quantproject-developers

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Account.cs,1.9,1.10

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv30157/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Account.cs 
Log Message:
Set back to previous revision

Index: Account.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Account.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** Account.cs	14 Dec 2004 21:30:14 -0000	1.9
--- Account.cs	15 Dec 2004 23:13:47 -0000	1.10
***************
*** 170,189 ****
  				moneyAmount );
  		}
!     public void ClearOrders()
!     {
!       this.activeOrders.Clear(); 
!     }
  		public void AddOrder( Order order )
  		{
! 			this.activeOrders.Add(order); 
!       //this.orderExecutor.Execute( order );
  		}
-     public void ExecuteActiveOrders()
-     {
-       foreach(object order in this.activeOrders)
-       {
-         this.orderExecutor.Execute( (Order)order );
-       }
-     }
  		public bool Contains( Instrument instrument )
  		{
--- 170,178 ----
  				moneyAmount );
  		}
! 
  		public void AddOrder( Order order )
  		{
! 			this.orderExecutor.Execute( order );
  		}
  		public bool Contains( Instrument instrument )
  		{

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj,1.18,1.19

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29799/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
My vsnet environment, automatically added a reference to
Microsoft.Office.Core

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** b3_Data.csproj	14 Dec 2004 21:31:45 -0000	1.18
--- b3_Data.csproj	15 Dec 2004 23:12:26 -0000	1.19
***************
*** 125,128 ****
--- 125,136 ----
                      WrapperTool = "primary"
                  />
+                 <Reference
+                     Name = "Microsoft.Office.Core"
+                     Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}"
+                     VersionMajor = "2"
+                     VersionMinor = "3"
+                     Lcid = "0"
+                     WrapperTool = "primary"
+                 />
              </References>
          </Build>
***************
*** 136,140 ****
                  <File
                      RelPath = "ExtendedDataTable.cs"
!                     SubType = "Component"
                      BuildAction = "Compile"
                  />
--- 144,148 ----
                  <File
                      RelPath = "ExtendedDataTable.cs"
!                     SubType = "Code"
                      BuildAction = "Compile"
                  />

[Quantproject-developers] QuantProject/b5_Presentation b5_Presentation.csproj,1.14,1.15

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29799/b5_Presentation

Modified Files:
	b5_Presentation.csproj 
Log Message:
My vsnet environment, automatically added a reference to
Microsoft.Office.Core

Index: b5_Presentation.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** b5_Presentation.csproj	14 Dec 2004 21:31:45 -0000	1.14
--- b5_Presentation.csproj	15 Dec 2004 23:12:27 -0000	1.15
***************
*** 126,129 ****
--- 126,137 ----
                  />
                  <Reference
+                     Name = "Microsoft.Office.Core"
+                     Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}"
+                     VersionMajor = "2"
+                     VersionMinor = "3"
+                     Lcid = "0"
+                     WrapperTool = "primary"
+                 />
+                 <Reference
                      Name = "scpl"
                      AssemblyName = "scpl"
***************
*** 151,155 ****
                  <File
                      RelPath = "Charting\Chart.cs"
!                     SubType = "UserControl"
                      BuildAction = "Compile"
                  />
--- 159,163 ----
                  <File
                      RelPath = "Charting\Chart.cs"
!                     SubType = "Code"
                      BuildAction = "Compile"
                  />

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj,1.14,1.15

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29799/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
My vsnet environment, automatically added a reference to
Microsoft.Office.Core

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** b4_Business.csproj	14 Dec 2004 21:30:15 -0000	1.14
--- b4_Business.csproj	15 Dec 2004 23:12:26 -0000	1.15
***************
*** 130,133 ****
--- 130,141 ----
                      WrapperTool = "primary"
                  />
+                 <Reference
+                     Name = "Microsoft.Office.Core"
+                     Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}"
+                     VersionMajor = "2"
+                     VersionMinor = "3"
+                     Lcid = "0"
+                     WrapperTool = "primary"
+                 />
              </References>
          </Build>

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj,1.17,1.18

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12941/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:


Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** b3_Data.csproj	13 Dec 2004 01:54:11 -0000	1.17
--- b3_Data.csproj	14 Dec 2004 21:31:45 -0000	1.18
***************
*** 125,136 ****
                      WrapperTool = "primary"
                  />
-                 <Reference
-                     Name = "Microsoft.Office.Core"
-                     Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}"
-                     VersionMajor = "2"
-                     VersionMinor = "3"
-                     Lcid = "0"
-                     WrapperTool = "primary"
-                 />
              </References>
          </Build>
--- 125,128 ----

[Quantproject-developers] QuantProject/b5_Presentation b5_Presentation.csproj,1.13,1.14

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12941/b5_Presentation

Modified Files:
	b5_Presentation.csproj 
Log Message:


Index: b5_Presentation.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** b5_Presentation.csproj	5 Dec 2004 02:36:20 -0000	1.13
--- b5_Presentation.csproj	14 Dec 2004 21:31:45 -0000	1.14
***************
*** 126,137 ****
                  />
                  <Reference
-                     Name = "Microsoft.Office.Core"
-                     Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}"
-                     VersionMajor = "2"
-                     VersionMinor = "3"
-                     Lcid = "0"
-                     WrapperTool = "primary"
-                 />
-                 <Reference
                      Name = "scpl"
                      AssemblyName = "scpl"
--- 126,129 ----

