[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization EndOfDayTimerHandlerOTCTypesBruteForce.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10276/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization

Modified Files:
	EndOfDayTimerHandlerOTCTypesBruteForce.cs 
Log Message:
Code has been re-organized in a more logical and Object Oriented way:
- WeightedPositions class has been used.
- Some static methods have been deleted from SignedTicker class. They have been moved
to WeightedPositions.
- Basic orders'management has been moved to the primitive base class EndOfDayTimerHandler
and to AccountManager class

Index: EndOfDayTimerHandlerOTCTypesBruteForce.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization/EndOfDayTimerHandlerOTCTypesBruteForce.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerOTCTypesBruteForce.cs	3 Jan 2007 23:01:52 -0000	1.2
--- EndOfDayTimerHandlerOTCTypesBruteForce.cs	29 Aug 2007 09:43:34 -0000	1.3
***************
*** 48,56 ****
    public class EndOfDayTimerHandlerOTCTypesBruteForce : EndOfDayTimerHandler
    {
-     private int numDaysBetweenEachOptimization;
-     private int numDaysElapsedSinceLastOptimization;
      private int seedForRandomGenerator;
      private Account[] accounts;
-     private string[,] lastOrderedTickersForTheAccount;
      int numOfClosesWithOpenPositionsFor2DaysStrategy;
      
--- 48,53 ----
***************
*** 71,76 ****
      	this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
        this.accounts = accounts;
-       this.lastOrderedTickersForTheAccount = new string[this.accounts.Length,
-                                                      this.numberOfTickersToBeChosen];
      }
   
--- 68,71 ----
***************
*** 78,156 ****
      {
        if(this.accounts[accountNumber].Portfolio.Count == 0)
!       {
!         this.orders.Clear();
!         this.addChosenTickersToOrderListForTheGivenAccount(accountNumber);
!         for(int i = 0; i<this.orders.Count;i++)
!         {
!           this.accounts[accountNumber].AddOrder((Order)this.orders[i]);
!           this.lastOrderedTickersForTheAccount[accountNumber, i] = 
!             SignedTicker.GetTicker(((Order)this.orders[i]).Instrument.Key);
!         }
!       }
!     }
! 
!     protected void addOrderForTickerForTheGivenAccount(int tickerPosition,
!                                                        int accountNumber )
!     {
!     	string tickerCode = 
!     		GenomeManagerForEfficientPortfolio.GetCleanTickerCode(this.chosenTickers[tickerPosition]);
!       double cashForSinglePosition = 
!       	this.accounts[accountNumber].CashAmount * this.chosenTickersPortfolioWeights[tickerPosition];
!       long quantity =
!       	Convert.ToInt64( Math.Floor( cashForSinglePosition / this.accounts[accountNumber].DataStreamer.GetCurrentBid( tickerCode ) ) );
!       Order order;
!       if(this.portfolioType == PortfolioType.OnlyShort ||
!          		(this.portfolioType == PortfolioType.ShortAndLong &&
!           this.chosenTickers[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);
!     }
!     
!     protected void addChosenTickersToOrderListForTheGivenAccount(int accountNumber)
!     {
!       for( int i = 0; i<this.chosenTickers.Length; i++)
!       {
!       	if(this.chosenTickers[i] != null)
!           this.addOrderForTickerForTheGivenAccount( i, accountNumber );
!       }
      }
-     
   
      private void closePositionsForTheAccount(int accountNumber)
      {
!       string ticker;
!       if(this.accounts[accountNumber].Portfolio.Count >0)
!       {
!         for(int j = 0; j<this.numberOfTickersToBeChosen; j++)
!         {
!           ticker = this.lastOrderedTickersForTheAccount[accountNumber, j];
!           if( ticker != null)
!           {
!             if(this.accounts[accountNumber].Portfolio[ticker]!=null)
!               this.accounts[accountNumber].ClosePosition(ticker); 
!           }
!         }
!       }
      }
  
      private void marketCloseEventHandler_reversePositionsForTheAccount(int accountNumber)
      {
!       this.closePositionsForTheAccount(accountNumber);
!       SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
!       try
!       {
!         this.openPositionsForTheAccountWhenPortfolioIsEmpty(accountNumber);
!       }
!       catch(Exception ex)
!       {
!         ex = ex;
!       }
!       finally
!       {
!         SignedTicker.ChangeSignOfEachTicker(this.chosenTickers);
!       }
      }
  
