quantproject-developers

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a3_Ordering IOrderExecutor.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv874

Added Files:
	IOrderExecutor.cs 
Log Message:
Order manager interface

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

Order.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.Financial.Accounting.Transactions;

namespace QuantProject.Business.Financial.Ordering
{
	public delegate void OrderFilledEventHandler(
		Object sender , OrderFilledEventArgs eventArgs );

	/// <summary>
	/// Order manager interface
	/// </summary>
	public interface IOrderExecutor
	{
		void Execute( Order order );

		event OrderFilledEventHandler OrderFilled;
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a3_Ordering HistoricalEndOfDayOrderExecutor.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv30316

Added Files:
	HistoricalEndOfDayOrderExecutor.cs 
Log Message:
Simulates historical order executions/rejections for end of day simulation

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

HistoricalEndOfDayOrderExecutor.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.Data.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Transactions;
using QuantProject.Business.Timing;


namespace QuantProject.Business.Financial.Ordering
{
	/// <summary>
	/// Simulates historical order executions/rejections for end of day simulation
	/// </summary>
	public class HistoricalEndOfDayOrderExecutor : IOrderExecutor
	{
		private IEndOfDayTimer timer;

		public HistoricalEndOfDayOrderExecutor( IEndOfDayTimer timer )
		{
			this.timer = timer;
		}

		public event OrderFilledEventHandler OrderFilled;

		// Tries to execute the order
		public void Execute( Order order )
		{
			double instrumentPrice = HistoricalDataProvider.GetMarketValue( order.Instrument.Key ,
				this.timer.GetCurrentTime().DateTime ,
				this.timer.GetCurrentTime().GetNearestBarComponent() );
			EndOfDayTransaction endOfDayTransaction = new EndOfDayTransaction(
				TimedTransaction.GetTransactionType( order.Type ) , order.Instrument ,
				order.Quantity , instrumentPrice ,	this.timer.GetCurrentTime() );
			OrderFilled( this , new OrderFilledEventArgs( order , endOfDayTransaction ) );
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions EndOfDayTransaction.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29948

Added Files:
	EndOfDayTransaction.cs 
Log Message:
Transaction to be used with end of day strategies

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

TimedTransaction.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.ADT;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;

namespace QuantProject.Business.Financial.Accounting.Transactions
{

	/// <summary>
	/// Transaction to be used with end of day strategies
	/// </summary>
  [Serializable]
  public class EndOfDayTransaction : Transaction
  {
    private EndOfDayDateTime endOfDayDateTime;

    public EndOfDayDateTime EndOfDayDateTime
    {
      get
      {
        return endOfDayDateTime;
      }
    }


    public EndOfDayTransaction( TransactionType transactionType , Double transactionAmount ,
      EndOfDayDateTime endOfDayDateTime )
      : base( transactionType , transactionAmount )
    {
      //base( transactionType , transactionAmount );
      this.endOfDayDateTime = endOfDayDateTime;
    }

    public EndOfDayTransaction( TransactionType transactionType , Instrument instrument ,
      long quantity , double instrumentPrice , EndOfDayDateTime endOfDayDateTime )
      : base( transactionType , instrument , quantity , instrumentPrice )
    {
      this.endOfDayDateTime = endOfDayDateTime;
    }

		static public TransactionType GetTransactionType( OrderType orderType )
		{
			TransactionType returnValue;
			switch ( orderType )
			{
				case OrderType.LimitBuy:
					returnValue = TransactionType.BuyLong;
					break;
				case OrderType.MarketBuy:
					returnValue = TransactionType.BuyLong;
					break;
				case OrderType.LimitCover:
					returnValue = TransactionType.Cover;
					break;
				case OrderType.MarketCover:
					returnValue = TransactionType.Cover;
					break;
				case OrderType.LimitSell:
					returnValue = TransactionType.Sell;
					break;
				case OrderType.MarketSell:
					returnValue = TransactionType.Sell;
					break;
				case OrderType.LimitSellShort:
					returnValue = TransactionType.SellShort;
					break;
				case OrderType.MarketSellShort:
					returnValue = TransactionType.SellShort;
					break;
					//this line should never be reached!
				default:
					returnValue = TransactionType.AddCash;
					break;
			}
			return returnValue;
		}
    public override string ToString()
    {
      return
        base.ToString() +
        "\n   DateTime: " + this.endOfDayDateTime.ToString();
    }
  }
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions TransactionHistory.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29831

Added Files:
	TransactionHistory.cs 
Log Message:
Transaction history

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

TransactionHistory.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.Histories;

namespace QuantProject.Business.Financial.Accounting.Transactions
{
	/// <summary>
	/// Transaction history
	/// </summary>
  [Serializable]
  public class TransactionHistory : History
	{
		public TransactionHistory()
		{
			//
			// TODO: Add constructor logic here
			//
		}

    public double TotalAddedCash
    {
      get 
      {
        double totalAddedCash = 0;
        foreach ( ArrayList arrayList in this.Values )
          foreach ( Transaction transaction in arrayList )
            if ( transaction.Type == TransactionType.AddCash )
              totalAddedCash += transaction.Amount;
        return totalAddedCash;
      }
    }

    public double TotalWithdrawn
    {
      get 
      {
        double totalWithdrawn = 0;
        foreach ( ArrayList arrayList in this.Values )
          foreach ( Transaction transaction in arrayList )
            if ( transaction.Type == TransactionType.Withdraw )
              totalWithdrawn += transaction.Amount;
        return totalWithdrawn;
      }
    }

		public void Add( TimedTransaction transaction )
		{
			base.MultiAdd( transaction.ExtendedDateTime.DateTime , transaction );
		}

		public void Add( EndOfDayTransaction transaction )
		{
			base.MultiAdd( transaction.EndOfDayDateTime.DateTime , transaction );
		}

		public override string ToString()
    {
      string toString = "";
      foreach ( ArrayList arrayList in this.Values )
        foreach ( Transaction transaction in arrayList )
          toString += transaction.ToString();
      return toString;
    }
  }
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29439/Transactions

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions added to the repository

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalEndOfDayDataStreamer.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv28719

Added Files:
	HistoricalEndOfDayDataStreamer.cs 
Log Message:
IDataStreamer implementation using end of day historical data

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

HistoricalEndOfDayDataStreamer.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.Timing;
using QuantProject.Data.DataProviders;

namespace QuantProject.Business.Timing
{
	/// <summary>
	/// IDataStreamer implementation using end of day historical data
	/// </summary>
	public class HistoricalEndOfDayDataStreamer : IDataStreamer
	{
		private Hashtable tickers;

		private IEndOfDayTimer endOfDayTimer;

		private EndOfDayDateTime startDateTime;
		private EndOfDayDateTime endDateTime;

		public EndOfDayDateTime StartDateTime
		{
			get	{	return this.startDateTime;	}
			set	{	this.startDateTime = value;	}
		}

		public EndOfDayDateTime EndDateTime
		{
			get	{	return this.endDateTime;	}
			set	{	this.endDateTime = value;	}
		}

		public HistoricalEndOfDayDataStreamer( IEndOfDayTimer endOfDayTimer )
		{
			this.endOfDayTimer = endOfDayTimer;
			this.endOfDayTimer.MarketOpen += new MarketOpenEventHandler(
				this.marketOpenEventHandler );
			this.tickers = new Hashtable();
		}