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Account.cs,1.8,1.9

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12398/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Account.cs 
Log Message:
Modified Add (Order order) method:
now it is simply updated the activeOrders field (arrayList)

Added new methods:
- ClearOrders, for clearing all activeOrders;
- ExecuteOrders, for execution of all active orders

Index: Account.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Account.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** Account.cs	5 Dec 2004 02:42:45 -0000	1.8
--- Account.cs	14 Dec 2004 21:30:14 -0000	1.9
***************
*** 170,178 ****
  				moneyAmount );
  		}
! 
  		public void AddOrder( Order order )
  		{
! 			this.orderExecutor.Execute( order );
  		}
  		public bool Contains( Instrument instrument )
  		{
--- 170,189 ----
  				moneyAmount );
  		}
!     public void ClearOrders()
!     {
!       this.activeOrders.Clear(); 
!     }
  		public void AddOrder( Order order )
  		{
! 			this.activeOrders.Add(order); 
!       //this.orderExecutor.Execute( order );
  		}
+     public void ExecuteActiveOrders()
+     {
+       foreach(object order in this.activeOrders)
+       {
+         this.orderExecutor.Execute( (Order)order );
+       }
+     }
  		public bool Contains( Instrument instrument )
  		{

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj,1.13,1.14

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12398/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
Modified Add (Order order) method:
now it is simply updated the activeOrders field (arrayList)

Added new methods:
- ClearOrders, for clearing all activeOrders;
- ExecuteOrders, for execution of all active orders

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** b4_Business.csproj	5 Dec 2004 02:35:35 -0000	1.13
--- b4_Business.csproj	14 Dec 2004 21:30:15 -0000	1.14
***************
*** 130,141 ****
                      WrapperTool = "primary"
                  />
-                 <Reference
-                     Name = "Microsoft.Office.Core"
-                     Guid = "{2DF8D04C-5BFA-101B-BDE5-00AA0044DE52}"
-                     VersionMajor = "2"
-                     VersionMinor = "3"
-                     Lcid = "0"
-                     WrapperTool = "primary"
-                 />
              </References>
          </Build>
--- 130,133 ----

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic GeneticOptimizer.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv11712/b1_ADT/Optimizing/Genetic

Modified Files:
	GeneticOptimizer.cs 
Log Message:
Updated GeneticOptimizer class (minor changes)

Index: GeneticOptimizer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/GeneticOptimizer.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GeneticOptimizer.cs	1 Dec 2004 22:36:11 -0000	1.1
--- GeneticOptimizer.cs	14 Dec 2004 21:26:54 -0000	1.2
***************
*** 180,184 ****
          for (int i = 0; !this.IsConvergenceReached(); i++)
          {
!         	this.generateNewPopulation(true);
          }
        }
--- 180,184 ----
          for (int i = 0; !this.IsConvergenceReached(); i++)
          {
!         	this.generateNewPopulation(showOutputToConsole);
          }
        }
***************
*** 187,191 ****
          for (int i = 0; i < this.generationNumber; i++)
          {
!           this.generateNewPopulation(true);
          }
        }
--- 187,191 ----
          for (int i = 0; i < this.generationNumber; i++)
          {
!           this.generateNewPopulation(showOutputToConsole);
          }
        }

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting GenomeManagerForEfficientCTOPortfolio.cs,1.1,1.2 RunEfficientCTOPortfolio.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv11480/b7_Scripts/TickerSelectionTesting

Modified Files:
	GenomeManagerForEfficientCTOPortfolio.cs 
	RunEfficientCTOPortfolio.cs 
Log Message:
Script based on efficient portfolio theory: 
modified GetFitnessValue implementation for the IGenomeManager used by this script. Now it is maximized a probability value. 

