[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection EndOfDayTimerHandlerSimpleSelection.cs, 1.1, 1.2 EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs, 1.1, 1.2

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

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

Modified Files:
	EndOfDayTimerHandlerSimpleSelection.cs 
	EndOfDayTimerHandlerSimpleSelectionOpenToClose.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: EndOfDayTimerHandlerSimpleSelection.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/EndOfDayTimerHandlerSimpleSelection.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerSimpleSelection.cs	21 Oct 2005 17:54:11 -0000	1.1
--- EndOfDayTimerHandlerSimpleSelection.cs	29 Aug 2007 09:43:34 -0000	1.2
***************
*** 41,205 ****
    /// </summary>
    [Serializable]
!   public class EndOfDayTimerHandlerSimpleSelection
    {
!     protected DataTable eligibleTickers;
!     protected string[] chosenTickers;
!     protected string[] lastOrderedTickers;
!     
!     protected string tickerGroupID;
!     protected int numberOfEligibleTickers;
!     protected int numberOfTickersToBeChosen;
!     protected int numDaysForOptimizationPeriod;
!     		
!     protected Account account;
!     protected ArrayList orders;
! 
!     protected string benchmark;
!     //these two values have to be updated during
!     //backtest, for minimizing commission amount,
!     //according to broker's commission scheme 
!     protected double minPriceForMinimumCommission = 0;
!     protected double maxPriceForMinimumCommission = 500;
!     
!     protected double targetReturn;
!     
!     protected PortfolioType portfolioType;
!     
!     public string[] LastOrderedTickers
!     {
!       get { return this.lastOrderedTickers; }
!     }
!     public int NumberOfEligibleTickers
!     {
!       get { return this.numberOfEligibleTickers; }
!     }
! 		
!     public Account Account
!     {
!       get { return this.account; }
!     }
! 		
!    
!     public EndOfDayTimerHandlerSimpleSelection(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
                                  string benchmark, double targetReturn,
!                                 PortfolioType portfolioType)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
!       this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
!       this.account = account;
!       this.benchmark = benchmark;
!       this.orders = new ArrayList();
!       this.chosenTickers = new string[numberOfTickersToBeChosen];
!       this.lastOrderedTickers = new string[numberOfTickersToBeChosen];
!       this.targetReturn = targetReturn;
!       this.portfolioType = portfolioType;
!       
!     }
! 		
!     
!     protected virtual void addOrderForTicker(string ticker )
!     {
!     	string tickerCode = 
!     			GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
!       double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
!       long quantity =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( tickerCode ) ) );
!       Order order;
!       if(this.portfolioType == PortfolioType.OnlyShort ||
!          		(this.portfolioType == PortfolioType.ShortAndLong &&
!               ticker != 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 virtual void closePosition(
!       string ticker )
!     {
!       this.account.ClosePosition( ticker );
!     }
!     
!     protected virtual void closePositions()
!     {
!       
!       if(this.lastOrderedTickers != null)
!       {
!         foreach( string ticker in this.lastOrderedTickers)
!         {
!           for(int i = 0; i<this.account.Portfolio.Keys.Count; i++)
!           {
!             if(this.account.Portfolio[ticker]!=null)
!               closePosition( ticker );
!           }
!         }
!       }
!       
!       
!     }
!     
!     protected virtual void addChosenTickersToOrderList()
!     {
!       int idx = 0;
!       foreach ( string ticker in this.chosenTickers )
!       {
!         if(ticker != null)
!         {  
!           this.addOrderForTicker( ticker );
!           this.lastOrderedTickers[idx] = 
!           		GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker);
!         }
!         idx++;
!       }
!     }
!     
!     protected bool openPositions_allChosenTickersQuotedAtCurrentDate()
!     {
!       bool returnValue = true;
!       DateTime currentDate = this.Account.EndOfDayTimer.GetCurrentTime().DateTime;
!       foreach(string ticker in this.chosenTickers)
!       {
!         if(ticker != null)
!         {
!           Quotes tickerQuotes = new Quotes(GenomeManagerForEfficientPortfolio.GetCleanTickerCode(ticker),
!                                           currentDate, currentDate);
!           if(tickerQuotes.Rows.Count == 0)
!           //no quote available for the current ticker
!             returnValue = false;
!         }                       
!       }
!       return returnValue;
!     }
!     
!     protected virtual void openPositions()
      {
!       //add cash first
!     	if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(17000);     
!       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)
!           this.account.AddOrder((Order)item);
!       }
      }
!     
!     public virtual void MarketOpenEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        ;
      }
!     public virtual void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        ;
      }
!     public virtual void OneHourAfterMarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
--- 41,70 ----
    /// </summary>
    [Serializable]
!   public class EndOfDayTimerHandlerSimpleSelection : EndOfDayTimerHandler
    {
!     public EndOfDayTimerHandlerSimpleSelection(string tickerGroupID, int numberOfEligibleTickers,
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
                                  string benchmark, double targetReturn,
!                                 PortfolioType portfolioType):
!     														base(tickerGroupID, numberOfEligibleTickers, 
!                                 numberOfTickersToBeChosen, numDaysForOptimizationPeriod, account,
!                                 0,0,
!                                 benchmark, targetReturn,
!                                 portfolioType)
      {
!     	
      }
! 
!     public override void MarketOpenEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        ;
      }
!     public override void MarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
        ;
      }
!     public override void OneHourAfterMarketCloseEventHandler(
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {

