quantproject-developers

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm ReportShower.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv32262/b5_Presentation/Reporting/WindowsForm

Modified Files:
	ReportShower.cs 
Log Message:
Added try/catch blocks, to avoid run time errors;
added code to retrieve at open the date of the last trade in report

Index: ReportShower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/ReportShower.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ReportShower.cs	12 Feb 2005 19:02:02 -0000	1.1
--- ReportShower.cs	13 Mar 2005 23:38:40 -0000	1.2
***************
*** 44,48 ****
      private Report report;
      private System.Windows.Forms.Label label4;
!     private System.Windows.Forms.TextBox index;
  
  		/// <summary>
--- 44,48 ----
      private Report report;
      private System.Windows.Forms.Label label4;
!     private System.Windows.Forms.TextBox benchmark;
  
  		/// <summary>
***************
*** 60,63 ****
--- 60,64 ----
  			//
  			  this.report = report;
+         this.endingDate.Value = this.report.GetLastTradeDate();
  			//
  		}
***************
*** 93,97 ****
        this.label3 = new System.Windows.Forms.Label();
        this.label4 = new System.Windows.Forms.Label();
!       this.index = new System.Windows.Forms.TextBox();
        ((System.ComponentModel.ISupportInitialize)(this.numDaysForEquityLine)).BeginInit();
        this.SuspendLayout();
--- 94,98 ----
        this.label3 = new System.Windows.Forms.Label();
        this.label4 = new System.Windows.Forms.Label();
!       this.benchmark = new System.Windows.Forms.TextBox();
        ((System.ComponentModel.ISupportInitialize)(this.numDaysForEquityLine)).BeginInit();
        this.SuspendLayout();
***************
*** 168,180 ****
        this.label4.Size = new System.Drawing.Size(96, 16);
        this.label4.TabIndex = 8;
!       this.label4.Text = "Index";
        // 
!       // index
        // 
!       this.index.Location = new System.Drawing.Point(106, 160);
!       this.index.Name = "index";
!       this.index.Size = new System.Drawing.Size(176, 20);
!       this.index.TabIndex = 7;
!       this.index.Text = "";
        // 
        // ReportShower
--- 169,181 ----
        this.label4.Size = new System.Drawing.Size(96, 16);
        this.label4.TabIndex = 8;
!       this.label4.Text = "Benchmark";
        // 
!       // benchmark
        // 
!       this.benchmark.Location = new System.Drawing.Point(106, 160);
!       this.benchmark.Name = "benchmark";
!       this.benchmark.Size = new System.Drawing.Size(176, 20);
!       this.benchmark.TabIndex = 7;
!       this.benchmark.Text = "";
        // 
        // ReportShower
***************
*** 184,188 ****
        this.Controls.AddRange(new System.Windows.Forms.Control[] {
                                                                    this.label4,
!                                                                   this.index,
                                                                    this.label3,
                                                                    this.label2,
--- 185,189 ----
        this.Controls.AddRange(new System.Windows.Forms.Control[] {
                                                                    this.label4,
!                                                                   this.benchmark,
                                                                    this.label3,
                                                                    this.label2,
***************
*** 202,211 ****
      private void buttonShowReport_Click(object sender, System.EventArgs e)
      {
!       this.report.Clear();
!       this.report.Show(this.reportName.Text, (int)this.numDaysForEquityLine.Value,
!                         new EndOfDayDateTime(this.endingDate.Value,
!                                              EndOfDaySpecificTime.MarketClose),
!                       this.index.Text);
!                         
      }
  	}
--- 203,221 ----
      private void buttonShowReport_Click(object sender, System.EventArgs e)
      {
!       try
!       {
!         if(this.benchmark.Text == "")
!           throw new Exception("Benchmark symbol is requested!");
!         this.report.Clear();
!         this.report.Show(this.reportName.Text, (int)this.numDaysForEquityLine.Value,
!                           new EndOfDayDateTime(this.endingDate.Value,
!                                               EndOfDaySpecificTime.MarketClose),
!                         this.benchmark.Text);
!       }
!       
!       catch(Exception ex)
!       {
!         MessageBox.Show(ex.ToString());
!       }                  
      }
  	}

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm Report.cs,1.8,1.9

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv31180/b5_Presentation/Reporting/WindowsForm

Modified Files:
	Report.cs 
Log Message:
Added GetLastTradeDate method, to get the date of the last trade viewed in report.

Index: Report.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/Report.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** Report.cs	15 Feb 2005 19:09:05 -0000	1.8
--- Report.cs	13 Mar 2005 23:34:40 -0000	1.9
***************
*** 94,98 ****
        this.accountReport = null;
      }
!   
  //    /// <summary>
  //    /// Imports an existing account report
--- 94,107 ----
        this.accountReport = null;
      }
!     
!     /// <summary>
!     /// Gets the date of the last trade
!     /// </summary>
!     public DateTime GetLastTradeDate()
!     {
!       object returnValue;
!       returnValue = this.account.Transactions.GetKey(this.account.Transactions.Count -1);
!       return (DateTime)returnValue;
!     }
  //    /// <summary>
  //    /// Imports an existing account report

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting RunEfficientCTOPortfolio.cs,1.14,1.15

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15243/b7_Scripts/TickerSelectionTesting

Modified Files:
	RunEfficientCTOPortfolio.cs 
Log Message:
Added appSettings section to the app.config file.
Added keys inside appSettings in order to set directory paths where to save accounts and reports resulting from execution of scripts.

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** RunEfficientCTOPortfolio.cs	27 Feb 2005 19:56:08 -0000	1.14
--- RunEfficientCTOPortfolio.cs	13 Mar 2005 20:28:54 -0000	1.15
***************
*** 99,105 ****
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 9 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 9 , 10 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
        //this.numIntervalDays = 3;
  		}
--- 99,105 ----
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 10 , 11 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
        //this.numIntervalDays = 3;
  		}
***************
*** 213,225 ****
                        this.generationNumberForGeneticOptimizer +
                        "PopSize" + this.populationSizeForGeneticOptimizer;
!         AccountReport accountReport = this.account.CreateReport(name,1,this.endDateTime,"^MIBTEL",
!                                                               new HistoricalAdjustedQuoteProvider());
!         ObjectArchiver.Archive(accountReport,
!                               "C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedReports\\OpenCloseScripts\\" +
!                                name + ".rep");
          
!         //ObjectArchiver.Archive(this.account,
!         //                       "C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedAccounts\\OpenCloseScripts\\" +
!         //                       name + ".acc");
  
        }
--- 213,227 ----
                        this.generationNumberForGeneticOptimizer +
                        "PopSize" + this.populationSizeForGeneticOptimizer;
!         //AccountReport accountReport = this.account.CreateReport(name,1,this.endDateTime,"^MIBTEL",
!         //                                                      new HistoricalAdjustedQuoteProvider());
!         //ObjectArchiver.Archive(accountReport,
!         //                        System.Configuration.ConfigurationSettings.AppSettings["ReportsArchive"] +
!         //                        "\\OpenCloseScripts\\" + 
!         //                       name + ".rep");
          
!         ObjectArchiver.Archive(this.account,
!                                System.Configuration.ConfigurationSettings.AppSettings["AccountsArchive"] +
!                                "\\OpenCloseScripts\\" +
!                                name + ".acc");
  
        }

[Quantproject-developers] QuantProject/b91_QuantProject app.config,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv15243/b91_QuantProject

Modified Files:
	app.config 
Log Message:
Added appSettings section to the app.config file.
Added keys inside appSettings in order to set directory paths where to save accounts and reports resulting from execution of scripts.

Index: app.config
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/app.config,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** app.config	12 Aug 2004 14:48:06 -0000	1.1
--- app.config	13 Mar 2005 20:28:54 -0000	1.2
***************
*** 1,6 ****
  <?xml version="1.0" encoding="utf-8" ?> 
  <configuration>
! <startup>
! <supportedRuntime version="v1.1.4322" /> 
! </startup>
  </configuration>
\ No newline at end of file
--- 1,13 ----
  <?xml version="1.0" encoding="utf-8" ?> 
+ 
  <configuration>
! 	<startup>
! 		<supportedRuntime version="v1.1.4322" /> 
! 	</startup>
! 
! 	<appSettings>
! 		<add key="AccountsArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedAccounts\\" />
! 		<add key="ReportsArchive" value="C:\\Documents and Settings\\Marco\\Documenti\\ProgettiOpenSource\\Quant\\SavedReports\\" />
! 	</appSettings>
! 
  </configuration>
\ No newline at end of file

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm AccountViewer.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv14279/b5_Presentation/Reporting/WindowsForm

Modified Files:
	AccountViewer.cs 
Log Message:
Added new constructor to the class.
It is now possible to load the account viewer form using a IList containg the accounts to view (this function hasn't be tested yet. Just try ...).

AccountViewer is now complete.

Index: AccountViewer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/AccountViewer.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** AccountViewer.cs	12 Mar 2005 23:53:22 -0000	1.1
--- AccountViewer.cs	13 Mar 2005 20:25:57 -0000	1.2
***************
*** 43,46 ****
--- 43,68 ----
  		}
      
+     private void fillAccountsArrayList(IList accountList)
+     {
+       foreach(object item in accountList)
+       {
+         this.accountsArrayList.Add((Account)item);
+       }
+       //
+     }
+ 
+     public AccountViewer(IList accountList)
+     {
+ 			
+       //
+       InitializeComponent();
+       this.fillAccountsArrayList(accountList);
+       this.setTableAndGrid();
+       this.updateForm();
+       //
+       // TODO: 
+       //
+     }
+ 
      private void setTableAndGrid()
      {

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank ComparableAccount.cs,1.5,1.6

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv9962/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	ComparableAccount.cs 
Log Message:
Added the Serializable attribute

Index: ComparableAccount.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/ComparableAccount.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** ComparableAccount.cs	20 Jan 2005 01:19:24 -0000	1.5
--- ComparableAccount.cs	13 Mar 2005 14:28:14 -0000	1.6
***************
*** 34,37 ****
--- 34,38 ----
  	/// Summary description for ComparableAccount.
  	/// </summary>
+ 	[Serializable]
  	public class ComparableAccount : Account
  	{

[Quantproject-developers] QuantProject/b91_QuantProject Main.cs,1.12,1.13 b91_QuantProject.csproj,1.8,1.9 AccountViewer.cs,1.2,NONE

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv21119/b91_QuantProject

Modified Files:
	Main.cs b91_QuantProject.csproj 
Removed Files:
	AccountViewer.cs 
Log Message:
AccountViewer moved from QuantProject layer to Presentation.
Added reference to Presentation project in order to use AccountViewer object within the Main form.

Index: Main.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/Main.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** Main.cs	15 Feb 2005 19:13:42 -0000	1.12
--- Main.cs	12 Mar 2005 23:58:02 -0000	1.13
***************
*** 33,36 ****
--- 33,37 ----
  using QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank;
  using QuantProject.Scripts.CallingReportsForRunScripts;
+ using QuantProject.Presentation.Reporting.WindowsForm;
  
  
***************
*** 325,329 ****
          // new RunEfficientCTCPorfolio().Run();
  				//new RunOneRank().Run();
!         new RunEfficientCTOPorfolio("STOCKMI",70,5,30,2,1000).Run();
  //      }
  //      catch ( Exception ex )
--- 326,331 ----
          // new RunEfficientCTCPorfolio().Run();
  				//new RunOneRank().Run();
!         new RunEfficientCTOPorfolio("STOCKMI",80,4,45,2,1000).Run();
!         new RunEfficientCTOPorfolio("STOCKMI",80,4,45,2,2500).Run();
  //      }
  //      catch ( Exception ex )

Index: b91_QuantProject.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/b91_QuantProject.csproj,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** b91_QuantProject.csproj	26 Feb 2005 15:10:49 -0000	1.8
--- b91_QuantProject.csproj	12 Mar 2005 23:58:02 -0000	1.9
***************
*** 98,101 ****
--- 98,106 ----
                      Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
                  />
+                 <Reference
+                     Name = "b5_Presentation"
+                     Project = "{D3DC9EA6-3B06-4255-B19A-5FC5B66A1402}"
+                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
+                 />
              </References>
          </Build>
***************
*** 103,116 ****
              <Include>
                  <File
-                     RelPath = "AccountViewer.cs"
-                     SubType = "Form"
-                     BuildAction = "Compile"
-                 />
-                 <File
-                     RelPath = "AccountViewer.resx"
-                     DependentUpon = "AccountViewer.cs"
-                     BuildAction = "EmbeddedResource"
-                 />
-                 <File
                      RelPath = "app.config"
                      BuildAction = "None"
--- 108,111 ----

--- AccountViewer.cs DELETED ---

[Quantproject-developers] QuantProject/b5_Presentation b5_Presentation.csproj,1.20,1.21

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20021/b5_Presentation

Modified Files:
	b5_Presentation.csproj 
Log Message:
AccountViewer added to Presentation project (moved from QuantProject layer)

Index: b5_Presentation.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** b5_Presentation.csproj	12 Feb 2005 19:02:01 -0000	1.20
--- b5_Presentation.csproj	12 Mar 2005 23:53:04 -0000	1.21
***************
*** 178,181 ****
--- 178,191 ----
                  />
                  <File
+                     RelPath = "Reporting\WindowsForm\AccountViewer.cs"
+                     SubType = "Form"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Reporting\WindowsForm\AccountViewer.resx"
+                     DependentUpon = "AccountViewer.cs"
+                     BuildAction = "EmbeddedResource"
+                 />
+                 <File
                      RelPath = "Reporting\WindowsForm\EquityChartTabPage.cs"
                      SubType = "Component"

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm AccountViewer.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20021/b5_Presentation/Reporting/WindowsForm

Added Files:
	AccountViewer.cs 
Log Message:
AccountViewer added to Presentation project (moved from QuantProject layer)

--- NEW FILE: AccountViewer.cs ---
using System;
using System.Drawing;
using System.Collections;
using System.ComponentModel;
using System.Windows.Forms;
using System.Data;
using QuantProject.Business.Financial.Accounting;
using QuantProject.ADT.FileManaging;
using QuantProject.Data.Selectors;
using QuantProject.Data.DataProviders;
using QuantProject.Business.DataProviders;
using QuantProject.Presentation.Reporting.WindowsForm;





namespace QuantProject.Principale
{
	/// <summary>
	/// AccountViewer.
	/// </summary>
	public class AccountViewer : System.Windows.Forms.Form
	{
    private ArrayList accountsArrayList = new ArrayList();
    private System.Windows.Forms.Button buttonAddAccounts;
    private System.Windows.Forms.DataGrid dataGridAccounts;
    private DataTable accountsTable;
    private System.Windows.Forms.Button buttonViewReport;
		
		private System.ComponentModel.Container components = null;

		public AccountViewer()
		{
			
			//
			InitializeComponent();
      this.setTableAndGrid();

