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From: Marco M. <mi...@us...> - 2004-08-27 23:20:58
|
Update of /cvsroot/quantproject/QuantDownloader/Downloader/TickerSelectors In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20713/Downloader/TickerSelectors Modified Files: TickerViewerMenu.cs Log Message: Fixed some minor bugs Index: TickerViewerMenu.cs =================================================================== RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/TickerSelectors/TickerViewerMenu.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** TickerViewerMenu.cs 27 Jun 2004 19:21:42 -0000 1.5 --- TickerViewerMenu.cs 27 Aug 2004 23:20:48 -0000 1.6 *************** *** 89,96 **** if(tableOfSelectedTickers.Rows.Count == 0) { ! MessageBox.Show("No ticker has been selected!\n\n" + ! "Click on the grey area on the left to " + ! "select a ticker", "QuantDownloader error message", ! MessageBoxButtons.OK, MessageBoxIcon.Error); return; } --- 89,93 ---- if(tableOfSelectedTickers.Rows.Count == 0) { ! this.displayMessageNoTickersSelected(); return; } *************** *** 104,111 **** if(tableOfSelectedTickers.Rows.Count == 0) { ! MessageBox.Show("No ticker has been selected!\n\n" + ! "Click on the grey area on the left to " + ! "select a ticker", "QuantDownloader error message", ! MessageBoxButtons.OK, MessageBoxIcon.Error); return; } --- 101,110 ---- if(tableOfSelectedTickers.Rows.Count == 0) { ! this.displayMessageNoTickersSelected(); ! return; ! } ! if(tableOfSelectedTickers.Rows.Count != 1) ! { ! this.displayMessageTooManyTickersSelected(); return; } *************** *** 121,128 **** if(tableOfSelectedTickers.Rows.Count != 1) { ! MessageBox.Show("Choose just one ticker for the quote editor!\n\n" + ! "Click on the grey area on the left to " + ! "select only one ticker", "QuantDownloader error message", ! MessageBoxButtons.OK, MessageBoxIcon.Error); return; } --- 120,124 ---- if(tableOfSelectedTickers.Rows.Count != 1) { ! this.displayMessageTooManyTickersSelected(); return; } *************** *** 154,159 **** selectorForm.Show(); } ! ! } } --- 150,169 ---- selectorForm.Show(); } ! ! private void displayMessageNoTickersSelected() ! { ! MessageBox.Show("No ticker has been selected!\n\n" + ! "Click on the grey area on the left to " + ! "select a ticker", "Error message", ! MessageBoxButtons.OK, MessageBoxIcon.Error); ! } ! ! private void displayMessageTooManyTickersSelected() ! { ! MessageBox.Show("Choose just one ticker for this selection!\n\n" + ! "Click on the grey area on the left to " + ! "select only one ticker", "Error message", ! MessageBoxButtons.OK, MessageBoxIcon.Error); ! } } } |
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From: Marco M. <mi...@us...> - 2004-08-27 21:41:39
|
Update of /cvsroot/quantproject/QuantDownloader/Downloader/QuotesEditor In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4253/Downloader/QuotesEditor Modified Files: QuotesChart.cs QuotesEditor.cs Log Message: QuantProject.Data.DataProvider has been replaced by QuantProject.Data.DataProviders.HistoricalDataProvider Index: QuotesChart.cs =================================================================== RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/QuotesEditor/QuotesChart.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** QuotesChart.cs 28 Mar 2004 20:20:44 -0000 1.3 --- QuotesChart.cs 27 Aug 2004 21:41:24 -0000 1.4 *************** *** 26,30 **** using scpl.Windows; using QuantProject.ADT.Histories; ! using QuantProject.Data; using QuantProject.Presentation.Charting; --- 26,30 ---- using scpl.Windows; using QuantProject.ADT.Histories; ! using QuantProject.Data.DataProviders; using QuantProject.Presentation.Charting; *************** *** 55,59 **** Console.WriteLine( "QuotesChart.PaintingHandler()" ); this.Clear(); ! this.Add( DataProvider.GetCloseHistory( this.ticker ) ); base.OnPaint( e ); } --- 55,59 ---- Console.WriteLine( "QuotesChart.PaintingHandler()" ); this.Clear(); ! this.Add( HistoricalDataProvider.GetCloseHistory( this.ticker ) ); base.OnPaint( e ); } Index: QuotesEditor.cs =================================================================== RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/QuotesEditor/QuotesEditor.cs,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** QuotesEditor.cs 27 May 2004 16:28:04 -0000 1.8 --- QuotesEditor.cs 27 Aug 2004 21:41:24 -0000 1.9 *************** *** 10,13 **** --- 10,14 ---- using QuantProject.Business.Validation; using QuantProject.Data; + using QuantProject.Data.DataProviders; using QuantProject.Data.DataTables; *************** *** 116,120 **** private void getTickerQuotes() { ! this.tickerQuotes = DataProvider.GetTickerQuotes( this.textBoxTicker.Text ); } --- 117,121 ---- private void getTickerQuotes() { ! this.tickerQuotes = HistoricalDataProvider.GetTickerQuotes( this.textBoxTicker.Text ); } |