Index: GenomeManagerForEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/GenomeManagerForEfficientCTOPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerForEfficientCTOPortfolio.cs	1 Dec 2004 22:40:03 -0000	1.1
--- GenomeManagerForEfficientCTOPortfolio.cs	14 Dec 2004 21:25:45 -0000	1.2
***************
*** 104,115 ****
      {
        //parameters used to balance the rate of return against variance
!       double a=2.5, b=2.0; 
        double portofolioVariance = this.getPortfolioVariance(genome.Genes());
        double portfolioRateOfReturn = this.getPortfolioRateOfReturn(genome.Genes());
        this.variance = portofolioVariance;
        this.rateOfReturn = portfolioRateOfReturn;
!       
!       double returnValue = System.Math.Pow(((this.targetStdDev*this.targetStdDev)/portofolioVariance),a)*
!                            System.Math.Pow(System.Math.Max(0.0,(portfolioRateOfReturn/this.targetPerformance)),b); 
        return returnValue;
      }
--- 104,116 ----
      {
        //parameters used to balance the rate of return against variance
!       //double a=2.5, b=2.0; 
        double portofolioVariance = this.getPortfolioVariance(genome.Genes());
        double portfolioRateOfReturn = this.getPortfolioRateOfReturn(genome.Genes());
        this.variance = portofolioVariance;
        this.rateOfReturn = portfolioRateOfReturn;
!       NormalDistribution normal = new NormalDistribution(portfolioRateOfReturn, Math.Sqrt(portofolioVariance));
!       double returnValue = normal.GetProbability(this.targetPerformance*0.5,this.targetPerformance*1.5);
!       //double returnValue = System.Math.Pow(((this.targetStdDev*this.targetStdDev)/portofolioVariance),a)*
!                            //System.Math.Pow(System.Math.Max(0.0,(portfolioRateOfReturn/this.targetPerformance)),b); 
        return returnValue;
      }
***************
*** 154,157 ****
--- 155,169 ----
      public object Decode(Genome genome)
      {
+       
+       string[] arrayOfTickers = new string[genome.Genes().Length];
+       int indexOfTicker;
+       for(int index = 0; index < genome.Genes().Length; index++)
+       {
+         indexOfTicker = (int)genome.Genes().GetValue(index);
+         arrayOfTickers[index] = (string)this.setOfTickers.Rows[indexOfTicker][0];
+       }
+       return arrayOfTickers;
+       
+       /*old implementation, to be used for output to console
        string sequenceOfTickers = ""; 
        object returnValue;
***************
*** 164,167 ****
--- 176,181 ----
                          System.Math.Sqrt(this.Variance) + ")";
        return returnValue;
+       */
+       
      }
      // end of implementation of IGenomeManager

Index: RunEfficientCTOPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunEfficientCTOPortfolio.cs	1 Dec 2004 22:40:03 -0000	1.1
--- RunEfficientCTOPortfolio.cs	14 Dec 2004 21:25:46 -0000	1.2
***************
*** 22,47 ****
  
  using System;
- using System.Data;
- using QuantProject.ADT.Optimizing.Genetic;
- 
- /*
  using System.Collections;
  using QuantProject.ADT;
  using QuantProject.Business.Financial.Accounting.Reporting;
  using QuantProject.Business.Financial.Instruments;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Testing;
! using QuantProject.Data.DataTables;
  using QuantProject.Data.DataProviders;
- using QuantProject.Presentation.Reporting.WindowsForm;
- */
- using QuantProject.Business.Scripting;
  using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
  {
  	/// <summary>
! 	/// Script to find the efficient close to open daily portfolio
  	/// </summary>
  	public class RunEfficientCTOPorfolio : Script
--- 22,52 ----
  
  using System;
  using System.Collections;
+ using System.Data;
  using QuantProject.ADT;
+ using QuantProject.ADT.Optimizing.Genetic;
+ using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Accounting.Reporting;
  using QuantProject.Business.Financial.Instruments;
+ using QuantProject.Business.Financial.Ordering;
+ using QuantProject.Business.Scripting;
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Testing;
! using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
  using QuantProject.Data.Selectors; 
  using QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios;
+ using QuantProject.Presentation.Reporting.WindowsForm;
+ 
  
  namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
  {
  	/// <summary>
! 	/// Script to buy at open and sell at close 
! 	/// the efficient close to open daily portfolio
! 	/// The efficient portfolio's generation rules
! 	/// (contained in the EndOfDayTimerHandler) are:
! 	/// - choose the most liquid tickers;
! 	/// - choose the most efficient portfolio among these tickers
  	/// </summary>
  	public class RunEfficientCTOPorfolio : Script
***************
*** 49,64 ****
      //DateTime lastDate = DateTime.Now.Date;
  		//DateTime firstDate = DateTime.Now.Date.AddDays(-60);
      DateTime lastDate = new DateTime(2004,11,25);
      DateTime firstDate = new DateTime(2004,9,25);
      
  		
      public RunEfficientCTOPorfolio()
  		{
! 			
  		}
      #region Run
      
        
!     public override void Run()
      {
        //"STOCKMI"
--- 54,89 ----
      //DateTime lastDate = DateTime.Now.Date;
  		//DateTime firstDate = DateTime.Now.Date.AddDays(-60);
+     //these two members are used by the old script
      DateTime lastDate = new DateTime(2004,11,25);
      DateTime firstDate = new DateTime(2004,9,25);
+     //
      
+     private ReportTable reportTable;
+     private EndOfDayDateTime startDateTime;
+     private EndOfDayDateTime endDateTime;
+     private int numIntervalDays;// number of days for the equity line graph
+ 
+     //private ProgressBarForm progressBarForm;
+ 
+     private EndOfDayTimerHandler endOfDayTimerHandler;
+ 
+     private Account account;
+ 		
+     private IEndOfDayTimer endOfDayTimer;
  		
      public RunEfficientCTOPorfolio()
  		{
!       //this.progressBarForm = new ProgressBarForm();
!       this.reportTable = new ReportTable( "Summary_Reports" );
!       this.startDateTime = new EndOfDayDateTime(
!         new DateTime( 2002 , 1 , 1 ) , EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
!       this.endDateTime = new EndOfDayDateTime(
!         new DateTime( 2002 , 3 , 31 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.numIntervalDays = 7;
  		}
      #region Run
      
