[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerOTCCTO.

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv18615/b7_Scripts/TickerSelectionTesting

Added Files:
	EndOfDayTimerHandlerOTCCTO.cs 
	EndOfDayTimerHandlerOTCMultiday.cs 
	RunEfficientOTCCTOPortfolio.cs 
	RunEfficientOTCPortfolioMultiday.cs 
Log Message:
Added:
- SimpleSelection script;
- Open To Close combined with Close to Open;
- Open To Close multiday

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

EndOfDayTimerHandlerOTCCTO.cs
Copyright (C) 2003 
Marco Milletti

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.Data;
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.Data.Selectors;
using QuantProject.ADT.Optimizing.Genetic;

namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{

  /// <summary>
  /// Implements MarketOpenEventHandler,
  /// TwoMinutesBeforeMarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
  /// These handlers contain the core strategy for the efficient close to open portfolio!
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerOTCCTO : EndOfDayTimerHandler
  {
    protected int numDaysBetweenEachOptimization;
    private int numDaysElapsedSinceLastOptimization;
    protected int seedForRandomGenerator;

    public EndOfDayTimerHandlerOTCCTO(string tickerGroupID, int numberOfEligibleTickers, 
                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
                                int generationNumberForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer,
                                string benchmark, double targetReturn,
                                PortfolioType portfolioType, int numDaysBetweenEachOptimization):
  															base(tickerGroupID, numberOfEligibleTickers, 
                                numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
                                generationNumberForGeneticOptimizer,
                                populationSizeForGeneticOptimizer,
                                benchmark, targetReturn,
                                portfolioType)
    {
    	this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;  
    	this.numDaysElapsedSinceLastOptimization = 0;
    	this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
    }

    /// <summary>
    /// Handles a "Market Open" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public override void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	//temporarily the if condition
    	//if(this.numDaysElapsedSinceLastOptimization == 0)
    	this.closePositions();	
      this.openPositions();
    }
    private void reverseSignOfChosenTickers()
    {
      for(int i = 0; i<this.chosenTickers.Length; i++)
      {
        if(this.chosenTickers[i] != null)
        {
          if(this.chosenTickers[i].StartsWith("-"))
            this.chosenTickers[i] =
              GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.chosenTickers[i]);
          else
            this.chosenTickers[i] = "-" + this.chosenTickers[i];
        }
      }
    }

    public override void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {

    	//temporarily
    	//if(this.numDaysElapsedSinceLastOptimization ==
    	//   this.numDaysBetweenEachOptimization)
    	this.closePositions();
      this.orders.Clear();
      this.reverseSignOfChosenTickers();
      this.openPositions();

    }

		#region OneHourAfterMarketCloseEventHandler

    protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
    {
      /*
      SelectorByAverageRawOpenPrice selectorByOpenPrice = 
                  new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                          currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
                          this.numberOfEligibleTickers, this.minPriceForMinimumCommission,
                          this.maxPriceForMinimumCommission, 0, 2);
      DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
      */

     	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
      SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
      	new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
      	                                              this.benchmark,true,
      	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
      	                                    					currentDate,
      	                                    					this.numberOfEligibleTickers);

      this.eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
        new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
                                   false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                    currentDate, this.numberOfEligibleTickers, this.benchmark);
      //SelectorByWinningOpenToClose winners =
      //	new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
      //	                                 false, currentDate.AddDays(-2),
      //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
      //return winners.GetTableOfSelectedTickers();
      //SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
      //  new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
      //                                                this.benchmark, true,
      //                                                currentDate.AddDays(-this.numDaysForLiquidity),
      //                                                currentDate, this.numberOfEligibleTickers/2);
      return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
      //return lessCorrelated.GetTableOfSelectedTickers();
    }

    protected virtual void setTickers(DateTime currentDate,
                                     	bool setGenomeCounter)
    {

      DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
      if(setOfTickersToBeOptimized.Rows.Count > this.chosenTickers.Length*2)
        //the optimization process is possible only if the initial set of tickers is 
        //as large as the number of tickers to be chosen                     

      {
        IGenomeManager genManEfficientCTOPortfolio = 
          new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
        	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
        	                                          currentDate,
        	                                          this.numberOfTickersToBeChosen,
        	                                          this.targetReturn,
        	                                         	this.portfolioType);

        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
                                                    this.populationSizeForGeneticOptimizer,
                                                    this.generationNumberForGeneticOptimizer,
                                                   this.seedForRandomGenerator);
        if(setGenomeCounter)
        	this.genomeCounter = new GenomeCounter(GO);

        GO.Run(false);
        this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                    currentDate);
        this.chosenTickers = (string[])GO.BestGenome.Meaning;
      }
      //else it will be buyed again the previous optimized portfolio
      //that's it the actual chosenTickers member
    }

    protected void oneHourAfterMarketCloseEventHandler_updatePrices()
    {
    	//min price for minimizing commission amount
    	//according to IB Broker's commission scheme
    	this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
      this.maxPriceForMinimumCommission = this.maxPriceForMinimumCommission;
      //just to avoid warning message
    }

    /// <summary>
    /// Handles a "One hour after market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public override void OneHourAfterMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	this.seedForRandomGenerator++;
    	this.orders.Clear();
    	//this.oneHourAfterMarketCloseEventHandler_updatePrices();
      if(this.numDaysElapsedSinceLastOptimization == 
    	   this.numDaysBetweenEachOptimization - 1)
    	{
    		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
      	//sets tickers to be chosen next Market Open event
      	this.numDaysElapsedSinceLastOptimization = 0;
    	}
      else
      {
        this.numDaysElapsedSinceLastOptimization++;
      }

    }

    #endregion

  }
}

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

RunEfficientOTCPorfolioMultiday.cs
Copyright (C) 2003 
Marco Milletti

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 System.Data;
using QuantProject.ADT;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.ADT.FileManaging;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Scripting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Testing;
using QuantProject.Business.Timing;
using QuantProject.Business.Financial.Accounting.Commissions;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors; 
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Presentation.Reporting.WindowsForm;

namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
	/// <summary>
	/// Script to buy at open and sell at close 
	/// the efficient close to open daily portfolio
	/// The efficient portfolio's generation rules
	/// (contained in the EndOfDayTimerHandler) are:
	/// - choose the most liquid tickers;
	/// - choose the most efficient portfolio among these tickers
	/// </summary>
  [Serializable]
  public class RunEfficientOTCPortfolioMultiday : RunEfficientPortfolio
  {
    protected int numDaysBetweenEachOptimization;	
    public RunEfficientOTCPortfolioMultiday(string tickerGroupID, int numberOfEligibleTickers, 
      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
      int generationNumberForGeneticOptimizer,
      int populationSizeForGeneticOptimizer, string benchmark,
      DateTime startDate, DateTime endDate, double targetReturn,
      PortfolioType portfolioType, double maxRunningHours,
     	int numDaysPortfolioLife):
      base(tickerGroupID, numberOfEligibleTickers, 
      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
      generationNumberForGeneticOptimizer,
      populationSizeForGeneticOptimizer, benchmark,
      startDate, endDate, targetReturn,
      portfolioType, maxRunningHours)
    {
      this.ScriptName = "MultidayOpenCloseScripts";
      this.numDaysBetweenEachOptimization = numDaysPortfolioLife;
    }

    #region auxiliary overriden methods for Run

    /* delete remark delimitations for having ib commission
    protected override void run_initializeAccount()
    {
      this.account = new Account( this.ScriptName , this.endOfDayTimer ,
        new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
          this.historicalQuoteProvider ) ,
        new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
          this.historicalQuoteProvider ), new IBCommissionManager());

