[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes EndOfDayTimerHandlerOTCTypes.cs, 1.7, 1.8

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

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

Modified Files:
	EndOfDayTimerHandlerOTCTypes.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: EndOfDayTimerHandlerOTCTypes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/EndOfDayTimerHandlerOTCTypes.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** EndOfDayTimerHandlerOTCTypes.cs	9 Apr 2007 18:08:59 -0000	1.7
--- EndOfDayTimerHandlerOTCTypes.cs	29 Aug 2007 09:43:34 -0000	1.8
***************
*** 36,41 ****
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
  {
! 	
!   /// <summary>
    /// Implements MarketOpenEventHandler,
    /// MarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
--- 36,40 ----
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
  {
! 	/// <summary>
    /// Implements MarketOpenEventHandler,
    /// MarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
***************
*** 46,57 ****
    public class EndOfDayTimerHandlerOTCTypes : EndOfDayTimerHandler
    {
-     private int numDaysBetweenEachOptimization;
-     private int numDaysElapsedSinceLastOptimization;
      private int seedForRandomGenerator;
      private Account[] accounts;
-     private string[,] lastOrderedTickersForTheAccount;
      int numOfClosesWithOpenPositionsFor2DaysStrategy;
!     
!     
      public EndOfDayTimerHandlerOTCTypes(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
--- 45,52 ----
    public class EndOfDayTimerHandlerOTCTypes : EndOfDayTimerHandler
    {
      private int seedForRandomGenerator;
      private Account[] accounts;
      int numOfClosesWithOpenPositionsFor2DaysStrategy;
!        
      public EndOfDayTimerHandlerOTCTypes(string tickerGroupID, int numberOfEligibleTickers, 
                                  int numberOfTickersToBeChosen, int numDaysForOptimizationPeriod,
***************
*** 72,77 ****
      	this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
        this.accounts = accounts;
-       this.lastOrderedTickersForTheAccount = new string[this.accounts.Length,
-                                                      this.numberOfTickersToBeChosen];
      }
   
--- 67,70 ----
***************
*** 79,159 ****
      {
        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);
!       }
      }
! 
      /// <summary>
      /// Handles a "Market Open" event.
--- 72,83 ----
      {
        if(this.accounts[accountNumber].Portfolio.Count == 0)
!       	AccountManager.OpenPositions(this.chosenWeightedPositions, this.accounts[accountNumber]);
      }
  
      private void closePositionsForTheAccount(int accountNumber)
      {
!     	AccountManager.ClosePositions(this.accounts[accountNumber]);
      }
!     
      /// <summary>
      /// Handles a "Market Open" event.
***************
*** 167,172 ****
        {
          //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
--- 91,96 ----
        {
          //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
***************
*** 205,214 ****
          
          if(i>=2)//for the OTC-CTO and CTO
!           this.marketCloseEventHandler_reversePositionsForTheAccount(i);
        }
      }
      
-     
- 
  		#region OneHourAfterMarketCloseEventHandler
        
--- 129,136 ----
          
          if(i>=2)//for the OTC-CTO and CTO
!         	AccountManager.ReversePositions(this.accounts[i]);
        }
      }
      
  		#region OneHourAfterMarketCloseEventHandler
        
***************
*** 222,227 ****
        	                                  currentDate,
        	                                  tickersFromGroup.Rows.Count,
!       	                                  20,500, 0.0001,100);
!       	                                  
        
        SelectorByLiquidity mostLiquidSelector =
--- 144,148 ----
        	                                  currentDate,
        	                                  tickersFromGroup.Rows.Count,
!       	                                  25);
        
        SelectorByLiquidity mostLiquidSelector =
***************
*** 241,247 ****
                                       	bool setGenomeCounter)
      {
-       
        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                     
--- 162,167 ----
                                       	bool setGenomeCounter)
      {
        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                     
***************
*** 268,274 ****
                                      currentDate,setOfTickersToBeOptimized.Rows.Count,-1, this.portfolioType,
                                      GO.GenerationCounter);
!         this.chosenTickers = ((GenomeMeaning)GO.BestGenome.Meaning).Tickers;
!         this.chosenTickersPortfolioWeights = ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights;
!         
        }
        //else it will be buyed again the previous optimized portfolio
--- 188,193 ----
                                      currentDate,setOfTickersToBeOptimized.Rows.Count,-1, this.portfolioType,
                                      GO.GenerationCounter);
!         this.chosenWeightedPositions = new WeightedPositions( ((GenomeMeaning)GO.BestGenome.Meaning).TickersPortfolioWeights,
! 					new SignedTickers( ((GenomeMeaning)GO.BestGenome.Meaning).Tickers) );
        }
        //else it will be buyed again the previous optimized portfolio
***************
*** 285,290 ****
      {
      	this.seedForRandomGenerator++;
!     	this.orders.Clear();
!       if(this.numDaysElapsedSinceLastOptimization == 
      	   this.numDaysBetweenEachOptimization - 1)
      	{
--- 204,208 ----
      {
      	this.seedForRandomGenerator++;
!     	if(this.numDaysElapsedSinceLastOptimization == 
      	   this.numDaysBetweenEachOptimization - 1)
      	{
***************
*** 299,305 ****
      	
      }
- 		   
      #endregion
- 		
    }
  }
--- 217,221 ----