			//
			// TODO: 
			//
		}
    
    private void setTableAndGrid()
    {
      this.accountsTable = new DataTable();
      this.accountsTable.Columns.Add("AccountName", System.Type.GetType("System.String"));
      this.accountsTable.Columns.Add("Fitness", Type.GetType("System.Double"));
      this.accountsTable.Columns.Add("Account", Type.GetType("System.Object"));
      this.dataGridAccounts.DataSource = this.accountsTable;
    }
		/// <summary>
		/// Clean up
		/// </summary>
		protected override void Dispose( bool disposing )
		{
			if( disposing )
			{
				if(components != null)
				{
					components.Dispose();
				}
			}
			base.Dispose( disposing );
		}

		#region Windows Form Designer generated code
		//do not modify with code editor
		private void InitializeComponent()
		{
      this.buttonAddAccounts = new System.Windows.Forms.Button();
      this.dataGridAccounts = new System.Windows.Forms.DataGrid();
      this.buttonViewReport = new System.Windows.Forms.Button();
      ((System.ComponentModel.ISupportInitialize)(this.dataGridAccounts)).BeginInit();
      this.SuspendLayout();
      // 
      // buttonAddAccounts
      // 
      this.buttonAddAccounts.Location = new System.Drawing.Point(8, 160);
      this.buttonAddAccounts.Name = "buttonAddAccounts";
      this.buttonAddAccounts.Size = new System.Drawing.Size(96, 32);
      this.buttonAddAccounts.TabIndex = 1;
      this.buttonAddAccounts.Text = "Add Accounts ...";
      this.buttonAddAccounts.Click += new System.EventHandler(this.buttonAddAccounts_Click);
      // 
      // dataGridAccounts
      // 
      this.dataGridAccounts.DataMember = "";
      this.dataGridAccounts.Dock = System.Windows.Forms.DockStyle.Top;
      this.dataGridAccounts.HeaderForeColor = System.Drawing.SystemColors.ControlText;
      this.dataGridAccounts.Name = "dataGridAccounts";
      this.dataGridAccounts.Size = new System.Drawing.Size(464, 144);
      this.dataGridAccounts.TabIndex = 2;
      // 
      // buttonViewReport
      // 
      this.buttonViewReport.Location = new System.Drawing.Point(336, 160);
      this.buttonViewReport.Name = "buttonViewReport";
      this.buttonViewReport.Size = new System.Drawing.Size(96, 32);
      this.buttonViewReport.TabIndex = 3;
      this.buttonViewReport.Text = "View Report";
      this.buttonViewReport.Click += new System.EventHandler(this.buttonViewReport_Click);
      // 
      // AccountViewer
      // 
      this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
      this.ClientSize = new System.Drawing.Size(464, 266);
      this.Controls.AddRange(new System.Windows.Forms.Control[] {
                                                                  this.buttonViewReport,
                                                                  this.dataGridAccounts,
                                                                  this.buttonAddAccounts});
      this.Name = "AccountViewer";
      this.Text = "AccountViewer";
      ((System.ComponentModel.ISupportInitialize)(this.dataGridAccounts)).EndInit();
      this.ResumeLayout(false);

    }
		#endregion
    
    
    private void updateForm_updateGrid()
    {
      this.dataGridAccounts.Refresh();
    }
    
    private void updateForm_updateTable()
    {
      Account account;
      foreach(Object item in this.accountsArrayList)
      {
        DataRow rowToAdd = this.accountsTable.NewRow();
        account = (Account)item;
        rowToAdd["AccountName"] = account.Key;
        rowToAdd["Fitness"] = account.GetFitnessValue();
        rowToAdd["Account"] = account;
        this.accountsTable.Rows.Add(rowToAdd);
      }
    }
    
    private void updateForm()
    {
      this.updateForm_updateTable();
      this.updateForm_updateGrid();
    }
 
    #region Add Accounts

    private string[] buttonAddAccounts_Click_extractAccounts_selectAccounts()
    {
      OpenFileDialog openFileDialog = new OpenFileDialog();
      openFileDialog.Title = "Select accounts please ...";
      openFileDialog.Multiselect = true;
      openFileDialog.CheckFileExists = true;
      openFileDialog.ShowDialog();
      return openFileDialog.FileNames;
    }

    private void buttonAddAccounts_Click_extractAccounts()
    {
      string[] accountsSelection = this.buttonAddAccounts_Click_extractAccounts_selectAccounts();
      foreach(string fileName in accountsSelection)
      {
        this.accountsArrayList.Add((Account)ObjectArchiver.Extract(fileName));
      }
    }

    private void buttonAddAccounts_Click(object sender, System.EventArgs e)
    {
      this.accountsArrayList.Clear();
      this.buttonAddAccounts_Click_extractAccounts();
      this.updateForm();
    }
    #endregion

    private void buttonViewReport_Click(object sender, System.EventArgs e)
    {
      DataTable selectedAccountTable = 
                  TickerSelector.GetTableOfManuallySelectedTickers(this.dataGridAccounts);
      if(selectedAccountTable.Rows.Count != 1 )
      //only a single row is a valid selection
        MessageBox.Show("You can't view more than one report!");
      else
      {
        Report report = new Report((Account)selectedAccountTable.Rows[0]["Account"],
                                  new HistoricalAdjustedQuoteProvider());
        ReportShower reportShower = new ReportShower(report);
        reportShower.Show(); 
      }
     
    }
	
  }
}

[Quantproject-developers] QuantDownloader/Downloader/TickerSelectors TickerSelectorForm.cs,1.9,1.10

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

Update of /cvsroot/quantproject/QuantDownloader/Downloader/TickerSelectors
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29253/Downloader/TickerSelectors

Modified Files:
	TickerSelectorForm.cs 
Log Message:
Advanced Ticker selection has been re-organized in a more rational and object-oriented way
Now TickerDownloader compiles

Index: TickerSelectorForm.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/TickerSelectors/TickerSelectorForm.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** TickerSelectorForm.cs	6 Jan 2005 18:59:54 -0000	1.9
--- TickerSelectorForm.cs	8 Mar 2005 19:13:49 -0000	1.10
***************
*** 36,40 ****
  {
  	/// <summary>
! 	/// It is the user interface for the TickerSelector class
  	/// </summary>
  	public class TickerSelectorForm : System.Windows.Forms.Form, ITickerSelector
--- 36,40 ----
  {
  	/// <summary>
! 	/// It is the user interface for the ITickerSelector chosen by user
  	/// </summary>
  	public class TickerSelectorForm : System.Windows.Forms.Form, ITickerSelector
***************
*** 78,82 ****
        this.comboBoxAvailableSelectionRules.Items.Add("CloseToOpenLinearCorrelation");
        this.comboBoxAvailableSelectionRules.Items.Add("AverageCloseToOpenPerformance");
!       this.comboBoxAvailableSelectionRules.Items.Add("QuotedInEachMarketDay");
  
    	}
--- 78,82 ----
        this.comboBoxAvailableSelectionRules.Items.Add("CloseToOpenLinearCorrelation");
        this.comboBoxAvailableSelectionRules.Items.Add("AverageCloseToOpenPerformance");
!       this.comboBoxAvailableSelectionRules.Items.Add("QuotedAtEachMarketDay");
  
    	}
***************
*** 354,370 ****
        {
          Cursor.Current = Cursors.WaitCursor;  
!         TickerSelector selector;
!         if(this.textBoxGroupID.Text != "")
!           selector= new TickerSelector(this.getTypeOfRuleSelectedByUser(), this.checkBoxASCMode.Checked, this.textBoxGroupID.Text, 
!             this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value,
!             Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!         else
!           selector= new TickerSelector(this.tableOfSelectedTickers, this.getTypeOfRuleSelectedByUser(),
!             this.checkBoxASCMode.Checked, this.textBoxGroupID.Text, 
!             this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value,
!             Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!         selector.MarketIndex = this.textBoxMarketIndex.Text;
          this.dataGrid1.DataSource = selector.GetTableOfSelectedTickers();
          this.dataGrid1.Refresh();
--- 354,359 ----
        {
          Cursor.Current = Cursors.WaitCursor;  
!         ITickerSelector selector;
!         selector = this.getITickerSelector();
          this.dataGrid1.DataSource = selector.GetTableOfSelectedTickers();
          this.dataGrid1.Refresh();
***************
*** 377,407 ****
      }
  
!     private SelectionType getTypeOfRuleSelectedByUser()
      {
!       SelectionType typeSelected = SelectionType.Liquidity;
        if(this.comboBoxAvailableSelectionRules.Text == "Liquidity")
!         typeSelected = SelectionType.Liquidity;      
        else if (this.comboBoxAvailableSelectionRules.Text == "Performance")
!         typeSelected = SelectionType.Performance;
        else if (this.comboBoxAvailableSelectionRules.Text == "CloseToCloseVolatility")
!         typeSelected = SelectionType.CloseToCloseVolatility;
        else if (this.comboBoxAvailableSelectionRules.Text == "CloseToOpenVolatility")
!         typeSelected = SelectionType.CloseToOpenVolatility;
        else if (this.comboBoxAvailableSelectionRules.Text == "AverageCloseToClosePerformance")
!         typeSelected = SelectionType.AverageCloseToClosePerformance;
        else if (this.comboBoxAvailableSelectionRules.Text == "CloseToCloseLinearCorrelation")
!         typeSelected = SelectionType.CloseToCloseLinearCorrelation;
        else if (this.comboBoxAvailableSelectionRules.Text == "CloseToOpenLinearCorrelation")
!         typeSelected = SelectionType.CloseToOpenLinearCorrelation;
        else if (this.comboBoxAvailableSelectionRules.Text == "AverageCloseToOpenPerformance")
!         typeSelected = SelectionType.AverageCloseToOpenPerformance;
!       else if (this.comboBoxAvailableSelectionRules.Text == "QuotedInEachMarketDay")
!         typeSelected = SelectionType.QuotedInEachMarketDay; 
!       return typeSelected;  
      }
  
      private void comboBoxAvailableSelectionRules_SelectedValueChanged(object sender, System.EventArgs e)
      {
!       if(this.comboBoxAvailableSelectionRules.Text == "QuotedInEachMarketDay")
        {
          this.checkBoxASCMode.Enabled = false;
--- 366,482 ----
      }
  
!     private ITickerSelector getITickerSelector()
      {
!       ITickerSelector returnValue = new SelectorByLiquidity(this.textBoxGroupID.Text,
!                                     this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!                                     this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text ));
!       
        if(this.comboBoxAvailableSelectionRules.Text == "Liquidity")
!       { 
!         if(this.textBoxGroupID.Text != "")
!           returnValue = new SelectorByLiquidity(this.textBoxGroupID.Text,
!                                                 this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!                                                 this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text ));
!         else
!           returnValue = new SelectorByLiquidity(this.tableOfSelectedTickers,
!                                                 this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!                                                 this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!       }
        else if (this.comboBoxAvailableSelectionRules.Text == "Performance")
!       { 
!         if(this.textBoxGroupID.Text != "")
!           returnValue = new SelectorByAbsolutePerformance(this.textBoxGroupID.Text,
!                                         this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!                                         this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!         else
!           returnValue = new SelectorByAbsolutePerformance(this.tableOfSelectedTickers,
!                       this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!                       this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!       }      
        else if (this.comboBoxAvailableSelectionRules.Text == "CloseToCloseVolatility")
!       { 
!         if(this.textBoxGroupID.Text != "")
!           returnValue = new SelectorByCloseToCloseVolatility(this.textBoxGroupID.Text,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!         else
!           returnValue = new SelectorByCloseToCloseVolatility(this.tableOfSelectedTickers,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!       }            
        else if (this.comboBoxAvailableSelectionRules.Text == "CloseToOpenVolatility")
!       { 
!         if(this.textBoxGroupID.Text != "")
!           returnValue = new SelectorByOpenToCloseVolatility (this.textBoxGroupID.Text,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!         else
!           returnValue = new SelectorByOpenToCloseVolatility (this.tableOfSelectedTickers,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!       }                  
        else if (this.comboBoxAvailableSelectionRules.Text == "AverageCloseToClosePerformance")
!       { 
!         if(this.textBoxGroupID.Text != "")
!           returnValue = new SelectorByAverageCloseToClosePerformance(this.textBoxGroupID.Text,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!         else
!           returnValue = new SelectorByAverageCloseToClosePerformance(this.tableOfSelectedTickers,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!       }                  
        else if (this.comboBoxAvailableSelectionRules.Text == "CloseToCloseLinearCorrelation")
!       { 
!         if(this.textBoxGroupID.Text != "")
!           returnValue = new SelectorByCloseToCloseLinearCorrelation (this.textBoxGroupID.Text,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!         else
!           returnValue = new SelectorByCloseToCloseLinearCorrelation(this.tableOfSelectedTickers,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!       }                 
        else if (this.comboBoxAvailableSelectionRules.Text == "CloseToOpenLinearCorrelation")
!       { 
!         if(this.textBoxGroupID.Text != "")
!           returnValue = new SelectorByOpenToCloseLinearCorrelation  (this.textBoxGroupID.Text,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!         else
!           returnValue = new SelectorByOpenToCloseLinearCorrelation (this.tableOfSelectedTickers,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!       }                 
        else if (this.comboBoxAvailableSelectionRules.Text == "AverageCloseToOpenPerformance")
!       { 
!         if(this.textBoxGroupID.Text != "")
!           returnValue = new SelectorByAverageOpenToClosePerformance(this.textBoxGroupID.Text,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!         else
!           returnValue = new SelectorByAverageOpenToClosePerformance(this.tableOfSelectedTickers,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text));
!       }                 
!       else if (this.comboBoxAvailableSelectionRules.Text == "QuotedAtEachMarketDay")
!       { 
!         if(this.textBoxGroupID.Text != "")
!           returnValue = new SelectorByQuotationAtEachMarketDay (this.textBoxGroupID.Text,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text),
!             this.textBoxMarketIndex.Text);
!         else
!           returnValue = new SelectorByQuotationAtEachMarketDay(this.tableOfSelectedTickers,
!             this.checkBoxASCMode.Checked, this.dateTimePickerFirstDate.Value,
!             this.dateTimePickerLastDate.Value, Int32.Parse(this.textBoxMaxNumOfReturnedTickers.Text),
!             this.textBoxMarketIndex.Text);
!       } 
!       return returnValue;  
      }
  
      private void comboBoxAvailableSelectionRules_SelectedValueChanged(object sender, System.EventArgs e)
      {
!       if(this.comboBoxAvailableSelectionRules.Text == "QuotedAtEachMarketDay")
        {
          this.checkBoxASCMode.Enabled = false;

[Quantproject-developers] QuantProject/b4_Business/a05_Timing IndexBasedEndOfDayTimer.cs,1.4,1.5

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27261/b4_Business/a05_Timing

Modified Files:
	IndexBasedEndOfDayTimer.cs 
Log Message:
The exception message has been improved,
when an Index has no quotes within the given interval.