		/// <summary>
		/// Returns the current bid for the given ticker
		/// </summary>
		/// <param name="ticker"></param>
		/// <returns></returns>
		public double GetCurrentBid( string ticker )
		{
			return HistoricalDataProvider.GetMarketValue( ticker ,
				this.endOfDayTimer.GetCurrentTime().GetNearestExtendedDateTime() );
		}

		/// <summary>
		/// Returns the current ask for the given ticker
		/// </summary>
		/// <param name="ticker"></param>
		/// <returns></returns>
		public double GetCurrentAsk( string ticker )
		{
			return HistoricalDataProvider.GetMarketValue( ticker ,
				this.endOfDayTimer.GetCurrentTime().GetNearestExtendedDateTime() );
		}

		/// <summary>
		/// Add a ticker whose quotes are to be monitored
		/// </summary>
		/// <param name="ticker"></param>
		public void Add( string ticker )
		{
			if ( !this.tickers.Contains( ticker ) )
				this.tickers.Add( ticker , 1 );
		}

		public event NewQuoteEventHandler NewQuote;

//		/// <summary>
//		/// Starts the time walking simulation
//		/// </summary>
//		public void GoSimulate()
//		{
//			this.timer = new Timer( this.startDateTime , this.endDateTime );
//			timer.NewExtendedDateTime += new NewExtendedDateTimeHandler(
//				this.newExtendedDateTimeHandler );
//			timer.Start();
//		}

		private void marketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs eventArgs )
		{
			if ( this.tickers.Count > 0 )
			{
				// the data streamer is monitoring some ticker
				Hashtable quotes =
					HistoricalDataProvider.GetQuotes( this.tickers ,
					this.endOfDayTimer.GetCurrentTime().GetNearestExtendedDateTime() );
				foreach ( Quote quote in quotes )
					this.NewQuote( this , new NewQuoteEventArgs( quote ) );
			}
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv28349/a07_DataProviders

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders added to the repository

[Quantproject-developers] QuantProject/b4_Business/a05_Timing HistoricalEndOfDayTimer.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv28265

Added Files:
	HistoricalEndOfDayTimer.cs 
Log Message:
IDataStreamer implementation using historical data

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

HistoricalDataStreamer.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;

namespace QuantProject.Business.Timing
{
	/// <summary>
	/// IDataStreamer implementation using historical data
	/// </summary>
	public class HistoricalEndOfDayTimer : IEndOfDayTimer
	{
		private bool isActive;	// true iff the timer is started and not stopped

		private Hashtable tickers;

		private EndOfDayDateTime currentTime;

		private EndOfDayDateTime startDateTime;
//		private EndOfDayDateTime endDateTime;

		public EndOfDayDateTime StartDateTime
		{
			get	{	return this.startDateTime;	}
			set	{	this.startDateTime = value;	}
		}

//		public EndOfDayDateTime EndDateTime
//		{
//			get	{	return this.endDateTime;	}
//			set	{	this.endDateTime = value;	}
//		}

		public event MarketOpenEventHandler MarketOpen;
		public event FiveMinutesBeforeMarketCloseEventHandler FiveMinutesBeforeMarketClose;
		public event MarketCloseEventHandler MarketClose;
		public event OneHourAfterMarketCloseEventHandler OneHourAfterMarketClose;

		public HistoricalEndOfDayTimer( EndOfDayDateTime startDateTime )
		{
			this.startDateTime = startDateTime;
//			this.endDateTime = EndDateTime;
			this.tickers = new Hashtable();
		}

		/// <summary>
		/// Starts the time walking simulation
		/// </summary>
		public void Start()
		{
			this.isActive = true;
			this.currentTime = this.startDateTime;
			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();
			}
		}

		public EndOfDayDateTime GetCurrentTime()
		{
			return this.currentTime;
		}

		/// <summary>
		/// Stops the timer
		/// </summary>
		public void Stop()
		{
			this.isActive = false;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a05_Timing IEndOfDayTimer.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27559

Added Files:
	IEndOfDayTimer.cs 
Log Message:
Interface to be implemented by timers for end of day simulations

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

IEndOfDayTimer.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.ADT;

namespace QuantProject.Business.Timing
{
	public delegate void MarketOpenEventHandler(
	Object sender , EndOfDayTimingEventArgs eventArgs );

	public delegate void FiveMinutesBeforeMarketCloseEventHandler(
	Object sender , EndOfDayTimingEventArgs eventArgs );

	public delegate void MarketCloseEventHandler(
	Object sender , EndOfDayTimingEventArgs eventArgs );

	public delegate void OneHourAfterMarketCloseEventHandler(
	Object sender , EndOfDayTimingEventArgs eventArgs );

	/// <summary>
	/// Interface to be implemented by timers for end of day simulations
	/// </summary>
	public interface IEndOfDayTimer
	{
		event MarketOpenEventHandler MarketOpen;
		event FiveMinutesBeforeMarketCloseEventHandler FiveMinutesBeforeMarketClose;
		event MarketCloseEventHandler MarketClose;
		event OneHourAfterMarketCloseEventHandler OneHourAfterMarketClose;
		EndOfDayDateTime GetCurrentTime();
		/// <summary>
		/// The timer is instructed to begin to fire timing events
		/// </summary>
		void Start();
		void Stop();
	}
}

[Quantproject-developers] QuantProject/b4_Business/a05_Timing EndOfDayTimingEventArgs.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27276

Added Files:
	EndOfDayTimingEventArgs.cs 
Log Message:
Specific daily moments to be used with end of day strategies

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

EndOfDayNewTimeEventArgs.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.ADT;

namespace QuantProject.Business.Timing
{
	/// <summary>
	/// Argument for end of day new time events
	/// </summary>
	public class EndOfDayTimingEventArgs
	{
		private EndOfDayDateTime endOfDayDateTime;

		public EndOfDayDateTime EndOfDayDateTime
		{
			get { return this.endOfDayDateTime; }
		}

		public EndOfDayTimingEventArgs( EndOfDayDateTime endOfDayDateTime )
		{
			this.endOfDayDateTime = endOfDayDateTime;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a05_Timing EndOfDaySpecificTime.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26974

Added Files:
	EndOfDaySpecificTime.cs 
Log Message:
Specific daily moments to be used with end of day strategies

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

EndOfDaySpecificTime.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.ADT;

namespace QuantProject.Business.Timing
{
	/// <summary>
	/// Specific daily moments to be used with end of day strategies
	/// </summary>
	public enum EndOfDaySpecificTime
	{
		MarketOpen,
		FiveMinutesBeforeMarketClose,
		MarketClose,
		OneHourAfterMarketClose
	}
}

