[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankEligibleTickers.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16448

Added Files:
	WFMultiOneRankEligibleTickers.cs 
Log Message:
Selects the tickers to among which best performers will be searched

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

WFMultiOneRankEligibleTickers.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 System.Data;

using QuantProject.Business.Timing;
using QuantProject.Data.Selectors;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
{
	/// <summary>
	/// Selects the tickers to among which best performers will be searched
	/// </summary>
	public class WFMultiOneRankEligibleTickers
	{
		string tickerGroupID;
		private int numberEligibleTickersToBeChosen;
		private int numberDaysForPerformanceCalculation;
		private IEndOfDayTimer endOfDayTimer;

		private DataTable eligibleTickers;
		//		private int numDaysToComputeLiquidity = 10;

		public DataTable EligibleTickers
		{
			get { return this.eligibleTickers; }
		}
		public WFMultiOneRankEligibleTickers(
			string tickerGroupID ,
			int numberEligibleTickersToBeChosen ,
			int numberDaysForPerformanceCalculation ,
			IEndOfDayTimer endOfDayTimer )
		{
			this.tickerGroupID = tickerGroupID;
			this.numberEligibleTickersToBeChosen = numberEligibleTickersToBeChosen;
			this.numberDaysForPerformanceCalculation = numberDaysForPerformanceCalculation;
			this.endOfDayTimer = endOfDayTimer;
			this.eligibleTickers = new DataTable();
		}

		#region SetTickers
		private DataTable setTickers_build_getSelectedTickers()
		{
			DateTime dateTime = this.endOfDayTimer.GetCurrentTime().DateTime;
//			SelectorByGroup selectorByGroup =
//				new SelectorByGroup( "SP500" , dateTime );
			// use the following for fast test
			SelectorByGroup selectorByGroup =
				new SelectorByGroup( this.tickerGroupID , dateTime );
			DataTable eligibleTickers = selectorByGroup.GetTableOfSelectedTickers();
			
//			SelectorByLiquidity mostLiquid =
//				new SelectorByLiquidity("Test", false ,	dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime ,
//				this.numberEligibleTickersToBeChosen );
//			DataTable mostLiquidTickers =
//				mostLiquid.GetTableOfSelectedTickers();
			SelectorByQuotationAtEachMarketDay quotedInEachMarketDay = 
				new SelectorByQuotationAtEachMarketDay( eligibleTickers,
				false,	dateTime.AddDays( - this.numberDaysForPerformanceCalculation ) ,
				dateTime, this.numberEligibleTickersToBeChosen,"^SPX");
			return quotedInEachMarketDay.GetTableOfSelectedTickers();
		}
		private DataTable setTickers_buildQuickly_getSelectedTickers()
		{
			DataTable returnValue =
				new QuantProject.Data.DataTables.Tickers_tickerGroups( "millo" );
			returnValue.Columns[ 0 ].ColumnName = "tiTicker";
			return returnValue;
		}
		private void setTickers_build()
		{
			// for fast debug, comment the following line
			this.eligibleTickers = setTickers_build_getSelectedTickers();
			// for fast debug, uncomment the following line 
//			DataTable selectedTickers = setTickers_buildQuickly_getSelectedTickers();

//			foreach ( DataRow dataRow in this.eligibleTickers.Rows )
//				this.Add( dataRow[ "TickerId" ].ToString() ,
//					dataRow[ "TickerId" ].ToString() );
		}
		/// <summary>
		/// Populates the collection of eligible tickers
		/// </summary>
		/// <param name="dateTime"></param>
		public void SetTickers()
		{
			this.eligibleTickers.Clear();
			setTickers_build();
		}
		#endregion
	}
}