Index: IndexBasedEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/IndexBasedEndOfDayTimer.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** IndexBasedEndOfDayTimer.cs	6 Mar 2005 21:34:58 -0000	1.4
--- IndexBasedEndOfDayTimer.cs	6 Mar 2005 21:37:17 -0000	1.5
***************
*** 50,54 ****
  			{
  				string errorMessage = "IndexBasedEndOfDayTimer error: the given " +
! 					"index has no quotes in the interval.";
  				throw new Exception( errorMessage );
  			}
--- 50,54 ----
  			{
  				string errorMessage = "IndexBasedEndOfDayTimer error: the given " +
! 					"index (" + marketIndex + ") has no quotes in the interval.";
  				throw new Exception( errorMessage );
  			}

[Quantproject-developers] QuantProject/b4_Business/a05_Timing IndexBasedEndOfDayTimer.cs,1.3,1.4

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26667/b4_Business/a05_Timing

Modified Files:
	IndexBasedEndOfDayTimer.cs 
Log Message:
Now an exception is thrown when an Index has no quotes within the given interval.

Index: IndexBasedEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/IndexBasedEndOfDayTimer.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** IndexBasedEndOfDayTimer.cs	30 Jan 2005 19:57:38 -0000	1.3
--- IndexBasedEndOfDayTimer.cs	6 Mar 2005 21:34:58 -0000	1.4
***************
*** 47,50 ****
--- 47,56 ----
  			this.marketIndex = marketIndex;
        this.indexQuotes = new Quotes(marketIndex,startDateTime.DateTime,DateTime.Now);
+ 			if ( this.indexQuotes.Rows.Count == 0 )
+ 			{
+ 				string errorMessage = "IndexBasedEndOfDayTimer error: the given " +
+ 					"index has no quotes in the interval.";
+ 				throw new Exception( errorMessage );
+ 			}
        this.StartDateTime = 
                new EndOfDayDateTime(this.indexQuotes.GetQuoteDateOrFollowing(this.StartDateTime.DateTime),

Re:[Quantproject-developers] Re: [Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCT

[marco\.milletti\@l <mar...@li...>]

> 
> Millo,
> 
> per permettermi di provare lo script qua da me, per f=
avore, vedi se puoi 
> renderlo quanto piu' possibile indipendente dal t=
uo stato locale. Intendo:
> - portare tutti i parametri dello script in =
un punto solo (indice di 
> riferimento, data iniziale, data finale, eve=
ntuali altri; magari passati al 
> costruttore del RunEfficientCTOPortfo=
lio ... )
> - evitare, se possibile, riferimenti a path sul tuo PC (o, m=
agari, portare 
> anche quello come parametro ben "isolato")

Sapevo c=
he me l'avresti chiesto ... porca zoccola, bisognerebbe aver pi=F9 tempo =
...
Mi sembrava pi=F9 urgente sistemare il TickerSelector e dintorni. An=
che perch=E8 tra un po' scriver=F2 la classe per fare la selezione sui ti=
cker con un prezzo compreso in un certo intervallo.

Adesso ho xp pro i=
n ufficio su un pentium 4 da 2.66 con 504 MB di RAM.
Tra un po' sar=F2 o=
perativo anche qui.

> At 07:56 PM 2/27/2005 +0000, you wrote:
> >Upda=
te of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTestin=
g
> >In directory 
> >sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4614/b7_=
Scripts/TickerSelectionTesting
> >
> >Modified Files:
> >         EndO=
fDayTimerHandlerCTC.cs EndOfDayTimerHandlerCTO.cs
> >         GenomeMana=
gerForEfficientCTOPortfolio.cs
> >         RunEfficientCTOPortfolio.cs=0D
=
> >Log Message:
> >Advanced Ticker selection has been re-organized in a =
more rational and 
> >object-oriented way
> >(NOTE that at the moment Q=
uantdownloader solution won't compile)
> >
> >Index: EndOfDayTimerHandl=
erCTO.cs
> >=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D
> >RC=
S file: 
> >/cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectio=
nTesting/EndOfDayTimerHandlerCTO.cs,v
> >retrieving revision 1.3
> >ret=
rieving revision 1.4
> >diff -C2 -d -r1.3 -r1.4
> >*** EndOfDayTimerHan=
dlerCTO.cs  12 Feb 2005 19:16:46 -0000      1.3
> >--- EndOfDayTimerHand=
lerCTO.cs  27 Feb 2005 19:56:08 -0000      1.4
> >***************
> >**=
* 94,98 ****
> >         long quantity =3D
> >           Convert.ToInt6=
4( Math.Floor( cashForSinglePosition / 
> > this.account.DataStreamer.Ge=
tCurrentBid( ticker ) ) );
> >!       Order order =3D new Order( OrderTy=
pe.MarketBuy, new Instrument( 
> >ticker ) , quantity );
> >         th=
is.orders.Add(order);
> >       }
> >--- 94,98 ----
> >         long q=
uantity =3D
> >           Convert.ToInt64( Math.Floor( cashForSinglePosi=
tion / 
> > this.account.DataStreamer.GetCurrentBid( ticker ) ) );
> >!=
       Order order =3D new Order( OrderType.MarketSellShort, new 
> >Ins=
trument( ticker ) , quantity );
> >         this.orders.Add(order);
> >=
       }
> >***************
> >*** 126,130 ****
> >       {
> >      =
   if(this.orders.Count =3D=3D 0 && this.account.Transactions.Count =3D=3D=
 0)
> >!         this.account.AddCash(15000);
> >
> >         this.mar=
ketOpenEventHandler_orderChosenTickers();
> >--- 126,130 ----
> >      =
 {
> >         if(this.orders.Count =3D=3D 0 && this.account.Transaction=
s.Count =3D=3D 0)
> >!         this.account.AddCash(30000);
> >
> >   =
      this.marketOpenEventHandler_orderChosenTickers();
> >*************=
**
> >*** 172,184 ****
> >       private DataTable getSetOfTickersToBeO=
ptimized(DateTime currentDate)
> >       {
> >!       TickerSelector mo=
stLiquid =3D new 
> >TickerSelector(SelectionType.Liquidity,
> >!      =
   false, this.tickerGroupID , 
> >currentDate.AddDays(-this.numDaysForL=
iquidity), currentDate, 
> >this.numberOfEligibleTickers);
> >         =
this.eligibleTickers =3D mostLiquid.GetTableOfSelectedTickers();
> >!   =
    TickerSelector quotedInEachMarketDayFromMostLiquid =3D
> >!         =
new TickerSelector( this.eligibleTickers,
> >!         SelectionType.Quo=
tedInEachMarketDay, false, "",
> >!         currentDate.AddDays(-this.nu=
mDaysForLiquidity),currentDate,
> >!         this.numberOfEligibleTicker=
s);
> >!       quotedInEachMarketDayFromMostLiquid.MarketIndex =3D "^MIB=
TEL";
> >         return 
> > quotedInEachMarketDayFromMostLiquid.GetTa=
bleOfSelectedTickers();
> >       }
> >--- 172,182 ----
> >       priv=
ate DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
> >    =
   {
> >!       SelectorByLiquidity mostLiquid =3D new 
> >SelectorByLi=
quidity(this.tickerGroupID, false,
> >! 
> >currentDate.AddDays(-this.n=
umDaysForLiquidity), currentDate, 
> >this.numberOfEligibleTickers);
> =
>         this.eligibleTickers =3D mostLiquid.GetTableOfSelectedTickers()=
;
> >!       SelectorByQuotationAtEachMarketDay 
> >quotedInEachMarketD=
ayFromMostLiquid =3D
> >!         new SelectorByQuotationAtEachMarketDay=
( this.eligibleTickers,
> >!                                    false, =0D
=
> >currentDate.AddDays(-this.numDaysForLiquidity),
> >!                 =
                    currentDate, 
> >this.numberOfEligibleTickers, "^MIB=
TEL");
> >         return 
> > quotedInEachMarketDayFromMostLiquid.GetT=
ableOfSelectedTickers();
> >       }
> >
> >Index: GenomeManagerForEff=
icientCTOPortfolio.cs
> >=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D
> >RCS file: 
> >/cvsroot/quantproject/QuantProject/b7_Scripts/Tick=
erSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
> >retriev=
ing revision 1.4
> >retrieving revision 1.5
> >diff -C2 -d -r1.4 -r1.5=0D
=
> >*** GenomeManagerForEfficientCTOPortfolio.cs    6 Feb 2005 20:14:01 =0D
=
> >-0000       1.4
> >--- GenomeManagerForEfficientCTOPortfolio.cs    27=
 Feb 2005 19:56:08 
> >-0000      1.5
> >***************
> >*** 95,98 =
****
> >--- 95,115 ----
> >         return returnValue;
> >       }=0D
=
> >+
> >+     public override double GetFitnessValue(Genome genome)
> >=
+     {
> >+       double returnValue;
> >+       double portfolioVaria=
nce =3D this.getPortfolioVariance(genome.Genes());
> >+       double por=
tfolioRateOfReturn =3D 
> >this.getPortfolioRateOfReturn(genome.Genes())=
;
> >+       this.variance =3D portfolioVariance;
> >+       this.rateO=
fReturn =3D portfolioRateOfReturn;
> >+
> >+       NormalDistribution n=
ormal =3D new 
> >NormalDistribution(portfolioRateOfReturn, Math.Sqrt(po=
rtfolioVariance));
> >+       //for long portfolio
> >+       //returnV=
alue =3D 
> >normal.GetProbability(this.targetPerformance*0.75,this.targ=
etPerformance*1.25);
> >+       //for short portfolio
> >+       return=
Value =3D 
> >normal.GetProbability(-this.targetPerformance*1.25,-this.t=
argetPerformance*0.75);
> >+       //returnValue =3D 1 - normal.GetProba=
bility(this.targetPerformance);
> >+       return returnValue;
> >+    =
 }
> >
> >     }
> >
> >Index: EndOfDayTimerHandlerCTC.cs
> >=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D
> >RCS file: 
> >/cvsroot/qu=
antproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHa=
ndlerCTC.cs,v
> >retrieving revision 1.1
> >retrieving revision 1.2
> =
>diff -C2 -d -r1.1 -r1.2
> >*** EndOfDayTimerHandlerCTC.cs  30 Jan 2005 =
19:53:12 -0000      1.1
> >--- EndOfDayTimerHandlerCTC.cs  27 Feb 2005 1=
9:56:08 -0000      1.2
> >***************
> >*** 88,100 ****
> >      =
 private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
> =
>       {
> >!       TickerSelector mostLiquid =3D new 
> >TickerSelect=
or(SelectionType.Liquidity,
> >!         false, this.tickerGroupID , cur=
rentDate.AddDays(-90), 
> >currentDate, this.numberOfEligibleTickers);=0D
=
> >         this.eligibleTickers =3D mostLiquid.GetTableOfSelectedTickers=
();
> >!       TickerSelector quotedInEachMarketDayFromMostLiquid =3D=0D
=
> >!         new TickerSelector( this.eligibleTickers,
> >!         Sele=
ctionType.QuotedInEachMarketDay, false, "",
> >!         currentDate.Add=
Days(-90),currentDate,
> >!         this.numberOfEligibleTickers);
> >!=
       quotedInEachMarketDayFromMostLiquid.MarketIndex =3D "^MIBTEL";
> =
>         return 
> > quotedInEachMarketDayFromMostLiquid.GetTableOfSele=
ctedTickers();
> >       }
> >--- 88,98 ----
> >       private DataTab=
le getSetOfTickersToBeOptimized(DateTime currentDate)
> >       {
> >! =
      SelectorByLiquidity mostLiquid =3D new 
> >SelectorByLiquidity(thi=
s.tickerGroupID,false,
> >!                                       curren=
tDate.AddDays(-90), 
> >currentDate, this.numberOfEligibleTickers);
> >=
         this.eligibleTickers =3D mostLiquid.GetTableOfSelectedTickers();=

> >!       SelectorByQuotationAtEachMarketDay 
> >quotedInEachMarketDa=
yFromMostLiquid =3D
> >!         new SelectorByQuotationAtEachMarketDay(=
this.eligibleTickers,
> >!                                   false, 
> =
>currentDate.AddDays(-90),currentDate,
> >!                             =
      this.numberOfEligibleTickers, "^MIBTEL");
> >         return 
> >=
 quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
> >   =
    }
> >
> >Index: RunEfficientCTOPortfolio.cs
> >=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D
> >RCS file: 
> >/cvsroot/quantproject/Q=
uantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs=
,v
> >retrieving revision 1.13
> >retrieving revision 1.14
> >diff -C2=
 -d -r1.13 -r1.14
> >*** RunEfficientCTOPortfolio.cs 15 Feb 2005 19:15:3=
6 -0000      1.13
> >--- RunEfficientCTOPortfolio.cs 27 Feb 2005 19:56:0=
8 -0000      1.14
> >***************
> >*** 36,39 ****
> >--- 36,40 --=
--
> >   using QuantProject.Business.Testing;
> >   using QuantProject.=
Business.Timing;
> >+ using QuantProject.Business.Financial.Accounting.C=
ommissions;
> >   using QuantProject.Data.DataProviders;
> >   using Qu=
antProject.Data.Selectors;
> >***************
> >*** 98,104 ****
> >  =
       this.reportTable =3D new ReportTable( "Summary_Reports" );
> >   =
      this.startDateTime =3D new EndOfDayDateTime(
> >!         new Date=
Time( 2004 , 1 , 1 ) , 
> >EndOfDaySpecificTime.FiveMinutesBeforeMarketC=
lose );
> >         this.endDateTime =3D new EndOfDayDateTime(
> >!    =
     new DateTime( 2004 , 1 , 10 ) , 
> >EndOfDaySpecificTime.OneHourAft=
erMarketClose );
> >         //this.numIntervalDays =3D 3;
> >         =
        }
> >--- 99,105 ----
> >         this.reportTable =3D new Repor=
tTable( "Summary_Reports" );
> >         this.startDateTime =3D new EndO=
fDayDateTime(
> >!         new DateTime( 2004 , 9 , 1 ) , 
> >EndOfDayS=
pecificTime.FiveMinutesBeforeMarketClose );
> >         this.endDateTime=
 =3D new EndOfDayDateTime(
> >!         new DateTime( 2004 , 9 , 10 ) , =

> >EndOfDaySpecificTime.OneHourAfterMarketClose );
> >         //this.=
numIntervalDays =3D 3;
> >                 }
> >***************
> >***=
 109,113 ****
> >       {
> >         //"STOCKMI"
> >!       TickerSel=
ector mostLiquid =3D new 
> >TickerSelector(SelectionType.Liquidity,
> =
>                                                       false, "STOCKMI",=
 
