[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InS

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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7517/PairTrading/SimplePairTrading/InSample

Added Files:
	RunSimplePairTradingIS.cs OutputDisplayer.cs 
	OptimizationOutput.cs GenomeRepresentation.cs 
	EndOfDayTimerHandlerSimplePTIS.cs 
Log Message:
Added SimplePairTrading strategy, based on arbitrage concepts

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

OutputDisplayer.cs
Copyright (C) 2003 
Marco Milletti

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 System.Data;
using System.Drawing;
using System.Collections;
using System.ComponentModel;
using System.Windows.Forms;

namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading.InSample
{
	/// <summary>
	/// Summary description for OutputDisplayer
	/// </summary>
	public class OutputDisplayer : System.Windows.Forms.Form
	{
		private System.Windows.Forms.Label label2;
		private System.Windows.Forms.Label label1;
		private System.Windows.Forms.Button buttonLoadFromFile;
		private System.Windows.Forms.DateTimePicker dtpLastDate;
		private System.Windows.Forms.DateTimePicker dtpFirstDate;
		private System.Windows.Forms.TextBox textBoxMaxNumOfStdDevForNormalGap;
		private System.Windows.Forms.DataGrid dgBestGenomes;
		/// <summary>
		/// Required designer variable.
		/// </summary>
		private System.ComponentModel.Container components = null;

		// user code
		private ArrayList bestGenomes;
		private GenomeRepresentation lastSelectedGenomeRepresentation;

		private void outputDisplayer()
		{
			this.dgBestGenomes.DataSource = this.bestGenomes;
      DataGridTableStyle styleForGrid = 
          new DataGridTableStyle();
      styleForGrid.AllowSorting = true;
      this.dgBestGenomes.TableStyles.Add(styleForGrid);
		}
		public OutputDisplayer( DateTime firstDate , DateTime lastDate ,
			ArrayList bestGenomes )
		{
			if ( bestGenomes.Count == 0 )
				throw new Exception( "bestGenomes is empty! It should contain " +
					"a genome, at least." );
			//
			// Required for Windows Form Designer support
			//
			InitializeComponent();

			// Marco code
			this.lastSelectedGenomeRepresentation =
				((GenomeRepresentation)bestGenomes[0]);
			this.dtpFirstDate.Value =
				this.lastSelectedGenomeRepresentation.FirstOptimizationDate;
			this.dtpLastDate.Value =
				this.lastSelectedGenomeRepresentation.LastOptimizationDate;
      this.bestGenomes = bestGenomes;
			this.outputDisplayer();
		}

		/// <summary>
		/// Clean up any resources being used.
		/// </summary>
		protected override void Dispose( bool disposing )
		{
			if( disposing )
			{
				if(components != null)
				{
					components.Dispose();
				}
			}
			base.Dispose( disposing );
		}

