[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions WFLagDebugPositionsEndOfDayTimerHandler.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-serv8814/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions

Modified Files:
	WFLagDebugPositionsEndOfDayTimerHandler.cs 
Log Message:
WeightedPositions are used instead of SignedTickers

Index: WFLagDebugPositionsEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagDebugPositions/WFLagDebugPositionsEndOfDayTimerHandler.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFLagDebugPositionsEndOfDayTimerHandler.cs	8 Apr 2006 18:16:08 -0000	1.1
--- WFLagDebugPositionsEndOfDayTimerHandler.cs	30 Jul 2006 13:40:35 -0000	1.2
***************
*** 52,59 ****
  			double todayTotalGain = 0;
  			DateTime today = this.account.EndOfDayTimer.GetCurrentTime().DateTime;
! 			foreach ( string signedTicker in
! 				this.wFLagChosenPositions.DrivingPositions.Keys )
  				todayTotalGain +=
! 					SignedTicker.GetCloseToCloseDailyReturn( signedTicker ,	today );
  //			todayTotalGain += totalGainForSignedTicker( signedTicker );
  			return todayTotalGain;
--- 52,59 ----
  			double todayTotalGain = 0;
  			DateTime today = this.account.EndOfDayTimer.GetCurrentTime().DateTime;
! 			foreach ( WeightedPosition weightedPosition in
! 				this.wFLagChosenPositions.DrivingWeightedPositions.Values )
  				todayTotalGain +=
! 					weightedPosition.GetCloseToCloseDailyReturn( today );
  //			todayTotalGain += totalGainForSignedTicker( signedTicker );
  			return todayTotalGain;
***************
*** 64,68 ****
  			return todayTotalGain > 0;
  		}
! 		private string getFirstAccountPosition()
  		{
  			IEnumerator accountPositions =
--- 64,68 ----
  			return todayTotalGain > 0;
  		}
! 		private Position getFirstAccountPosition()
  		{
  			IEnumerator accountPositions =
***************
*** 70,82 ****
  			accountPositions.MoveNext();
  			Position firstPosition = (Position)accountPositions.Current;
! 			string firstAccountPosition = SignedTicker.GetSignedTicker( firstPosition );
! 			return firstAccountPosition;
  		}
  		private bool isCurrentlyReversed()
  		{
! 			string firstAccountPosition = this.getFirstAccountPosition();
  			bool isReversed =
! 				this.wFLagChosenPositions.PortfolioPositions.ContainsKey(
! 				SignedTicker.GetOppositeSignedTicker( firstAccountPosition ) );
  			return isReversed;
  		}
--- 70,87 ----
  			accountPositions.MoveNext();
  			Position firstPosition = (Position)accountPositions.Current;
! 			return firstPosition;
  		}
  		private bool isCurrentlyReversed()
  		{
! 			Position firstAccountPosition = this.getFirstAccountPosition();
! 			WeightedPosition weightedPosition =
! 				this.wFLagChosenPositions.PortfolioWeightedPositions.GetWeightedPosition(
! 				firstAccountPosition.Instrument.Key );
  			bool isReversed =
! 				( ( weightedPosition.IsLong && firstAccountPosition.IsShort ) ||
! 				( weightedPosition.IsShort && firstAccountPosition.IsLong ) );
! //			bool isReversed =
! //				this.wFLagChosenPositions.PortfolioWeightedPositions.ContainsKey(
! //				SignedTicker.GetOppositeSignedTicker( firstAccountPosition ) );
  			return isReversed;
  		}
***************
*** 103,153 ****
  			return returnValue;
  		}
! 		private long getQuantity(	string ticker )
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( ticker );
  			double maxPositionValueForThisTicker =
! 				accountValue / this.wFLagChosenPositions.PortfolioPositions.Count;
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void openPosition( string ticker , OrderType orderType )
  		{
! 			long quantity = this.getQuantity( ticker );
! 			Order order = new Order( orderType , new Instrument( ticker ) ,
! 				quantity );
  			this.account.AddOrder( order );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 			string signedTicker )
  		{
! 			this.openPosition( SignedTicker.GetTicker( signedTicker ) ,
! 				SignedTicker.GetMarketOrderType( signedTicker ) );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openOppositePosition(
! 			string signedTicker )
  		{
  			this.fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 				SignedTicker.GetOppositeSignedTicker( signedTicker ) );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 			string signedTicker )
  		{
  			if ( this.isDrivingPositionsTodayValueHigherThanYesterday() )
  				fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 					signedTicker );
  			else
  				fiveMinutesBeforeMarketCloseEventHandler_openOppositePosition(
! 					signedTicker );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
  			//			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
! 			foreach ( string signedTicker in
! 				this.wFLagChosenPositions.PortfolioPositions.Keys )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 					signedTicker );
  		}
  		public void FiveMinutesBeforeMarketCloseEventHandler(
--- 108,158 ----
  			return returnValue;
  		}
! 		private long getQuantity(	WeightedPosition weightedPosition )
  		{
  			double accountValue = this.account.GetMarketValue();
  			double currentTickerAsk =
! 				this.account.DataStreamer.GetCurrentAsk( weightedPosition.Ticker );
  			double maxPositionValueForThisTicker =
! 				accountValue * Math.Abs( weightedPosition.Weight );
  			long quantity = Convert.ToInt64(	Math.Floor(
  				maxPositionValueForThisTicker /	currentTickerAsk ) );
  			return quantity;
  		}
! 		private void openPosition( WeightedPosition weightedPosition )
  		{
! 			long quantity = this.getQuantity( weightedPosition );
! 			OrderType orderType = weightedPosition.GetOrderType();
! 			Order order = new Order(
! 				orderType , new Instrument( weightedPosition.Ticker ) ,	quantity );
  			this.account.AddOrder( order );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 			WeightedPosition weightedPosition )
  		{
! 			this.openPosition( weightedPosition );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openOppositePosition(
! 			WeightedPosition weightedPosition )
  		{
  			this.fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 				weightedPosition.GetOppositeWeightedPosition() );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 			WeightedPosition weightedPosition )
  		{
  			if ( this.isDrivingPositionsTodayValueHigherThanYesterday() )
  				fiveMinutesBeforeMarketCloseEventHandler_openThisPosition(
! 					weightedPosition );
  			else
  				fiveMinutesBeforeMarketCloseEventHandler_openOppositePosition(
! 					weightedPosition );
  		}
  		private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
  		{
  			//			this.chosenTickers.SetTickers( this.bestPerformingTickers , this.account );
! 			foreach ( WeightedPosition weightedPosition in
! 				this.wFLagChosenPositions.PortfolioWeightedPositions.Values )
  				this.fiveMinutesBeforeMarketCloseEventHandler_openPosition(
! 					weightedPosition );
  		}
  		public void FiveMinutesBeforeMarketCloseEventHandler(