[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs,1.15,1.16

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17337/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
Added new ITickerSelector for selecting tickers by OpenToClose correlation to benchmark


Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.15
retrieving revision 1.16
diff -C2 -d -r1.15 -r1.16
*** Quotes.cs	19 Apr 2005 18:30:48 -0000	1.15
--- Quotes.cs	17 May 2005 23:06:00 -0000	1.16
***************
*** 4,7 ****
--- 4,8 ----
  using System.Text;
  using QuantProject.ADT;
+ using QuantProject.ADT.Statistics;
  using QuantProject.ADT.Histories;
  using QuantProject.DataAccess;
***************
*** 364,367 ****
--- 365,420 ----
      }
      
+     private static float[] getArrayOfCloseToOpenRatios(string ticker,
+                                                       DateTime firstQuoteDate,
+                                                       DateTime lastQuoteDate)
+     {
+       float[] returnValue;
+       Quotes tickerQuotes = new Quotes(ticker, firstQuoteDate, lastQuoteDate);
+       returnValue = ExtendedDataTable.GetArrayOfFloatFromRatioOfColumns(tickerQuotes, "quClose", "quOpen");
+       return returnValue;
+ 
+     }
+ 
+     /// <summary>
+     /// returns tickers of a given group ordered by open - close 
+     /// correlation to a given benchmark
+     /// </summary>
+     public static DataTable GetTickersByOpenCloseCorrelationToBenchmark( bool orderByASC,
+       string groupID, string benchmark,
+       DateTime firstQuoteDate,
+       DateTime lastQuoteDate,
+       long maxNumOfReturnedTickers)
+     {
+       DataTable tickersOfGroup = new Tickers_tickerGroups(groupID);
+       return GetTickersByOpenCloseCorrelationToBenchmark(orderByASC, tickersOfGroup, benchmark,
+                                                   firstQuoteDate, lastQuoteDate,
+                                                   maxNumOfReturnedTickers);
+     }
+     
+     /// <summary>
+     /// returns tickers of a given set of tickers ordered by open - close 
+     /// correlation to a given benchmark
+     /// </summary>
+     public static DataTable GetTickersByOpenCloseCorrelationToBenchmark( bool orderByASC,
+       DataTable setOfTickers, string benchmark,
+       DateTime firstQuoteDate,
+       DateTime lastQuoteDate,
+       long maxNumOfReturnedTickers)
+     {
+       if(!setOfTickers.Columns.Contains("OpenCloseCorrelationToBenchmark"))
+         setOfTickers.Columns.Add("OpenCloseCorrelationToBenchmark", System.Type.GetType("System.Double"));
+       float[] benchmarkRatios = getArrayOfCloseToOpenRatios(benchmark, firstQuoteDate, lastQuoteDate);
+       foreach(DataRow row in setOfTickers.Rows)
+       {
+         float[] tickerRatios = getArrayOfCloseToOpenRatios((string)row[0], 
+           firstQuoteDate, lastQuoteDate);
+       	if(tickerRatios.Length == benchmarkRatios.Length)
+       		row["OpenCloseCorrelationToBenchmark"] =
+           	BasicFunctions.PearsonCorrelationCoefficient(benchmarkRatios, tickerRatios);
+       }
+       DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,"OpenCloseCorrelationToBenchmark", orderByASC);
+       ExtendedDataTable.DeleteRows(tableToReturn, maxNumOfReturnedTickers);
+       return tableToReturn;
+     }
      
      private History history;