--- 73,87 ----
      {
        if(this.accounts[accountNumber].Portfolio.Count == 0)
!          AccountManager.OpenPositions(this.chosenWeightedPositions, this.accounts[accountNumber]);
      }
   
      private void closePositionsForTheAccount(int accountNumber)
      {
!       AccountManager.ClosePositions(this.accounts[accountNumber]);
      }
  
      private void marketCloseEventHandler_reversePositionsForTheAccount(int accountNumber)
      {
!       AccountManager.ReversePositions(this.accounts[accountNumber]);
      }
  
***************
*** 166,171 ****
        {
          //add cash first for each account
!         if(this.orders.Count == 0 && this.accounts[i].Transactions.Count == 0)
!           this.accounts[i].AddCash(30000);  
          
          if(i<=1)//daily classical and multiday
--- 97,102 ----
        {
          //add cash first for each account
!         if( this.accounts[i].Transactions.Count == 0)
!           this.accounts[i].AddCash(15000);  
          
          if(i<=1)//daily classical and multiday
***************
*** 207,213 ****
        }
      }
!     
!     
! 
  		#region OneHourAfterMarketCloseEventHandler
        
--- 138,142 ----
        }
      }
!    
  		#region OneHourAfterMarketCloseEventHandler
        
***************
*** 250,254 ****
        
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.chosenTickers.Length*2)
          //the optimization process is possible only if the initial set of tickers is 
          //as large as the number of tickers to be chosen                     
--- 179,183 ----
        
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count > this.numberOfTickersToBeChosen*2)
          //the optimization process is possible only if the initial set of tickers is 
          //as large as the number of tickers to be chosen                     
***************
*** 260,274 ****
        		           setOfTickersToBeOptimized,
        		           currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!       		           currentDate,this.chosenTickers.Length);
          
        	BruteForceOptimizer BFO = new BruteForceOptimizer(otcBruteForceParamManager);
        	BFO.Run();
-         this.chosenTickers = 
-         	((GenomeMeaning)otcBruteForceParamManager.Decode(BFO.BestParameters)).Tickers;
          	//this.setTickers_getChosenTickers(BFO.BestParameters);
!       	this.addGenomeToBestGenomes(BFO.BestParameters,this.chosenTickers,
        	                            currentDate.AddDays(-this.numDaysForOptimizationPeriod),
        	                            currentDate,setOfTickersToBeOptimized.Rows.Count);
!        	this.chosenTickersPortfolioWeights = this.setTickers_getWeights(this.chosenTickers);
          
        }
--- 189,202 ----
        		           setOfTickersToBeOptimized,
        		           currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!       		           currentDate,this.numberOfTickersToBeChosen);
          
        	BruteForceOptimizer BFO = new BruteForceOptimizer(otcBruteForceParamManager);
        	BFO.Run();
          	//this.setTickers_getChosenTickers(BFO.BestParameters);
!       	this.addGenomeToBestGenomes(BFO.BestParameters,this.chosenWeightedPositions.SignedTickers,
        	                            currentDate.AddDays(-this.numDaysForOptimizationPeriod),
        	                            currentDate,setOfTickersToBeOptimized.Rows.Count);
! 				this.chosenWeightedPositions = 
! 					new WeightedPositions(new SignedTickers(((GenomeMeaning)otcBruteForceParamManager.Decode(BFO.BestParameters)).Tickers));
          
        }
***************
*** 286,290 ****
      {
      	this.seedForRandomGenerator++;
-     	this.orders.Clear();
        if(this.numDaysElapsedSinceLastOptimization == 
      	   this.numDaysBetweenEachOptimization - 1)
--- 214,217 ----
***************
*** 298,304 ****
          this.numDaysElapsedSinceLastOptimization++;
        }
-     	
      }
- 		   
      #endregion
  		
--- 225,229 ----