[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes RunEfficientOTCTypes.cs,1.1,1.2 EndOfDayTimerHandlerOTCTypes.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3224/b7_Scripts/TickerSelectionTesting/TestingOTCTypes

Modified Files:
	RunEfficientOTCTypes.cs EndOfDayTimerHandlerOTCTypes.cs 
Log Message:
Fixed bug in OTCTypes script: positions are now correctly computed for each type of strategy.

Index: RunEfficientOTCTypes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/RunEfficientOTCTypes.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunEfficientOTCTypes.cs	28 Dec 2005 23:22:50 -0000	1.1
--- RunEfficientOTCTypes.cs	7 Jan 2006 10:28:56 -0000	1.2
***************
*** 72,76 ****
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "OTC_Types";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
        this.accounts = new Account[4];
--- 72,76 ----
        portfolioType, maxRunningHours)
      {
!       this.ScriptName = "OTC_Types_SharpeRatioWithCoeff";
        this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
        this.accounts = new Account[4];

Index: EndOfDayTimerHandlerOTCTypes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/EndOfDayTimerHandlerOTCTypes.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerOTCTypes.cs	28 Dec 2005 23:22:50 -0000	1.1
--- EndOfDayTimerHandlerOTCTypes.cs	7 Jan 2006 10:28:56 -0000	1.2
***************
*** 59,63 ****
                                  Account[] accounts):
                                  base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, accounts[0],
                                  generationNumberForGeneticOptimizer,
                                  populationSizeForGeneticOptimizer,
--- 59,63 ----
                                  Account[] accounts):
                                  base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod,
                                  generationNumberForGeneticOptimizer,
                                  populationSizeForGeneticOptimizer,
***************
*** 104,110 ****
      }
  
      protected override void openPositions()
      {
!       this.addChosenTickersToOrderList();
        for(int i = 0; i<this.accounts.Length; i++)
        {
--- 104,141 ----
      }
  
+     protected void addOrderForTickerForTheGivenAccount(int tickerPosition,
+                                                        int accountNumber )
+     {
+     	string tickerCode = 
+     		GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.chosenTickers[tickerPosition]);
+       double cashForSinglePosition = 
+       	this.accounts[accountNumber].CashAmount * this.chosenTickersPortfolioWeights[tickerPosition];
+       long quantity =
+       	Convert.ToInt64( Math.Floor( cashForSinglePosition / this.accounts[accountNumber].DataStreamer.GetCurrentBid( tickerCode ) ) );
+       Order order;
+       if(this.portfolioType == PortfolioType.OnlyShort ||
+          		(this.portfolioType == PortfolioType.ShortAndLong &&
+           this.chosenTickers[tickerPosition] != tickerCode))
+         order = new Order( OrderType.MarketSellShort, new Instrument( tickerCode ) , quantity );  
+       else      		
+       	order = new Order( OrderType.MarketBuy, new Instrument( tickerCode ) , quantity );
+       
+       this.orders.Add(order);
+     }
+     protected void addChosenTickersToOrderListForTheGivenAccount(int accountNumber)
+     {
+       for( int i = 0; i<this.chosenTickers.Length; i++)
+       {
+       	if(this.chosenTickers[i] != null)
+         {  
+           this.addOrderForTickerForTheGivenAccount( i, accountNumber );
+           this.lastOrderedTickers[i] = 
+           	GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.chosenTickers[i]);
+         }
+       }
+     }
      protected override void openPositions()
      {
!       
        for(int i = 0; i<this.accounts.Length; i++)
        {
***************
*** 114,125 ****
          
          if(i<=1)//daily classical, and multiday
-           this.openPositions_openWhenPortfolioIsEmpty(i);
-         else if(i==2)//for the CTO OTC
          {
!           this.closePositions_close(i);	
            foreach(object item in this.orders)
              this.accounts[i].AddOrder((Order)item);
          }
!         else if(i==3)//for the CTO, only at night
          {
            this.closePositions_close(i);	
--- 145,163 ----
          
          if(i<=1)//daily classical, and multiday
          {
!         	this.orders.Clear();
!         	this.addChosenTickersToOrderListForTheGivenAccount(i);
!         	this.openPositions_openWhenPortfolioIsEmpty(i);
!         }
!         	else if(i==2)//for the CTO OTC
!         {
!           this.closePositions_close(i);
!           this.orders.Clear();
!           this.addChosenTickersToOrderListForTheGivenAccount(i);
            foreach(object item in this.orders)
              this.accounts[i].AddOrder((Order)item);
          }
!         else if(i==3)//for the CTO, no position is opened
!         	//at market open. Any open position is closed, instead
          {
            this.closePositions_close(i);	
***************
*** 169,173 ****
              this.reverseSignOfChosenTickers();
              this.orders.Clear();
!             this.addChosenTickersToOrderList();
              this.openPositions_openWhenPortfolioIsEmpty(i);
              this.reverseSignOfChosenTickers();
--- 207,211 ----
              this.reverseSignOfChosenTickers();
              this.orders.Clear();
!             this.addChosenTickersToOrderListForTheGivenAccount(i);
              this.openPositions_openWhenPortfolioIsEmpty(i);
              this.reverseSignOfChosenTickers();
***************
*** 184,188 ****
              this.reverseSignOfChosenTickers();
              this.orders.Clear();
!             this.addChosenTickersToOrderList();
              this.openPositions_openWhenPortfolioIsEmpty(i);
              this.reverseSignOfChosenTickers();
--- 222,226 ----
              this.reverseSignOfChosenTickers();
              this.orders.Clear();
!             this.addChosenTickersToOrderListForTheGivenAccount(i);
              this.openPositions_openWhenPortfolioIsEmpty(i);
              this.reverseSignOfChosenTickers();
***************
*** 284,289 ****
        
        {
!         IGenomeManager genManEfficientCTOPortfolio = 
!           new GenomeManagerForEfficientCTOPortfolio(setOfTickersToBeOptimized,
          	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
          	                                          currentDate,
--- 322,327 ----
        
        {
!         IGenomeManager genManEfficientOTCTypes = 
!           new GenomeManagerForEfficientOTCTypes(setOfTickersToBeOptimized,
          	                                          currentDate.AddDays(-this.numDaysForOptimizationPeriod),
          	                                          currentDate,
***************
*** 292,296 ****
          	                                         	this.portfolioType);
          
!         GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio,
                                                      this.populationSizeForGeneticOptimizer,
                                                      this.generationNumberForGeneticOptimizer,
--- 330,334 ----
          	                                         	this.portfolioType);
          
!         GeneticOptimizer GO = new GeneticOptimizer(genManEfficientOTCTypes,
                                                      this.populationSizeForGeneticOptimizer,
                                                      this.generationNumberForGeneticOptimizer,