[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTO.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv9077/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerCTO.cs 
Log Message:
Updated Handler for efficient open to close portfolio: now selection of tickers minimizes commission amount.

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** EndOfDayTimerHandlerCTO.cs	23 Mar 2005 21:35:32 -0000	1.5
--- EndOfDayTimerHandlerCTO.cs	30 Mar 2005 16:07:28 -0000	1.6
***************
*** 59,62 ****
--- 59,68 ----
  
      private string benchmark;
+     //these two values have to be updated during
+     //backtest, for minimizing commission amount,
+     //according to broker's commission scheme 
+     private double minPriceForMinimumCommission = 0;
+     private double maxPriceForMinimumCommission = 200;
+     
  
      public int NumberOfEligibleTickers
***************
*** 179,183 ****
                    new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                            currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
!                           this.numberOfEligibleTickers, 25, 35, 0, 0.5);
        DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
        SelectorByLiquidity mostLiquid = new SelectorByLiquidity(tickersByPrice, false,
--- 185,190 ----
                    new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                            currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
!                           this.numberOfEligibleTickers, this.minPriceForMinimumCommission,
!                           this.maxPriceForMinimumCommission, 0, 1.5);
        DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
        SelectorByLiquidity mostLiquid = new SelectorByLiquidity(tickersByPrice, false,
***************
*** 216,219 ****
--- 223,233 ----
      }
  
+     private void oneHourAfterMarketCloseEventHandler_updatePrices()
+     {
+     	//min price for minimizing commission amount
+     	//according to IB Broker's commission scheme
+     	this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
+     }
+     
      /// <summary>
      /// Handles a "One hour after market close" event.
***************
*** 224,227 ****
--- 238,242 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
+     	this.oneHourAfterMarketCloseEventHandler_updatePrices();
        this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
        //sets tickers to be chosen next Market Open event