersToBeChosen );
+ 		}
+ 		#region NewQuoteEventHandler
+ 		private void newQuoteEventHandler_orderChosenTickers_closePositions()
+ 		{
+ 			foreach ( Position position in this.account.Portfolio )
+ 				if ( this.chosenTickers.Contains( position.Instrument.Key ) )
+ 				{
+ 					this.account.ClosePosition( position , this.orderManager );
+ 				}
+ 		}
+ 		private void newQuoteEventHandler_orderChosenTickers()
+ 		{
+ 			this.newQuoteEventHandler_orderChosenTickers_closePositions();
+ 			this.newQuoteEventHandler_orderChosenTickers_openPositions();
  		}
+ 		/// <summary>
+ 		/// Handles a NewQuote event.
+ 		/// </summary>
+ 		/// <param name="sender"></param>
+ 		/// <param name="eventArgs"></param>
  		public void NewQuoteEventHandler(
  			Object sender , NewQuoteEventArgs eventArgs )
  		{
+ 			if ( ( this.eligibleTickers.Count == 0 ) ||
+ 				( eventArgs.Quote.ExtendedDateTime.DateTime.CompareTo(
+ 				this.bestPerformingTickers.LastUpdate.AddDays( this.windowDays ) ) >= 0 ) )
+ 				// either eligible tickers have never been defined yet
+ 				// or this.windowDays days elapsed since last best performing tickers calculation
+ 			{
+ 				this.eligibleTickers.SetTickers( eventArgs.Quote.ExtendedDateTime.DateTime );
+ 				this.bestPerformingTickers.SetTickers( this.eligibleTickers ,
+ 					eventArgs.Quote.ExtendedDateTime.DateTime );
+ 			}
+ 			this.chosenTickers.SetTickers( this.bestPerformingTickers );
+ 			newQuoteEventHandler_orderChosenTickers();
  		}
+ 		#endregion
  	}
  }