		#region Windows Form Designer generated code
		/// <summary>
		/// Required method for Designer support - do not modify
		/// the contents of this method with the code editor.
		/// </summary>
		private void InitializeComponent() {
			this.dgBestGenomes = new System.Windows.Forms.DataGrid();
			this.textBoxMaxNumOfStdDevForNormalGap = new System.Windows.Forms.TextBox();
			this.dtpFirstDate = new System.Windows.Forms.DateTimePicker();
			this.dtpLastDate = new System.Windows.Forms.DateTimePicker();
			this.buttonLoadFromFile = new System.Windows.Forms.Button();
			this.label1 = new System.Windows.Forms.Label();
			this.label2 = new System.Windows.Forms.Label();
			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).BeginInit();
			this.SuspendLayout();
			// 
			// dgBestGenomes
			// 
			this.dgBestGenomes.DataMember = "";
			this.dgBestGenomes.Dock = System.Windows.Forms.DockStyle.Bottom;
			this.dgBestGenomes.HeaderForeColor = System.Drawing.SystemColors.ControlText;
			this.dgBestGenomes.Location = new System.Drawing.Point(0, 173);
			this.dgBestGenomes.Name = "dgBestGenomes";
			this.dgBestGenomes.Size = new System.Drawing.Size(584, 200);
			this.dgBestGenomes.TabIndex = 0;
			this.dgBestGenomes.MouseUp += new System.Windows.Forms.MouseEventHandler(this.dgBestGenomes_MouseUp);
			// 
			// textBoxMaxNumOfStdDevForNormalGap
			// 
			this.textBoxMaxNumOfStdDevForNormalGap.Location = new System.Drawing.Point(264, 88);
			this.textBoxMaxNumOfStdDevForNormalGap.Name = "textBoxMaxNumOfStdDevForNormalGap";
			this.textBoxMaxNumOfStdDevForNormalGap.TabIndex = 5;
			this.textBoxMaxNumOfStdDevForNormalGap.Text = "1";
			// 
			// dtpFirstDate
			// 
			this.dtpFirstDate.Location = new System.Drawing.Point(16, 48);
			this.dtpFirstDate.Name = "dtpFirstDate";
			this.dtpFirstDate.TabIndex = 1;
			// 
			// dtpLastDate
			// 
			this.dtpLastDate.Location = new System.Drawing.Point(264, 48);
			this.dtpLastDate.Name = "dtpLastDate";
			this.dtpLastDate.Size = new System.Drawing.Size(208, 20);
			this.dtpLastDate.TabIndex = 2;
			// 
			// buttonLoadFromFile
			// 
			this.buttonLoadFromFile.Location = new System.Drawing.Point(168, 8);
			this.buttonLoadFromFile.Name = "buttonLoadFromFile";
			this.buttonLoadFromFile.Size = new System.Drawing.Size(136, 24);
			this.buttonLoadFromFile.TabIndex = 4;
			this.buttonLoadFromFile.Text = "Load genomes";
			// 
			// label1
			// 
			this.label1.Location = new System.Drawing.Point(32, 128);
			this.label1.Name = "label1";
			this.label1.Size = new System.Drawing.Size(400, 32);
			this.label1.TabIndex = 3;
			this.label1.Text = "Left click data grid rows to reset dates to the optimization period. Right click " +
"to preserve date displacements and backtest.";
			// 
			// label2
			// 
			this.label2.Location = new System.Drawing.Point(16, 88);
			this.label2.Name = "label2";
			this.label2.Size = new System.Drawing.Size(200, 23);
			this.label2.TabIndex = 6;
			this.label2.Text = "Max Num of StDev for normal Gap";
			// 
			// OutputDisplayer
			// 
			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
			this.ClientSize = new System.Drawing.Size(584, 373);
			this.Controls.Add(this.label2);
			this.Controls.Add(this.textBoxMaxNumOfStdDevForNormalGap);
			this.Controls.Add(this.buttonLoadFromFile);
			this.Controls.Add(this.label1);
			this.Controls.Add(this.dtpLastDate);
			this.Controls.Add(this.dtpFirstDate);
			this.Controls.Add(this.dgBestGenomes);
			this.Name = "OutputDisplayer";
			this.Text = "OutputDisplayer SimplePairTrading";
			((System.ComponentModel.ISupportInitialize)(this.dgBestGenomes)).EndInit();
			this.ResumeLayout(false);
		}
		#endregion

		private bool aRowHasBeenClicked(
			object sender, System.Windows.Forms.MouseEventArgs e )
		{
			DataGrid dataGrid = (DataGrid)sender;
			Point point = new Point( e.X , e.Y );
			DataGrid.HitTestInfo hitTestInfo = dataGrid.HitTest( point );
			return hitTestInfo.Row>=0;
		}
		private GenomeRepresentation dgBestGenomes_MouseUp_getClickedGenomeRepresentation(
			object sender, System.Windows.Forms.MouseEventArgs e )
		{
			GenomeRepresentation genomeRepresentation = null;
			DataGrid dataGrid = (DataGrid)sender;
			Point point = new Point( e.X , e.Y );
			DataGrid.HitTestInfo hitTestInfo = dataGrid.HitTest( point );
			ArrayList bestGenomes = (ArrayList)dataGrid.DataSource;
			//			DataRow dataRow = dataTable.Rows[ hitTestInfo.Row ];
			if ( hitTestInfo.Row >= 0 )
				// a grid row has been clicked, not the header
				genomeRepresentation =
				(GenomeRepresentation)bestGenomes[ hitTestInfo.Row ];
			return genomeRepresentation;
		}
		private void dgBestGenomes_MouseUp_rightButton_updateDates(
			GenomeRepresentation newSelectedGenomeRepresentation )
		{
			TimeSpan currentFirstDateDisplacement =
				( this.dtpFirstDate.Value -
				this.lastSelectedGenomeRepresentation.FirstOptimizationDate );
			TimeSpan currentLastDateDisplacement =
				( this.dtpLastDate.Value -
				this.lastSelectedGenomeRepresentation.LastOptimizationDate );
			this.dtpFirstDate.Value = newSelectedGenomeRepresentation.FirstOptimizationDate +
				currentFirstDateDisplacement;
			this.dtpLastDate.Value = newSelectedGenomeRepresentation.LastOptimizationDate +
				currentLastDateDisplacement;
		}
		private void dgBestGenomes_MouseUp_rightButton(object sender, System.Windows.Forms.MouseEventArgs e)
		{
			GenomeRepresentation genomeRepresentation =
				this.dgBestGenomes_MouseUp_getClickedGenomeRepresentation( sender , e );
			dgBestGenomes_MouseUp_rightButton_updateDates( genomeRepresentation );
			RunSimplePairTradingIS runSimplePairTradingIS =
				new RunSimplePairTradingIS(Convert.ToDouble(this.textBoxMaxNumOfStdDevForNormalGap.Text),
                                   genomeRepresentation.NumDaysForGap,
                                   genomeRepresentation.AverageGap,
                                   genomeRepresentation.StdDevGap,
                                   genomeRepresentation.FirstTicker,
                                   genomeRepresentation.SecondTicker,
                                   this.dtpFirstDate.Value ,
				                           this.dtpLastDate.Value);
      runSimplePairTradingIS.Run();
			this.lastSelectedGenomeRepresentation = genomeRepresentation;
		}