[Quantproject-developers] QuantProject/b4_Business/a05_Timing EndOfDayDateTime.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26652

Added Files:
	EndOfDayDateTime.cs 
Log Message:
Date time to be used with end of day strategies

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

EndOfDayDateTime.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.ADT;

namespace QuantProject.Business.Timing
{
	/// <summary>
	/// Date time to be used with end of day strategies
	/// </summary>
	public class EndOfDayDateTime : IComparable
	{
		private DateTime dateTime;
		private EndOfDaySpecificTime endOfDaySpecificTime;

		public DateTime DateTime
		{
			get { return dateTime; }
			set { dateTime = value; }
		}

		public EndOfDaySpecificTime EndOfDaySpecificTime
		{
			get { return endOfDaySpecificTime; }
			set { endOfDaySpecificTime = value; }
		}

		public EndOfDayDateTime( DateTime dateTime , EndOfDaySpecificTime endOfDaySpecificTime )
		{
			this.dateTime = dateTime;
			this.endOfDaySpecificTime = endOfDaySpecificTime;
		}

		public BarComponent GetNearestBarComponent()
		{
			BarComponent returnValue = BarComponent.Close;
			switch ( this.endOfDaySpecificTime )
			{
				case EndOfDaySpecificTime.FiveMinutesBeforeMarketClose:
					returnValue = BarComponent.Close;
					break;
				case EndOfDaySpecificTime.MarketClose:
					returnValue = BarComponent.Close;
					break;
				case EndOfDaySpecificTime.MarketOpen:
					returnValue = BarComponent.Open;
					break;
				case EndOfDaySpecificTime.OneHourAfterMarketClose:
					returnValue = BarComponent.Close;
					break;
			}
			return returnValue;
		}
		public ExtendedDateTime GetNearestExtendedDateTime()
		{
			return new ExtendedDateTime( this.dateTime ,
				this.GetNearestBarComponent() );
		}
		public int CompareTo( object endOfDayDateTime )
		{
			int returnValue = -1;
			EndOfDayDateTime toBeCompared = (EndOfDayDateTime)( endOfDayDateTime );
			if ( ( this.DateTime == toBeCompared.DateTime ) &&
				( this.endOfDaySpecificTime == toBeCompared.endOfDaySpecificTime ) )
				// this is the same as the end of day date time to be compared
				returnValue = 0;
			if ( ( this.DateTime > toBeCompared.DateTime ) ||
				( ( this.DateTime == toBeCompared.DateTime ) &&
				( this.endOfDaySpecificTime > toBeCompared.endOfDaySpecificTime ) ) )
				// this is the greater than the end of day date time to be compared
				returnValue = 1;
			return returnValue;
		}
		#region MoveNext
		private	EndOfDaySpecificTime getNextSpecificTime( )
		{
			EndOfDaySpecificTime returnValue;
			Type type = EndOfDaySpecificTime.GetType();
			Array values = EndOfDaySpecificTime.GetValues( type );
			returnValue = ( EndOfDaySpecificTime)values.GetValue( 0 );
			for ( int i = 0 ; i < values.Length - 1 ; i++ )
				if ( this.endOfDaySpecificTime == ( EndOfDaySpecificTime)values.GetValue( i ) )
					returnValue = ( EndOfDaySpecificTime)values.GetValue( i + 1 );
			return returnValue;
		}
		/// <summary>
		/// Moves to the next end of day date time
		/// </summary>
		public void MoveNext()
		{
			EndOfDaySpecificTime nextSpecificTime = this.getNextSpecificTime();
			if ( nextSpecificTime < this.endOfDaySpecificTime )
			{
				// the current end of day specific time is the last end of day specific time in the day
				this.dateTime = this.dateTime.AddDays( 1 );
			}
			this.endOfDaySpecificTime = nextSpecificTime;
		}
		#endregion
	}
}

[Quantproject-developers] QuantProject/b4_Business/a05_Timing - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26234/a05_Timing

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/OneRank OneRank.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv26040

Added Files:
	OneRank.cs 
Log Message:
Performs the OneRank strategy on a single ticker

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

OneRank.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.Data.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;

namespace QuantProject.Scripts.SimpleTesting
{
	/// <summary>
	/// Performs the OneRank strategy on a single ticker
	/// </summary>
	public class OneRank
	{
		private Account account;

		private DateTime lastDateTime;

		public void fiveMinutesBeforeMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			long sharesToBeBought;
			double todayMarketValueAtClose = this.account.DataStreamer.GetCurrentBid(
				this.account.Key );
			EndOfDayDateTime yesterdayAtClose = new
				EndOfDayDateTime( this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddHours( - 1 ) ,
				EndOfDaySpecificTime.MarketClose );
			double yesterdayMarketValueAtClose = HistoricalDataProvider.GetMarketValue(
				this.account.Key ,
				yesterdayAtClose.GetNearestExtendedDateTime() );
			if ( ( todayMarketValueAtClose > yesterdayMarketValueAtClose ) &&
				( !this.account.Contains( this.account.Key ) ) )
			{
				// today close is higher than yesterday close and no position
				// is kept in portfolio, yet
				sharesToBeBought = Convert.ToInt64(
					Math.Floor( this.account.CashAmount /
					this.account.DataStreamer.GetCurrentAsk( this.account.Key ) ) );
				this.account.AddOrder( new Order( OrderType.MarketBuy ,
					new Instrument( this.account.Key ) , sharesToBeBought ) );
			}
			if ( ( todayMarketValueAtClose < yesterdayMarketValueAtClose ) &&
				( this.account.Contains( this.account.Key ) ) )
				this.account.ClosePosition( this.account.Key );
			if ( this.account.EndOfDayTimer.GetCurrentTime().DateTime >
				this.lastDateTime )
				this.account.EndOfDayTimer.Stop();
		}
		/// <summary>
		/// Runs the OneRank strategy
		/// </summary>
		/// <param name="account">Account with which to run the strategy</param>
		/// <param name="lastDateTime">Date to stop the strategy</param>
		public OneRank( Account account , DateTime lastDateTime )
		{
			this.account = account;
			this.lastDateTime = lastDateTime;
			this.account.EndOfDayTimer.FiveMinutesBeforeMarketClose +=
				new FiveMinutesBeforeMarketCloseEventHandler(
				this.fiveMinutesBeforeMarketCloseEventHandler );
			this.account.EndOfDayTimer.Start();
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/OneRank EndOfDayOneRank.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25717

Added Files:
	EndOfDayOneRank.cs 
Log Message:
One rank strategy on a single ticker

