[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs, 1.22, 1.23

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv1049/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandler.cs 
Log Message:
Added a protected method "reversePosition", for reversing existing positions.
Other minor changes, too.

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandler.cs,v
retrieving revision 1.22
retrieving revision 1.23
diff -C2 -d -r1.22 -r1.23
*** EndOfDayTimerHandler.cs	7 Aug 2006 21:09:15 -0000	1.22
--- EndOfDayTimerHandler.cs	17 Sep 2006 21:44:04 -0000	1.23
***************
*** 33,36 ****
--- 33,37 ----
  using QuantProject.Data.DataTables;
  using QuantProject.ADT.Optimizing.Genetic;
+ using QuantProject.ADT.Optimizing.BruteForce;
  using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
  
***************
*** 46,49 ****
--- 47,51 ----
      protected DataTable eligibleTickers;
      protected string[] chosenTickers;
+     protected string[] reversedTickersForOpenedPositions;
      protected double[] chosenTickersPortfolioWeights;
      protected string[] lastOrderedTickers;
***************
*** 179,186 ****
  		}
       
!     protected virtual void addOrderForTicker(int tickerPosition )
      {
      	string tickerCode = 
!     		GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.chosenTickers[tickerPosition]);
        double cashForSinglePosition = 
        	this.account.CashAmount * this.chosenTickersPortfolioWeights[tickerPosition];
--- 181,189 ----
  		}
       
!     protected virtual void addOrderForTicker(string[] tickers, 
!                                              int tickerPosition )
      {
      	string tickerCode = 
!     		GenomeManagerForEfficientPortfolio.GetCleanTickerCode(tickers[tickerPosition]);
        double cashForSinglePosition = 
        	this.account.CashAmount * this.chosenTickersPortfolioWeights[tickerPosition];
***************
*** 190,194 ****
        if(this.portfolioType == PortfolioType.OnlyShort ||
           		(this.portfolioType == PortfolioType.ShortAndLong &&
!           this.chosenTickers[tickerPosition] != tickerCode))
          order = new Order( OrderType.MarketSellShort, new Instrument( tickerCode ) , quantity );  
        else      		
--- 193,197 ----
        if(this.portfolioType == PortfolioType.OnlyShort ||
           		(this.portfolioType == PortfolioType.ShortAndLong &&
!           tickers[tickerPosition] != tickerCode))
          order = new Order( OrderType.MarketSellShort, new Instrument( tickerCode ) , quantity );  
        else      		
***************
*** 222,243 ****
      }
      
!     protected virtual void addChosenTickersToOrderList()
      {
!       for( int i = 0; i<this.chosenTickers.Length; i++)
        {
!       	if(this.chosenTickers[i] != null)
          {  
!           this.addOrderForTicker( i );
            this.lastOrderedTickers[i] = 
!           	GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.chosenTickers[i]);
          }
        }
      }
      
!     protected bool openPositions_allChosenTickersQuotedAtCurrentDate()
      {
        bool returnValue = true;
        DateTime currentDate = this.Account.EndOfDayTimer.GetCurrentTime().DateTime;
!       foreach(string ticker in this.chosenTickers)
        {
          if(ticker != null)
--- 225,246 ----
      }
      
!     protected virtual void addChosenTickersToOrderList(string[] tickers)
      {
!       for( int i = 0; i<tickers.Length; i++)
        {
!       	if(tickers[i] != null)
          {  
!           this.addOrderForTicker( tickers, i );
            this.lastOrderedTickers[i] = 
!           	GenomeManagerForEfficientPortfolio.GetCleanTickerCode(tickers[i]);
          }
        }
      }
      
!     protected bool openPositions_allTickersToOpenQuotedAtCurrentDate(string[] tickers)
      {
        bool returnValue = true;
        DateTime currentDate = this.Account.EndOfDayTimer.GetCurrentTime().DateTime;
!       foreach(string ticker in tickers)
        {
          if(ticker != null)
***************
*** 253,265 ****
      }
      
!     protected virtual void openPositions()
      {
        //add cash first
      	if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
          this.account.AddCash(30000);     
!       if(this.openPositions_allChosenTickersQuotedAtCurrentDate())
          //all tickers have quotes at the current date, so orders can be filled
        {
!         this.addChosenTickersToOrderList();
          //execute orders actually
          foreach(object item in this.orders)
--- 256,268 ----
      }
      
