[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a3_Ordering HistoricalEndOfDayOrderExecutor.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv17455/b4_Business/a1_Financial/a3_Ordering

Modified Files:
	HistoricalEndOfDayOrderExecutor.cs 
Log Message:
Added slippage management code (through ISlippageManager interface)

Index: HistoricalEndOfDayOrderExecutor.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering/HistoricalEndOfDayOrderExecutor.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** HistoricalEndOfDayOrderExecutor.cs	4 Feb 2005 00:10:25 -0000	1.5
--- HistoricalEndOfDayOrderExecutor.cs	20 Dec 2005 19:37:57 -0000	1.6
***************
*** 29,32 ****
--- 29,33 ----
  using QuantProject.Business.Financial.Accounting.Transactions;
  using QuantProject.Business.Timing;
+ using QuantProject.Business.Financial.Accounting.Slippage;
  
  
***************
*** 41,44 ****
--- 42,46 ----
  		private IEndOfDayTimer timer;
  		private IHistoricalQuoteProvider historicalQuoteProvider;
+     private ISlippageManager slippageManager;
  
  		public HistoricalEndOfDayOrderExecutor( IEndOfDayTimer timer ,
***************
*** 47,51 ****
--- 49,61 ----
  			this.timer = timer;
  			this.historicalQuoteProvider = historicalQuoteProvider;
+       this.slippageManager = new ZeroSlippageManager();
  		}
+     public HistoricalEndOfDayOrderExecutor( IEndOfDayTimer timer ,
+       IHistoricalQuoteProvider historicalQuoteProvider, ISlippageManager slippageManager )
+     {
+       this.timer = timer;
+       this.historicalQuoteProvider = historicalQuoteProvider;
+       this.slippageManager = slippageManager;
+     }
      [field:NonSerialized]
  		public event OrderFilledEventHandler OrderFilled;
***************
*** 54,62 ****
  		public void Execute( Order order )
  		{
! 			double instrumentPrice = this.historicalQuoteProvider.GetMarketValue( order.Instrument.Key ,
! 				this.timer.GetCurrentTime() );
! 			EndOfDayTransaction endOfDayTransaction = new EndOfDayTransaction(
  				TimedTransaction.GetTransactionType( order.Type ) , order.Instrument ,
! 				order.Quantity , instrumentPrice ,
  				new EndOfDayDateTime( this.timer.GetCurrentTime().DateTime ,
  				this.timer.GetCurrentTime().EndOfDaySpecificTime ) );
--- 64,75 ----
  		public void Execute( Order order )
  		{
! 			double instrumentMarketPrice = 
!           this.historicalQuoteProvider.GetMarketValue(order.Instrument.Key ,
! 				                                          this.timer.GetCurrentTime());
!       double instrumentPriceWithSlippage = instrumentMarketPrice + 
!                                            this.slippageManager.GetSlippage(order);
!       EndOfDayTransaction endOfDayTransaction = new EndOfDayTransaction(
  				TimedTransaction.GetTransactionType( order.Type ) , order.Instrument ,
! 				order.Quantity , instrumentPriceWithSlippage ,
  				new EndOfDayDateTime( this.timer.GetCurrentTime().DateTime ,
  				this.timer.GetCurrentTime().EndOfDaySpecificTime ) );