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

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

namespace QuantProject.Scripts.SimpleTesting
{
	/// <summary>
	/// One rank strategy on a single ticker
	/// </summary>
	public class EndOfDayOneRank
	{
		private string ticker;
		private Account account;

		private void fiveMinutesBeforeMarketCloseHandler(
			Object sender , EndOfDayTimingEventArgs eventArgs )
		{
			if ( this.account.GetMarketValue( this.ticker ) <=
				HistoricalDataProvider.GetMarketValue( this.ticker ,
				this.account.EndOfDayTimer.GetCurrentTime().DateTime.AddDays( - 1 ) ,
				BarComponent.Close ) )
			{
				// today's closing value is lower or equal than yesterday's closing value
				if ( this.account.Portfolio.Contains( this.ticker ) )
					this.account.ClosePosition( this.ticker );
			}
			else
			{
				// today's closing value is higher than yesterday's closing value
				if ( !this.account.Portfolio.Contains( this.ticker ) )
				{
					int maxBuyableQuantity = Convert.ToInt16(
						Math.Floor( this.account.CashAmount / this.account.GetMarketValue( this.ticker )));
					this.account.AddOrder( new Order( OrderType.MarketBuy ,
						new Instrument( ticker ) ,
						maxBuyableQuantity ) );
					}
			}
		}
		public EndOfDayOneRank( string ticker , Account account )
		{
			this.ticker = ticker;
			this.account = account;
			this.account.AddCash( 10000 );
			this.account.EndOfDayTimer.FiveMinutesBeforeMarketClose +=
				new FiveMinutesBeforeMarketCloseEventHandler(
					this.fiveMinutesBeforeMarketCloseHandler );
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank ProgressBarForm.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25243

Added Files:
	ProgressBarForm.cs 
Log Message:
Form to show the progress bars for the script

--- NEW FILE: ProgressBarForm.cs ---
using System;
using System.Drawing;
using System.Collections;
using System.ComponentModel;
using System.Windows.Forms;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank
{
	/// <summary>
	/// Summary description for ProgressBarWindow.
	/// </summary>
	public class ProgressBarForm : System.Windows.Forms.Form
	{
		private System.Windows.Forms.ProgressBar progressBarInSample;
		private System.Windows.Forms.ProgressBar progressBarOutOfSample;
		private System.Windows.Forms.Label labelOutOfSample;
		private System.Windows.Forms.Label labelInSample;
		/// <summary>
		/// Required designer variable.
		/// </summary>
		private System.ComponentModel.Container components = null;

		public ProgressBar ProgressBarOutOfSample
		{
			get { return this.progressBarOutOfSample; }
			set { this.progressBarOutOfSample = value; }
		}
			
		public ProgressBar ProgressBarInSample
		{
			get { return this.progressBarInSample; }
			set { this.progressBarInSample = value; }
		}
			
		public ProgressBarForm()
		{
			//
			// Required for Windows Form Designer support
			//
			InitializeComponent();

			//
			// TODO: Add any constructor code after InitializeComponent call
			//
			this.progressBarOutOfSample.Maximum = 100;
			this.progressBarInSample.Maximum = 100;
		}

		/// <summary>
		/// Clean up any resources being used.
		/// </summary>
		protected override void Dispose( bool disposing )
		{
			if( disposing )
			{
				if(components != null)
				{
					components.Dispose();
				}
			}
			base.Dispose( disposing );
		}

		#region Windows Form Designer generated code
		/// <summary>
		/// Required method for Designer support - do not modify
		/// the contents of this method with the code editor.
		/// </summary>
		private void InitializeComponent()
		{
			this.progressBarInSample = new System.Windows.Forms.ProgressBar();
			this.progressBarOutOfSample = new System.Windows.Forms.ProgressBar();
			this.labelOutOfSample = new System.Windows.Forms.Label();
			this.labelInSample = new System.Windows.Forms.Label();
			this.SuspendLayout();
			// 
			// progressBarInSample
			// 
			this.progressBarInSample.Location = new System.Drawing.Point(120, 24);
			this.progressBarInSample.Name = "progressBarInSample";
			this.progressBarInSample.Size = new System.Drawing.Size(200, 16);
			this.progressBarInSample.TabIndex = 0;
			// 
			// progressBarOutOfSample
			// 
			this.progressBarOutOfSample.Location = new System.Drawing.Point(120, 72);
			this.progressBarOutOfSample.Name = "progressBarOutOfSample";
			this.progressBarOutOfSample.Size = new System.Drawing.Size(200, 16);
			this.progressBarOutOfSample.TabIndex = 1;
			// 
			// labelOutOfSample
			// 
			this.labelOutOfSample.Location = new System.Drawing.Point(32, 72);
			this.labelOutOfSample.Name = "labelOutOfSample";
			this.labelOutOfSample.Size = new System.Drawing.Size(80, 16);
			this.labelOutOfSample.TabIndex = 2;
			this.labelOutOfSample.Text = "Out of Sample:";
			this.labelOutOfSample.TextAlign = System.Drawing.ContentAlignment.MiddleRight;
			this.labelOutOfSample.Click += new System.EventHandler(this.label1_Click);
			// 
			// labelInSample
			// 
			this.labelInSample.Location = new System.Drawing.Point(40, 24);
			this.labelInSample.Name = "labelInSample";
			this.labelInSample.Size = new System.Drawing.Size(72, 16);
			this.labelInSample.TabIndex = 3;
			this.labelInSample.Text = "In Sample:";
			this.labelInSample.TextAlign = System.Drawing.ContentAlignment.MiddleRight;
			// 
			// ProgressBarWindow
			// 
			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
			this.ClientSize = new System.Drawing.Size(424, 117);
			this.Controls.AddRange(new System.Windows.Forms.Control[] {
																																	this.labelInSample,
																																	this.labelOutOfSample,
																																	this.progressBarOutOfSample,
																																	this.progressBarInSample});
			this.Name = "ProgressBarWindow";
			this.Text = "ProgressBarWindow";
			this.ResumeLayout(false);

		}
		#endregion

		private void label1_Click(object sender, System.EventArgs e)
		{
		
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank EligibleTickers.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25013

Added Files:
	EligibleTickers.cs 
Log Message:
Selects the tickers among which best performers will be searched

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

EligibleTickers.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 System.Data;

using QuantProject.Data.Selectors;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank
{
	/// <summary>
	/// Selects the tickers to among which best performers will be searched
	/// </summary>
	public class EligibleTickers : Hashtable
	{
		private int numberEligibleTickersToBeChosen;
		private int numDaysToComputeLiquidity = 10;

		public EligibleTickers( int numberEligibleTickersToBeChosen )
		{
			this.numberEligibleTickersToBeChosen = numberEligibleTickersToBeChosen;
		}

		#region SetTickers
		private void setTickers_build( DateTime dateTime )
		{
			TickerSelector tickerSelector =
				new TickerSelector( SelectionType.Liquidity , false , "Test" ,
				dateTime.AddDays( - this.numDaysToComputeLiquidity ) , dateTime ,
				this.numberEligibleTickersToBeChosen );
			DataTable selectedTickers =
				tickerSelector.GetTableOfSelectedTickers();
			foreach ( DataRow dataRow in selectedTickers.Rows )
				this.Add( dataRow[ "tiTicker" ].ToString() ,
					dataRow[ "tiTicker" ].ToString() );
		}
		/// <summary>
		/// Populates the collection of eligible tickers
		/// </summary>
		/// <param name="dateTime"></param>
		public void SetTickers( DateTime dateTime )
		{
			this.Clear();
			setTickers_build( dateTime );
		}
		#endregion
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank ComparableAccount.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24659