    private void dgBestGenomes_MouseUp_leftButton_updateDates(
			GenomeRepresentation newSelectedGenomeRepresentation )
		{
			this.dtpFirstDate.Value =
				newSelectedGenomeRepresentation.FirstOptimizationDate;
			this.dtpLastDate.Value =
				newSelectedGenomeRepresentation.LastOptimizationDate;
		}
		private void dgBestGenomes_MouseUp_leftButton(object sender, System.Windows.Forms.MouseEventArgs e)
		{
			if ( aRowHasBeenClicked( sender , e ) )
				// a grid row has been clicked, not the header
			{
				GenomeRepresentation newSelectedGenomeRepresentation =
					this.dgBestGenomes_MouseUp_getClickedGenomeRepresentation( sender , e );
				dgBestGenomes_MouseUp_leftButton_updateDates( newSelectedGenomeRepresentation );
				this.lastSelectedGenomeRepresentation = newSelectedGenomeRepresentation;
			}
		}
		private void dgBestGenomes_MouseUp(object sender, System.Windows.Forms.MouseEventArgs e)
		{
			if ( e.Button == MouseButtons.Right )
				this.dgBestGenomes_MouseUp_rightButton( sender , e );
			if ( e.Button == MouseButtons.Left )
				this.dgBestGenomes_MouseUp_leftButton( sender , e );
		}

	}
}

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

OptimizationOutput.cs
Copyright (C) 2003 
Marco Milletti

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 System.Collections;

namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading.InSample
{
	/// <summary>
	/// Data to be saved/load to/from disk, resulting from the
	/// optimization process.
	/// </summary>
	[Serializable]
	public class OptimizationOutput : ArrayList
	{
//		public ArrayList BestGenomes
//		{
//			get { return this.bestGenomes; }
//		}
		public OptimizationOutput()
		{
		}
		/// <summary>
		/// Adds a genome representation
		/// </summary>
		/// <param name="genomeRepresentation"></param>
		public void Add( GenomeRepresentation genomeRepresentation )
		{
			base.Add( genomeRepresentation );
		}
	}
}

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

EndOfDayTimerHandlerSimplePTIS.cs
Copyright (C) 2003 
Marco Milletti

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 System.Data;
using System.Collections;

using QuantProject.ADT;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Business.DataProviders;
using QuantProject.Data.DataProviders;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataTables;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;

namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading
{

  /// <summary>
  /// Implements MarketOpenEventHandler,
  /// MarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
  /// for the implementation of the simple pair trading strategy for
  /// two given tickers for a given time interval
  /// </summary>
  [Serializable]
  public class EndOfDayTimerHandlerSimplePTIS : EndOfDayTimerHandlerSimplePT
  {
    private int numDaysForGap;
    private double averageGap;
    private double stdDevGap;

    private void endOfDayTimeHandlerSimplePTIS_setChosenTickers(string firstTicker,
                                                                string secondTicker,
                                                                double averageGap,
                                                                double stdDevGap)
    {
      for(int i = 0;i<this.averageGapsOfChosenTickers.Length;i++)
      {
        this.averageGapsOfChosenTickers[i] = averageGap;
        this.stdDevGapsOfChosenTickers[i] = stdDevGap;
        if(i%2 == 0)
          this.chosenTickers[i] = firstTicker;
        else
          this.chosenTickers[i] = secondTicker;
      }
    }