        
!     private void run_FindBestPortfolioForNextTrade()
      {
        //"STOCKMI"
***************
*** 74,80 ****
--- 99,199 ----
        GO.MutationRate = 0.05;
        GO.Run(true);
+       //it has to be changed the decode implementation for this IGenomeManager
        System.Console.WriteLine("\n\nThe best solution found is: " + (string)GO.BestGenome.Meaning +
          " with {0} generations", GO.GenerationCounter);
  		}
+ 
+     private void run_initializeEndOfDayTimer()
+     {
+       this.endOfDayTimer =
+         new HistoricalEndOfDayTimer( this.startDateTime );
+     }
+     private void run_initializeAccount()
+     {
+       this.account = new Account( "EfficientCloseToOpenPortfolio" , this.endOfDayTimer ,
+         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ) ,
+         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ) );
+      
+     }
+     private void run_initializeEndOfDayTimerHandler()
+     {
+       this.endOfDayTimerHandler = new EndOfDayTimerHandler(70,6,this.account );
+     }
+     /*
+     private  void inSampleNewProgressEventHandler(
+       Object sender , NewProgressEventArgs eventArgs )
+     {
+       this.progressBarForm.ProgressBarInSample.Value = eventArgs.CurrentProgress;
+       this.progressBarForm.ProgressBarInSample.Refresh();
+     }
+     private void run_initializeProgressHandlers()
+     {
+       this.endOfDayTimerHandler.InSampleNewProgress +=
+         new InSampleNewProgressEventHandler( this.inSampleNewProgressEventHandler );
+     }
+     */
+ 		#region oneHourAfterMarketCloseEventHandler
+     /*
+     private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
+       IEndOfDayTimer endOfDayTimer )
+     {
+       long elapsedDays = Convert.ToInt64( ((TimeSpan)( endOfDayTimer.GetCurrentTime().DateTime - 
+         this.startDateTime.DateTime )).TotalDays );
+       long totalDays = Convert.ToInt64( ((TimeSpan)( this.endDateTime.DateTime - 
+         this.startDateTime.DateTime )).TotalDays );
+       if ( Math.Floor( elapsedDays / totalDays * 100 ) >
+         Math.Floor( ( elapsedDays - 1 ) / totalDays * 100 ) )
+         // a new out of sample time percentage point has been elapsed
+         this.progressBarForm.ProgressBarOutOfSample.Value =
+           Convert.ToInt16( Math.Floor( elapsedDays / totalDays * 100 ) );
+     }
+     public void oneHourAfterMarketCloseEventHandler(
+       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
+     {
+       this.oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
+         ( IEndOfDayTimer )sender );
+       if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
+         this.endDateTime.DateTime )
+       {
+         // the simulation has reached the ending date
+         this.account.EndOfDayTimer.Stop();
+         this.progressBarForm.Close();
+       }
+     }
+     */
+ 		#endregion
+ 
+     public override void Run()
+     {
+       //old script
+       //this.run_FindBestPortfolioForNextTrade();
+       
+       Report report;
+       run_initializeEndOfDayTimer();
+       run_initializeAccount();
+       run_initializeEndOfDayTimerHandler();
+       //run_initializeProgressHandlers();
+       this.endOfDayTimer.MarketOpen +=
+         new MarketOpenEventHandler(
+         this.endOfDayTimerHandler.MarketOpenEventHandler);  
+       
+       this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
+         new FiveMinutesBeforeMarketCloseEventHandler(
+         this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
+ 
+       this.endOfDayTimer.OneHourAfterMarketClose +=
+         new OneHourAfterMarketCloseEventHandler(
+         this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
+       //this.endOfDayTimer.OneHourAfterMarketClose +=
+         //new OneHourAfterMarketCloseEventHandler(
+         //this.oneHourAfterMarketCloseEventHandler );
+       
+       //this.progressBarForm.Show();
+       this.endOfDayTimer.Start();
+       report = new Report( this.account );
+       report.Show("CTO_Portfolio" , this.numIntervalDays , this.startDateTime , "CTO_Portfolio" );
+ 
+       
+     }
      #endregion 
  	}

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.14,1.15

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv10493/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
Added EndOfDayTimerHandler in order to run a script based on the efficient portfolio theory


Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** b7_Scripts.csproj	1 Dec 2004 22:40:03 -0000	1.14
--- b7_Scripts.csproj	14 Dec 2004 21:21:41 -0000	1.15
***************
*** 183,186 ****
--- 183,191 ----
                  />
                  <File
+                     RelPath = "TickerSelectionTesting\EndOfDayTimerHandler.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "TickerSelectionTesting\GenomeManagerForEfficientCTOPortfolio.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting EndOfDayTimerHandler.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv10493/b7_Scripts/TickerSelectionTesting

Added Files:
	EndOfDayTimerHandler.cs 
Log Message:
Added EndOfDayTimerHandler in order to run a script based on the efficient portfolio theory