    }
    */

    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCMultiday(this.tickerGroupID,
        this.numberOfEligibleTickers,
        this.numberOfTickersToBeChosen,
        this.numDaysForOptimizationPeriod,
        this.account,
        this.generationNumberForGeneticOptimizer, 
        this.populationSizeForGeneticOptimizer,
        this.benchmark,
        this.targetReturn,
        this.portfolioType, this.numDaysBetweenEachOptimization);
    }

    protected override void run_initializeHistoricalQuoteProvider()
    {
      //this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
      this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
    }

    protected override void run_addEventHandlers()
    {
      this.endOfDayTimer.MarketOpen +=
        new MarketOpenEventHandler(
        this.endOfDayTimerHandler.MarketOpenEventHandler);  

      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.endOfDayTimerHandler.MarketCloseEventHandler);

      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.checkDateForReport);

      this.endOfDayTimer.OneHourAfterMarketClose +=
        new OneHourAfterMarketCloseEventHandler(
        this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
    }
    #endregion 

    //necessary far calling RunEfficientPortfolio.Run()
    //in classes that inherit from this class
    public override void Run()
    {
      base.Run();
    }
	}
}

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

EndOfDayTimerHandlerOTCMultiday.cs
Copyright (C) 2003 
Marco Milletti

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.Data;
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.Data.Selectors;
using QuantProject.ADT.Optimizing.Genetic;

namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{

  /// <summary>
  /// Implements MarketOpenEventHandler,
  /// TwoMinutesBeforeMarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
  /// These handlers contain the core strategy for the efficient close to open portfolio!
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerOTCMultiday : EndOfDayTimerHandler
  {
    protected int numDaysBetweenEachOptimization;
    private int numDaysElapsedSinceLastOptimization;
    protected int seedForRandomGenerator;

    public EndOfDayTimerHandlerOTCMultiday(string tickerGroupID, int numberOfEligibleTickers, 
                                int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
                                int generationNumberForGeneticOptimizer,
                                int populationSizeForGeneticOptimizer,
                                string benchmark, double targetReturn,
                                PortfolioType portfolioType, int numDaysBetweenEachOptimization):
  															base(tickerGroupID, numberOfEligibleTickers, 
                                numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
                                generationNumberForGeneticOptimizer,
                                populationSizeForGeneticOptimizer,
                                benchmark, targetReturn,
                                portfolioType)
    {
    	this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;  
    	this.numDaysElapsedSinceLastOptimization = 0;
    	this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
    }

    /// <summary>
    /// Handles a "Market Open" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public override void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {

    	if(this.numDaysElapsedSinceLastOptimization == 0)
    			this.openPositions();
    }

    public override void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {

    	if(this.numDaysElapsedSinceLastOptimization ==
    	   this.numDaysBetweenEachOptimization - 1)
    	 			this.closePositions();

    }

		#region OneHourAfterMarketCloseEventHandler

    protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
    {
      /*
      SelectorByAverageRawOpenPrice selectorByOpenPrice = 
                  new SelectorByAverageRawOpenPrice(this.tickerGroupID, false,
                          currentDate.AddDays(-this.numDaysForLiquidity), currentDate,
                          this.numberOfEligibleTickers, this.minPriceForMinimumCommission,
                          this.maxPriceForMinimumCommission, 0, 2);
      DataTable tickersByPrice = selectorByOpenPrice.GetTableOfSelectedTickers();
      */