Added Files:
	ComparableAccount.cs 
Log Message:
An account with a custom GetFitnessValue function

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

ComparableAccount.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.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank
{
	/// <summary>
	/// Summary description for ComparableAccount.
	/// </summary>
	public class ComparableAccount : Account
	{
    private double maxAcceptableDrawDown = 0.3;

		private AccountReport accountReport;

		public AccountReport Report
		{
			get {	return this.accountReport; }
			set { this.accountReport = value; }
		}

		public double Goodness
		{
			get {	return this.goodness(); }
		}
		public ComparableAccount()
		{
			//
			// TODO: Add constructor logic here
			//
		}

		private double goodness()
		{
			double returnValue;
			if ( this.accountReport.Summary.MaxEquityDrawDown >= this.maxAcceptableDrawDown )
				returnValue = Double.MinValue;
			else
				// max draw down is acceptable
				returnValue = this.accountReport.Summary.TotalPnl /
					this.accountReport.Summary.BuyAndHoldPercentageReturn;
			return returnValue;
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank ChosenTickers.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23959

Added Files:
	ChosenTickers.cs 
Log Message:
The collection of the chosen tickers, among the best performing ones

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

ChosenTickers.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;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank
{
	/// <summary>
	/// The collection of the chosen tickers, among the best performing ones
	/// </summary>
	public class ChosenTickers : Hashtable
	{
		private int numberTickersToBeChosen;

		public ChosenTickers( int numberTickersToBeChosen )
		{
			this.numberTickersToBeChosen = numberTickersToBeChosen;
		}
		#region SetTickers
		private void setTickers_build( BestPerformingTickers bestPerformingTickers )
		{
			SortedList sortedList = new SortedList();
			foreach ( string ticker in bestPerformingTickers.Keys )
				sortedList.Add( ( ( ComparableAccount )bestPerformingTickers[ ticker ]).Goodness ,
					ticker );
			for ( int n=0; n<=this.numberTickersToBeChosen ; n++ )
				this.Add( sortedList.GetByIndex( n ) , 1 );
		}
		/// <summary>
		/// Populates the collection of eligible tickers
		/// </summary>
		/// <param name="dateTime"></param>
		public void SetTickers( BestPerformingTickers bestPerformingTickers )
		{
			this.Clear();
			this.setTickers_build( bestPerformingTickers );
		}
		#endregion
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank BestPerformingTickers.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23699

Added Files:
	BestPerformingTickers.cs 
Log Message:
The collection of best performing tickers, among the eligible ones

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

BestPerformingTickers.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.Ordering;
using QuantProject.Business.Timing;
using QuantProject.Data.DataProviders;
using QuantProject.Scripts.SimpleTesting;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank
{
	/// <summary>
	/// The collection of best performing tickers, among the eligible ones
	/// </summary>
	public class BestPerformingTickers : Hashtable,IProgressNotifier
	{
		private int numberBestPerformingTickers;
		private int numberDaysForPerformanceCalculation;

		private long calculatedTickers = 0;

		private ArrayList eligibleAccounts;

		private DateTime lastUpdate;

		public DateTime LastUpdate
		{
			get { return this.lastUpdate; }
		}

		public BestPerformingTickers( int numberBestPerformingTickers ,
			int numberDaysForPerformanceCalculation )
		{
			this.numberBestPerformingTickers = numberBestPerformingTickers;
			this.numberDaysForPerformanceCalculation = numberDaysForPerformanceCalculation;
			this.eligibleAccounts = new ArrayList();
		}

		public event NewProgressEventHandler NewProgress;

		#region SetTickers
		private void setTickers_build_addAccount( string ticker , DateTime dateTime )
		{
			HistoricalEndOfDayTimer historicalEndOfDayTimer =
				new HistoricalEndOfDayTimer(
				new EndOfDayDateTime( dateTime.AddYears( -1 ).AddDays( -1 ) ,
				EndOfDaySpecificTime.FiveMinutesBeforeMarketClose ) );
			Account account = new Account( ticker , historicalEndOfDayTimer ,
				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ) ,
				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ) );
			OneRank oneRank = new OneRank( account ,
				dateTime.AddDays( this.numberDaysForPerformanceCalculation ) );
			account.Key = ticker;
			this.eligibleAccounts.Add( account );
		}
		private void setTickers_build( EligibleTickers eligibleTickers , DateTime dateTime )
		{
			foreach ( string ticker in eligibleTickers.Keys )
			{
				setTickers_build_addAccount( ticker , dateTime );
				this.calculatedTickers++;
				if ( Math.Floor( this.calculatedTickers / eligibleAccounts.Count * 100 ) >
					Math.Floor( ( this.calculatedTickers - 1 ) / eligibleAccounts.Count * 100 ) )
					// a new time percentage point has been elapsed
					this.NewProgress( this , new NewProgressEventArgs(
						Convert.ToInt32( Math.Floor( this.calculatedTickers / eligibleAccounts.Count * 100 ) ) ,
						100 ) );
			}
			this.eligibleAccounts.Sort();
			for ( int index=0 ; index < this.numberBestPerformingTickers ; index++ )
				this.Add( ((Account)this.eligibleAccounts[ index ]).Key , this.eligibleAccounts[ index ] );
		}
		/// <summary>
		/// Populates the collection of the best performing tickers
		/// </summary>
		/// <param name="dateTime"></param>
		public void SetTickers( EligibleTickers eligibleTickers , DateTime dateTime )
		{
			this.NewProgress( this , new NewProgressEventArgs( 0 , 100 ) );
			this.Clear();
			this.setTickers_build( eligibleTickers , dateTime );
			this.lastUpdate = dateTime;
		}
		#endregion
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23436

Added Files:
	EndOfDayTimerHandler.cs 
Log Message:
Implements OneHourAfterMarketCloseEventHandler and TwoMinutesBeforeMarketCloseEventHandler.
This is the core strategy.