> > firstDate, lastDate, 70);
> >         DataTable tickers =3D mostL=
iquid.GetTableOfSelectedTickers();
> >--- 110,115 ----
> >       {
> >=
         //"STOCKMI"
> >!       /*
> >!        * SelectorByLiquidity mo=
stLiquid =3D new 
> >TickerSelector(SelectionType.Liquidity,
> >       =
                                                false, "STOCKMI", 
> > f=
irstDate, lastDate, 70);
> >         DataTable tickers =3D mostLiquid.Ge=
tTableOfSelectedTickers();
> >***************
> >*** 123,126 ****
> >-=
-- 125,130 ----
> >         System.Console.WriteLine("\n\nThe best solut=
ion found is: " + 
> > (string)GO.BestGenome.Meaning +
> >           " =
with {0} generations", GO.GenerationCounter);
> >+         */
> >+     =
  ;
> >                 }
> >
> >***************
> >*** 136,140 ****=0D
=
> >                                         this.historicalQuoteProvider =
) ,
> >           new HistoricalEndOfDayOrderExecutor( this.endOfDayTime=
r ,
> >!                                       this.historicalQuoteProvi=
der ) );
> >
> >       }
> >--- 140,144 ----
> >                     =
                    this.historicalQuoteProvider ) ,
> >           new H=
istoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
> >!               =
                        this.historicalQuoteProvider ));
> >
> >       =
}
> >
> >
> >
> >----------------------------------------------------=
---
> >SF email is sponsored by - The IT Product Guide
> >Read honest &=
 candid reviews on hundreds of IT Products from real users.
> >Discover =
which products truly live up to the hype. Start reading now.
> >http://a=
ds.osdn.com/?ad_id=3D6595&alloc_id=3D14396&op=3Dclick
> >_______________=
________________________________
> >Quantproject-developers mailing list=

> >Qua...@li...
> >https://lists.sour=
ceforge.net/lists/listinfo/quantproject-developers
> 
> 
> 
> -------=
------------------------------------------------
> SF email is sponsored=
 by - The IT Product Guide
> Read honest & candid reviews on hundreds of=
 IT Products from real users.
> Discover which products truly live up to=
 the hype. Start reading now.
> http://ads.osdn.com/?ad_id=3D6595&alloc_=
id=3D14396&op=3Dclick
> _______________________________________________=0D
=
> Quantproject-developers mailing list
> Quantproject-developers@lists.s=
ourceforge.net
> https://lists.sourceforge.net/lists/listinfo/quantproje=
ct-developers
> =0A=0A=0A=0A____________________________________________=
________________=0ANavighi a 2 MEGA e i primi 3 mesi sono GRATIS. =0ASceg=
li Libero Adsl Flat senza limiti su http://www.libero.it=0A

[Quantproject-developers] Re: [Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTC.cs,1.1,1.2 EndOfDayTimerHandlerCTO.cs,1.3,1.4 GenomeManagerForEfficientCTOPortfolio.cs,1.4,1.5 RunEfficientCTOPortfolio.cs,1.13,1.14

[Glauco S. <gl...@my...>]

Millo,

per permettermi di provare lo script qua da me, per favore, vedi se puoi 
renderlo quanto piu' possibile indipendente dal tuo stato locale. Intendo:
- portare tutti i parametri dello script in un punto solo (indice di 
riferimento, data iniziale, data finale, eventuali altri; magari passati al 
costruttore del RunEfficientCTOPortfolio ... )
- evitare, se possibile, riferimenti a path sul tuo PC (o, magari, portare 
anche quello come parametro ben "isolato")

At 07:56 PM 2/27/2005 +0000, you wrote:
>Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
>In directory 
>sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4614/b7_Scripts/TickerSelectionTesting
>
>Modified Files:
>         EndOfDayTimerHandlerCTC.cs EndOfDayTimerHandlerCTO.cs
>         GenomeManagerForEfficientCTOPortfolio.cs
>         RunEfficientCTOPortfolio.cs
>Log Message:
>Advanced Ticker selection has been re-organized in a more rational and 
>object-oriented way
>(NOTE that at the moment Quantdownloader solution won't compile)
>
>Index: EndOfDayTimerHandlerCTO.cs
>===================================================================
>RCS file: 
>/cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
>retrieving revision 1.3
>retrieving revision 1.4
>diff -C2 -d -r1.3 -r1.4
>*** EndOfDayTimerHandlerCTO.cs  12 Feb 2005 19:16:46 -0000      1.3
>--- EndOfDayTimerHandlerCTO.cs  27 Feb 2005 19:56:08 -0000      1.4
>***************
>*** 94,98 ****
>         long quantity =
>           Convert.ToInt64( Math.Floor( cashForSinglePosition / 
> this.account.DataStreamer.GetCurrentBid( ticker ) ) );
>!       Order order = new Order( OrderType.MarketBuy, new Instrument( 
>ticker ) , quantity );
>         this.orders.Add(order);
>       }
>--- 94,98 ----
>         long quantity =
>           Convert.ToInt64( Math.Floor( cashForSinglePosition / 
> this.account.DataStreamer.GetCurrentBid( ticker ) ) );
>!       Order order = new Order( OrderType.MarketSellShort, new 
>Instrument( ticker ) , quantity );
>         this.orders.Add(order);
>       }
>***************
>*** 126,130 ****
>       {
>         if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
>!         this.account.AddCash(15000);
>
>         this.marketOpenEventHandler_orderChosenTickers();
>--- 126,130 ----
>       {
>         if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
>!         this.account.AddCash(30000);
>
>         this.marketOpenEventHandler_orderChosenTickers();
>***************
>*** 172,184 ****
>       private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
>       {
>!       TickerSelector mostLiquid = new 
>TickerSelector(SelectionType.Liquidity,
>!         false, this.tickerGroupID , 
>currentDate.AddDays(-this.numDaysForLiquidity), currentDate, 
>this.numberOfEligibleTickers);
>         this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
>!       TickerSelector quotedInEachMarketDayFromMostLiquid =
>!         new TickerSelector( this.eligibleTickers,
>!         SelectionType.QuotedInEachMarketDay, false, "",
>!         currentDate.AddDays(-this.numDaysForLiquidity),currentDate,
>!         this.numberOfEligibleTickers);
>!       quotedInEachMarketDayFromMostLiquid.MarketIndex = "^MIBTEL";
>         return 
> quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
>       }
>--- 172,182 ----
>       private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
>       {
>!       SelectorByLiquidity mostLiquid = new 
>SelectorByLiquidity(this.tickerGroupID, false,
>! 
>currentDate.AddDays(-this.numDaysForLiquidity), currentDate, 
>this.numberOfEligibleTickers);
>         this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
>!       SelectorByQuotationAtEachMarketDay 
>quotedInEachMarketDayFromMostLiquid =
>!         new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
>!                                    false, 
>currentDate.AddDays(-this.numDaysForLiquidity),
>!                                     currentDate, 
>this.numberOfEligibleTickers, "^MIBTEL");
>         return 
> quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
>       }
>
>Index: GenomeManagerForEfficientCTOPortfolio.cs
>===================================================================
>RCS file: 
>/cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
>retrieving revision 1.4
>retrieving revision 1.5
>diff -C2 -d -r1.4 -r1.5
>*** GenomeManagerForEfficientCTOPortfolio.cs    6 Feb 2005 20:14:01 
>-0000       1.4
>--- GenomeManagerForEfficientCTOPortfolio.cs    27 Feb 2005 19:56:08 
>-0000      1.5
>***************
>*** 95,98 ****
>--- 95,115 ----
>         return returnValue;
>       }
>+
>+     public override double GetFitnessValue(Genome genome)
>+     {
>+       double returnValue;
>+       double portfolioVariance = this.getPortfolioVariance(genome.Genes());
>+       double portfolioRateOfReturn = 
>this.getPortfolioRateOfReturn(genome.Genes());
>+       this.variance = portfolioVariance;
>+       this.rateOfReturn = portfolioRateOfReturn;
>+
>+       NormalDistribution normal = new 
>NormalDistribution(portfolioRateOfReturn, Math.Sqrt(portfolioVariance));
>+       //for long portfolio
>+       //returnValue = 
>normal.GetProbability(this.targetPerformance*0.75,this.targetPerformance*1.25);
>+       //for short portfolio
>+       returnValue = 
>normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
>+       //returnValue = 1 - normal.GetProbability(this.targetPerformance);
>+       return returnValue;
>+     }
>
>     }
>
>Index: EndOfDayTimerHandlerCTC.cs
>===================================================================
>RCS file: 
>/cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
>retrieving revision 1.1
>retrieving revision 1.2
>diff -C2 -d -r1.1 -r1.2
>*** EndOfDayTimerHandlerCTC.cs  30 Jan 2005 19:53:12 -0000      1.1
>--- EndOfDayTimerHandlerCTC.cs  27 Feb 2005 19:56:08 -0000      1.2
>***************
>*** 88,100 ****
>       private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
>       {
>!       TickerSelector mostLiquid = new 
>TickerSelector(SelectionType.Liquidity,
>!         false, this.tickerGroupID , currentDate.AddDays(-90), 
>currentDate, this.numberOfEligibleTickers);
>         this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
>!       TickerSelector quotedInEachMarketDayFromMostLiquid =
>!         new TickerSelector( this.eligibleTickers,
>!         SelectionType.QuotedInEachMarketDay, false, "",
>!         currentDate.AddDays(-90),currentDate,
>!         this.numberOfEligibleTickers);
>!       quotedInEachMarketDayFromMostLiquid.MarketIndex = "^MIBTEL";
>         return 
> quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
>       }
>--- 88,98 ----
>       private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
>       {
>!       SelectorByLiquidity mostLiquid = new 
>SelectorByLiquidity(this.tickerGroupID,false,
>!                                       currentDate.AddDays(-90), 
>currentDate, this.numberOfEligibleTickers);
>         this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
>!       SelectorByQuotationAtEachMarketDay 
>quotedInEachMarketDayFromMostLiquid =
>!         new SelectorByQuotationAtEachMarketDay(this.eligibleTickers,
>!                                   false, 
>currentDate.AddDays(-90),currentDate,
>!                                   this.numberOfEligibleTickers, "^MIBTEL");
>         return 
> quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
>       }
>
>Index: RunEfficientCTOPortfolio.cs
>===================================================================
>RCS file: 
>/cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
>retrieving revision 1.13
>retrieving revision 1.14
>diff -C2 -d -r1.13 -r1.14
>*** RunEfficientCTOPortfolio.cs 15 Feb 2005 19:15:36 -0000      1.13
>--- RunEfficientCTOPortfolio.cs 27 Feb 2005 19:56:08 -0000      1.14
>***************
>*** 36,39 ****
>--- 36,40 ----
>   using QuantProject.Business.Testing;
>   using QuantProject.Business.Timing;
>+ using QuantProject.Business.Financial.Accounting.Commissions;
>   using QuantProject.Data.DataProviders;
>   using QuantProject.Data.Selectors;
>***************
>*** 98,104 ****
>         this.reportTable = new ReportTable( "Summary_Reports" );
>         this.startDateTime = new EndOfDayDateTime(
>!         new DateTime( 2004 , 1 , 1 ) , 
>EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
>         this.endDateTime = new EndOfDayDateTime(
>!         new DateTime( 2004 , 1 , 10 ) , 
>EndOfDaySpecificTime.OneHourAfterMarketClose );
>         //this.numIntervalDays = 3;
>                 }
>--- 99,105 ----
>         this.reportTable = new ReportTable( "Summary_Reports" );
>         this.startDateTime = new EndOfDayDateTime(
>!         new DateTime( 2004 , 9 , 1 ) , 
>EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
>         this.endDateTime = new EndOfDayDateTime(
>!         new DateTime( 2004 , 9 , 10 ) , 
>EndOfDaySpecificTime.OneHourAfterMarketClose );
>         //this.numIntervalDays = 3;
>                 }
>***************
>*** 109,113 ****
>       {
>         //"STOCKMI"
>!       TickerSelector mostLiquid = new 
>TickerSelector(SelectionType.Liquidity,
>                                                       false, "STOCKMI", 
> firstDate, lastDate, 70);
>         DataTable tickers = mostLiquid.GetTableOfSelectedTickers();
>--- 110,115 ----
>       {
>         //"STOCKMI"
>!       /*
>!        * SelectorByLiquidity mostLiquid = new 
>TickerSelector(SelectionType.Liquidity,
>                                                       false, "STOCKMI", 
> firstDate, lastDate, 70);
>         DataTable tickers = mostLiquid.GetTableOfSelectedTickers();
>***************
>*** 123,126 ****
>--- 125,130 ----
>         System.Console.WriteLine("\n\nThe best solution found is: " + 
> (string)GO.BestGenome.Meaning +
>           " with {0} generations", GO.GenerationCounter);
>+         */
>+       ;
>                 }
>
>***************
>*** 136,140 ****
>                                         this.historicalQuoteProvider ) ,
>           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
>!                                       this.historicalQuoteProvider ) );
>
>       }
>--- 140,144 ----
>                                         this.historicalQuoteProvider ) ,
>           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
>!                                       this.historicalQuoteProvider ));
>
>       }
>
>
>
>-------------------------------------------------------
>SF email is sponsored by - The IT Product Guide
>Read honest & candid reviews on hundreds of IT Products from real users.
>Discover which products truly live up to the hype. Start reading now.
>http://ads.osdn.com/?ad_id=6595&alloc_id=14396&op=click
>_______________________________________________
>Quantproject-developers mailing list
>Qua...@li...
>https://lists.sourceforge.net/lists/listinfo/quantproject-developers

[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByAbsolutePerformance.cs,NONE,1.1 SelectorByAverageCloseToClosePerformance.cs,NONE,1.1 SelectorByAverageOpenToClosePerformance.cs,NONE,1.1 SelectorByCloseToCloseLinearCorrelation.cs,NONE,1.1 SelectorByCloseToCloseVolatility.cs,NONE,1.1 SelectorByLiquidity.cs,NONE,1.1 SelectorByOpenToCloseLinearCorrelation.cs,NONE,1.1 SelectorByOpenToCloseVolatility.cs,NONE,1.1 SelectorByQuotationAtEachMarketDay.cs,NONE,1.1 SelectionType.cs,1.7,1.8 TickerSelector.cs,1.10,1.11

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4614/b3_Data/Selectors

Modified Files:
	SelectionType.cs TickerSelector.cs 
Added Files:
	SelectorByAbsolutePerformance.cs 
	SelectorByAverageCloseToClosePerformance.cs 
	SelectorByAverageOpenToClosePerformance.cs 
	SelectorByCloseToCloseLinearCorrelation.cs 
	SelectorByCloseToCloseVolatility.cs SelectorByLiquidity.cs 
	SelectorByOpenToCloseLinearCorrelation.cs 
	SelectorByOpenToCloseVolatility.cs 
	SelectorByQuotationAtEachMarketDay.cs 
Log Message:
Advanced Ticker selection has been re-organized in a more rational and object-oriented way
(NOTE that at the moment Quantdownloader solution won't compile)