     	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
      SelectorByOpenCloseCorrelationToBenchmark lessCorrelatedFromTemporizedGroup = 
      	new SelectorByOpenCloseCorrelationToBenchmark(temporizedGroup.GetTableOfSelectedTickers(),
      	                                              this.benchmark,true,
      	                                              currentDate.AddDays(-this.numDaysForOptimizationPeriod ),
      	                                    					currentDate,
      	                                    					this.numberOfEligibleTickers);

      this.eligibleTickers = lessCorrelatedFromTemporizedGroup.GetTableOfSelectedTickers();
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
        new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
                                   false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                    currentDate, this.numberOfEligibleTickers, this.benchmark);
      //SelectorByWinningOpenToClose winners =
      //	new SelectorByWinningOpenToClose(quotedAtEachMarketDayFromMostLiquid.GetTableOfSelectedTickers(),
      //	                                 false, currentDate.AddDays(-2),
      //	                                 currentDate, this.numberOfEligibleTickers/4);      	                                 
      //return winners.GetTableOfSelectedTickers();
      //SelectorByOpenCloseCorrelationToBenchmark lessCorrelated = 
      //  new SelectorByOpenCloseCorrelationToBenchmark(quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers(),
      //                                                this.benchmark, true,
      //                                                currentDate.AddDays(-this.numDaysForLiquidity),
      //                                                currentDate, this.numberOfEligibleTickers/2);
      return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
      //return lessCorrelated.GetTableOfSelectedTickers();
    }

    private string[] setTickers_getBestTickersLosingAtLastDay(IGenomeManager genomeManager)
    {
    	string[] returnValue =
    		((MeaningForGenome)genomeManager.CurrentGeneticOptimizer.BestGenome.Meaning).Tickers;
    	int numOfGenomes = genomeManager.CurrentGeneticOptimizer.CurrentGeneration.Count;
    	int i;
    	for(i = 0;i<numOfGenomes; i++)
    	{
    		if(((MeaningForGenome)((Genome)genomeManager.CurrentGeneticOptimizer.CurrentGeneration[numOfGenomes - i - 1]).Meaning).ReturnAtLastDayInSample < 0)
    		//the current portfolio has a negative return at the last day in sample
    		{
    			returnValue =
    					((MeaningForGenome)((Genome)genomeManager.CurrentGeneticOptimizer.CurrentGeneration[numOfGenomes - i - 1]).Meaning).Tickers;
    			i = numOfGenomes;
    		}
    	}

    	return returnValue;
    }

    protected virtual void setTickers(DateTime currentDate,
                                     	bool setGenomeCounter)
    {

      DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
      if(setOfTickersToBeOptimized.Rows.Count > this.chosenTickers.Length*2)
        //the optimization process is possible only if the initial set of tickers is 
        //as large as the number of tickers to be chosen                     

      {
        IGenomeManager genManEfficientCTOPortfolio = 
          new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
        	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
        	                                          currentDate,
        	                                          this.numberOfTickersToBeChosen,
        	                                          this.targetReturn,
        	                                         	this.portfolioType);

        GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
                                                    this.populationSizeForGeneticOptimizer,
                                                    this.generationNumberForGeneticOptimizer,
                                                   this.seedForRandomGenerator);
        if(setGenomeCounter)
        	this.genomeCounter = new GenomeCounter(GO);

        GO.Run(false);
        this.addGenomeToBestGenomes(GO.BestGenome,currentDate.AddDays(-this.numDaysForOptimizationPeriod),
                                    currentDate);
        //this.chosenTickers = ((MeaningForGenome)GO.BestGenome.Meaning).Tickers;
        this.chosenTickers =
        	this.setTickers_getBestTickersLosingAtLastDay(genManEfficientCTOPortfolio);
      }
      //else it will be buyed again the previous optimized portfolio
      //that's it the actual chosenTickers member
    }

    protected void oneHourAfterMarketCloseEventHandler_updatePrices()
    {
    	//min price for minimizing commission amount
    	//according to IB Broker's commission scheme
    	this.minPriceForMinimumCommission = this.account.CashAmount/(this.numberOfTickersToBeChosen*100);
      this.maxPriceForMinimumCommission = this.maxPriceForMinimumCommission;
      //just to avoid warning message
    }