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

TimerHandler.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;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardOneRank
{
	public delegate void InSampleNewProgressEventHandler(
	Object sender , NewProgressEventArgs eventArgs );

	/// <summary>
	/// Implements OneHourAfterMarketCloseEventHandler and TwoMinutesBeforeMarketCloseEventHandler.
	/// This is the core strategy!
	/// </summary>
	public class EndOfDayTimerHandler
	{
    private EligibleTickers eligibleTickers;
		private BestPerformingTickers bestPerformingTickers;
		private ChosenTickers chosenTickers;

    private int numberEligibleTickers;
		private int numberBestPeformingTickers;
		private int numberOfTickersToBeChosen;
		private int inSampleWindowDays;
		private int outOfSampleWindowDays;

		private Account account;


		public event InSampleNewProgressEventHandler InSampleNewProgress;

		public int NumberEligibleTickers
		{
			get { return this.numberEligibleTickers; }
		}
		public int NumberBestPeformingTickers
		{
			get { return this.numberBestPeformingTickers; }
		}
		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( int numberEligibleTickers , int numberBestPeformingTickers ,
			int numberOfTickersToBeChosen , int inSampleWindowDays , int outOfSampleWindowDays ,
			Account account )
		{
			this.numberEligibleTickers = numberEligibleTickers;
			this.numberBestPeformingTickers = numberBestPeformingTickers;
			this.numberOfTickersToBeChosen = numberOfTickersToBeChosen;
			this.inSampleWindowDays = inSampleWindowDays;
			this.outOfSampleWindowDays = outOfSampleWindowDays;
			this.account = account;

			this.eligibleTickers = new EligibleTickers( numberEligibleTickers );
			this.bestPerformingTickers = new BestPerformingTickers( numberBestPeformingTickers ,
				this.inSampleWindowDays );
			this.bestPerformingTickers.NewProgress +=
				new NewProgressEventHandler( this.bestPerformingNewProgress );
			this.chosenTickers = new ChosenTickers( this.numberOfTickersToBeChosen );
		}
		private void bestPerformingNewProgress(
			Object sender , NewProgressEventArgs eventArgs )
		{
			this.InSampleNewProgress( sender , eventArgs );
		}
		#region OneHourAfterMarketCloseEventHandler
		private void oneHourAfterMarketCloseEventHandler_orderChosenTickers_closePositions(
			IEndOfDayTimer endOfDayTimer )
		{
			foreach ( Position position in this.account.Portfolio )
				if ( this.chosenTickers.Contains( position.Instrument.Key ) )
				{
					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 )
		{
			if ( ( this.eligibleTickers.Count == 0 ) ||
				( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.CompareTo(
				this.bestPerformingTickers.LastUpdate.AddDays( this.outOfSampleWindowDays ) ) >= 0 ) )
				// either eligible tickers have never been defined yet
				// or this.outOfSampleWindowDays days elapsed since last best performing tickers calculation
			{
				this.eligibleTickers.SetTickers( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime );
				this.bestPerformingTickers.SetTickers( this.eligibleTickers ,
					endOfDayTimingEventArgs.EndOfDayDateTime.DateTime );
			}
			this.chosenTickers.SetTickers( this.bestPerformingTickers );
			oneHourAfterMarketCloseEventHandler_orderChosenTickers( ( IEndOfDayTimer ) sender );
		}
		#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
	}
}

[Quantproject-developers] QuantDownloader/Downloader/TickerSelectors TickerGroupsViewer.cs,1.5,1.6

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

Update of /cvsroot/quantproject/QuantDownloader/Downloader/TickerSelectors
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23882/Downloader/TickerSelectors

Modified Files:
	TickerGroupsViewer.cs 
Log Message:
Changed some messages for the user; cleaned old code

Index: TickerGroupsViewer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/TickerSelectors/TickerGroupsViewer.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** TickerGroupsViewer.cs	4 Aug 2004 23:07:01 -0000	1.5
--- TickerGroupsViewer.cs	5 Sep 2004 13:57:00 -0000	1.6
***************
*** 265,269 ****
          if(item.Tag is System.String )
          // the item contains in Tag property the ticker ID
!             Tickers_tickerGroups.Delete((string)item.Tag,
                                         (string)this.treeViewGroups.SelectedNode.Tag);
          else
--- 265,269 ----
          if(item.Tag is System.String )
          // the item contains in Tag property the ticker ID
!             QuantProject.DataAccess.Tables.Tickers_tickerGroups.Delete((string)item.Tag,
                                         (string)this.treeViewGroups.SelectedNode.Tag);
          else

[Quantproject-developers] QuantDownloader/Downloader TickerDownloader.cs,1.12,1.13 WebDownloader.cs,1.16,1.17

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

Update of /cvsroot/quantproject/QuantDownloader/Downloader
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23882/Downloader

Modified Files:
	TickerDownloader.cs WebDownloader.cs 
Log Message:
Changed some messages for the user; cleaned old code

Index: WebDownloader.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/WebDownloader.cs,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** WebDownloader.cs	27 Jun 2004 19:21:42 -0000	1.16
--- WebDownloader.cs	5 Sep 2004 13:57:00 -0000	1.17
***************
*** 48,51 ****
--- 48,54 ----
      private System.Windows.Forms.RadioButton radioButtonDownloadBeforeMinAndAfterMax;
      private System.Windows.Forms.RadioButton radioButtonDownloadOnlyAfterMax;
+     private System.Windows.Forms.Button buttonAbort;
+     private Thread downloadThread = null;
+ 
  		/// <summary>
  		/// Required designer variable.
***************
*** 112,115 ****
--- 115,119 ----
        this.radioButtonDownloadOnlyAfterMax.Checked = true;
        this.dataGrid1.ContextMenu = new TickerViewerMenu(this);
+       //this.downloadThread = new Thread( new ThreadStart( this.downloadQuotes_createTickerDataSet));
      }
  
***************
*** 144,147 ****
--- 148,152 ----
        this.radioButtonOverWriteNo = new System.Windows.Forms.RadioButton();
        this.radioButtonOverWriteYes = new System.Windows.Forms.RadioButton();
+       this.buttonAbort = new System.Windows.Forms.Button();
        ((System.ComponentModel.ISupportInitialize)(this.dataGrid1)).BeginInit();
        this.groupBoxWebDownloaderOptions.SuspendLayout();
***************
*** 373,376 ****
--- 378,391 ----
        this.radioButtonOverWriteYes.Text = "Download all quotes, deleting all existing ones in database";
        // 
+       // buttonAbort
+       // 
+       this.buttonAbort.Enabled = false;
+       this.buttonAbort.Location = new System.Drawing.Point(216, 376);
+       this.buttonAbort.Name = "buttonAbort";
+       this.buttonAbort.TabIndex = 15;
+       this.buttonAbort.Text = "Abort";
+       this.buttonAbort.Visible = false;
+       this.buttonAbort.Click += new System.EventHandler(this.buttonAbort_Click);
+       // 
        // WebDownloader
        // 
***************
*** 378,381 ****
--- 393,397 ----
        this.ClientSize = new System.Drawing.Size(840, 470);
        this.Controls.AddRange(new System.Windows.Forms.Control[] {
+                                                                   this.buttonAbort,
                                                                    this.groupBoxUpdateDatabaseOptions,
                                                                    this.groupBoxWebDownloaderOptions,
***************
*** 568,592 ****
      private void downloadQuotes_withTickerDataSet( DataSet ds )
      {
!       downloadQuotes_withTickerDataSet_create_dsTickerCurrentlyDownloaded( ds.Tables[0] );
!       foreach (DataRow myRow in ds.Tables[0].Rows) 
!       {
!         //if (this.dsTickerCurrentlyDownloaded.Tables[ "Tickers" ].Rows.Count>5)
!         //  Monitor.Wait( this.dsTickerCurrentlyDownloaded.Tables[ "Tickers" ] );
!         TickerDownloader qd = new TickerDownloader( this , myRow , myRow["tiTicker"].ToString() , ds.Tables[0].Rows.Count );
!         //Thread newThread = new Thread( new ThreadStart( qd.downloadTicker));
!         //newThread.Start();
!         if(this.radioButtonAllAvailableUntilNowSinceStartingDate.Checked)
!         {
!           qd.DownloadTicker(this.dateTimePickerStartingDate.Value);
!         }
!         else
          {
!           qd.DownloadTicker();
          }
        
