[Quantproject-developers] QuantProject/b2_DataAccess/Tables Quotes.cs,1.27,1.28

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv7476/b2_DataAccess/Tables

Modified Files:
	Quotes.cs 
Log Message:
Methods have been properly renamed.
Added new methods for Close To Open data management.
Fixed some bugs (tickers without quotes are now excluded from selection). 

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables/Quotes.cs,v
retrieving revision 1.27
retrieving revision 1.28
diff -C2 -d -r1.27 -r1.28
*** Quotes.cs	18 Sep 2005 21:03:43 -0000	1.27
--- Quotes.cs	7 Jan 2006 10:56:09 -0000	1.28
***************
*** 483,491 ****
        return SqlExecutor.GetDataTable( sql );
      }
!     
      /// <summary>
!     /// Returns tickers ordered by a close to open volatility index (stdDev of Close To Open ratio)
      /// </summary>
!     public static DataTable GetTickersByCloseToOpenVolatility( bool orderInASCMode, string groupID,
        DateTime firstQuoteDate,
        DateTime lastQuoteDate,
--- 483,491 ----
        return SqlExecutor.GetDataTable( sql );
      }
! 
      /// <summary>
!     /// Returns tickers ordered by the open to close volatility index (stdDev of OTC ratio)
      /// </summary>
!     public static DataTable GetTickersByOpenToCloseVolatility( bool orderInASCMode, string groupID,
        DateTime firstQuoteDate,
        DateTime lastQuoteDate,
***************
*** 493,497 ****
      {
        string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
!         "StDev(quotes.quClose/quotes.quOpen) AS CloseToOpenStandDev " +
          "FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " +
          "ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " +
--- 493,497 ----
      {
        string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
!         "StDev(quotes.quClose/quotes.quOpen - 1) AS OpenToCloseStandDev " +
          "FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " +
          "ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " +
***************
*** 502,506 ****
          SQLBuilder.GetDateConstant(lastQuoteDate) + 
          "GROUP BY tickers.tiTicker, tickers.tiCompanyName " +
!         "ORDER BY StDev(quotes.quClose/quotes.quOpen)";
        string sortDirection = " DESC";
        if(orderInASCMode)
--- 502,506 ----
          SQLBuilder.GetDateConstant(lastQuoteDate) + 
          "GROUP BY tickers.tiTicker, tickers.tiCompanyName " +
!         "ORDER BY StDev(quotes.quClose/quotes.quOpen - 1)";
        string sortDirection = " DESC";
        if(orderInASCMode)
***************
*** 537,543 ****
  
      /// <summary>
!     /// Returns tickers ordered by average close to open performance (in the same bar)
      /// </summary>
!     public static DataTable GetTickersByAverageCloseToOpenPerformance( bool orderInASCMode, string groupID,
                                                              DateTime firstQuoteDate,
                                                              DateTime lastQuoteDate,
--- 537,543 ----
  
      /// <summary>
!     /// Returns tickers ordered by average open to close performance (in the same bar)
      /// </summary>
!     public static DataTable GetTickersByAverageOpenToClosePerformance( bool orderInASCMode, string groupID,
                                                              DateTime firstQuoteDate,
                                                              DateTime lastQuoteDate,
***************
*** 545,549 ****
      {
        string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
!         "Avg(quotes.quClose/quotes.quOpen) AS AverageCloseToOpenPerformance " +
          "FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " +
          "ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " +
--- 545,549 ----
      {
        string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
!         "Avg(quotes.quClose/quotes.quOpen - 1) AS AverageOpenToClosePerformance " +
          "FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " +
          "ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " +
***************
*** 667,680 ****
  
      /// <summary>
!     /// returns the average close to open performance value for the given ticker in the specified interval
      /// </summary>
!     public static double GetAverageCloseToOpenPerformance( string ticker,
!       DateTime firstQuoteDate,
!       DateTime lastQuoteDate)
                                                  
      {
        DataTable dt;
        string sql = "SELECT quotes.quTicker, " +
!         "Avg([quClose]/[quOpen]) AS AverageCloseToOpenPerformance " +
          "FROM quotes WHERE quTicker ='" + 
          ticker + "' " +
--- 667,681 ----
  
      /// <summary>
!     /// returns the average open to close performance
!     /// for the given ticker in the specified interval
      /// </summary>
!     public static double GetAverageOpenToClosePerformance(string ticker,
!                                                           DateTime firstQuoteDate,
!                                                           DateTime lastQuoteDate)
                                                  
      {
        DataTable dt;
        string sql = "SELECT quotes.quTicker, " +
!         "Avg([quClose]/[quOpen] - 1) AS AverageOpenToClosePerformance " +
          "FROM quotes WHERE quTicker ='" + 
          ticker + "' " +
***************
*** 683,690 ****
          " GROUP BY quotes.quTicker";
        dt = SqlExecutor.GetDataTable( sql );
!       if(dt.Rows.Count==0)
!         return 0;
!       else
!         return (double)dt.Rows[0]["AverageCloseToOpenPerformance"];
      }
  
--- 684,688 ----
          " GROUP BY quotes.quTicker";
        dt = SqlExecutor.GetDataTable( sql );
!       return (double)dt.Rows[0]["AverageOpenToClosePerformance"];
      }
  
***************
*** 715,718 ****
--- 713,737 ----
      
      /// <summary>
+     /// returns the standard deviation of the open to close ratio
+     /// for the given ticker in the specified interval
+     /// </summary>
+     public static double GetOpenToCloseStandardDeviation( string ticker,
+                                                           DateTime firstQuoteDate,
+                                                           DateTime lastQuoteDate)
+                                                 
+     {
+       DataTable dt;
+       string sql = "SELECT quotes.quTicker, " +
+         "StDev(quotes.quClose/quotes.quOpen - 1) AS OpenToCloseStandDev " +
+         "FROM quotes WHERE quTicker ='" + 
+         ticker + "' " +
+         "AND quotes.quDate BETWEEN " + SQLBuilder.GetDateConstant(firstQuoteDate) + 
+         " AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + 
+         " GROUP BY quotes.quTicker";
+       dt = SqlExecutor.GetDataTable( sql );
+       return (double)dt.Rows[0]["OpenToCloseStandDev"];
+     }
+ 
+     /// <summary>
      /// returns the standard deviation of the adjusted close to open ratio
      /// for the given ticker in the specified interval