    public EndOfDayTimerHandlerSimplePTIS(double maxNumOfStdDevForNormalGap,
                                          int numDaysForGap,
                                          double averageGap,
                                          double stdDevGap,
                                          string firstTicker, string secondTicker,
                                          DateTime startDate, DateTime endDate,
                                          Account account) : 
                                          base("",0,0,0,0,
                                          "^GSPC",startDate, endDate,
                                          maxNumOfStdDevForNormalGap,
                                          0,0,0,0, account)
    {
    	this.numDaysForGap = numDaysForGap;
      this.averageGap = averageGap;
      this.stdDevGap = stdDevGap;
      this.minimumGainForClosingPositions = 0.002;
      this.maximumToleratedLoss = 0.02;
      this.endOfDayTimeHandlerSimplePTIS_setChosenTickers(firstTicker, secondTicker,
                                                          averageGap, stdDevGap);
    }

    /// <summary>
    /// Handles a "Market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public override void MarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
    	if(((IndexBasedEndOfDayTimer)sender).GetPreviousDateTime() !=
          endOfDayTimingEventArgs.EndOfDayDateTime.DateTime)
      //it is not the first date fired by the timer, so the
      // gap can be computed
          base.MarketCloseEventHandler(sender, endOfDayTimingEventArgs);
    }

    /// <summary>
    /// Handles a "One hour after market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public override void OneHourAfterMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {

    }

  }
}

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

GenomeRepresentation.cs
Copyright (C) 2003 
Marco Milletti

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.ADT.Optimizing.Genetic;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading;

namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading.InSample
{
	/// <summary>
	/// Provides the genome relevant informations
	/// </summary>
	[Serializable]
	public class GenomeRepresentation
	{
		private double fitness;
		private string firstTicker;
    private string secondTicker;
		private DateTime firstOptimizationDate;
		private DateTime lastOptimizationDate;
    private int numDaysForGap;
    private double averageGap;
    private double stdDevGap;
    private double maxNumOfStdDevForNormalGap;
    private int generationCounter;

		public string FirstTicker
		{
			get{return this.firstTicker;}
		}

    public string SecondTicker
    {
      get{return this.secondTicker;}
    }

		public double Fitness
		{
			get { return this.fitness; }
		}
		public DateTime FirstOptimizationDate
		{
			get { return this.firstOptimizationDate; }
		}
		public DateTime LastOptimizationDate
		{
			get { return this.lastOptimizationDate; }
		}
		/// <summary>
		/// Number of the first generation containing the genome
		/// </summary>
		public int GenerationCounter
		{
			get { return this.generationCounter; }
		}

    public int NumDaysForGap
    {
      get { return this.numDaysForGap; }
    }

    public double AverageGap
    {
      get { return this.averageGap; }
    }

    public double StdDevGap
    {
      get { return this.stdDevGap; }
    }

    public double MaxNumOfStdDevForNormalGap
    {
      get { return this.maxNumOfStdDevForNormalGap; }
    }

    private void genomeRepresentation( double maxNumOfStdDevForNormalGap, Genome genome ,
			DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
			int generationCounter )
		{
			this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
      this.fitness = genome.Fitness;
      this.averageGap = ((GenomeMeaningSimplePT)genome.Meaning).AverageGap;
      this.stdDevGap = ((GenomeMeaningSimplePT)genome.Meaning).StdDevGap;
      this.firstTicker = ((GenomeMeaningSimplePT)genome.Meaning).FirstTicker;
      this.secondTicker = ((GenomeMeaningSimplePT)genome.Meaning).SecondTicker;
			this.numDaysForGap = ((GenomeMeaningSimplePT)genome.Meaning).NumOfDaysForGap;
      this.firstOptimizationDate = firstOptimizationDate;
			this.lastOptimizationDate = lastOptimizationDate;
			this.generationCounter = generationCounter;
		}
		public GenomeRepresentation( double maxNumOfStdDevForNormalGap, Genome genome ,
			DateTime firstOptimizationDate , DateTime lastOptimizationDate )
		{
			this.genomeRepresentation( maxNumOfStdDevForNormalGap, genome ,
				firstOptimizationDate , lastOptimizationDate , -1 );
		}
		public GenomeRepresentation( double maxNumOfStdDevForNormalGap, Genome genome ,
			DateTime firstOptimizationDate , DateTime lastOptimizationDate ,
			int generationCounter )
		{
			this.genomeRepresentation( maxNumOfStdDevForNormalGap, genome , firstOptimizationDate ,
				lastOptimizationDate , generationCounter );
		}
	}
}