-         //newThread.Join();
-         //qd.downloadTicker();
-       }
-       //ImportQuotesCsv iqc = new ImportQuotesCsv();
      }
      
--- 584,609 ----
      private void downloadQuotes_withTickerDataSet( DataSet ds )
      {
!       
!         downloadQuotes_withTickerDataSet_create_dsTickerCurrentlyDownloaded( ds.Tables[0] );
!         foreach (DataRow myRow in ds.Tables[0].Rows) 
          {
!           //if (this.dsTickerCurrentlyDownloaded.Tables[ "Tickers" ].Rows.Count>5)
!           //  Monitor.Wait( this.dsTickerCurrentlyDownloaded.Tables[ "Tickers" ] );
!           TickerDownloader qd = new TickerDownloader( this , myRow , myRow["tiTicker"].ToString() , ds.Tables[0].Rows.Count );
!           //Thread newThread = new Thread( new ThreadStart( qd.downloadTicker));
!           //newThread.Start();
!           if(this.radioButtonAllAvailableUntilNowSinceStartingDate.Checked)
!           {
!             qd.DownloadTicker(this.dateTimePickerStartingDate.Value);
!           }
!           else
!           {
!             qd.DownloadTicker();
!           }
!         
!           //newThread.Join();
!           //qd.downloadTicker();
          }
        
      }
      
***************
*** 599,606 ****
      private void downloadQuotesOfAllTickers()
      {
!       DataSet ds=new DataSet();
!       downloadQuotes_createTickerDataSet( ds );
!       downloadQuotes_withTickerDataSet( ds );
!       this.OleDbConnection1.Close();
      }
      
--- 616,636 ----
      private void downloadQuotesOfAllTickers()
      {
!       try
!       {
!         DataSet ds=new DataSet();
!         downloadQuotes_createTickerDataSet( ds );
!         downloadQuotes_withTickerDataSet( ds );
!         this.OleDbConnection1.Close();
!       }
!       catch(Exception ex)
!       {
!         MessageBox.Show(ex.ToString());
!       }
!   		
!       finally
!       {
!         
!       }
! 
      }
      
***************
*** 608,616 ****
  	  private void downloadQuotesOfSelectedTickers()
  	  {
! 		  DataSet ds=new DataSet();
! 		  ds.Tables.Add(this.tableOfSelectedTickers);
!       downloadQuotes_withTickerDataSet( ds );
! 		  this.OleDbConnection1.Close();
! 	  }
    	
  	  private void openDbAndSetOleDbCommand()
--- 638,660 ----
  	  private void downloadQuotesOfSelectedTickers()
  	  {
!       try
!       {
!         DataSet ds=new DataSet();
!         ds.Tables.Add(this.tableOfSelectedTickers);
!         downloadQuotes_withTickerDataSet( ds );
!         this.OleDbConnection1.Close();
!       }
!       
!       catch(Exception ex)
!       {
!         MessageBox.Show(ex.ToString());
!       }
!   		
!       finally
!       {
!         
!       }
!     }  
!      
    	
  	  private void openDbAndSetOleDbCommand()
***************
*** 641,659 ****
      private void button1_Click(object sender, System.EventArgs e)
      {
!       //Cursor.Current = Cursors.WaitCursor;
        this.openDbAndSetOleDbCommand();
  	    this.downloadQuotesOfAllTickers();
!       this.button1.Enabled = false;
!       //Cursor.Current = Cursors.Default;
! 
      }
  
      private void buttonDownloadQuotesOfSelectedTickers_Click(object sender, System.EventArgs e)
      {
!       //Cursor.Current = Cursors.WaitCursor;
        this.openDbAndSetOleDbCommand();
  	    this.downloadQuotesOfSelectedTickers();
!       this.buttonDownloadQuotesOfSelectedTickers.Enabled = false;
!       //Cursor.Current = Cursors.Default;
      }
  
--- 685,706 ----
      private void button1_Click(object sender, System.EventArgs e)
      {
!       this.button1.Enabled = false;
!       this.buttonAbort.Enabled = true;
        this.openDbAndSetOleDbCommand();
+       //this.downloadThread = new Thread( new ThreadStart(this.downloadQuotesOfAllTickers));
+       //this.downloadThread.Start();
  	    this.downloadQuotesOfAllTickers();
!       this.buttonAbort.Enabled = false;
      }
  
      private void buttonDownloadQuotesOfSelectedTickers_Click(object sender, System.EventArgs e)
      {
!       this.buttonDownloadQuotesOfSelectedTickers.Enabled = false;
!       this.buttonAbort.Enabled = true;
        this.openDbAndSetOleDbCommand();
+       //this.downloadThread = new Thread( new ThreadStart(this.downloadQuotesOfSelectedTickers));
+       //this.downloadThread.Start();
  	    this.downloadQuotesOfSelectedTickers();
!       this.buttonAbort.Enabled = false;
      }
  
***************
*** 678,681 ****
--- 725,734 ----
      }
  
+     private void buttonAbort_Click(object sender, System.EventArgs e)
+     {
+       this.buttonAbort.Enabled = false; 
+       this.downloadThread.Abort(); 
+     }
+ 
      public bool IsBeforeAndAfterSelected
      {

Index: TickerDownloader.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/TickerDownloader.cs,v
retrieving revision 1.12
retrieving revision 1.13
diff -C2 -d -r1.12 -r1.13
*** TickerDownloader.cs	4 Aug 2004 23:04:20 -0000	1.12
--- TickerDownloader.cs	5 Sep 2004 13:57:00 -0000	1.13
***************
*** 398,402 ****
          this.updateCurrentStatusDatabaseUpdated("YES");
        else
!         this.updateCurrentStatus("NOT FOUND");
      }
  
--- 398,402 ----
          this.updateCurrentStatusDatabaseUpdated("YES");
        else
!         this.updateCurrentStatus("Not found updatable quotes");
      }
  
***************
*** 407,412 ****
        this.commitDownloadedValuesToDatabase();
      }
-     
-     
  
      public void DownloadTicker()
--- 407,410 ----
***************
*** 449,480 ****
          // ticker's quotes are downloaded for the first time or
          // the user has chosen to download all quotes
-      
  