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

EndOfDayTimerHandler.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.Data;
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.Data.Selectors;
using QuantProject.ADT.Optimizing.Genetic;

namespace QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios
{
	
  /// <summary>
  /// Implements MarketOpenEventHandler,
  /// TwoMinutesBeforeMarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
  /// These handlers contain the core strategy for the efficient close to open portfolio!
  /// </summary>
  public class EndOfDayTimerHandler
  {
    private DataTable eligibleTickers;
    private string[] chosenTickers;

    private int numberOfEligibleTickers;
    private int numberOfTickersToBeChosen;
		
    private Account account;

    public int NumberOfEligibleTickers
    {
      get { return this.numberOfEligibleTickers; }
    }
		
    public Account Account
    {
      get { return this.account; }
    }
		
    public EndOfDayTimerHandler(int numberOfEligibleTickers, 
      int numberOfTickersToBeChosen, 
      Account account )
    {
      this.numberOfEligibleTickers = numberOfEligibleTickers;
      this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
      this.account = account;
      
    }
		    
    #region MarketOpenEventHandler
    /// <summary>
    /// Handles a "Market Open" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public void MarketOpenEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      if(this.account.Transactions.Count == 0)
        this.account.AddCash(endOfDayTimingEventArgs.EndOfDayDateTime,
                              16000);
      
      this.account.ExecuteActiveOrders();
    }
		#endregion

    #region FiveMinutesBeforeMarketCloseEventHandler
    
    private void fiveMinutesBeforeMarketCloseEventHandler_closePosition(
      string ticker )
    {
      this.account.ClosePosition( ticker );
    }
    private void fiveMinutesBeforeMarketCloseEventHandler_closePositions()
    {
      foreach ( string ticker in this.account.Portfolio.Keys )
        fiveMinutesBeforeMarketCloseEventHandler_closePosition( ticker );
    }
    private void fiveMinutesBeforeMarketCloseEventHandler_openPosition(
      string ticker )
    {
      double maxPositionValue = this.account.CashAmount / this.numberOfTickersToBeChosen;
      long sharesToBeBought = Convert.ToInt64(
        Math.Floor( maxPositionValue /
        this.account.DataStreamer.GetCurrentAsk( ticker ) ) );
      this.account.AddOrder( new Order( OrderType.MarketBuy ,
        new Instrument( ticker ) , sharesToBeBought ) );
    }
    private void fiveMinutesBeforeMarketCloseEventHandler_openPositions()
    {
      foreach ( string ticker in this.chosenTickers )
        this.fiveMinutesBeforeMarketCloseEventHandler_openPosition( ticker );
    }
    public void FiveMinutesBeforeMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      this.fiveMinutesBeforeMarketCloseEventHandler_closePositions();
      //fiveMinutesBeforeMarketCloseEventHandler_openPositions();
    }
    
    #endregion

		#region OneHourAfterMarketCloseEventHandler
    private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions(
      IEndOfDayTimer endOfDayTimer )
    {
      foreach ( Position position in this.account.Portfolio )
        foreach(string ticker in this.chosenTickers)
        {
          if (position.Instrument.Key == ticker )
          {
            this.account.ClosePosition( position );
          }
        }
        
    }
    private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker(
      string ticker )
    {
      double cashForSinglePosition = this.account.CashAmount / this.numberOfTickersToBeChosen;
      long quantity =
        Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( ticker ) ) );
      Order order = new Order( OrderType.MarketBuy , new Instrument( ticker ) , quantity );
      this.account.AddOrder( order );
    }
    private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions()
    {
      foreach ( string ticker in this.chosenTickers )
        if ( !this.account.Contains( ticker ) )
        {
          oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions_forTicker( ticker );
        }
    }
    private void oneHourAfterMarketCloseEventHandler_orderChosenTickers(
      IEndOfDayTimer endOfDayTimer )
    {
      //this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions( endOfDayTimer );
      this.oneHourAfterMarketCloseEventHandler_orderChosenTickers_openPositions();
    }
    /// <summary>
    /// Handles a "One hour after market close" event.
    /// </summary>
    /// <param name="sender"></param>
    /// <param name="eventArgs"></param>
    public void OneHourAfterMarketCloseEventHandler(
      Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
    {
      this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
      this.account.ClearOrders();
      oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
    }
		
    
    private void setTickers(DateTime currentDate)
    {
      TickerSelector mostLiquid = new TickerSelector(SelectionType.Liquidity,
        false, "STOCKMI", currentDate, currentDate.AddDays(60), this.numberOfEligibleTickers);
      this.eligibleTickers = mostLiquid.GetTableOfSelectedTickers();
      IGenomeManager genManEfficientCTOPortfolio = 
        new GenomeManagerForEfficientCTOPortfolio(this.eligibleTickers,currentDate, 
        currentDate.AddDays(60), 
        this.numberOfTickersToBeChosen, 0.005, 0.05);
      GeneticOptimizer GO = new GeneticOptimizer(genManEfficientCTOPortfolio);
      //GO.KeepOnRunningUntilConvergenceIsReached = true;
      GO.GenerationNumber = 4;
      GO.MutationRate = 0.05;
      GO.Run(false);
      this.chosenTickers = (string[])GO.BestGenome.Meaning;
    }
    #endregion
		
  }
}

[Quantproject-developers] QuantProject/b1_ADT/Statistics CalculusApproximation.cs,NONE,1.1 IPdfDefiner.cs,NONE,1.1 NormalDistribution.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Statistics
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv9650/b1_ADT/Statistics

