[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination LinearCombina

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv14944/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	LinearCombinationTest.cs 
Log Message:
- Added radio buttons to switch between daily and weekly strategy
- Bug fixed: HistoricalAdjustedQuoteProvider is used for weekly strategies, now

Index: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** LinearCombinationTest.cs	23 Jul 2005 17:57:01 -0000	1.1
--- LinearCombinationTest.cs	2 Aug 2005 23:12:59 -0000	1.2
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Instruments;
  using QuantProject.Business.Financial.Ordering;
+ using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 43,107 ****
  		private DateTime lastDate;
  		private string[] signedTickers;

! 		private HistoricalRawQuoteProvider historicalQuoteProvider;
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;

  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 			string[] signedTickers )
  		{
  			this.firstDate = firstDate;
  			this.lastDate = lastDate;
  			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 );
! 		}
! 		private 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 );
! 			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 );
- 		}
- 		private void fiveMinutesBeforeMarketCloseEventHandler( Object sender ,
- 			EndOfDayTimingEventArgs endOfDayTimingEventArgs)
- 		{
- 			fiveMinutesBeforeMarketCloseEventHandler_closePositions();
- 		}
  		private void oneHourAfterMarketCloseEventHandler( Object sender ,
  			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
--- 44,63 ----
  		private DateTime lastDate;
  		private string[] signedTickers;
+ 		private bool openToCloseDaily;

! 		private IHistoricalQuoteProvider historicalQuoteProvider;
  		private HistoricalEndOfDayTimer historicalEndOfDayTimer;
  		private Account account;
+ 		private IEndOfDayStrategy endOfDayStrategy;

  		public LinearCombinationTest( DateTime firstDate , DateTime lastDate ,
! 			string[] signedTickers , bool openToCloseDaily )
  		{
  			this.firstDate = firstDate;
  			this.lastDate = lastDate;
  			this.signedTickers = signedTickers;
! 			this.openToCloseDaily = openToCloseDaily;
  		}

  		private void oneHourAfterMarketCloseEventHandler( Object sender ,
  			EndOfDayTimingEventArgs endOfDayTimingEventArgs )
***************
*** 112,115 ****
--- 68,87 ----
  		}

+ 		private void run_setHistoricalQuoteProvider()
+ 		{
+ 			if ( this.openToCloseDaily )
+ 				this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
+ 			else
+ 				this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
+ 		}
+ 		private void run_setStrategy()
+ 		{
+ 			if ( this.openToCloseDaily )
+ 				this.endOfDayStrategy = new OpenToCloseDailyStrategy(
+ 					this.account , this.signedTickers );
+ 			else
+ 				this.endOfDayStrategy = new OpenToCloseWeeklyStrategy(
+ 					this.account , this.signedTickers );
+ 		}
  		public void Run()
  		{
***************
*** 118,123 ****
  				new EndOfDayDateTime( this.firstDate ,
  				EndOfDaySpecificTime.MarketOpen ) , "DYN" );
! 			this.historicalQuoteProvider =
! 				new HistoricalRawQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
--- 90,94 ----
  				new EndOfDayDateTime( this.firstDate ,
  				EndOfDaySpecificTime.MarketOpen ) , "DYN" );
! 			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
  				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
***************
*** 125,136 ****
  				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
  				this.historicalQuoteProvider ) );
  //			OneRank oneRank = new OneRank( account ,
  //				this.endDateTime );
  			this.historicalEndOfDayTimer.MarketOpen +=
  				new MarketOpenEventHandler(
! 				this.marketOpenEventHandler );
  			this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
  				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.fiveMinutesBeforeMarketCloseEventHandler );
  			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
  				new OneHourAfterMarketCloseEventHandler(
--- 96,108 ----
  				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
  				this.historicalQuoteProvider ) );
+ 			run_setStrategy();
  //			OneRank oneRank = new OneRank( account ,
  //				this.endDateTime );
  			this.historicalEndOfDayTimer.MarketOpen +=
  				new MarketOpenEventHandler(
! 				this.endOfDayStrategy.MarketOpenEventHandler );
  			this.historicalEndOfDayTimer.FiveMinutesBeforeMarketClose +=
  				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.endOfDayStrategy.FiveMinutesBeforeMarketCloseEventHandler );
  			this.historicalEndOfDayTimer.OneHourAfterMarketClose +=
  				new OneHourAfterMarketCloseEventHandler(

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination LinearCombina

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination LinearCombinationTest.cs,1.1,1.2