--- NEW FILE: SelectorByAverageOpenToClosePerformance.cs ---
/*
QuantProject - Quantitative Finance Library

SelectorByAverageOpenToClosePerformance.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers by average open to close performance
  /// </summary>
   public class SelectorByAverageOpenToClosePerformance : TickerSelector, ITickerSelector 
  {
        
    
    public SelectorByAverageOpenToClosePerformance(DataTable setOfTickersToBeSelected, 
                               bool orderInASCmode,
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               long maxNumOfReturnedTickers):
                                    base(setOfTickersToBeSelected, 
                                         orderInASCmode,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         maxNumOfReturnedTickers)
    {
     
    }
     public SelectorByAverageOpenToClosePerformance(string groupID, 
                                bool orderInASCmode,
                                DateTime firstQuoteDate,
                                DateTime lastQuoteDate,
                                long maxNumOfReturnedTickers):
                                  base(groupID, 
                                      orderInASCmode,
                                      firstQuoteDate,
                                      lastQuoteDate,
                                      maxNumOfReturnedTickers)
     {
     
     }


    public DataTable GetTableOfSelectedTickers()
    {
      if(this.setOfTickersToBeSelected == null)
        return QuantProject.DataAccess.Tables.Quotes.GetTickersByAverageCloseToOpenPerformance(this.isOrderedInASCMode,
          this.groupID, this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);
      else
        return QuantProject.Data.DataTables.Quotes.GetTickersByAverageCloseToOpenPerformance(this.isOrderedInASCMode,
          this.setOfTickersToBeSelected,
          this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);
    }
    public void SelectAllTickers()
    {
      ;
    }		
   }
}

--- NEW FILE: SelectorByOpenToCloseLinearCorrelation.cs ---
/*
QuantProject - Quantitative Finance Library

SelectorByOpenToCloseLinearCorrelation.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers by open to close linear correlation
  /// </summary>
   public class SelectorByOpenToCloseLinearCorrelation : TickerSelector, ITickerSelector 
  {
        
    
    public SelectorByOpenToCloseLinearCorrelation(DataTable setOfTickersToBeSelected, 
                               bool orderInASCmode,
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               long maxNumOfReturnedTickers):
                                    base(setOfTickersToBeSelected, 
                                         orderInASCmode,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         maxNumOfReturnedTickers)
    {
     
    }
     public SelectorByOpenToCloseLinearCorrelation(string groupID, 
                                bool orderInASCmode,
                                DateTime firstQuoteDate,
                                DateTime lastQuoteDate,
                                long maxNumOfReturnedTickers):
                                  base(groupID, 
                                      orderInASCmode,
                                      firstQuoteDate,
                                      lastQuoteDate,
                                      maxNumOfReturnedTickers)
     {
     
     }


    public DataTable GetTableOfSelectedTickers()
    {
      this.launchExceptionIfGroupIDIsNotEmpty();
      return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToOpenPearsonCorrelationCoefficient(this.isOrderedInASCMode,
        this.setOfTickersToBeSelected,
        this.firstQuoteDate,
        this.lastQuoteDate);
    }
    
     private void launchExceptionIfGroupIDIsNotEmpty()
    {
      if(this.groupID!="")
      {
        throw new Exception("Not implemented: this type of selection works only with few tickers, at the moment");
      }
    }
    public void SelectAllTickers()
    {
      ;
    }	
}
}

--- NEW FILE: SelectorByAverageCloseToClosePerformance.cs ---
/*
QuantProject - Quantitative Finance Library

SelectorByAverageCloseToClosePerformance.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers by average close to close performance
  /// </summary>
   public class SelectorByAverageCloseToClosePerformance : TickerSelector , ITickerSelector
  {
        
    
    public SelectorByAverageCloseToClosePerformance(DataTable setOfTickersToBeSelected, 
                               bool orderInASCmode,
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               long maxNumOfReturnedTickers):
                                    base(setOfTickersToBeSelected, 
                                         orderInASCmode,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         maxNumOfReturnedTickers)
    {
     
    }
     public SelectorByAverageCloseToClosePerformance(string groupID, 
                                bool orderInASCmode,
                                DateTime firstQuoteDate,
                                DateTime lastQuoteDate,
                                long maxNumOfReturnedTickers):
                                  base(groupID, 
                                      orderInASCmode,
                                      firstQuoteDate,
                                      lastQuoteDate,
                                      maxNumOfReturnedTickers)
     {
     
     }


    public DataTable GetTableOfSelectedTickers()
    {
      if(this.setOfTickersToBeSelected == null)
        return QuantProject.DataAccess.Tables.Quotes.GetTickersByAverageCloseToClosePerformance(this.isOrderedInASCMode,
          this.groupID, this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);
      else
        return QuantProject.Data.DataTables.Quotes.GetTickersByAverageCloseToClosePerformance(this.isOrderedInASCMode,
          this.setOfTickersToBeSelected,
          this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);
    }
    public void SelectAllTickers()
    {
       ;
    }	
   }
}

--- NEW FILE: SelectorByLiquidity.cs ---
/*
QuantProject - Quantitative Finance Library

SelectorByLiquidity.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers by liquidity
  /// </summary>
   public class SelectorByLiquidity : TickerSelector, ITickerSelector 
  {
        
    
    public SelectorByLiquidity(DataTable setOfTickersToBeSelected, 
                               bool orderInASCmode,
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               long maxNumOfReturnedTickers):
                                    base(setOfTickersToBeSelected, 
                                         orderInASCmode,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         maxNumOfReturnedTickers)
    {
     
    }
     public SelectorByLiquidity(string groupID, 
                                bool orderInASCmode,
                                DateTime firstQuoteDate,
                                DateTime lastQuoteDate,
                                long maxNumOfReturnedTickers):
                                  base(groupID, 
                                      orderInASCmode,
                                      firstQuoteDate,
                                      lastQuoteDate,
                                      maxNumOfReturnedTickers)
     {
     
     }


    public DataTable GetTableOfSelectedTickers()
    {
      if(this.setOfTickersToBeSelected == null)
        return QuantProject.DataAccess.Tables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode,
          this.groupID,
          this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);        

      else
        return QuantProject.Data.DataTables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode,
          this.setOfTickersToBeSelected, 
          this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);
    }
    public void SelectAllTickers()
    {
      ;
    }	

	}
}

--- NEW FILE: SelectorByCloseToCloseVolatility.cs ---
/*
QuantProject - Quantitative Finance Library

SelectorByCloseToCloseVolatility.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers by close to close volatility
  /// </summary>
   public class SelectorByCloseToCloseVolatility : TickerSelector, ITickerSelector
  {
        
    
    public SelectorByCloseToCloseVolatility(DataTable setOfTickersToBeSelected, 
                               bool orderInASCmode,
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               long maxNumOfReturnedTickers):
                                    base(setOfTickersToBeSelected, 
                                         orderInASCmode,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         maxNumOfReturnedTickers)
    {
     
    }
     public SelectorByCloseToCloseVolatility(string groupID, 
                                bool orderInASCmode,
                                DateTime firstQuoteDate,
                                DateTime lastQuoteDate,
                                long maxNumOfReturnedTickers):
                                  base(groupID, 
                                      orderInASCmode,
                                      firstQuoteDate,
                                      lastQuoteDate,
                                      maxNumOfReturnedTickers)
     {
     
     }


    public DataTable GetTableOfSelectedTickers()
    {
      if(this.setOfTickersToBeSelected == null)
        return QuantProject.DataAccess.Tables.Quotes.GetTickersByCloseToCloseVolatility(this.isOrderedInASCMode,
          this.groupID,
          this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);        

      else
        return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToCloseVolatility(this.isOrderedInASCMode,
          this.setOfTickersToBeSelected, 
          this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);
    }
    public void SelectAllTickers()
    {
      ;
    }	
	}
}

--- NEW FILE: SelectorByOpenToCloseVolatility.cs ---
/*
QuantProject - Quantitative Finance Library

SelectorByOpenToCloseVolatility.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers by open to close volatility
  /// </summary>
   public class SelectorByOpenToCloseVolatility : TickerSelector, ITickerSelector 
  {
        
    
    public SelectorByOpenToCloseVolatility(DataTable setOfTickersToBeSelected, 
                               bool orderInASCmode,
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               long maxNumOfReturnedTickers):
                                    base(setOfTickersToBeSelected, 
                                         orderInASCmode,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         maxNumOfReturnedTickers)
    {
     
    }
     public SelectorByOpenToCloseVolatility(string groupID, 
                                bool orderInASCmode,
                                DateTime firstQuoteDate,
                                DateTime lastQuoteDate,
                                long maxNumOfReturnedTickers):
                                  base(groupID, 
                                      orderInASCmode,
                                      firstQuoteDate,
                                      lastQuoteDate,
                                      maxNumOfReturnedTickers)
     {
     
     }


    public DataTable GetTableOfSelectedTickers()
    {
      if(this.setOfTickersToBeSelected == null)
        return QuantProject.DataAccess.Tables.Quotes.GetTickersByCloseToOpenVolatility(this.isOrderedInASCMode,
          this.groupID,
          this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);        

      else
        return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToOpenVolatility(this.isOrderedInASCMode,
          this.setOfTickersToBeSelected, 
          this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);
    }
    public void SelectAllTickers()
    {
      ;
    }	
	}
}

--- NEW FILE: SelectorByQuotationAtEachMarketDay.cs ---
/*
QuantProject - Quantitative Finance Library

SelectorByQuotationAtEachMarketDay.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers quoted at each market day (market index)
  /// </summary>
   public class SelectorByQuotationAtEachMarketDay : TickerSelector , ITickerSelector
  {
    private string marketIndex;    
    
    public SelectorByQuotationAtEachMarketDay(DataTable setOfTickersToBeSelected, 
                               bool orderInASCmode,
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               long maxNumOfReturnedTickers, string marketIndex):
                                    base(setOfTickersToBeSelected, 
                                         orderInASCmode,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         maxNumOfReturnedTickers)
    {
      this.marketIndex = marketIndex;
    }
     public SelectorByQuotationAtEachMarketDay(string groupID, 
                                bool orderInASCmode,
                                DateTime firstQuoteDate,
                                DateTime lastQuoteDate,
                                long maxNumOfReturnedTickers, string marketIndex):
                                  base(groupID, 
                                      orderInASCmode,
                                      firstQuoteDate,
                                      lastQuoteDate,
                                      maxNumOfReturnedTickers)
     {
      this.marketIndex = marketIndex;
     }


    public DataTable GetTableOfSelectedTickers()
    {
      if(this.marketIndex == "")
        throw new Exception("You first need to set TickerSelector's property <<MarketIndex>>!");
           
      if(this.setOfTickersToBeSelected == null)
        return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedInEachMarketDay(
          this.marketIndex, this.groupID, this.firstQuoteDate, this.lastQuoteDate,
          this.maxNumOfReturnedTickers);        

      else
        return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedInEachMarketDay(
          this.marketIndex, this.setOfTickersToBeSelected, this.firstQuoteDate, this.lastQuoteDate,
          this.maxNumOfReturnedTickers);
    }
    public void SelectAllTickers()
    {
      ;
    }	
	}
}

--- NEW FILE: SelectorByAbsolutePerformance.cs ---
/*
QuantProject - Quantitative Finance Library

SelectorByAbsolutePerformance.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers by liquidity
  /// </summary>
   public class SelectorByAbsolutePerformance : TickerSelector, ITickerSelector 
  {
        
    
    public SelectorByAbsolutePerformance(DataTable setOfTickersToBeSelected, 
                               bool orderInASCmode,
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               long maxNumOfReturnedTickers):
                                    base(setOfTickersToBeSelected, 
                                         orderInASCmode,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         maxNumOfReturnedTickers)
    {
     
    }
     public SelectorByAbsolutePerformance(string groupID, 
                                bool orderInASCmode,
                                DateTime firstQuoteDate,
                                DateTime lastQuoteDate,
                                long maxNumOfReturnedTickers):
                                  base(groupID, 
                                      orderInASCmode,
                                      firstQuoteDate,
                                      lastQuoteDate,
                                      maxNumOfReturnedTickers)
     {
     
     }


    public DataTable GetTableOfSelectedTickers()
    {
      if(this.setOfTickersToBeSelected == null)
        return TickerDataTable.GetTickersByPerformance(this.isOrderedInASCMode,
          this.groupID, 
          this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);
      else
        return TickerDataTable.GetTickersByPerformance(this.isOrderedInASCMode,
          this.setOfTickersToBeSelected,
          this.firstQuoteDate,
          this.lastQuoteDate,
          this.maxNumOfReturnedTickers);
    }
    
    public void SelectAllTickers()
    {
      ;
    }


	}
}

Index: SelectionType.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectionType.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** SelectionType.cs	6 Jan 2005 18:40:45 -0000	1.7
--- SelectionType.cs	27 Feb 2005 19:56:07 -0000	1.8
***************
*** 26,30 ****
  {
    /// <summary>
!   /// Enum for TickerSelector class
    /// </summary>
    public enum SelectionType
--- 26,31 ----
  {
    /// <summary>
!   /// Enum used when selection takes place using visual interfaces
!   /// Eeach item stands for a specific object implementing ITickerSelector
    /// </summary>
    public enum SelectionType
***************
*** 38,42 ****
      CloseToOpenLinearCorrelation,
      CloseToCloseLinearCorrelation,
!     QuotedInEachMarketDay
    }
  }
\ No newline at end of file
--- 39,43 ----
      CloseToOpenLinearCorrelation,
      CloseToCloseLinearCorrelation,
!     QuotedAtEachMarketDay
    }
  }
\ No newline at end of file

Index: TickerSelector.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/TickerSelector.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** TickerSelector.cs	6 Jan 2005 18:40:45 -0000	1.10
--- TickerSelector.cs	27 Feb 2005 19:56:07 -0000	1.11
***************
*** 31,49 ****
  {
    /// <summary>
!   /// Class for advanced selections on tickers
    /// </summary>
!   /// <remarks>
!   /// Selection depends on the parameters used in the construction of a new TickerSelector object
!   /// </remarks>
!   public class TickerSelector : ITickerSelector
    {
!     private DataTable setOfTickersToBeSelected = null;
!     private SelectionType typeOfSelection;
!     private string groupID = "";
!     private string marketIndex = "";
!     private DateTime firstQuoteDate = QuantProject.ADT.ConstantsProvider.InitialDateTimeForDownload;
!     private DateTime lastQuoteDate = DateTime.Now;
!     private long maxNumOfReturnedTickers = 0;
!     private bool isOrderedInASCMode; 
      
      #region properties
--- 31,44 ----
  {
    /// <summary>
!   /// Base class for advanced selections on tickers
    /// </summary>
!   public class TickerSelector 
    {
!     protected DataTable setOfTickersToBeSelected = null;
!     protected string groupID = "";
!     protected DateTime firstQuoteDate = QuantProject.ADT.ConstantsProvider.InitialDateTimeForDownload;
!     protected DateTime lastQuoteDate = DateTime.Now;
!     protected long maxNumOfReturnedTickers = 0;
!     protected bool isOrderedInASCMode; 
      