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

RunSimplePairTradingIS.cs
Copyright (C) 2003 
Marco Milletti

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.ADT.FileManaging;
using QuantProject.Data.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Timing;
using QuantProject.Business.Financial.Accounting.Commissions;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.DataProviders;
using QuantProject.Presentation.Reporting.WindowsForm;
using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
using QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading;

namespace QuantProject.Scripts.ArbitrageTesting.PairTrading.SimplePairTrading.InSample
{

  /// <summary>
	/// Script to test the pair trading strategy for
	/// two tickers for a given time period
	/// </summary>
  [Serializable]
  public class RunSimplePairTradingIS
  {
    private double maxNumOfStdDevForNormalGap;
    private int numDaysForGap;
    private double averageGap;
    private double stdDevGap;
    private EndOfDayTimerHandlerSimplePT endOfDayTimerHandler;
    private string firstTicker;
    private string secondTicker;
    private DateTime startDateTime;
    private DateTime endDateTime;
    private IHistoricalQuoteProvider historicalQuoteProvider;
    private Account account;
    private IEndOfDayTimer endOfDayTimer;
    private string benchmark;
    private string scriptName;

    public RunSimplePairTradingIS(double maxNumOfStdDevForNormalGap,
                                  int numDaysForGap,
                                  double averageGap,
                                  double stdDevGap,
                                  string firstTicker, string secondTicker,
                                  DateTime startDate, DateTime endDate)

    {
      this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
      this.numDaysForGap = numDaysForGap;
      this.averageGap = averageGap;
      this.stdDevGap = stdDevGap;
      this.firstTicker = firstTicker;
      this.secondTicker = secondTicker;
      this.startDateTime = startDate;
      this.endDateTime = endDate;
      this.benchmark = "^GSPC";
      this.scriptName = "SimplePairTradingForGivenTickers";
    }

    #region Run

    private void run_initializeEndOfDayTimer()
    {
      //default endOfDayTimer
      this.endOfDayTimer =
        new IndexBasedEndOfDayTimer( new EndOfDayDateTime(this.startDateTime,
                                                          EndOfDaySpecificTime.MarketOpen),
                                     this.benchmark );

    }

    protected void run_initializeAccount()
    {
      //default account with no commissions and no slippage calculation
      this.account = new Account( this.scriptName , this.endOfDayTimer ,
        new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
        this.historicalQuoteProvider ) ,
        new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
        this.historicalQuoteProvider ));

    }

    private void run_initializeHistoricalQuoteProvider()
    {
      this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
    }

    private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
    {
      if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime)
        //last date is reached by the timer
        this.showReport();
    }

    private void showReport()
    {
      AccountReport accountReport = this.account.CreateReport(this.scriptName, 1,
                                        this.endOfDayTimer.GetCurrentTime(),
                                        this.benchmark,
                                        new HistoricalAdjustedQuoteProvider());
      Report report = new Report(accountReport);
      report.Show();
      this.endOfDayTimer.Stop();

    }

    private void run_initialize()
    {
      run_initializeHistoricalQuoteProvider();
      run_initializeEndOfDayTimer();
      run_initializeAccount();
      run_initializeEndOfDayTimerHandler();
    }

    public void Run()
    {
      this.run_initialize();
      this.run_addEventHandlers();
      this.endOfDayTimer.Start();
    }

    private void run_initializeEndOfDayTimerHandler()
    {
      this.endOfDayTimerHandler = new EndOfDayTimerHandlerSimplePTIS(this.maxNumOfStdDevForNormalGap,
                                                                     this.numDaysForGap,
                                                                     this.averageGap,
                                                                     this.stdDevGap,
                                                                     this.firstTicker, this.secondTicker,
                                                                     this.startDateTime, this.endDateTime,
                                                                     this.account);
    }

    private void run_addEventHandlers()
    {
      this.endOfDayTimer.MarketOpen +=
        new MarketOpenEventHandler(
        this.endOfDayTimerHandler.MarketOpenEventHandler);  

      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.endOfDayTimerHandler.MarketCloseEventHandler);

      this.endOfDayTimer.MarketClose +=
        new MarketCloseEventHandler(
        this.checkDateForReport);

      this.endOfDayTimer.OneHourAfterMarketClose +=
        new OneHourAfterMarketCloseEventHandler(
        this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
    }
    #endregion 

	}
}

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InS

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample RunSimplePairTradingIS.cs,NONE,1.1 OutputDisplayer.cs,NONE,1.1 OptimizationOutput.cs,NONE,1.1 GenomeRepresentation.cs,NONE,1.1 EndOfDayTimerHandlerSimplePTIS.cs,NONE,1.1