[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs,1.20,1.21

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27459/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
Selection of couples of tickers by correlation coefficient is now much more efficient.


Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** Quotes.cs	20 Dec 2005 19:33:12 -0000	1.20
--- Quotes.cs	28 Dec 2005 23:27:56 -0000	1.21
***************
*** 188,196 ****
        return tableToReturn;
      }
  
! 
  
      /// <summary>
!     /// Returns a table containing the Pearson correlation coefficient of the adjusted close to close ratios
      /// for any possible couple of tickers contained in the given table, for the specified interval
      /// </summary>
--- 188,211 ----
        return tableToReturn;
      }
+     
+     private static void getTickersByAdjCloseToClosePearsonCorrelationCoefficient_setTickersReturns(out float[][]
+       tickersReturns, DataTable setOfTickers, DateTime firstQuoteDate, DateTime lastQuoteDate) 
+                                                               
+     {
+       tickersReturns = new float[setOfTickers.Rows.Count][];
+       for(int i = 0; i<setOfTickers.Rows.Count; i++)
+       {
+         DataTable tickerQuoteTable = 
+           QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes((string)setOfTickers.Rows[i][0],
+                                                                 firstQuoteDate,
+                                                                 lastQuoteDate);
+         tickersReturns[i] =
+           ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuoteTable,"quAdjustedClose"); 
  
!       }
!     }
  
      /// <summary>
!     /// Returns a table containing the Pearson correlation coefficient for the adjusted close values
      /// for any possible couple of tickers contained in the given table, for the specified interval
      /// </summary>
***************
*** 206,209 ****
--- 221,226 ----
          setOfTickers.Columns.Add("PearsonCorrelationCoefficient", System.Type.GetType("System.Double"));
        int initialNumberOfRows = setOfTickers.Rows.Count;
+       float[][] tickersReturns;
+       getTickersByAdjCloseToClosePearsonCorrelationCoefficient_setTickersReturns(out tickersReturns, setOfTickers, firstQuoteDate, lastQuoteDate);
        for(int j=0; j!= initialNumberOfRows; j++)
        {
***************
*** 212,223 ****
          {
            string secondTicker = (string)setOfTickers.Rows[i][0];
-           DataTable dtFirstTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(firstTicker,
-                                                                               firstQuoteDate,
-                                                                               lastQuoteDate);
-           DataTable dtSecondTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(secondTicker,
-                                                                                     firstQuoteDate,
-                                                                                     lastQuoteDate);
            DataRow rowToAdd = setOfTickers.NewRow();
            rowToAdd[0] = firstTicker;
            rowToAdd["CorrelatedTicker"] = secondTicker;
            try
--- 229,236 ----
          {
            string secondTicker = (string)setOfTickers.Rows[i][0];
            DataRow rowToAdd = setOfTickers.NewRow();
            rowToAdd[0] = firstTicker;
+           rowToAdd["PearsonCorrelationCoefficient"] = -2.0;
+           //unassigned value for this column
            rowToAdd["CorrelatedTicker"] = secondTicker;
            try
***************
*** 225,240 ****
              rowToAdd["PearsonCorrelationCoefficient"] = 
                QuantProject.ADT.Statistics.BasicFunctions.PearsonCorrelationCoefficient(
!               ExtendedDataTable.GetArrayOfFloatFromColumn(dtFirstTicker, "quAdjustedCloseToCloseRatio"),
!               ExtendedDataTable.GetArrayOfFloatFromColumn(dtSecondTicker, "quAdjustedCloseToCloseRatio"));
!             setOfTickers.Rows.Add(rowToAdd);
            }
            catch(Exception ex)
            {
!             string notUsed = ex.ToString();
            }
          }
        }
        ExtendedDataTable.DeleteRows(setOfTickers, 0, initialNumberOfRows - 1);
!       return ExtendedDataTable.CopyAndSort(setOfTickers,"PearsonCorrelationCoefficient", orderByASC);
      }
  
--- 238,276 ----
              rowToAdd["PearsonCorrelationCoefficient"] = 
                QuantProject.ADT.Statistics.BasicFunctions.PearsonCorrelationCoefficient(
!               tickersReturns[j],tickersReturns[i]);
            }
            catch(Exception ex)
            {
!             ex = ex;
!           }
!           finally
!           {
!             setOfTickers.Rows.Add(rowToAdd);
            }
          }
        }
        ExtendedDataTable.DeleteRows(setOfTickers, 0, initialNumberOfRows - 1);
!       //delete initial rows that don't contain correlated ticker and Pearson coeff.
!       return ExtendedDataTable.CopyAndSort(setOfTickers,"PearsonCorrelationCoefficient>-2.0",
!                                           "PearsonCorrelationCoefficient", orderByASC);
!     }
! 
!     /// <summary>
!     /// Returns a table containing the Pearson correlation coefficient for the adjusted close values
!     /// for any possible couple of tickers contained in the given group of tickers,
!     /// for the specified interval
!     /// </summary>
!     public static DataTable GetTickersByAdjCloseToClosePearsonCorrelationCoefficient( bool orderByASC,
!                                                       string groupID,
!                                                       DateTime firstQuoteDate,
!                                                       DateTime lastQuoteDate)
!                                                               
!     {
!       
!       DataTable tickersOfGroup = new Tickers_tickerGroups(groupID);
!       return GetTickersByAdjCloseToClosePearsonCorrelationCoefficient(orderByASC,
!                                                                 tickersOfGroup,
!                                                                 firstQuoteDate,
!                                                                 lastQuoteDate);
      }
  
***************
*** 244,250 ****
      /// </summary>
      public static DataTable GetTickersByCloseToOpenPearsonCorrelationCoefficient( bool orderByASC,
!       DataTable setOfTickers,
!       DateTime firstQuoteDate,
!       DateTime lastQuoteDate)
                                                                
      {
--- 280,286 ----
      /// </summary>
      public static DataTable GetTickersByCloseToOpenPearsonCorrelationCoefficient( bool orderByASC,
!                                                               DataTable setOfTickers,
!                                                               DateTime firstQuoteDate,
!                                                               DateTime lastQuoteDate)
                                                                
      {