      #region properties
***************
*** 77,88 ****
        get{return this.maxNumOfReturnedTickers;}
      }
!     /// <summary>
!     /// It gets the type of selection provided by the Ticker Selector
!     /// </summary>
!     public SelectionType TypeOfSelection
!     {
!       get{return this.typeOfSelection;}
!     }
! 
      /// <summary>
      /// It gets / sets the order type for the ticker selector
--- 72,76 ----
        get{return this.maxNumOfReturnedTickers;}
      }
!     
      /// <summary>
      /// It gets / sets the order type for the ticker selector
***************
*** 93,111 ****
        set{this.isOrderedInASCMode = value;}
      }
-     
-     /// <summary>
-     /// It gets / sets the market index for the current ticker selector
-     /// </summary>
-     public string MarketIndex
-     {
-       get{return this.marketIndex;}
-       set{this.marketIndex = value;}
-     }
  
      #endregion
  
!     public TickerSelector(DataTable setOfTickersToBeSelected, SelectionType typeOfSelection,
                            bool orderInASCmode,
-                           string groupID,
                            DateTime firstQuoteDate,
                            DateTime lastQuoteDate,
--- 81,90 ----
        set{this.isOrderedInASCMode = value;}
      }
  
+     
      #endregion
  
!     public TickerSelector(DataTable setOfTickersToBeSelected,
                            bool orderInASCmode,
                            DateTime firstQuoteDate,
                            DateTime lastQuoteDate,
***************
*** 113,324 ****
      {
        this.setOfTickersToBeSelected = setOfTickersToBeSelected;
!       this.commonInitialization(typeOfSelection, orderInASCmode, groupID, firstQuoteDate,lastQuoteDate,maxNumOfReturnedTickers);
      }
      
!     public TickerSelector(SelectionType typeOfSelection,
                            bool orderInASCmode,
-                           string groupID,
                            DateTime firstQuoteDate,
                            DateTime lastQuoteDate,
                            long maxNumOfReturnedTickers)
      {
!       this.commonInitialization(typeOfSelection, orderInASCmode, groupID, firstQuoteDate,lastQuoteDate,maxNumOfReturnedTickers);
      }
      
!     private void commonInitialization(SelectionType typeOfSelection,
!                                       bool orderInASCmode,
!                                       string groupID,
                                        DateTime firstQuoteDate,
                                        DateTime lastQuoteDate,
                                        long maxNumOfReturnedTickers)
      {
-       this.typeOfSelection = typeOfSelection;
        this.isOrderedInASCMode = orderInASCmode;
-       this.groupID = groupID;
        this.firstQuoteDate = firstQuoteDate;
        this.lastQuoteDate = lastQuoteDate;
        this.maxNumOfReturnedTickers = maxNumOfReturnedTickers;
      }    
-   
- 
-     //implementation of ITickerSelector
-     public DataTable GetTableOfSelectedTickers()
-     {
-         switch (this.typeOfSelection)
-         {
-           case SelectionType.Liquidity:
-             return this.getTickersByLiquidity();
-           case SelectionType.Performance:
-             return this.getTickersByPerformance();
-           case SelectionType.CloseToCloseVolatility:
-             return this.getTickersByCloseToCloseVolatility();
-           case SelectionType.CloseToOpenVolatility:
-             return this.getTickersByCloseToOpenVolatility();
-           case SelectionType.AverageCloseToClosePerformance:
-             return this.getTickersByAverageCloseToClosePerformance();
-           case SelectionType.AverageCloseToOpenPerformance:
-             return this.getTickersByAverageCloseToOpenPerformance();
-           case SelectionType.CloseToCloseLinearCorrelation:
-             return this.getTickersByCloseToCloseLinearCorrelation();
-           case SelectionType.CloseToOpenLinearCorrelation:
-             return this.getTickersByCloseToOpenLinearCorrelation();
-           case SelectionType.QuotedInEachMarketDay:
-             return this.getTickersQuotedInEachMarketDay();
-             //this line should never be reached!
-           default:
-             return new DataTable();
-         }
-       
-     }
-     
-     private DataTable getTickersByLiquidity()
-     {
-       if(this.setOfTickersToBeSelected == null)
-         return QuantProject.DataAccess.Tables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode,
-                                                                         this.groupID,
-                                                                         this.firstQuoteDate,
-                                                                         this.lastQuoteDate,
-                                                                         this.maxNumOfReturnedTickers);        
- 
-       else
-         return QuantProject.Data.DataTables.Quotes.GetTickersByLiquidity(this.isOrderedInASCMode,
-                                                                         this.setOfTickersToBeSelected, 
-                                                                         this.firstQuoteDate,
-                                                                         this.lastQuoteDate,
-                                                                         this.maxNumOfReturnedTickers);
-     }
-     
-     private DataTable getTickersByPerformance()
-     {
-       if(this.setOfTickersToBeSelected == null)
-          return TickerDataTable.GetTickersByPerformance(this.isOrderedInASCMode,
-                                                         this.groupID, 
-                                                         this.firstQuoteDate,
-                                                         this.lastQuoteDate,
-                                                         this.maxNumOfReturnedTickers);
-       else
-         return TickerDataTable.GetTickersByPerformance(this.isOrderedInASCMode,
-                                                         this.setOfTickersToBeSelected,
-                                                         this.firstQuoteDate,
-                                                         this.lastQuoteDate,
-                                                         this.maxNumOfReturnedTickers);
-       
-     }
- 
-     private DataTable getTickersByAverageCloseToClosePerformance()
-     {
-       if(this.setOfTickersToBeSelected == null)
-         return QuantProject.DataAccess.Tables.Quotes.GetTickersByAverageCloseToClosePerformance(this.isOrderedInASCMode,
-                                                           this.groupID, this.firstQuoteDate,
-                                                           this.lastQuoteDate,
-                                                           this.maxNumOfReturnedTickers);
-       else
-         return QuantProject.Data.DataTables.Quotes.GetTickersByAverageCloseToClosePerformance(this.isOrderedInASCMode,
-                                                           this.setOfTickersToBeSelected,
-                                                           this.firstQuoteDate,
-                                                           this.lastQuoteDate,
-                                                           this.maxNumOfReturnedTickers);
-       
-     }
- 
-     private DataTable getTickersByAverageCloseToOpenPerformance()
-     {
-       if(this.setOfTickersToBeSelected == null)
-         return QuantProject.DataAccess.Tables.Quotes.GetTickersByAverageCloseToOpenPerformance(this.isOrderedInASCMode,
-           this.groupID, this.firstQuoteDate,
-           this.lastQuoteDate,
-           this.maxNumOfReturnedTickers);
-       else
-         return QuantProject.Data.DataTables.Quotes.GetTickersByAverageCloseToOpenPerformance(this.isOrderedInASCMode,
-           this.setOfTickersToBeSelected,
-           this.firstQuoteDate,
-           this.lastQuoteDate,
-           this.maxNumOfReturnedTickers);
-       
-     }
- 
-     private DataTable getTickersByCloseToCloseVolatility()
-     {
-       if(this.setOfTickersToBeSelected == null)
-         return QuantProject.DataAccess.Tables.Quotes.GetTickersByCloseToCloseVolatility(this.isOrderedInASCMode,
-                                                                     this.groupID,
-                                                                     this.firstQuoteDate,
-                                                                     this.lastQuoteDate,
-                                                                     this.maxNumOfReturnedTickers);        
- 
-       else
-         return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToCloseVolatility(this.isOrderedInASCMode,
-           this.setOfTickersToBeSelected, 
-           this.firstQuoteDate,
-           this.lastQuoteDate,
-           this.maxNumOfReturnedTickers);
-     }
- 
-     private DataTable getTickersByCloseToOpenVolatility()
-     {
-       if(this.setOfTickersToBeSelected == null)
-         return QuantProject.DataAccess.Tables.Quotes.GetTickersByCloseToOpenVolatility(this.isOrderedInASCMode,
-           this.groupID,
-           this.firstQuoteDate,
-           this.lastQuoteDate,
-           this.maxNumOfReturnedTickers);        
- 
-       else
-         return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToOpenVolatility(this.isOrderedInASCMode,
-           this.setOfTickersToBeSelected, 
-           this.firstQuoteDate,
-           this.lastQuoteDate,
-           this.maxNumOfReturnedTickers);
-     }
- 
-     private DataTable getTickersByCloseToCloseLinearCorrelation()
-     {
-       this.launchExceptionIfGroupIDIsNotEmpty();
-       return QuantProject.Data.DataTables.Quotes.GetTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode,
-                                                           this.setOfTickersToBeSelected,
-                                                           this.firstQuoteDate,
-                                                           this.lastQuoteDate);
-     }
- 
-     private DataTable getTickersByCloseToOpenLinearCorrelation()
-     {
-       
-       this.launchExceptionIfGroupIDIsNotEmpty();
-       
-       return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToOpenPearsonCorrelationCoefficient(this.isOrderedInASCMode,
-         this.setOfTickersToBeSelected,
-         this.firstQuoteDate,
-         this.lastQuoteDate);
-     }
- 
-     private DataTable getTickersQuotedInEachMarketDay()
-     {
-       if(this.marketIndex == "")
-          throw new Exception("You first need to set TickerSelection's property <<MarketIndex>>!");
-            
-       if(this.setOfTickersToBeSelected == null)
-         return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedInEachMarketDay(
-           this.marketIndex, this.groupID, this.firstQuoteDate, this.lastQuoteDate,
-           this.maxNumOfReturnedTickers);        
- 
-       else
-         return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedInEachMarketDay(
-           this.marketIndex, this.setOfTickersToBeSelected, this.firstQuoteDate, this.lastQuoteDate,
-           this.maxNumOfReturnedTickers);
-     }
- 
-     private void launchExceptionIfGroupIDIsNotEmpty()
-     {
-       if(this.groupID!="")
-       {
-         throw new Exception("Not implemented: this type of selection works only with few tickers, at the moment");
-       }
-     }
- 
-     public void SelectAllTickers()
-     {
-       ;
-     }
-     // end of implementation of ITickerSelector
      
      /// <summary>
--- 92,120 ----
      {
        this.setOfTickersToBeSelected = setOfTickersToBeSelected;
!       this.commonInitialization(orderInASCmode, firstQuoteDate, 
!                                 lastQuoteDate, maxNumOfReturnedTickers);
      }
      
!     public TickerSelector(string groupID,
                            bool orderInASCmode,
                            DateTime firstQuoteDate,
                            DateTime lastQuoteDate,
                            long maxNumOfReturnedTickers)
      {
!       this.groupID = groupID;
!       this.commonInitialization(orderInASCmode, firstQuoteDate, 
!                                 lastQuoteDate, maxNumOfReturnedTickers);
      }
      
!     private void commonInitialization(bool orderInASCmode,
                                        DateTime firstQuoteDate,
                                        DateTime lastQuoteDate,
                                        long maxNumOfReturnedTickers)
      {
        this.isOrderedInASCMode = orderInASCmode;
        this.firstQuoteDate = firstQuoteDate;
        this.lastQuoteDate = lastQuoteDate;
        this.maxNumOfReturnedTickers = maxNumOfReturnedTickers;
      }    
      
      /// <summary>

--- NEW FILE: SelectorByCloseToCloseLinearCorrelation.cs ---
/*
QuantProject - Quantitative Finance Library

SelectorByCloseToCloseLinearCorrelation.cs
Copyright (C) 2003 
Marco Milletti

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;
using System.Collections;
using System.Data;
using System.Windows.Forms;
using QuantProject.DataAccess.Tables;
using QuantProject.Data.DataTables;

namespace QuantProject.Data.Selectors
{
  /// <summary>
  /// Class for selection on tickers by close to close linear correlation
  /// </summary>
   public class SelectorByCloseToCloseLinearCorrelation : TickerSelector , ITickerSelector
  {
        
    
    public SelectorByCloseToCloseLinearCorrelation(DataTable setOfTickersToBeSelected, 
                               bool orderInASCmode,
                               DateTime firstQuoteDate,
                               DateTime lastQuoteDate,
                               long maxNumOfReturnedTickers):
                                    base(setOfTickersToBeSelected, 
                                         orderInASCmode,
                                         firstQuoteDate,
                                         lastQuoteDate,
                                         maxNumOfReturnedTickers)
    {
     
    }
     public SelectorByCloseToCloseLinearCorrelation(string groupID, 
                                bool orderInASCmode,
                                DateTime firstQuoteDate,
                                DateTime lastQuoteDate,
                                long maxNumOfReturnedTickers):
                                  base(groupID, 
                                      orderInASCmode,
                                      firstQuoteDate,
                                      lastQuoteDate,
                                      maxNumOfReturnedTickers)
     {
     
     }


    public DataTable GetTableOfSelectedTickers()
    {
      this.launchExceptionIfGroupIDIsNotEmpty();
      return QuantProject.Data.DataTables.Quotes.GetTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode,
        this.setOfTickersToBeSelected,
        this.firstQuoteDate,
        this.lastQuoteDate);
    }
    
    private void launchExceptionIfGroupIDIsNotEmpty()
    {
      if(this.groupID!="")
      {
        throw new Exception("Not implemented: this type of selection works only with few tickers, at the moment");
      }
    }
    public void SelectAllTickers()
    {
      ;
    }	
   }
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank EligibleTickers.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4614/b7_Scripts/WalkForwardTesting/WalkForwardOneRank

Modified Files:
	EligibleTickers.cs 
Log Message:
Advanced Ticker selection has been re-organized in a more rational and object-oriented way
(NOTE that at the moment Quantdownloader solution won't compile)

Index: EligibleTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/EligibleTickers.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EligibleTickers.cs	3 Feb 2005 00:30:22 -0000	1.2
--- EligibleTickers.cs	27 Feb 2005 19:56:09 -0000	1.3
***************
*** 47,62 ****
  		private void setTickers_build( DateTime dateTime )
  		{
! 			TickerSelector mostLiquid =
! 				new TickerSelector( SelectionType.Liquidity , false , "Test" ,
! 				dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime ,
! 				this.numberEligibleTickersToBeChosen );
  			DataTable mostLiquidTickers =
  				mostLiquid.GetTableOfSelectedTickers();
! 			TickerSelector quotedInEachMarketDayFromMostLiquid = 
! 				new TickerSelector( mostLiquidTickers,
! 				SelectionType.QuotedInEachMarketDay, false, "",
! 				dateTime.AddDays( - this.numberDaysForPerformanceCalculation ) ,
! 				dateTime, this.numberEligibleTickersToBeChosen);
! 			quotedInEachMarketDayFromMostLiquid.MarketIndex = "^SPX";
  			DataTable selectedTickers =
  				quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
--- 47,59 ----
  		private void setTickers_build( DateTime dateTime )
  		{
! 			SelectorByLiquidity mostLiquid =
! 				new SelectorByLiquidity("Test", false ,	dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime ,
! 				                        this.numberEligibleTickersToBeChosen );
  			DataTable mostLiquidTickers =
  				mostLiquid.GetTableOfSelectedTickers();
! 			SelectorByQuotationAtEachMarketDay quotedInEachMarketDayFromMostLiquid = 
! 				new SelectorByQuotationAtEachMarketDay( mostLiquidTickers,
! 				                           false,	dateTime.AddDays( - this.numberDaysForPerformanceCalculation ) ,
! 				                           dateTime, this.numberEligibleTickersToBeChosen,"^SPX");
  			DataTable selectedTickers =
  				quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandlerCTC.cs,1.1,1.2 EndOfDayTimerHandlerCTO.cs,1.3,1.4 GenomeManagerForEfficientCTOPortfolio.cs,1.4,1.5 RunEfficientCTOPortfolio.cs,1.13,1.14