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From: Marco M. <mi...@us...> - 2004-08-27 21:41:39
|
Update of /cvsroot/quantproject/QuantDownloader/Downloader/QuotesEditor/RangeToRange In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4253/Downloader/QuotesEditor/RangeToRange Modified Files: RangeToRangeChart.cs Log Message: QuantProject.Data.DataProvider has been replaced by QuantProject.Data.DataProviders.HistoricalDataProvider Index: RangeToRangeChart.cs =================================================================== RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/QuotesEditor/RangeToRange/RangeToRangeChart.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** RangeToRangeChart.cs 21 Mar 2004 16:57:10 -0000 1.1 --- RangeToRangeChart.cs 27 Aug 2004 21:41:24 -0000 1.2 *************** *** 2,6 **** using System.Drawing; using QuantProject.ADT.Histories; ! using QuantProject.Data; using QuantProject.Presentation.Charting; --- 2,6 ---- using System.Drawing; using QuantProject.ADT.Histories; ! using QuantProject.Data.DataProviders; using QuantProject.Presentation.Charting; *************** *** 21,27 **** protected override void addHistories() { ! History lowHistory = DataProvider.GetLowHistory( ((QuotesEditor)this.FindForm()).Ticker ); this.add( lowHistory , Color.Green ); ! History highHistory = DataProvider.GetHighHistory( ((QuotesEditor)this.FindForm()).Ticker ); this.add( highHistory , Color.Blue ); } --- 21,27 ---- protected override void addHistories() { ! History lowHistory = HistoricalDataProvider.GetLowHistory( ((QuotesEditor)this.FindForm()).Ticker ); this.add( lowHistory , Color.Green ); ! History highHistory = HistoricalDataProvider.GetHighHistory( ((QuotesEditor)this.FindForm()).Ticker ); this.add( highHistory , Color.Blue ); } |
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From: Marco M. <mi...@us...> - 2004-08-27 21:41:39
|
Update of /cvsroot/quantproject/QuantDownloader/Downloader/QuotesEditor/CloseToClose In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4253/Downloader/QuotesEditor/CloseToClose Modified Files: CloseToCloseChart.cs Log Message: QuantProject.Data.DataProvider has been replaced by QuantProject.Data.DataProviders.HistoricalDataProvider Index: CloseToCloseChart.cs =================================================================== RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/QuotesEditor/CloseToClose/CloseToCloseChart.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** CloseToCloseChart.cs 9 May 2004 16:30:21 -0000 1.4 --- CloseToCloseChart.cs 27 Aug 2004 21:41:24 -0000 1.5 *************** *** 26,30 **** using QuantProject.ADT; using QuantProject.ADT.Histories; ! using QuantProject.Data; using QuantProject.Presentation.Charting; --- 26,30 ---- using QuantProject.ADT; using QuantProject.ADT.Histories; ! using QuantProject.Data.DataProviders; using QuantProject.Presentation.Charting; *************** *** 42,46 **** protected override void addHistories() { ! History lowHistory = DataProvider.GetCloseHistory( ((QuotesEditor)this.FindForm()).Ticker ); this.add( lowHistory , Color.Green ); } --- 42,46 ---- protected override void addHistories() { ! History lowHistory = HistoricalDataProvider.GetCloseHistory( ((QuotesEditor)this.FindForm()).Ticker ); this.add( lowHistory , Color.Green ); } |
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From: Glauco S. <gla...@us...> - 2004-08-23 22:38:05
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Update of /cvsroot/quantproject/QuantProject/b3_Data In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4805/b3_Data Modified Files: b3_Data.csproj Log Message: QuantProject.Data.DataProvider has been replaced by QuantProject.Data.DataProviders.HistoricalDataProvider Index: b3_Data.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** b3_Data.csproj 23 Aug 2004 22:36:46 -0000 1.10 --- b3_Data.csproj 23 Aug 2004 22:37:52 -0000 1.11 *************** *** 143,151 **** /> <File - RelPath = "DataProvider.cs" - SubType = "Code" - BuildAction = "Compile" - /> - <File RelPath = "ExtendedDataTable.cs" SubType = "Component" --- 143,146 ---- |
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From: Glauco S. <gla...@us...> - 2004-08-23 22:37:00