!     protected virtual void openPositions(string[] tickers)
      {
        //add cash first
      	if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
          this.account.AddCash(30000);     
!       if(this.openPositions_allTickersToOpenQuotedAtCurrentDate(tickers))
          //all tickers have quotes at the current date, so orders can be filled
        {
!         this.addChosenTickersToOrderList(tickers);
          //execute orders actually
          foreach(object item in this.orders)
***************
*** 283,286 ****
--- 286,305 ----
      }
      
+     protected void addGenomeToBestGenomes(BruteForceOptimizableParameters BFOptimizableParameters,
+                                           string[] signedTickers,
+                                           DateTime firstOptimizationDate,
+                                           DateTime secondOptimizationDate,
+                                           int eligibleTickers)
+     {
+       if(this.bestGenomes == null)
+         this.bestGenomes = new ArrayList();
+       
+       this.bestGenomes.Add(new GenomeRepresentation(BFOptimizableParameters,
+                                                     signedTickers,
+                                                     firstOptimizationDate,
+                                                     secondOptimizationDate,
+                                                     eligibleTickers) );
+     }
+     
      protected void addGenomeToBestGenomes(Genome genome,
                                            DateTime firstOptimizationDate,
***************
*** 316,319 ****
--- 335,356 ----
      }
  
+     protected void addGenomeToBestGenomes(Genome genome,
+                                           DateTime firstOptimizationDate,
+                                           DateTime secondOptimizationDate,
+                                           int eligibleTickers, int halfPeriodDays,
+                                           PortfolioType portfolioType,
+                                           int createdGenerations)
+     {
+       if(this.bestGenomes == null)
+         this.bestGenomes = new ArrayList();
+       
+       this.bestGenomes.Add(new GenomeRepresentation(genome,
+         firstOptimizationDate,
+         secondOptimizationDate,
+         genome.Generation,
+         eligibleTickers,
+         halfPeriodDays, portfolioType, createdGenerations));
+     }
+     
      public virtual void MarketOpenEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
***************
*** 331,334 ****
--- 368,434 ----
        ;
      }
+     
+     #region reversePositions
+     private void reversePositions_addReversedTickersToOrderList_addOrderForTicker(int tickerPosition )
+     {
+       string tickerCode = 
+         GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.reversedTickersForOpenedPositions[tickerPosition]);
+       double cashForSinglePosition = 
+         this.account.CashAmount * this.chosenTickersPortfolioWeights[tickerPosition];
+       long quantity =
+         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( tickerCode ) ) );
+       Order order;
+       if(this.portfolioType == PortfolioType.OnlyShort ||
+         (this.portfolioType == PortfolioType.ShortAndLong &&
+         this.reversedTickersForOpenedPositions[tickerPosition] != tickerCode))
+         order = new Order( OrderType.MarketSellShort, new Instrument( tickerCode ) , quantity );  
+       else      		
+         order = new Order( OrderType.MarketBuy, new Instrument( tickerCode ) , quantity );
+       
+       this.orders.Add(order);
+     }
+ 
+     private void reversePositions_addReversedTickersToOrderList()
+     {
+       for( int i = 0; i<this.reversedTickersForOpenedPositions.Length; i++)
+       {
+         if(this.reversedTickersForOpenedPositions[i] != null)
+         {  
+           this.reversePositions_addReversedTickersToOrderList_addOrderForTicker( i );
+           this.lastOrderedTickers[i] = 
+             GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.reversedTickersForOpenedPositions[i]);
+         }
+       }
+     }
+     
+     
+     private void reversePositions_setReversedTickers()
+     {
+       string sign = "";
+       string instrumentKey = "";
+       Position[] positions = new Position[this.chosenTickers.Length];
+       this.account.Portfolio.Positions.CopyTo(positions, 0);
+       for(int i = 0; i<this.account.Portfolio.Count; i++)
+       {  
+         instrumentKey = positions[i].Instrument.Key;
+         if(positions[i].IsShort)
+           sign = "";
+         else
+           sign = "-";
+         this.reversedTickersForOpenedPositions[i] = sign + instrumentKey;
+       } 
+     }  
+ 
+     protected void reversePositions()
+     {
+       this.reversedTickersForOpenedPositions = 
+         new string[this.chosenTickers.Length];
+       this.reversePositions_setReversedTickers();
+       this.closePositions();
+       this.orders.Clear();
+       this.openPositions(this.reversedTickersForOpenedPositions);
+     }   
+     #endregion
+ 
    } // end of class
  }