    /// <summary>
    /// Handles a "One hour after market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public override void OneHourAfterMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	this.seedForRandomGenerator++;
    	this.orders.Clear();
    	//this.oneHourAfterMarketCloseEventHandler_updatePrices();
      if(this.numDaysElapsedSinceLastOptimization == 
    	   this.numDaysBetweenEachOptimization - 1)
    	{
    		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, false);
      	//sets tickers to be chosen next Market Open event
      	this.numDaysElapsedSinceLastOptimization = 0;
    	}
      else
      {
        this.numDaysElapsedSinceLastOptimization++;
      }

    }

    #endregion

  }
}

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

RunEfficientOTCCTOPorfolio.cs
Copyright (C) 2003 
Marco Milletti

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 System.Data;
using QuantProject.ADT;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.ADT.FileManaging;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Scripting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Testing;
using QuantProject.Business.Timing;
using QuantProject.Business.Financial.Accounting.Commissions;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors; 
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Presentation.Reporting.WindowsForm;

namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
	/// <summary>
	/// Script to buy at open and sell at close 
	/// the efficient close to open daily portfolio
	/// The efficient portfolio's generation rules
	/// (contained in the EndOfDayTimerHandler) are:
	/// - choose the most liquid tickers;
	/// - choose the most efficient portfolio among these tickers
	/// </summary>
  [Serializable]
  public class RunEfficientOTCCTOPortfolio : RunEfficientPortfolio
  {
    protected int numDaysBetweenEachOptimization;	
    public RunEfficientOTCCTOPortfolio(string tickerGroupID, int numberOfEligibleTickers, 
      int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, 
      int generationNumberForGeneticOptimizer,
      int populationSizeForGeneticOptimizer, string benchmark,
      DateTime startDate, DateTime endDate, double targetReturn,
      PortfolioType portfolioType, double maxRunningHours,
     	int numDaysBetweenEachOptimization):
      base(tickerGroupID, numberOfEligibleTickers, 
      numberOfTickersToBeChosen, numDaysForOptimizationPeriod, 
      generationNumberForGeneticOptimizer,
      populationSizeForGeneticOptimizer, benchmark,
      startDate, endDate, targetReturn,
      portfolioType, maxRunningHours)
    {
      this.ScriptName = "OpenToClose_CloseToOpenScripts";
      this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
    }

    #region auxiliary overriden methods for Run

    /* delete remark delimitations for having ib commission
    protected override void run_initializeAccount()
    {
      this.account = new Account( this.ScriptName , this.endOfDayTimer ,
        new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
          this.historicalQuoteProvider ) ,
        new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
          this.historicalQuoteProvider ), new IBCommissionManager());

    }
    */

    protected override void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerOTCCTO(this.tickerGroupID,
        this.numberOfEligibleTickers,
        this.numberOfTickersToBeChosen,
        this.numDaysForOptimizationPeriod,
        this.account,
        this.generationNumberForGeneticOptimizer, 
        this.populationSizeForGeneticOptimizer,
        this.benchmark,
        this.targetReturn,
        this.portfolioType, this.numDaysBetweenEachOptimization);
    }

    protected override void run_initializeHistoricalQuoteProvider()
    {
      //this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
      this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
    }

    protected override void run_addEventHandlers()
    {
      this.endOfDayTimer.MarketOpen +=
        new MarketOpenEventHandler(
        this.endOfDayTimerHandler.MarketOpenEventHandler);  

      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.endOfDayTimerHandler.MarketCloseEventHandler);

      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.checkDateForReport);

      this.endOfDayTimer.OneHourAfterMarketClose +=
        new OneHourAfterMarketCloseEventHandler(
        this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
    }
    #endregion 

    //necessary far calling RunEfficientPortfolio.Run()
    //in classes that inherit from this class
    public override void Run()
    {
      base.Run();
    }
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerOTCCTO.

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerOTCCTO.cs,NONE,1.1 EndOfDayTimerHandlerOTCMultiday.cs,NONE,1.1 RunEfficientOTCCTOPortfolio.cs,NONE,1.1 RunEfficientOTCPortfolioMultiday.cs,NONE,1.1