Added Files:
	CalculusApproximation.cs IPdfDefiner.cs NormalDistribution.cs 
Log Message:
Added these classes to the project:
- NormalDistribution, for probability computation;
- CalculusApproximation,  in order to calculate area between two points of given probability density function;
- IPdfDefiner, interface used by the CalculusApproximation class


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

NormalDistribution.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 QuantProject.ADT.Calculus;


namespace QuantProject.ADT.Statistics
{
	/// <summary>
	/// Class for the normal distribution
	/// </summary>
  public class NormalDistribution : IPdfDefiner
	{
	  
	  private double average;
		private double stdDeviation;
		
		private double infinity;
		private int numOfIntervalsForPDFIntegralApproximation;
	  
	  public NormalDistribution(double average, double stdDeviation)
    {
    	if(stdDeviation < 0)
    		throw new Exception("Standard deviation must be > 0!");
    	
    	this.average = average;
    	this.stdDeviation = stdDeviation;
    	this.infinity = 15 * stdDeviation;
    	this.numOfIntervalsForPDFIntegralApproximation =
    					Convert.ToInt32(25*this.infinity);
    }
    /// <summary>
    /// gets the probability density function at point x
    /// for the current instance of normal distribution
    /// </summary>
    public double GetProbabilityDensityValue(double x)
    {
    	double y;
    	y = Math.Pow(Math.E,(-Math.Pow(x-this.average,2)
    	             /(2*this.stdDeviation*this.stdDeviation)))
    	    /(Math.Sqrt(2*Math.PI)*this.stdDeviation);
    	return y;
    }
    // end of IPdfDefiner implementation
    
    /// <summary>
    /// gets the probability that the normal random variable with the
    /// current features is less or equal to y
    /// </summary>
 		public double GetProbability(double y)
    {
     	return this.GetProbability(-this.infinity, y);
    }
    
    /// <summary>
    /// gets the probability that the current normal random variable
    /// is between a and b
    /// </summary>
 		public double GetProbability(double a, double b)
    {
     	return 
     	CalculusApproximation.GetArea((IPdfDefiner)this,a,b,
     	                           this.numOfIntervalsForPDFIntegralApproximation);
    }
    
	}
}

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

CalculusApproximation.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 QuantProject.ADT.Statistics;

namespace QuantProject.ADT.Calculus
{
	/// <summary>
	/// Class providing static methods for calculus approximation
	/// </summary>
  public class CalculusApproximation 
	{
	  /// <summary>
		/// Computes area using a standard approximation method
		/// </summary>
	 	public static double GetArea(IPdfDefiner distributionWithPDF,
	 	                             double a, double b,
	 	                             int numInterval)
		{
			double h = 0;
			double area = 0;
			if (numInterval <= 0)
			 	 throw new Exception("Number of intervals must be > 0!");
			if (a > b)
         throw new Exception("< a > must be less than < b >");
      h = (b - a)/numInterval;
			area = distributionWithPDF.GetProbabilityDensityValue(b);
			area += distributionWithPDF.GetProbabilityDensityValue(a);
			area = area/2;
			for (int conta = 1; conta < numInterval; conta++)
			{
				area +=  distributionWithPDF.GetProbabilityDensityValue(a+conta*h);
			}
			area = area * h;
	
			return area;

		}
       
	}
}

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

IPdfDefiner.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;

namespace QuantProject.ADT.Statistics
{
	/// <summary>
	/// Interface for distribution that define a probability
	/// density function - PDF
	/// </summary>
  public interface IPdfDefiner 
	{
	  //gets the probability density function at point x
    double GetProbabilityDensityValue(double x);
	}
}

[Quantproject-developers] QuantProject/b1_ADT b1_ADT.csproj,1.11,1.12

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv9650/b1_ADT

Modified Files:
	b1_ADT.csproj 
Log Message:
Added these classes to the project:
- NormalDistribution, for probability computation;
- CalculusApproximation,  in order to calculate area between two points of given probability density function;
- IPdfDefiner, interface used by the CalculusApproximation class


Index: b1_ADT.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/b1_ADT.csproj,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** b1_ADT.csproj	5 Dec 2004 19:14:56 -0000	1.11
--- b1_ADT.csproj	14 Dec 2004 21:18:04 -0000	1.12
***************
*** 193,200 ****
--- 193,215 ----
                  />
                  <File
+                     RelPath = "Statistics\CalculusApproximation.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "Statistics\Function.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
+                 <File
+                     RelPath = "Statistics\IPdfDefiner.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "Statistics\NormalDistribution.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
              </Include>
          </Files>

[Quantproject-developers] QuantProject QuantProject.suo,1.41,1.42

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv10852

Modified Files:
	QuantProject.suo 
Log Message:
no message

Index: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.41
retrieving revision 1.42
diff -C2 -d -r1.41 -r1.42
Binary files /tmp/cvsbzZogi and /tmp/cvsNxqaDk differ

[Quantproject-developers] QuantProject/b3_Data/DataProviders HistoricalDataStreamer.cs,1.2,NONE

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv10694

Removed Files:
	HistoricalDataStreamer.cs 
Log Message:
HistoricalDataStreamer.cs has been removed from the project.