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4614/b7_Scripts/TickerSelectionTesting

Modified Files:
	EndOfDayTimerHandlerCTC.cs EndOfDayTimerHandlerCTO.cs 
	GenomeManagerForEfficientCTOPortfolio.cs 
	RunEfficientCTOPortfolio.cs 
Log Message:
Advanced Ticker selection has been re-organized in a more rational and object-oriented way
(NOTE that at the moment Quantdownloader solution won't compile)

Index: EndOfDayTimerHandlerCTO.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTO.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** EndOfDayTimerHandlerCTO.cs	12 Feb 2005 19:16:46 -0000	1.3
--- EndOfDayTimerHandlerCTO.cs	27 Feb 2005 19:56:08 -0000	1.4
***************
*** 94,98 ****
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = new Order( OrderType.MarketBuy, new Instrument( ticker ) , quantity );
        this.orders.Add(order);
      }
--- 94,98 ----
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
!       Order order = new Order( OrderType.MarketSellShort, new Instrument( ticker ) , quantity );
        this.orders.Add(order);
      }
***************
*** 126,130 ****
      {
        if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(15000);     
        
        this.marketOpenEventHandler_orderChosenTickers();
--- 126,130 ----
      {
        if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
!         this.account.AddCash(30000);     
        
        this.marketOpenEventHandler_orderChosenTickers();
***************
*** 172,184 ****
      private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
!         false, this.tickerGroupID , currentDate.AddDays(-this.numDaysForLiquidity), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
!       TickerSelector quotedInEachMarketDayFromMostLiquid = 
!         new TickerSelector( this.eligibleTickers,
!         SelectionType.QuotedInEachMarketDay, false, "",
!         currentDate.AddDays(-this.numDaysForLiquidity),currentDate,
!         this.numberOfEligibleTickers);
!       quotedInEachMarketDayFromMostLiquid.MarketIndex = "^MIBTEL";
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }
--- 172,182 ----
      private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID, false,
!                                       currentDate.AddDays(-this.numDaysForLiquidity), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
!       SelectorByQuotationAtEachMarketDay quotedInEachMarketDayFromMostLiquid = 
!         new SelectorByQuotationAtEachMarketDay( this.eligibleTickers,
!                                    false, currentDate.AddDays(-this.numDaysForLiquidity),
!                                     currentDate, this.numberOfEligibleTickers, "^MIBTEL");
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** GenomeManagerForEfficientCTOPortfolio.cs	6 Feb 2005 20:14:01 -0000	1.4
--- GenomeManagerForEfficientCTOPortfolio.cs	27 Feb 2005 19:56:08 -0000	1.5
***************
*** 95,98 ****
--- 95,115 ----
        return returnValue; 
      }
+ 
+     public override double GetFitnessValue(Genome genome)
+     {
+       double returnValue;
+       double portfolioVariance = this.getPortfolioVariance(genome.Genes());
+       double portfolioRateOfReturn = this.getPortfolioRateOfReturn(genome.Genes());
+       this.variance = portfolioVariance;
+       this.rateOfReturn = portfolioRateOfReturn;
+       
+       NormalDistribution normal = new NormalDistribution(portfolioRateOfReturn, Math.Sqrt(portfolioVariance));
+       //for long portfolio
+       //returnValue = normal.GetProbability(this.targetPerformance*0.75,this.targetPerformance*1.25);
+       //for short portfolio
+       returnValue = normal.GetProbability(-this.targetPerformance*1.25,-this.targetPerformance*0.75);
+       //returnValue = 1 - normal.GetProbability(this.targetPerformance);
+       return returnValue;
+     }
      
    }

Index: EndOfDayTimerHandlerCTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/EndOfDayTimerHandlerCTC.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerCTC.cs	30 Jan 2005 19:53:12 -0000	1.1
--- EndOfDayTimerHandlerCTC.cs	27 Feb 2005 19:56:08 -0000	1.2
***************
*** 88,100 ****
      private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
!         false, this.tickerGroupID , currentDate.AddDays(-90), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
!       TickerSelector quotedInEachMarketDayFromMostLiquid = 
!         new TickerSelector( this.eligibleTickers,
!         SelectionType.QuotedInEachMarketDay, false, "",
!         currentDate.AddDays(-90),currentDate,
!         this.numberOfEligibleTickers);
!       quotedInEachMarketDayFromMostLiquid.MarketIndex = "^MIBTEL";
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }
--- 88,98 ----
      private DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
      {
!       SelectorByLiquidity mostLiquid = new SelectorByLiquidity(this.tickerGroupID,false,
!                                       currentDate.AddDays(-90), currentDate, this.numberOfEligibleTickers);
        this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
!       SelectorByQuotationAtEachMarketDay quotedInEachMarketDayFromMostLiquid = 
!         new SelectorByQuotationAtEachMarketDay(this.eligibleTickers,
!                                   false, currentDate.AddDays(-90),currentDate,
!                                   this.numberOfEligibleTickers, "^MIBTEL");
        return quotedInEachMarketDayFromMostLiquid.GetTableOfSelectedTickers();
      }

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** RunEfficientCTOPortfolio.cs	15 Feb 2005 19:15:36 -0000	1.13
--- RunEfficientCTOPortfolio.cs	27 Feb 2005 19:56:08 -0000	1.14
***************
*** 36,39 ****
--- 36,40 ----
  using QuantProject.Business.Testing;
  using QuantProject.Business.Timing;
+ using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
  using QuantProject.Data.Selectors; 
***************
*** 98,104 ****
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 1 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 1 , 10 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
        //this.numIntervalDays = 3;
  		}
--- 99,105 ----
        this.reportTable = new ReportTable( "Summary_Reports" );
        this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 9 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
        this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2004 , 9 , 10 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
        //this.numIntervalDays = 3;
  		}
***************
*** 109,113 ****
      {
        //"STOCKMI"
!       TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
                                                      false, "STOCKMI", firstDate, lastDate, 70);
        DataTable tickers = mostLiquid.GetTableOfSelectedTickers();
--- 110,115 ----
      {
        //"STOCKMI"
!       /*
!        * SelectorByLiquidity mostLiquid = new TickerSelector(SelectionType.Liquidity,
                                                      false, "STOCKMI", firstDate, lastDate, 70);
        DataTable tickers = mostLiquid.GetTableOfSelectedTickers();
***************
*** 123,126 ****
--- 125,130 ----
        System.Console.WriteLine("\n\nThe best solution found is: " + (string)GO.BestGenome.Meaning +
          " with {0} generations", GO.GenerationCounter);
+         */
+       ;
  		}
  
***************
*** 136,140 ****
  					this.historicalQuoteProvider ) ,
          new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) );
       
      }
--- 140,144 ----
  					this.historicalQuoteProvider ) ,
          new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ));
       
      }

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj,1.22,1.23

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4614/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
Advanced Ticker selection has been re-organized in a more rational and object-oriented way
(NOTE that at the moment Quantdownloader solution won't compile)

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.22
retrieving revision 1.23
diff -C2 -d -r1.22 -r1.23
*** b3_Data.csproj	20 Jan 2005 01:11:32 -0000	1.22
--- b3_Data.csproj	27 Feb 2005 19:56:08 -0000	1.23
***************
*** 233,236 ****
--- 233,281 ----
                  />
                  <File
+                     RelPath = "Selectors\SelectorByAbsolutePerformance.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Selectors\SelectorByAverageCloseToClosePerformance.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Selectors\SelectorByAverageOpenToClosePerformance.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Selectors\SelectorByCloseToCloseLinearCorrelation.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Selectors\SelectorByCloseToCloseVolatility.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Selectors\SelectorByLiquidity.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Selectors\SelectorByOpenToCloseLinearCorrelation.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Selectors\SelectorByOpenToCloseVolatility.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Selectors\SelectorByQuotationAtEachMarketDay.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Selectors\TickerSelector.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b91_QuantProject AccountViewer.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29355/b91_QuantProject

Modified Files:
	AccountViewer.cs 
Log Message:
It is now possible to add accounts to the form and order them by fitness

Index: AccountViewer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/AccountViewer.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** AccountViewer.cs	4 Feb 2005 00:01:48 -0000	1.1
--- AccountViewer.cs	26 Feb 2005 15:12:07 -0000	1.2
***************
*** 4,7 ****
--- 4,12 ----
  using System.ComponentModel;
  using System.Windows.Forms;
+ using System.Data;
+ using QuantProject.Business.Financial.Accounting;
+ using QuantProject.ADT.FileManaging;
+ 
+ 
  
  namespace QuantProject.Principale
***************
*** 12,17 ****
--- 17,25 ----
  	public class AccountViewer : System.Windows.Forms.Form
  	{
+     private ArrayList accountsArrayList = new ArrayList();
      private System.Windows.Forms.Button buttonAddAccounts;
      private System.Windows.Forms.DataGrid dataGridAccounts;
+     private DataTable accountsTable;
+     private System.Windows.Forms.Button buttonViewReport;
  		
  		private System.ComponentModel.Container components = null;
***************
*** 22,25 ****
--- 30,34 ----
  			//
  			InitializeComponent();
+       this.setTableAndGrid();
  
  			//
***************
*** 27,31 ****
  			//
  		}
! 
  		/// <summary>
  		/// Clean up
--- 36,48 ----
  			//
  		}
!     
!     private void setTableAndGrid()
!     {
!       this.accountsTable = new DataTable();
!       this.accountsTable.Columns.Add("AccountName", System.Type.GetType("System.String"));
!       this.accountsTable.Columns.Add("Fitness", Type.GetType("System.Double"));
!       this.accountsTable.Columns.Add("Account", Type.GetType("System.Object"));
!       this.dataGridAccounts.DataSource = this.accountsTable;
!     }
  		/// <summary>
  		/// Clean up
***************
*** 49,52 ****
--- 66,70 ----
        this.buttonAddAccounts = new System.Windows.Forms.Button();
        this.dataGridAccounts = new System.Windows.Forms.DataGrid();
+       this.buttonViewReport = new System.Windows.Forms.Button();
        ((System.ComponentModel.ISupportInitialize)(this.dataGridAccounts)).BeginInit();
        this.SuspendLayout();
***************
*** 54,60 ****
        // buttonAddAccounts
        // 
!       this.buttonAddAccounts.Location = new System.Drawing.Point(320, 112);
        this.buttonAddAccounts.Name = "buttonAddAccounts";
!       this.buttonAddAccounts.Size = new System.Drawing.Size(120, 32);
        this.buttonAddAccounts.TabIndex = 1;
        this.buttonAddAccounts.Text = "Add Accounts ...";
--- 72,78 ----
        // buttonAddAccounts
        // 
!       this.buttonAddAccounts.Location = new System.Drawing.Point(8, 160);
        this.buttonAddAccounts.Name = "buttonAddAccounts";
!       this.buttonAddAccounts.Size = new System.Drawing.Size(96, 32);
        this.buttonAddAccounts.TabIndex = 1;
        this.buttonAddAccounts.Text = "Add Accounts ...";
***************
*** 64,78 ****
        // 
        this.dataGridAccounts.DataMember = "";
        this.dataGridAccounts.HeaderForeColor = System.Drawing.SystemColors.ControlText;
-       this.dataGridAccounts.Location = new System.Drawing.Point(8, 0);
        this.dataGridAccounts.Name = "dataGridAccounts";
!       this.dataGridAccounts.Size = new System.Drawing.Size(296, 264);
        this.dataGridAccounts.TabIndex = 2;
        // 
        // AccountViewer
        // 
        this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
!       this.ClientSize = new System.Drawing.Size(456, 266);
        this.Controls.AddRange(new System.Windows.Forms.Control[] {
                                                                    this.dataGridAccounts,
                                                                    this.buttonAddAccounts});
--- 82,106 ----
        // 
        this.dataGridAccounts.DataMember = "";
+       this.dataGridAccounts.Dock = System.Windows.Forms.DockStyle.Top;
        this.dataGridAccounts.HeaderForeColor = System.Drawing.SystemColors.ControlText;
        this.dataGridAccounts.Name = "dataGridAccounts";
!       this.dataGridAccounts.Size = new System.Drawing.Size(464, 144);
        this.dataGridAccounts.TabIndex = 2;
        // 
+       // buttonViewReport
+       // 
+       this.buttonViewReport.Location = new System.Drawing.Point(336, 160);
+       this.buttonViewReport.Name = "buttonViewReport";
+       this.buttonViewReport.Size = new System.Drawing.Size(96, 32);
+       this.buttonViewReport.TabIndex = 3;
+       this.buttonViewReport.Text = "View Report";
+       this.buttonViewReport.Click += new System.EventHandler(this.buttonViewReport_Click);
+       // 
        // AccountViewer
        // 
        this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
!       this.ClientSize = new System.Drawing.Size(464, 266);
        this.Controls.AddRange(new System.Windows.Forms.Control[] {
+                                                                   this.buttonViewReport,
                                                                    this.dataGridAccounts,
                                                                    this.buttonAddAccounts});
***************
*** 84,92 ****
      }
  		#endregion
  
      private void buttonAddAccounts_Click(object sender, System.EventArgs e)
      {
!       //add code her for loading accounts
      }
! 	}
  }
--- 112,176 ----
      }
  		#endregion
+     
+     
+     private void updateForm_updateGrid()
+     {
+       this.dataGridAccounts.Refresh();
+     }
+     
+     private void updateForm_updateTable()
+     {
+       Account account;
+       foreach(Object item in this.accountsArrayList)
+       {
+         DataRow rowToAdd = this.accountsTable.NewRow();
+         account = (Account)item;
+         rowToAdd["AccountName"] = account.Key;
+         rowToAdd["Fitness"] = account.GetFitnessValue();
+         rowToAdd["Account"] = account;
+         this.accountsTable.Rows.Add(rowToAdd);
+       }
+     }
+     
+     private void updateForm()
+     {
+       this.updateForm_updateTable();
+       this.updateForm_updateGrid();
+     }
+  
+     #region Add Accounts
+ 
+     private string[] buttonAddAccounts_Click_extractAccounts_selectAccounts()
+     {
+       OpenFileDialog openFileDialog = new OpenFileDialog();
+       openFileDialog.Title = "Select accounts please ...";
+       openFileDialog.Multiselect = true;
+       openFileDialog.CheckFileExists = true;
+       openFileDialog.ShowDialog();
+       return openFileDialog.FileNames;
+     }
+ 
+     private void buttonAddAccounts_Click_extractAccounts()
+     {
+       string[] accountsSelection = this.buttonAddAccounts_Click_extractAccounts_selectAccounts();
+       foreach(string fileName in accountsSelection)
+       {
+         this.accountsArrayList.Add((Account)ObjectArchiver.Extract(fileName));
+       }
+     }
  
      private void buttonAddAccounts_Click(object sender, System.EventArgs e)
      {
!       this.accountsArrayList.Clear();
!       this.buttonAddAccounts_Click_extractAccounts();
!       this.updateForm();
      }
!     #endregion
! 
!     private void buttonViewReport_Click(object sender, System.EventArgs e)
!     {
!       MessageBox.Show("TO DO ...");
!     }
! 	
!   }
  }