Index: EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs	21 Oct 2005 17:54:11 -0000	1.1
--- EndOfDayTimerHandlerSimpleSelectionOpenToClose.cs	29 Aug 2007 09:43:34 -0000	1.2
***************
*** 29,32 ****
--- 29,33 ----
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Timing;
+ using QuantProject.Business.Strategies;
  using QuantProject.Data.DataProviders;
  using QuantProject.Data.Selectors;
***************
*** 43,49 ****
    public class EndOfDayTimerHandlerSimpleSelectionOpenToClose : EndOfDayTimerHandlerSimpleSelection
    {
!     protected int numDaysBetweenEachOptimization;
!     private int numDaysElapsedSinceLastOptimization;
!    
      public EndOfDayTimerHandlerSimpleSelectionOpenToClose(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
--- 44,48 ----
    public class EndOfDayTimerHandlerSimpleSelectionOpenToClose : EndOfDayTimerHandlerSimpleSelection
    {
!     
      public EndOfDayTimerHandlerSimpleSelectionOpenToClose(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod, Account account,
***************
*** 68,72 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       this.closePositions();
      }
  
--- 67,71 ----
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
!       AccountManager.ClosePositions(this.account);
      }
  
***************
*** 115,119 ****
        
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count >= this.chosenTickers.Length)
          //the optimization process is possible only if the initial set of tickers is 
          //as large as the number of tickers to be chosen                     
--- 114,118 ----
        
        DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       if(setOfTickersToBeOptimized.Rows.Count >= this.numberOfTickersToBeChosen)
          //the optimization process is possible only if the initial set of tickers is 
          //as large as the number of tickers to be chosen                     
***************
*** 125,129 ****
                                               currentDate, this.targetReturn, 
                                               this.portfolioType);
!         this.chosenTickers = OTCScreener.GetBestTickers(this.numberOfTickersToBeChosen);
        }
        //else it will be buyed again the previous optimized portfolio
--- 124,128 ----
                                               currentDate, this.targetReturn, 
                                               this.portfolioType);
!         this.chosenWeightedPositions = new WeightedPositions(OTCScreener.GetBestTickers(this.numberOfTickersToBeChosen));
        }
        //else it will be buyed again the previous optimized portfolio
***************
*** 148,153 ****
        Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
-       this.orders.Clear();
-       //this.oneHourAfterMarketCloseEventHandler_updatePrices();
        if(this.numDaysElapsedSinceLastOptimization == 
          this.numDaysBetweenEachOptimization - 1)
--- 147,150 ----