--- HistoricalDataStreamer.cs DELETED ---

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj,1.16,1.17

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv10331/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
HistoricalDataStreamer.cs has been removed from the project.

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** b3_Data.csproj	5 Dec 2004 02:34:33 -0000	1.16
--- b3_Data.csproj	13 Dec 2004 01:54:11 -0000	1.17
***************
*** 158,166 ****
                  />
                  <File
-                     RelPath = "DataProviders\HistoricalDataStreamer.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
                      RelPath = "DataProviders\IDataStreamer.cs"
                      SubType = "Code"
--- 158,161 ----

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Portfolio.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv10019/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Portfolio.cs 
Log Message:
Bug fixed: now positions are properly removed, when
quantity goes to zero.

Index: Portfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Portfolio.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Portfolio.cs	29 Nov 2004 16:18:17 -0000	1.2
--- Portfolio.cs	13 Dec 2004 01:52:34 -0000	1.3
***************
*** 97,101 ****
          this.Add( instrument.Key , new Position( instrument , -quantity ) ) ;
        if ( this.GetPosition( instrument ).Quantity == 0 )
!         this.Remove( instrument );
      }
  
--- 97,101 ----
          this.Add( instrument.Key , new Position( instrument , -quantity ) ) ;
        if ( this.GetPosition( instrument ).Quantity == 0 )
!         this.Remove( instrument.Key );
      }
  
***************
*** 115,118 ****
--- 115,120 ----
            this.remove( transaction.Instrument , transaction.Quantity );
            break;
+ 				case TransactionType.AddCash:
+ 					break;
          default:
            errorArised = true;

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/OneRank OneRank.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv9704/b7_Scripts/SimpleTesting/OneRank

Modified Files:
	OneRank.cs 
Log Message:
Bug fixed: now the strategy checks if the instrument is
actually traded, before acting.

Index: OneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank/OneRank.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** OneRank.cs	5 Dec 2004 02:46:14 -0000	1.2
--- OneRank.cs	13 Dec 2004 01:50:43 -0000	1.3
***************
*** 48,53 ****
  				this.account.AddCash( 10000 );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			long sharesToBeBought;
--- 48,52 ----
  				this.account.AddCash( 10000 );
  		}
! 		private void fiveMinutesBeforeMarketCloseEventHandler_withTickerExchangedNow()
  		{
  			long sharesToBeBought;
***************
*** 78,81 ****
--- 77,88 ----
  				this.account.EndOfDayTimer.Stop();
  		}
+ 		private void fiveMinutesBeforeMarketCloseEventHandler(
+ 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
+ 		{
+ 
+ 			if ( this.account.DataStreamer.IsExchanged( this.account.Key ) )
+ 				// the given ticker is currently exchanged
+ 				fiveMinutesBeforeMarketCloseEventHandler_withTickerExchangedNow();
+ 		}
  		/// <summary>
  		/// Runs the OneRank strategy

[Quantproject-developers] QuantProject/b3_Data/DataProviders IDataStreamer.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv9253/b3_Data/DataProviders

Modified Files:
	IDataStreamer.cs 
Log Message:
The IsExchanged method is added to the interface.

Index: IDataStreamer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/IDataStreamer.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** IDataStreamer.cs	29 Nov 2004 16:09:09 -0000	1.2
--- IDataStreamer.cs	13 Dec 2004 01:48:45 -0000	1.3
***************
*** 40,43 ****
--- 40,50 ----
  		double GetCurrentBid( string ticker );
  		double GetCurrentAsk( string ticker );
+ 		/// <summary>
+ 		/// true iif the given ticker is exchanged at the time
+ 		/// the method is invoked
+ 		/// </summary>
+ 		/// <param name="ticker"></param>
+ 		/// <returns></returns>
+ 		bool IsExchanged( string ticker );
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a05_Timing HistoricalEndOfDayTimer.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv9024/b4_Business/a05_Timing

Modified Files:
	HistoricalEndOfDayTimer.cs 
Log Message:
Bug fixed: now each EndOfDaySpecificTime is properly fired,
just once for each day.

Index: HistoricalEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/HistoricalEndOfDayTimer.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** HistoricalEndOfDayTimer.cs	29 Nov 2004 14:43:31 -0000	1.1
--- HistoricalEndOfDayTimer.cs	13 Dec 2004 01:47:27 -0000	1.2
***************
*** 74,84 ****
  			while ( this.isActive )
  			{
! 				if ( this.MarketOpen != null )
  					this.MarketOpen( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( this.FiveMinutesBeforeMarketClose != null )
  					this.FiveMinutesBeforeMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( this.MarketClose != null )
  					this.MarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( this.OneHourAfterMarketClose != null )
  					this.OneHourAfterMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
  				this.currentTime.MoveNext();
--- 74,88 ----
  			while ( this.isActive )
  			{
! 				if ( ( this.MarketOpen != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.MarketOpen ) )
  					this.MarketOpen( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( ( this.FiveMinutesBeforeMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.FiveMinutesBeforeMarketClose ) )
  					this.FiveMinutesBeforeMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( ( this.MarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.MarketClose ) )
  					this.MarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
! 				if ( ( this.OneHourAfterMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
! 					EndOfDaySpecificTime.OneHourAfterMarketClose ) )
  					this.OneHourAfterMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
  				this.currentTime.MoveNext();