-       /*
-       
-       if(this.numberOfQuotesInDatabase>0 && p_myForm.IsUpdateOptionSelected)
-       // there are some ticker's quotes in the database and
-       // the user has chosen to download new quotes (only after last quote
-       // or both before first quote and after last quote)
-       {
-         if(this.p_myForm.IsOnlyAfterLastQuoteSelected)
-         {
-           this.downloadTickerAfterLastQuote();
-         }
-         else
-         {
-           this.downloadTickerBeforeFirstQuote();
-           this.downloadTickerAfterLastQuote();
-         }
-       }
-       else
-       // ticker's quotes are downloaded for the first time or
-       // the user has chosen to download all quotes
-       {
-         this.resetStartDateIfNecessary();
-         setTimeFrameAndImportTickerForEachTimeFrame(200);
-       }
-       
-       */
        
      }
--- 447,451 ----

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj,1.11,1.12

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22726/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
Added new script file with use of TickerSelectorClass

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** b7_Scripts.csproj	28 Aug 2004 17:30:30 -0000	1.11
--- b7_Scripts.csproj	5 Sep 2004 13:51:38 -0000	1.12
***************
*** 168,171 ****
--- 168,181 ----
                  />
                  <File
+                     RelPath = "TickerSelectionTesting\DataStreamerHandler.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
+                     RelPath = "TickerSelectionTesting\RunBestTwoIndipendent.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "WalkForwardTesting\MSFTwalkForward\RunMSFTwalkForward.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b7_Scripts/TickerSelectionTesting DataStreamerHandler.cs,NONE,1.1 RunBestTwoIndipendent.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-serv22726/b7_Scripts/TickerSelectionTesting

Added Files:
	DataStreamerHandler.cs RunBestTwoIndipendent.cs 
Log Message:
Added new script file with use of TickerSelectorClass

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

DataStreamerHandler.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.Data;

using QuantProject.Business.Financial.Accounting;
using QuantProject.Data.DataProviders;
using QuantProject.ADT;
using QuantProject.Data.Selectors;

namespace QuantProject.Scripts.TickerSelectionTesting.BestTwoIndipendent
{
	/// <summary>
	/// Implements NewQuoteEventHandler. This is the core strategy!
	/// </summary>
	public class DataStreamerHandler
	{
		private Account account;
    private ExtendedDateTime openAccountDate;

		public Account Account
		{
			get { return this.account; }
		}
		public DataStreamerHandler()
		{
			this.account = new Account( "Main" );
      this.openAccountDate = new ExtendedDateTime(new DateTime(2002,1,1), BarComponent.Open);
      this.account.AddCash(this.openAccountDate, 10000);
		}
    
    private DataTable newQuoteEventHandler_getTickersToBuy(Quote encomingQuote)
    {
      TickerSelector liquidSelector = new TickerSelector(SelectionType.Liquidity, false,
                                      "NSDQ100", this.openAccountDate.DateTime,
                                      encomingQuote.ExtendedDataTable.DateTime,50);
      TickerSelector volatilityCTOselector = 
        new TickerSelector(liquidSelector.GetTableOfSelectedTickers(),
        SelectionType.CloseToOpenVolatility, true, "",
        this.openAccountDate.DateTime, encomingQuote.ExtendedDataTable.DateTime, 40);
      TickerSelector avgCTOperformanceSelector = 
        new TickerSelector(volatilityCTOselector.GetTableOfSelectedTickers(),
        SelectionType.AverageCloseToOpenPerformance, true, "",
        this.openAccountDate.DateTime, encomingQuote.ExtendedDataTable.DateTime, 20);
      TickerSelector correlationSelector = 
        new TickerSelector(avgCTOperformanceSelector.GetTableOfSelectedTickers(),
        SelectionType.CloseToOpenLinearCorrelation, true, "",
        this.openAccountDate.DateTime, encomingQuote.ExtendedDataTable.DateTime, 2);
      return correlationSelector.GetTableOfSelectedTickers();
    }

    public void NewQuoteEventHandler(
			Object sender , NewQuoteEventArgs eventArgs )
		{
      Quote encomingQuote = eventArgs.Quote;
      
      if(this.openAccountDate.DateTime.AddDays(30).CompareTo(encomingQuote.ExtendedDataTable.DateTime)<0)
      //it has elasped enough time for a significant simulation of the strategy
      {
          DataTable tickersToBuy = this.newQuoteEventHandler_getTickersToBuy(encomingQuote);
          //the script has to be completed ...

      }

		}
	}
}

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

RunBestTwoIndipendent.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 System.Data;
using QuantProject.ADT;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Scripting;
using QuantProject.Business.Strategies;
using QuantProject.Business.Testing;
using QuantProject.Data.DataTables;
using QuantProject.Data.DataProviders;
using QuantProject.Presentation.Reporting.WindowsForm;

namespace QuantProject.Scripts.TickerSelectionTesting.BestTwoIndipendent
{
	/// <summary>
	/// Script to test a strategy on many tickers inside a group, 
	/// chosing the best two indipendent tickers
	/// when a fixed time span has elapsed.
	/// </summary>
	public class RunBestTwoIndipendent : Script
	{
		private string groupID;
    private ReportTable reportTable;
    private ExtendedDateTime startDateTime;
    private ExtendedDateTime endDateTime;
    //private int numIntervalDays;
		private HistoricalDataStreamer historicalDataStreamer;
		private DataStreamerHandler dataStreamerHandler =
			new DataStreamerHandler();

		public RunBestTwoIndipendent()
		{
			this.reportTable = new ReportTable( "Summary_Reports" );
			this.startDateTime = new ExtendedDateTime(
				new DateTime( 2002 , 1 , 1 ) , BarComponent.Open );
			this.endDateTime = new ExtendedDateTime(
				new DateTime( 2002 , 12 , 31 ) , BarComponent.Close );
      //this.numIntervalDays = 7;
			this.groupID = "NSDQ100";
		}
    #region Run
    
    private void run_initializeHistoricalDataStreamer_addTickers()
    {
      Tickers_tickerGroups tickerInGroupID = new Tickers_tickerGroups(this.groupID);
      foreach(DataRow row in tickerInGroupID.Rows)
      {
        this.historicalDataStreamer.Add((string)row[Tickers_tickerGroups.Ticker]);
      }
    }
    
    private void run_initializeHistoricalDataStreamer()
		{
			this.historicalDataStreamer = new HistoricalDataStreamer();
			this.historicalDataStreamer.StartDateTime = this.startDateTime;
			this.historicalDataStreamer.EndDateTime = this.endDateTime;
			this.run_initializeHistoricalDataStreamer_addTickers();
		}
    
    public override void Run()
    {
			Report report;
			run_initializeHistoricalDataStreamer();
			this.historicalDataStreamer.NewQuote +=
				new NewQuoteEventHandler( this.dataStreamerHandler.NewQuoteEventHandler );
			this.historicalDataStreamer.GoSimulate();
			report = new Report( this.dataStreamerHandler.Account );
      report.Show();
      //????
      //report.Show( "Best Two Indipendent" , this.numIntervalDays , this.startDateTime , "MSFT" );
		}
    #endregion
	}
}