[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs,1.24,1.25

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2195/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
Added GetArrayCloseToCloseRatios, to be used by the fixed period oscillator strategy (this method will be re-organized soon, yet)

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.24
retrieving revision 1.25
diff -C2 -d -r1.24 -r1.25
*** Quotes.cs	19 Feb 2006 17:58:13 -0000	1.24
--- Quotes.cs	14 May 2006 18:28:24 -0000	1.25
***************
*** 533,536 ****
--- 533,558 ----
        return tableToReturn;
      }
+     
+     private static float[] getArrayOfCloseToCloseRatios_getAdjustedValues(Quotes sourceQuotes,
+                                                                           int numDaysForHalfPeriod,
+                                                                           ref DateTime firstQuoteDate)
+     {
+       float[] returnValue = ExtendedDataTable.GetArrayOfFloatFromColumn(sourceQuotes, "quAdjustedClose");
+       //in order to be alligned at the following market day,
+       //allAdjValues has to be long n, where n is such that
+       //n%2 * hp + 1 = 2 * hp (hp = half period)
+       //if some quotes are deleted, first quote day has to be updated
+       while(returnValue.Length % (2*numDaysForHalfPeriod) + 1 != 2*numDaysForHalfPeriod)
+       {
+         float[] newReturnValue = new float[returnValue.Length - 1];
+         for(int k = 0;k<returnValue.Length - 1;k++)
+             newReturnValue[k] = returnValue[k + 1];
+         returnValue = newReturnValue;
+         firstQuoteDate = firstQuoteDate.AddDays(1);
+         firstQuoteDate = sourceQuotes.GetQuoteDateOrFollowing(firstQuoteDate);
+       }
+       return returnValue;
+     }
+     
      /// <summary>
      /// Gets an array containing close to close ratios
***************
*** 544,548 ****
      /// <returns></returns>
      public static float[] GetArrayOfCloseToCloseRatios(string ticker,
!                                                       DateTime firstQuoteDate,
                                                        DateTime lastQuoteDate,
                                                       	int numDaysBetweenEachClose,
--- 566,570 ----
      /// <returns></returns>
      public static float[] GetArrayOfCloseToCloseRatios(string ticker,
!                                                       ref DateTime firstQuoteDate,
                                                        DateTime lastQuoteDate,
                                                       	int numDaysBetweenEachClose,
***************
*** 551,569 ****
        float[] returnValue = null;
        Quotes tickerQuotes = new Quotes(ticker, firstQuoteDate, lastQuoteDate);
!       float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
        float[] adjValuesMinusInitialMarketDays = new float[allAdjValues.Length - numOfInitialMarketDaysToJump]; 
        for(int k = 0;k<allAdjValues.Length - numOfInitialMarketDaysToJump;k++)
              adjValuesMinusInitialMarketDays[k] = 
                allAdjValues[k + numOfInitialMarketDaysToJump]; 
!    
!       returnValue = new float[adjValuesMinusInitialMarketDays.Length/(numDaysBetweenEachClose + 1)];
        int i = 0; //index for ratesOfReturns array
        int lastIdxAccessed = 0;
        for(int idx = 0;
!           (idx + numDaysBetweenEachClose) < adjValuesMinusInitialMarketDays.Length;
            idx += numDaysBetweenEachClose )
        {
          if(idx-lastIdxAccessed>numDaysBetweenEachClose || idx == 0)
!           //there is a discontinuity, as wanted
          {
            returnValue[i] = (adjValuesMinusInitialMarketDays[idx+numDaysBetweenEachClose]/
--- 573,594 ----
        float[] returnValue = null;
        Quotes tickerQuotes = new Quotes(ticker, firstQuoteDate, lastQuoteDate);
!       //float[] allAdjValues = ExtendedDataTable.GetArrayOfFloatFromColumn(tickerQuotes, "quAdjustedClose");
!       float[] allAdjValues = getArrayOfCloseToCloseRatios_getAdjustedValues(tickerQuotes, numDaysBetweenEachClose, ref firstQuoteDate);
        float[] adjValuesMinusInitialMarketDays = new float[allAdjValues.Length - numOfInitialMarketDaysToJump]; 
+       //fill adjValuesMinusInitialMarketDays array
        for(int k = 0;k<allAdjValues.Length - numOfInitialMarketDaysToJump;k++)
              adjValuesMinusInitialMarketDays[k] = 
                allAdjValues[k + numOfInitialMarketDaysToJump]; 
!       //
!       returnValue = new float[adjValuesMinusInitialMarketDays.Length/(numDaysBetweenEachClose * 2)];
        int i = 0; //index for ratesOfReturns array
        int lastIdxAccessed = 0;
        for(int idx = 0;
!           (idx + numDaysBetweenEachClose) < adjValuesMinusInitialMarketDays.Length && i<returnValue.Length;
            idx += numDaysBetweenEachClose )
        {
          if(idx-lastIdxAccessed>numDaysBetweenEachClose || idx == 0)
!         //the current ratio is computed only if the first close, pointed by idx, is 
!         //not the second close of the previous ratio
          {
            returnValue[i] = (adjValuesMinusInitialMarketDays[idx+numDaysBetweenEachClose]/
***************
*** 577,585 ****
      
      public static float[] GetArrayOfCloseToCloseRatios(string ticker,
!                                                         DateTime firstQuoteDate,
                                                          DateTime lastQuoteDate,
                                                          int numDaysBetweenEachClose)
      {
!       return GetArrayOfCloseToCloseRatios(ticker, firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose,
                                            0);
      }
--- 602,610 ----
      
      public static float[] GetArrayOfCloseToCloseRatios(string ticker,
!                                                         ref DateTime firstQuoteDate,
                                                          DateTime lastQuoteDate,
                                                          int numDaysBetweenEachClose)
      {
!       return GetArrayOfCloseToCloseRatios(ticker, ref firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose,
                                            0);
      }
***************
*** 596,604 ****
        if(!setOfTickers.Columns.Contains("CloseToCloseCorrelationToBenchmark"))
          setOfTickers.Columns.Add("CloseToCloseCorrelationToBenchmark", System.Type.GetType("System.Double"));
!       float[] benchmarkRatios = GetArrayOfCloseToCloseRatios(benchmark, firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose);
        foreach(DataRow row in setOfTickers.Rows)
        {
          float[] tickerRatios = GetArrayOfCloseToCloseRatios((string)row[0], 
!           firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose );
        	if(tickerRatios.Length == benchmarkRatios.Length)
        		row["CloseToCloseCorrelationToBenchmark"] =
--- 621,629 ----
        if(!setOfTickers.Columns.Contains("CloseToCloseCorrelationToBenchmark"))
          setOfTickers.Columns.Add("CloseToCloseCorrelationToBenchmark", System.Type.GetType("System.Double"));
!       float[] benchmarkRatios = GetArrayOfCloseToCloseRatios(benchmark, ref firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose);
        foreach(DataRow row in setOfTickers.Rows)
        {
          float[] tickerRatios = GetArrayOfCloseToCloseRatios((string)row[0], 
!           ref firstQuoteDate, lastQuoteDate, numDaysBetweenEachClose );
        	if(tickerRatios.Length == benchmarkRatios.Length)
        		row["CloseToCloseCorrelationToBenchmark"] =