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalEndOfDayDataStreamer.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv8641/b4_Business/a07_DataProviders

Modified Files:
	HistoricalEndOfDayDataStreamer.cs 
Log Message:
- Added the IsExchanged method

Index: HistoricalEndOfDayDataStreamer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalEndOfDayDataStreamer.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** HistoricalEndOfDayDataStreamer.cs	29 Nov 2004 14:45:07 -0000	1.1
--- HistoricalEndOfDayDataStreamer.cs	13 Dec 2004 01:45:17 -0000	1.2
***************
*** 84,87 ****
--- 84,97 ----
  
  		/// <summary>
+ 		/// true iif the ticker was exchanged at the given date time
+ 		/// </summary>
+ 		/// <param name="ticker"></param>
+ 		/// <returns></returns>
+ 		public bool IsExchanged( string ticker )
+ 		{
+ 			return HistoricalDataProvider.WasExchanged( ticker ,
+ 				this.endOfDayTimer.GetCurrentTime().GetNearestExtendedDateTime() );
+ 		}
+ 		/// <summary>
  		/// Add a ticker whose quotes are to be monitored
  		/// </summary>

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a3_Ordering HistoricalEndOfDayOrderExecutor.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv8520/b4_Business/a1_Financial/a3_Ordering

Modified Files:
	HistoricalEndOfDayOrderExecutor.cs 
Log Message:
Bug fixed: now a new EndOfDayDateTime instance is
created for each EndOfDayTransaction

Index: HistoricalEndOfDayOrderExecutor.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering/HistoricalEndOfDayOrderExecutor.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** HistoricalEndOfDayOrderExecutor.cs	29 Nov 2004 14:51:52 -0000	1.1
--- HistoricalEndOfDayOrderExecutor.cs	13 Dec 2004 01:44:42 -0000	1.2
***************
*** 54,58 ****
  			EndOfDayTransaction endOfDayTransaction = new EndOfDayTransaction(
  				TimedTransaction.GetTransactionType( order.Type ) , order.Instrument ,
! 				order.Quantity , instrumentPrice ,	this.timer.GetCurrentTime() );
  			OrderFilled( this , new OrderFilledEventArgs( order , endOfDayTransaction ) );
  		}
--- 54,60 ----
  			EndOfDayTransaction endOfDayTransaction = new EndOfDayTransaction(
  				TimedTransaction.GetTransactionType( order.Type ) , order.Instrument ,
! 				order.Quantity , instrumentPrice ,
! 				new EndOfDayDateTime( this.timer.GetCurrentTime().DateTime ,
! 				this.timer.GetCurrentTime().EndOfDaySpecificTime ) );
  			OrderFilled( this , new OrderFilledEventArgs( order , endOfDayTransaction ) );
  		}

[Quantproject-developers] QuantProject/b3_Data/DataProviders HistoricalDataProvider.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv8119/b3_Data/DataProviders

Modified Files:
	HistoricalDataProvider.cs 
Log Message:
- Added the IsExchanged method

Index: HistoricalDataProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/HistoricalDataProvider.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** HistoricalDataProvider.cs	29 Nov 2004 16:05:04 -0000	1.3
--- HistoricalDataProvider.cs	13 Dec 2004 01:42:42 -0000	1.4
***************
*** 147,150 ****
--- 147,157 ----
  				).IndexOfKeyOrPrevious( extendedDateTime.DateTime ) ) );
  		}
+ 		public static bool WasExchanged( string instrumentKey , ExtendedDateTime extendedDateTime )
+ 		{
+ 			double marketValue = GetMarketValue( instrumentKey , extendedDateTime  ); // forces caching if needed
+ 			return ( (History) ((Hashtable)
+ 				cachedHistories[ instrumentKey ])[ extendedDateTime.BarComponent ] ).ContainsKey(
+ 				extendedDateTime.DateTime );
+ 		}
  
  		public static double GetMarketValue( string instrumentKey , DateTime dateTime ,

[Quantproject-developers] QuantProject/b1_ADT b1_ADT.csproj,1.10,1.11 ITickerReceiver.cs,1.1,NONE

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv16285/b1_ADT

Modified Files:
	b1_ADT.csproj 
Removed Files:
	ITickerReceiver.cs 
Log Message:
Removed ITickerReceiver interface from ADT (the interface must be placed only into data layer - selectors)


Index: b1_ADT.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/b1_ADT.csproj,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** b1_ADT.csproj	1 Dec 2004 22:36:10 -0000	1.10
--- b1_ADT.csproj	5 Dec 2004 19:14:56 -0000	1.11
***************
*** 123,131 ****
                  />
                  <File
-                     RelPath = "ITickerReceiver.cs"
-                     SubType = "Code"
-                     BuildAction = "Compile"
-                 />
-                 <File
                      RelPath = "Keyed.cs"
                      SubType = "Code"
--- 123,126 ----

--- ITickerReceiver.cs DELETED ---