[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination OpenToCloseDailyStrategy.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1485/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	OpenToCloseDailyStrategy.cs 
Log Message:
The strategy now keeps on count tickers' weights

Index: OpenToCloseDailyStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/OpenToCloseDailyStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OpenToCloseDailyStrategy.cs	2 Aug 2005 23:08:32 -0000	1.1
--- OpenToCloseDailyStrategy.cs	2 Jul 2006 19:24:33 -0000	1.2
***************
*** 40,67 ****
  		private Account account;
  		private string[] signedTickers;
  
  		public OpenToCloseDailyStrategy( Account account ,
! 			string[] signedTickers)
  		{
  			this.account = account;
  			this.signedTickers = signedTickers;
  		}
  		private long marketOpenEventHandler_addOrder_getQuantity(
! 			string ticker )
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( ticker );
  			double maxPositionValueForThisTicker =
! 				accountValue/this.signedTickers.Length;
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void marketOpenEventHandler_addOrder( string signedTicker )
  		{
! 			OrderType orderType = GenomeRepresentation.GetOrderType( signedTicker );
! 			string ticker = GenomeRepresentation.GetTicker( signedTicker );
! 			long quantity = marketOpenEventHandler_addOrder_getQuantity( ticker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
  				quantity );
--- 40,69 ----
  		private Account account;
  		private string[] signedTickers;
+ 		private double[] weightsForSignedTickers;
  
  		public OpenToCloseDailyStrategy( Account account ,
! 			string[] signedTickers, double[] weightsForSignedTickers)
  		{
  			this.account = account;
  			this.signedTickers = signedTickers;
+ 			this.weightsForSignedTickers = weightsForSignedTickers;
  		}
  		private long marketOpenEventHandler_addOrder_getQuantity(
! 			int indexForSignedTicker )
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( SignedTicker.GetTicker(this.signedTickers[indexForSignedTicker]) );
  			double maxPositionValueForThisTicker =
! 				accountValue*this.weightsForSignedTickers[indexForSignedTicker];
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void marketOpenEventHandler_addOrder( int indexForSignedTicker )
  		{
! 			OrderType orderType = GenomeRepresentation.GetOrderType( this.signedTickers[indexForSignedTicker] );
! 			string ticker = GenomeRepresentation.GetTicker( this.signedTickers[indexForSignedTicker] );
! 			long quantity = marketOpenEventHandler_addOrder_getQuantity( indexForSignedTicker );
  			Order order = new Order( orderType , new Instrument( ticker ) ,
  				quantity );
***************
*** 70,75 ****
  		private void marketOpenEventHandler_addOrders()
  		{
! 			foreach ( string signedTicker in this.signedTickers )
! 				marketOpenEventHandler_addOrder( signedTicker );
  		}
  		public void MarketOpenEventHandler(
--- 72,77 ----
  		private void marketOpenEventHandler_addOrders()
  		{
! 			for(int i = 0; i<this.signedTickers.Length; i++)
! 				marketOpenEventHandler_addOrder( i );
  		}
  		public void MarketOpenEventHandler(