[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs,1.18,1.19

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17897/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
Added SelectorByCloseToCloseCorrelationToBenchmark to the project.

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** Quotes.cs	18 Sep 2005 21:03:43 -0000	1.18
--- Quotes.cs	17 Nov 2005 21:34:40 -0000	1.19
***************
*** 448,451 ****
--- 448,528 ----
      }
      
+     public static float[] GetArrayOfCloseToCloseRatios(string ticker,
+                                                       DateTime firstQuoteDate,
+                                                       DateTime lastQuoteDate,
+                                                      	int numDaysBetweenEachClose)
+     {
+       float[] returnValue = null;
+       Quotes tickerQuotes = new Quotes(ticker, firstQuoteDate, lastQuoteDate);
+       float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
+       returnValue = new float[allAdjValues.Length/(numDaysBetweenEachClose + 1)];
+       int i = 0; //index for ratesOfReturns array
+       int lastIdxAccessed = 0;
+       for(int idx = 0;
+           (idx + numDaysBetweenEachClose) < allAdjValues.Length;
+           idx += numDaysBetweenEachClose )
+       {
+         if(idx-lastIdxAccessed>numDaysBetweenEachClose || idx == 0)
+           //there is a discontinuity, as wanted
+         {
+           returnValue[i] = (allAdjValues[idx+numDaysBetweenEachClose]/
+             allAdjValues[idx] - 1);
+           lastIdxAccessed = idx;
+           i++;
+         }
+       }	
+       return returnValue;
+     }
+     
+     /// <summary>
+     /// returns tickers of a given set of tickers ordered by close to close 
+     /// correlation to a given benchmark
+     /// </summary>
+     public static DataTable GetTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
+       DataTable setOfTickers, string benchmark,
+       DateTime firstQuoteDate,
+       DateTime lastQuoteDate,
+       long maxNumOfReturnedTickers, int numDaysBetweenEachClose)
+     {
+       if(!setOfTickers.Columns.Contains("CloseToCloseCorrelationToBenchmark"))
+         setOfTickers.Columns.Add("CloseToCloseCorrelationToBenchmark", System.Type.GetType("System.Double"));
+       float[] benchmarkRatios = GetArrayOfCloseToCloseRatios(benchmark, firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose);
+       foreach(DataRow row in setOfTickers.Rows)
+       {
+         float[] tickerRatios = GetArrayOfCloseToCloseRatios((string)row[0], 
+           firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose );
+       	if(tickerRatios.Length == benchmarkRatios.Length)
+       		row["CloseToCloseCorrelationToBenchmark"] =
+           	Math.Abs(BasicFunctions.PearsonCorrelationCoefficient(benchmarkRatios, tickerRatios));
+       }
+       DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,
+                                                               "CloseToCloseCorrelationToBenchmark>=0.0",
+                                                               "CloseToCloseCorrelationToBenchmark",
+                                                               orderByASC);
+       ExtendedDataTable.DeleteRows(tableToReturn, maxNumOfReturnedTickers);
+       return tableToReturn;
+     }
+     
+     /// <summary>
+     /// returns tickers of a given set of tickers ordered by close to close 
+     /// correlation to a given benchmark
+     /// </summary>
+     public static DataTable GetTickersByCloseToCloseCorrelationToBenchmark( bool orderByASC,
+ 																					      string groupID, string benchmark,
+ 																					      DateTime firstQuoteDate,
+ 																					      DateTime lastQuoteDate,
+ 																					      long maxNumOfReturnedTickers,
+ 																					      int numDaysBetweenEachClose)
+     {
+       DataTable tickersOfGroup = new Tickers_tickerGroups(groupID);
+       return GetTickersByCloseToCloseCorrelationToBenchmark(orderByASC,
+ 																					      tickersOfGroup, benchmark,
+ 																					      firstQuoteDate,
+ 																					      lastQuoteDate,
+ 																					      maxNumOfReturnedTickers,
+ 																					      numDaysBetweenEachClose);
+     }
+     
+     
      private History history;