[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs,NONE,1.1

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv10452/b4_Business/a2_Strategies

Added Files:
	SignedTicker.cs 
Log Message:
String representation for possible positions.
Several methods are provided (to be used to implement
different strategies).

--- NEW FILE: SignedTicker.cs ---
/*
QuantProject - Quantitative Finance Library

SignedTicker.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies
{
	/// <summary>
	/// String representation for possible positions.
	/// Several methods are provided (to be used to implement
	/// different strategies).
	/// </summary>
	public class SignedTicker
	{
		private string ticker;
		private PositionType positionType;

		public string Ticker
		{
			get { return this.ticker; }
		}
		public PositionType PositionType
		{
			get { return this.positionType; }
		}
		public SignedTicker( string ticker , PositionType positionType )
		{
			this.ticker = ticker;
			this.positionType = positionType;
		}
		public static string GetSignedTicker( Position position )
		{
			string signedTicker = position.Instrument.Key;
			if ( position.Type == PositionType.Short )
				signedTicker = "-" + signedTicker;
			return signedTicker;
		}
		public static string GetTicker( string signedTicker )
		{
			string ticker = signedTicker;
			if ( signedTicker.StartsWith( "-" ) )
				ticker = signedTicker.Substring( 1 );
			return ticker;
		}
		public static bool IsShort( string signedTicker )
		{
			return ( signedTicker.StartsWith( "-" ) );
		}
		public static bool IsLong( string signedTicker )
		{
			return ( !SignedTicker.IsShort( signedTicker ) );
		}
		public static string GetOppositeSignedTicker( string signedTicker )
		{
			string oppositeSignedTicker = "";
			if ( SignedTicker.IsShort( signedTicker ) )
				oppositeSignedTicker = SignedTicker.GetTicker( signedTicker );
			if ( SignedTicker.IsLong( signedTicker ) )
				oppositeSignedTicker = "-" + SignedTicker.GetTicker( signedTicker );
			return oppositeSignedTicker;
		}
		public static OrderType GetMarketOrderType( string signedTicker )
		{
			OrderType orderType = OrderType.MarketBuy;
			if ( SignedTicker.IsShort( signedTicker ) )
				orderType = OrderType.MarketSellShort;
			return orderType;
		}
		public static double GetCloseToCloseDailyReturn(
			string signedTicker , DateTime today )
		{
			string ticker = SignedTicker.GetTicker( signedTicker );
			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider =
				new HistoricalAdjustedQuoteProvider();
			double todayMarketValueAtClose =
				historicalAdjustedQuoteProvider.GetMarketValue(	ticker ,
				new EndOfDayDateTime( today , EndOfDaySpecificTime.MarketClose ) );
			DateTime yesterday = today.AddDays( -1 );
			EndOfDayDateTime yesterdayAtClose = new
				EndOfDayDateTime( yesterday ,	EndOfDaySpecificTime.MarketClose );
			double yesterdayMarketValueAtClose =
				historicalAdjustedQuoteProvider.GetMarketValue(
				ticker , yesterdayAtClose );
			double dalyReturnForLongPosition =
				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
			double dailyReturn;
			if ( SignedTicker.IsShort( signedTicker ) )
				// signedTicker represents a short position
				dailyReturn = - dalyReturnForLongPosition;
			else
				// signedTicker represents a long position
				dailyReturn = dalyReturnForLongPosition;
			return dailyReturn;
		}
	}
}