[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,1.4,1.5 RunEfficientCTOPortfolio.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29542/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs RunEfficientCTOPortfolio.cs 
Log Message:
Updated script for TickerSelection Testing, using Efficient portfolio theory

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandler.cs	20 Dec 2004 20:25:11 -0000	1.4
--- EndOfDayTimerHandler.cs	27 Dec 2004 18:23:51 -0000	1.5
***************
*** 73,76 ****
--- 73,104 ----
  		    
      #region MarketOpenEventHandler
+     
+     private void marketOpenEventHandler_orderChosenTickers_addToOrderList_forTicker(
+       string ticker )
+     {
+  
+       double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
+       long quantity =
+         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
+       Order order = new Order( OrderType.MarketBuy , new Instrument( ticker ) , quantity );
+       this.orders.Add(order);
+     }
+     
+     private void marketOpenEventHandler_orderChosenTickers_addToOrderList()
+     {
+       foreach ( string ticker in this.chosenTickers )
+       {
+         //if ( !this.account.Contains( ticker ) )
+         //{
+           marketOpenEventHandler_orderChosenTickers_addToOrderList_forTicker( ticker );
+         //}
+       }
+     }
+     
+     private void marketOpenEventHandler_orderChosenTickers()
+     {
+       this.marketOpenEventHandler_orderChosenTickers_addToOrderList();
+     }
+     
      /// <summary>
      /// Handles a "Market Open" event.
***************
*** 81,87 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       if(this.account.Transactions.Count == 0)
!         this.account.AddCash(endOfDayTimingEventArgs.EndOfDayDateTime,
!                               16000);
        foreach(object item in this.orders)
        {
--- 109,117 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(16000);     
!       
!       this.marketOpenEventHandler_orderChosenTickers();
!       
        foreach(object item in this.orders)
        {
***************
*** 112,130 ****
        } 
      }
!     private void marketCloseEventHandler_openPosition(
!       string ticker )
!     {
!       double maxPositionValue = this.account.CashAmount / this.numberOfTickersToBeChosen;
!       long sharesToBeBought = Convert.ToInt64(
!         Math.Floor( maxPositionValue /
!         this.account.DataStreamer.GetCurrentAsk( ticker ) ) );
!       this.account.AddOrder( new Order( OrderType.MarketBuy ,
!         new Instrument( ticker ) , sharesToBeBought ) );
!     }
!     private void marketCloseEventHandler_openPositions()
!     {
!       foreach ( string ticker in this.chosenTickers )
!         this.marketCloseEventHandler_openPosition( ticker );
!     }
      public void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
--- 142,146 ----
        } 
      }
!         
      public void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
***************
*** 132,136 ****
        
        this.marketCloseEventHandler_closePositions();
-       //fiveMinutesBeforeMarketCloseEventHandler_openPositions();
      }
      
--- 148,151 ----
***************
*** 138,191 ****
  
  		#region OneHourAfterMarketCloseEventHandler
!     private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions(
!       IEndOfDayTimer endOfDayTimer )
!     {
!       foreach ( Position position in this.account.Portfolio )
!         foreach(string ticker in this.chosenTickers)
!         {
!           if (position.Instrument.Key == ticker )
!           {
!             this.account.ClosePosition( position );
!           }
!         }
!         
!     }
!     private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker(
!       string ticker )
!     {
!       double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
!       long quantity =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = new Order( OrderType.MarketBuy , new Instrument( ticker ) , quantity );
!       this.orders.Add(order);
!     }
!     private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions()
!     {
!       foreach ( string ticker in this.chosenTickers )
!         if ( !this.account.Contains( ticker ) )
!         {
!           oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker( ticker );
!         }
!     }
!     private void oneHourAfterMarketCloseEventHandler_orderChosenTickers(
!       IEndOfDayTimer endOfDayTimer )
!     {
!       //this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions( endOfDayTimer );
!       this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions();
!     }
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
!       this.orders.Clear();
!       oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
!     }
! 		
!     
      private void setTickers(DateTime currentDate)
      {
--- 153,157 ----
  
  		#region OneHourAfterMarketCloseEventHandler
!       
      private void setTickers(DateTime currentDate)
      {
***************
*** 204,207 ****
--- 170,187 ----
        this.chosenTickers = (string[])GO.BestGenome.Meaning;
      }
+ 
+     /// <summary>
+     /// Handles a "One hour after market close" event.
+     /// </summary>
+     /// <param name="sender"></param>
+     /// <param name="eventArgs"></param>
+     public void OneHourAfterMarketCloseEventHandler(
+       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
+     {
+       this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
+       //sets tickers to be chosen next Market Open event
+       this.orders.Clear();
+     }
+ 		   
      #endregion
  		

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunEfficientCTOPortfolio.cs	20 Dec 2004 20:25:12 -0000	1.3
--- RunEfficientCTOPortfolio.cs	27 Dec 2004 18:23:51 -0000	1.4
***************
*** 79,84 ****
          new DateTime( 2004 , 10 , 4 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 10 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 1;
  		}
      #region Run
--- 79,84 ----
          new DateTime( 2004 , 10 , 4 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 20 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 7;
  		}
      #region Run