[Quantproject-developers] QuantProject/b91_QuantProject b91_QuantProject.csproj,1.7,1.8

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv28887/b91_QuantProject

Modified Files:
	b91_QuantProject.csproj 
Log Message:
Added reference to ADT project (in order to use ObjectArchiver class within the AccountViewer)

Index: b91_QuantProject.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/b91_QuantProject.csproj,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** b91_QuantProject.csproj	4 Feb 2005 00:01:47 -0000	1.7
--- b91_QuantProject.csproj	26 Feb 2005 15:10:49 -0000	1.8
***************
*** 93,96 ****
--- 93,101 ----
                      Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
                  />
+                 <Reference
+                     Name = "b1_ADT"
+                     Project = "{B8A01161-3698-4591-B1EF-90F5FC7D8DBA}"
+                     Package = "{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}"
+                 />
              </References>
          </Build>

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.22,1.23

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4696/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
- SimpleTesting\ShortTest\EndOfDayTimerHandler.cs has been added
- SimpleTesting\ShortTest\RunShortTest.cs has been added

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.22
retrieving revision 1.23
diff -C2 -d -r1.22 -r1.23
*** b7_Scripts.csproj	6 Feb 2005 20:06:05 -0000	1.22
--- b7_Scripts.csproj	20 Feb 2005 00:08:38 -0000	1.23
***************
*** 144,147 ****
--- 144,157 ----
                  />
                  <File
+                     RelPath = "SimpleTesting\ShortTest\EndOfDayTimerHandler.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "SimpleTesting\ShortTest\RunShortTest.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TickerSelectionTesting\EndOfDayTimerHandlerCTC.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/ShortTest RunShortTest.cs,NONE,1.1 EndOfDayTimerHandler.cs,NONE,1.1

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/ShortTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3890

Added Files:
	RunShortTest.cs EndOfDayTimerHandler.cs 
Log Message:
Script to test a simple short strategy

--- NEW FILE: EndOfDayTimerHandler.cs ---
/*
QuantProject - Quantitative Finance Library

EndOfDayTimerHandler.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/
using System;
using System.Collections;

using QuantProject.ADT;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Data.DataProviders;
using QuantProject.Scripts.SimpleTesting;

namespace QuantProject.Scripts.SimpleTesting.ShortTest
{
	/// <summary>
	/// Short Test core strategy
	/// </summary>
	public class EndOfDayTimerHandler
	{

		private Account account;
		private DateTime endDateTime;

		public Account Account
		{
			get { return this.account; }
		}
		/// <summary>
		/// 
		/// </summary>
		/// <param name="numberEligibleTickers">number of tickers to be chosen with the first selection:
		/// the best performers will be chosen among these first selected instruments</param>
		/// <param name="numberBestPeformingTickers">number of instruments to be chosen, as the best
		/// performers, among the eligible tickers</param>
		/// <param name="numberOfTickersToBeChosen">number of instruments to be chosen,
		/// among the best performers</param>
		/// <param name="windowDays">number of days between two consecutive
		/// best performing ticker calculation</param>
		public EndOfDayTimerHandler( Account account ,
			DateTime endDateTime )
		{
			this.account = account;
			this.endDateTime = endDateTime;
		}
		/// <summary>
		/// Handles a "Market Open" event.
		/// </summary>
		/// <param name="sender"></param>
		/// <param name="eventArgs"></param>
		public void MarketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			this.account.AddOrder( new Order( OrderType.MarketSellShort ,
				new Instrument( "MSFT" ) , 100 ) );
		}
		public void MarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			this.account.ClosePosition( "MSFT" );
			if ( this.account.EndOfDayTimer.GetCurrentTime().DateTime >
				this.endDateTime )
				this.account.EndOfDayTimer.Stop();

		}
	}
}

--- NEW FILE: RunShortTest.cs ---
/*
QuantProject - Quantitative Finance Library

RunShortTest.cs
Copyright (C) 2003 
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Commissions;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Scripting;
using QuantProject.Business.Timing;
using QuantProject.Presentation.Reporting.WindowsForm;


namespace QuantProject.Scripts.SimpleTesting.ShortTest
{
	/// <summary>
	/// Script to test a simple short strategy
	/// </summary>
	public class RunShortTest : Script
	{
		private DateTime startDateTime = new DateTime( 2000 , 1 , 1 );
		private DateTime endDateTime = new DateTime( 2000 , 12 , 31 );
		private Account account;
		private IHistoricalQuoteProvider historicalQuoteProvider =
			new HistoricalAdjustedQuoteProvider();
		/// <summary>
		/// Script to test the One Rank strategy on a single ticker
		/// </summary>
		public RunShortTest()
		{
		}
		public override void Run()
		{
			HistoricalEndOfDayTimer historicalEndOfDayTimer =
				new IndexBasedEndOfDayTimer(
				new EndOfDayDateTime( this.startDateTime ,
				EndOfDaySpecificTime.MarketOpen ) , "MSFT" );
			//			this.account = new Account( "MSFT" , historicalEndOfDayTimer ,
			//				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
			//				this.historicalQuoteProvider ) ,
			//				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
			//				this.historicalQuoteProvider ) ,
			//				new IBCommissionManager() );
			this.account = new Account( "MSFT" , historicalEndOfDayTimer ,
				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
				this.historicalQuoteProvider ) ,
				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
				this.historicalQuoteProvider ) );
			EndOfDayTimerHandler EndOfDayTimerHandler =
				new EndOfDayTimerHandler( this.account , endDateTime );
			historicalEndOfDayTimer.MarketOpen += new MarketOpenEventHandler(
				EndOfDayTimerHandler.MarketOpenEventHandler );
			historicalEndOfDayTimer.MarketClose += new MarketCloseEventHandler(
				EndOfDayTimerHandler.MarketCloseEventHandler );
			this.account.EndOfDayTimer.Start();
			Report report = new Report( this.account , this.historicalQuoteProvider );
			report.Show( "WFT One Rank" , 1 ,
				new EndOfDayDateTime( this.endDateTime , EndOfDaySpecificTime.MarketClose ) ,
				"MSFT" );
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/ShortTest - New directory

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/ShortTest
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3462/ShortTest

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/ShortTest added to the repository

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Account.cs,1.16,1.17

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3321/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Account.cs 
Log Message:
Fixed bug in the ClosePosition method (now ok for short orders)

Index: Account.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Account.cs,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** Account.cs	13 Feb 2005 21:12:21 -0000	1.16
--- Account.cs	20 Feb 2005 00:03:03 -0000	1.17
***************
*** 325,329 ****
  		{
  			OrderType orderType = closePosition_getOrderType( position );
! 			Order order = new Order( orderType , position.Instrument , position.Quantity );
  			this.orderExecutor.Execute( order );
  		}
--- 325,329 ----
  		{
  			OrderType orderType = closePosition_getOrderType( position );
! 			Order order = new Order( orderType , position.Instrument , Math.Abs( position.Quantity ) );
  			this.orderExecutor.Execute( order );
  		}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows TotalNumberOfTrades.cs,1.2,1.3 LargestWinningTradePercentage.cs,1.2,1.3 LargestLosingTradePercentage.cs,1.2,1.3 AverageTradePercentageReturn.cs,1.2,1.3 AverageShortTradePercentageReturn.cs,1.2,1.3 AverageLongTradePercentageReturn.cs,1.2,1.3

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16858/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows

Modified Files:
	TotalNumberOfTrades.cs LargestWinningTradePercentage.cs 
	LargestLosingTradePercentage.cs 
	AverageTradePercentageReturn.cs 
	AverageShortTradePercentageReturn.cs 
	AverageLongTradePercentageReturn.cs 
Log Message:
Added try catch to avoid run time errors
when there are no round trades

Index: AverageLongTradePercentageReturn.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/AverageLongTradePercentageReturn.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** AverageLongTradePercentageReturn.cs	15 Feb 2005 19:09:02 -0000	1.2
--- AverageLongTradePercentageReturn.cs	19 Feb 2005 16:02:15 -0000	1.3
***************
*** 16,21 ****
  		{
        this.rowDescription = "Average long trade % Return";
!       double avgReturn =
!         (double) summary.AccountReport.RoundTrades.DataTable.Compute( "avg([%Profit])" , "(Trade='Long')" );
        this.rowValue = avgReturn;
      }
--- 16,29 ----
  		{
        this.rowDescription = "Average long trade % Return";
! 			double avgReturn = 0.0;
! 			try
! 			{
! 				avgReturn =
! 					(double) summary.AccountReport.RoundTrades.DataTable.Compute( "avg([%Profit])" , "(Trade='Long')" );
! 			}
! 			catch (Exception ex)
! 			{
! 				ex = ex; // to avoid compilation warning;
! 			}
        this.rowValue = avgReturn;
      }

Index: LargestWinningTradePercentage.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/LargestWinningTradePercentage.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** LargestWinningTradePercentage.cs	15 Feb 2005 19:09:03 -0000	1.2
--- LargestWinningTradePercentage.cs	19 Feb 2005 16:02:15 -0000	1.3
***************
*** 16,21 ****
  		{
        this.rowDescription = "Largest winning trade";
!       this.rowValue =
!         (double) summary.AccountReport.RoundTrades.DataTable.Compute( "max([%Profit])" , "([%Profit]>0)" );
      }
  	}
--- 16,28 ----
  		{
        this.rowDescription = "Largest winning trade";
! 			try
! 			{
! 				this.rowValue =
! 					(double) summary.AccountReport.RoundTrades.DataTable.Compute( "max([%Profit])" , "([%Profit]>0)" );
! 			}
! 			catch (Exception ex)
! 			{
! 				ex = ex; // to avoid compilation warning;
! 			}
      }
  	}

Index: AverageShortTradePercentageReturn.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/AverageShortTradePercentageReturn.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** AverageShortTradePercentageReturn.cs	15 Feb 2005 19:09:02 -0000	1.2
--- AverageShortTradePercentageReturn.cs	19 Feb 2005 16:02:15 -0000	1.3
***************
*** 16,22 ****
  		{
        this.rowDescription = "Average short trade % Return";
!       double avgReturn =
!         (double) summary.AccountReport.RoundTrades.DataTable.Compute(
!           "avg([%Profit])" , "(Trade='Short')" );
        this.rowValue = avgReturn;
      }
--- 16,30 ----
  		{
        this.rowDescription = "Average short trade % Return";
! 			double avgReturn = 0.0;
! 			try
! 			{
! 				avgReturn =
! 					(double) summary.AccountReport.RoundTrades.DataTable.Compute(
! 					"avg([%Profit])" , "(Trade='Short')" );
! 			}
! 			catch (Exception ex)
! 			{
! 				ex = ex; // to avoid compilation warning;
! 			}
        this.rowValue = avgReturn;
      }

Index: AverageTradePercentageReturn.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/AverageTradePercentageReturn.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** AverageTradePercentageReturn.cs	15 Feb 2005 19:09:02 -0000	1.2
--- AverageTradePercentageReturn.cs	19 Feb 2005 16:02:15 -0000	1.3
***************
*** 16,21 ****
  		{
        this.rowDescription = "Average trade % Return";
!       double avgReturn = (double) summary.AccountReport.RoundTrades.DataTable.Compute( "avg([%Profit])" , "true" );
!       this.rowValue = avgReturn;
      }
  	}
--- 16,27 ----
  		{
        this.rowDescription = "Average trade % Return";
! 			try
! 			{
! 				this.rowValue = (double) summary.AccountReport.RoundTrades.DataTable.Compute( "avg([%Profit])" , "true" );
! 			}
! 			catch (Exception ex)
! 			{
! 				ex = ex; // to avoid compilation warning;
! 			}
      }
  	}

Index: LargestLosingTradePercentage.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/LargestLosingTradePercentage.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** LargestLosingTradePercentage.cs	15 Feb 2005 19:09:03 -0000	1.2
--- LargestLosingTradePercentage.cs	19 Feb 2005 16:02:15 -0000	1.3
***************
*** 16,21 ****
  		{
        this.rowDescription = "Largest losing trade";
!       this.rowValue =
!         (double) summary.AccountReport.RoundTrades.DataTable.Compute( "min([%Profit])" , "([%Profit]<0)" );
      }
  	}
--- 16,28 ----
  		{
        this.rowDescription = "Largest losing trade";
! 			try
! 			{
! 				this.rowValue =
! 					(double) summary.AccountReport.RoundTrades.DataTable.Compute( "min([%Profit])" , "([%Profit]<0)" );
! 			}
! 			catch (Exception ex)
! 			{
! 				ex = ex; // to avoid compilation warning;
! 			}
      }
  	}

Index: TotalNumberOfTrades.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/TotalNumberOfTrades.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** TotalNumberOfTrades.cs	15 Feb 2005 19:09:04 -0000	1.2
--- TotalNumberOfTrades.cs	19 Feb 2005 16:02:15 -0000	1.3
***************
*** 15,21 ****
        double totalROA = summary.TotalPnl / ( summary.FinalAccountValue - summary.TotalPnl );
        this.rowDescription = "Total # of trades";
!       DataRow[] DataRows =
!         summary.AccountReport.RoundTrades.DataTable.Select( "(ExitPrice is not null)" );
!       this.rowValue = DataRows.Length;
      }
  	}
--- 15,28 ----
        double totalROA = summary.TotalPnl / ( summary.FinalAccountValue - summary.TotalPnl );
        this.rowDescription = "Total # of trades";
! 			try
! 			{
! 				DataRow[] DataRows =
! 					summary.AccountReport.RoundTrades.DataTable.Select( "(ExitPrice is not null)" );
! 				this.rowValue = DataRows.Length;
! 			}
! 			catch (Exception ex)
! 			{
! 				ex = ex; // to avoid compilation warning;
! 			}
      }
  	}