[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination OpenToCloseWeeklyStrategy.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv14045/b7_Scripts/WalkForwardTesting/LinearCombination

Added Files:
	OpenToCloseWeeklyStrategy.cs 
Log Message:
Open to close weekly strategy

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

OpenToCloseWeeklyStrategy.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.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;
using QuantProject.Business.Timing;

namespace QuantProject.Scripts.WalkForwardTesting.LinearCombination
{
	/// <summary>
	/// Open to close weekly strategy
	/// </summary>
	[Serializable]
	public class OpenToCloseWeeklyStrategy : IEndOfDayStrategy
	{
		private Account account;
		private string[] signedTickers;

		public OpenToCloseWeeklyStrategy( Account account ,
			string[] signedTickers)
		{
			this.account = account;
			this.signedTickers = signedTickers;
		}
		private long marketOpenEventHandler_addOrder_getQuantity(
			string ticker )
		{
			double accountValue = this.account.GetMarketValue();
			double currentTickerAsk =
				this.account.DataStreamer.GetCurrentAsk( ticker );
			double maxPositionValueForThisTicker =
				accountValue/this.signedTickers.Length;
			long quantity = Convert.ToInt64(	Math.Floor(
				maxPositionValueForThisTicker /	currentTickerAsk ) );
			return quantity;
		}
		private void marketOpenEventHandler_addOrder( string signedTicker )
		{
			OrderType orderType = GenomeRepresentation.GetOrderType( signedTicker );
			string ticker = GenomeRepresentation.GetTicker( signedTicker );
			long quantity = marketOpenEventHandler_addOrder_getQuantity( ticker );
			Order order = new Order( orderType , new Instrument( ticker ) ,
				quantity );
			this.account.AddOrder( order );
		}
		private void marketOpenEventHandler_addOrders()
		{
			foreach ( string signedTicker in this.signedTickers )
				marketOpenEventHandler_addOrder( signedTicker );
		}
		public void MarketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( ( this.account.CashAmount == 0 ) &&
				( this.account.Transactions.Count == 0 ) )
				// cash has not been added yet
				this.account.AddCash( 30000 );
			if ( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
				DayOfWeek.Monday )
				marketOpenEventHandler_addOrders();
		}
		private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
		{
			ArrayList tickers = new ArrayList();
			foreach ( Position position in this.account.Portfolio.Positions )
				tickers.Add( position.Instrument.Key );
			foreach ( string ticker in tickers )
				this.account.ClosePosition( ticker );
		}
		public void FiveMinutesBeforeMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
			if ( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
				DayOfWeek.Friday )
				this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
		}

		public void MarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
		}
		public void OneHourAfterMarketCloseEventHandler( Object sender ,
			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
		{
		}
	}
}