[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/ShortTest RunShortTest.cs,NONE,1.1 EndOfDayTimerHandler.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/ShortTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3890

Added Files:
	RunShortTest.cs EndOfDayTimerHandler.cs 
Log Message:
Script to test a simple short strategy

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

EndOfDayTimerHandler.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 QuantProject.ADT;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Data.DataProviders;
using QuantProject.Scripts.SimpleTesting;

namespace QuantProject.Scripts.SimpleTesting.ShortTest
{
	/// <summary>
	/// Short Test core strategy
	/// </summary>
	public class EndOfDayTimerHandler
	{

		private Account account;
		private DateTime endDateTime;

		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 EndOfDayTimerHandler( Account account ,
			DateTime endDateTime )
		{
			this.account = account;
			this.endDateTime = endDateTime;
		}
		/// <summary>
		/// Handles a "Market Open" event.
		/// </summary>
		/// <param name="sender"></param>
		/// <param name="eventArgs"></param>
		public void MarketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			this.account.AddOrder( new Order( OrderType.MarketSellShort ,
				new Instrument( "MSFT" ) , 100 ) );
		}
		public void MarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			this.account.ClosePosition( "MSFT" );
			if ( this.account.EndOfDayTimer.GetCurrentTime().DateTime >
				this.endDateTime )
				this.account.EndOfDayTimer.Stop();

		}
	}
}

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

RunShortTest.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 QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Commissions;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Scripting;
using QuantProject.Business.Timing;
using QuantProject.Presentation.Reporting.WindowsForm;


namespace QuantProject.Scripts.SimpleTesting.ShortTest
{
	/// <summary>
	/// Script to test a simple short strategy
	/// </summary>
	public class RunShortTest : Script
	{
		private DateTime startDateTime = new DateTime( 2000 , 1 , 1 );
		private DateTime endDateTime = new DateTime( 2000 , 12 , 31 );
		private Account account;
		private IHistoricalQuoteProvider historicalQuoteProvider =
			new HistoricalAdjustedQuoteProvider();
		/// <summary>
		/// Script to test the One Rank strategy on a single ticker
		/// </summary>
		public RunShortTest()
		{
		}
		public override void Run()
		{
			HistoricalEndOfDayTimer historicalEndOfDayTimer =
				new IndexBasedEndOfDayTimer(
				new EndOfDayDateTime( this.startDateTime ,
				EndOfDaySpecificTime.MarketOpen ) , "MSFT" );
			//			this.account = new Account( "MSFT" , historicalEndOfDayTimer ,
			//				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
			//				this.historicalQuoteProvider ) ,
			//				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
			//				this.historicalQuoteProvider ) ,
			//				new IBCommissionManager() );
			this.account = new Account( "MSFT" , historicalEndOfDayTimer ,
				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
				this.historicalQuoteProvider ) ,
				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
				this.historicalQuoteProvider ) );
			EndOfDayTimerHandler EndOfDayTimerHandler =
				new EndOfDayTimerHandler( this.account , endDateTime );
			historicalEndOfDayTimer.MarketOpen += new MarketOpenEventHandler(
				EndOfDayTimerHandler.MarketOpenEventHandler );
			historicalEndOfDayTimer.MarketClose += new MarketCloseEventHandler(
				EndOfDayTimerHandler.MarketCloseEventHandler );
			this.account.EndOfDayTimer.Start();
			Report report = new Report( this.account , this.historicalQuoteProvider );
			report.Show( "WFT One Rank" , 1 ,
				new EndOfDayDateTime( this.endDateTime , EndOfDaySpecificTime.MarketClose ) ,
				"MSFT" );
		}
	}
}