[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions WFLagDebugPositions.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26352/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions

Modified Files:
	WFLagDebugPositions.cs 
Log Message:
Equity line for driving positions is computed, now.

Index: WFLagDebugPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions/WFLagDebugPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagDebugPositions.cs	8 Apr 2006 18:15:38 -0000	1.1
--- WFLagDebugPositions.cs	14 May 2006 21:23:56 -0000	1.2
***************
*** 22,29 ****
--- 22,32 ----
  
  using System;
+ using System.Collections;
  
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Ordering;
+ using QuantProject.Business.Financial.Accounting.Reporting;
+ using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
  using QuantProject.Presentation.Reporting.WindowsForm;
***************
*** 110,113 ****
--- 113,179 ----
  				this.account.AddCash( 30000 );
  		}
+ 		#region getEquityLineForDrivingPositions
+ 
+ 		/// <summary>
+ 		/// Returns a virtual amount of quantities for each virtual ticker.
+ 		/// Non integer values can be returned also, that's why we call
+ 		/// them virtual quantities
+ 		/// </summary>
+ 		/// <returns></returns>
+ 		private Hashtable getDrivingTickersVirtualQuantities(
+ 			DateTime dateTime )
+ 		{
+ 			Hashtable drivingTickersVirtualQuantities = new Hashtable();
+ 			double valueForEachPosition = 30000 /
+ 				this.wFLagChosenPositions.DrivingPositions.Count;
+ 			foreach( string signedTicker in
+ 				this.wFLagChosenPositions.DrivingPositions.Keys )
+ 			{
+ 				string ticker = SignedTicker.GetTicker( signedTicker );
+ 				EndOfDayDateTime endOfDayDateTime =
+ 					new EndOfDayDateTime( dateTime , EndOfDaySpecificTime.MarketClose );
+ 				double tickerQuote =
+ 					this.historicalQuoteProvider.GetMarketValue(
+ 					ticker , endOfDayDateTime );
+ 				double virtualQuantity = valueForEachPosition / tickerQuote;
+ 				drivingTickersVirtualQuantities.Add( ticker , virtualQuantity );
+ 			}
+ 			return drivingTickersVirtualQuantities;
+ 		}
+ 		private double getEquityLineForDrivingPositions( DateTime dateTime ,
+ 			Hashtable tickerVirtualQuantities )
+ 		{
+ 			double equityValueForDrivingPositions = 30000;
+ 			foreach( string ticker in tickerVirtualQuantities )
+ 			{
+ 				EndOfDayDateTime endOfDayDateTime =	new EndOfDayDateTime(
+ 					dateTime , EndOfDaySpecificTime.MarketClose );
+ 				double tickerQuote = this.historicalQuoteProvider.GetMarketValue(
+ 					ticker , endOfDayDateTime );
+ 				double virtualQuantity = (double)tickerVirtualQuantities[ ticker ];
+ 				equityValueForDrivingPositions +=	virtualQuantity * tickerQuote;
+ 			}
+ 			return equityValueForDrivingPositions;
+ 		}
+ 		private EquityLine getEquityLineForDrivingPositions(
+ 			Report report )
+ 		{
+ 			EquityLine equityLineForPortfolioPositions =
+ 				report.AccountReport.EquityLine;
+ 			EquityLine equityLineForDrivingPositions =
+ 				new EquityLine();
+ 			Hashtable drivingTickerQuantities =
+ 				this.getDrivingTickersVirtualQuantities(
+ 				(DateTime)equityLineForPortfolioPositions.GetKey( 0 ) );
+ 			foreach( DateTime dateTime in equityLineForPortfolioPositions )
+ 				equityLineForDrivingPositions.Add( dateTime ,
+ 					this.getEquityLineForDrivingPositions( dateTime ,
+ 					drivingTickerQuantities ) );
+ //			double normalizingFactor =
+ //				( double )equityLineForPortfolioPositions.GetByIndex( 0 ) /
+ //				( double )equityLineForDrivingPositions.GetByIndex( 0 );
+ 			return equityLineForDrivingPositions;
+ 		}
+ 		#endregion
  		public void oneHourAfterMarketCloseEventHandler(
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
***************
*** 123,126 ****
--- 189,195 ----
  					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  					this.benchmark );
+ 				EquityLine equityLineForDrivingPositions =
+ 					this.getEquityLineForDrivingPositions( report );
+ //				report.AddEquityLine( equityLineForDrivingPositions );
  				report.Show();
  			}