|
Update of /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4406/b4_Business/a3_Testing Modified Files: WalkForwardTester.cs Log Message: QuantProject.Data.DataProvider has been replaced by QuantProject.Data.DataProviders.HistoricalDataProvider Index: WalkForwardTester.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing/WalkForwardTester.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** WalkForwardTester.cs 28 Nov 2003 16:27:16 -0000 1.3 --- WalkForwardTester.cs 23 Aug 2004 22:36:48 -0000 1.4 *************** *** 26,33 **** using QuantProject.ADT; using QuantProject.ADT.Optimizing; - using QuantProject.Data; using QuantProject.Business.Financial.Accounting; using QuantProject.Business.Financial.Instruments; using QuantProject.Business.Strategies; namespace QuantProject.Business.Testing --- 26,33 ---- using QuantProject.ADT; using QuantProject.ADT.Optimizing; using QuantProject.Business.Financial.Accounting; using QuantProject.Business.Financial.Instruments; using QuantProject.Business.Strategies; + using QuantProject.Data.DataProviders; namespace QuantProject.Business.Testing *************** *** 128,132 **** public override void Test() { ! DataProvider.SetCachedHistories( startDateTime , endDateTime ); testWindows = new TestWindows( startDateTime , endDateTime , inSampleWindowNumDays , outOfSampleWindowNumDays ); DateTime lastDateTime = new DateTime(); --- 128,132 ---- public override void Test() { ! HistoricalDataProvider.SetCachedHistories( startDateTime , endDateTime ); testWindows = new TestWindows( startDateTime , endDateTime , inSampleWindowNumDays , outOfSampleWindowNumDays ); DateTime lastDateTime = new DateTime(); |
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From: Glauco S. <gla...@us...> - 2004-08-23 22:37:00
|
Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a1_Instruments In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4406/b4_Business/a1_Financial/a1_Instruments Modified Files: Instrument.cs QuoteCache.cs Log Message: QuantProject.Data.DataProvider has been replaced by QuantProject.Data.DataProviders.HistoricalDataProvider Index: Instrument.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a1_Instruments/Instrument.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** Instrument.cs 17 Dec 2003 19:34:55 -0000 1.2 --- Instrument.cs 23 Aug 2004 22:36:47 -0000 1.3 *************** *** 24,28 **** using QuantProject.ADT; using QuantProject.ADT.Histories; ! using QuantProject.Data; namespace QuantProject.Business.Financial.Instruments --- 24,28 ---- using QuantProject.ADT; using QuantProject.ADT.Histories; ! using QuantProject.Data.DataProviders; namespace QuantProject.Business.Financial.Instruments *************** *** 44,48 **** public double GetMarketValue( ExtendedDateTime extendedDateTime ) { ! return DataProvider.GetMarketValue( this.Key , extendedDateTime ); } --- 44,48 ---- public double GetMarketValue( ExtendedDateTime extendedDateTime ) { ! return HistoricalDataProvider.GetMarketValue( this.Key , extendedDateTime ); } *************** *** 55,59 **** public DateTime GetNextMarketDay( DateTime dateTime ) { ! History history = DataProvider.GetOpenHistory( this.Key ); return history.GetNextDay( dateTime ); } --- 55,59 ---- public DateTime GetNextMarketDay( DateTime dateTime ) { ! History history = HistoricalDataProvider.GetOpenHistory( this.Key ); return history.GetNextDay( dateTime ); } *************** *** 61,65 **** public DateTime GetMarketDay( DateTime initialDateTime, int numberOfDaysAhead ) { ! History history = DataProvider.GetOpenHistory( this.Key ); return history.GetDay(initialDateTime, numberOfDaysAhead ); } --- 61,65 ---- public DateTime GetMarketDay( DateTime initialDateTime, int numberOfDaysAhead ) { ! History history = HistoricalDataProvider.GetOpenHistory( this.Key ); return history.GetDay(initialDateTime, numberOfDaysAhead ); } Index: QuoteCache.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a1_Instruments/QuoteCache.cs,v retrieving revision 1.1.1.1 retrieving revision 1.2 diff -C2 -d -r1.1.1.1 -r1.2 *** QuoteCache.cs 13 Oct 2003 21:58:24 -0000 1.1.1.1 --- QuoteCache.cs 23 Aug 2004 22:36:47 -0000 1.2 *************** *** 25,29 **** using QuantProject.ADT; using QuantProject.ADT.Histories; ! using QuantProject.Data; namespace QuantProject.Business.Financial.Instruments --- 25,29 ---- using QuantProject.ADT; using QuantProject.ADT.Histories; ! using QuantProject.Data.DataProviders; namespace QuantProject.Business.Financial.Instruments *************** *** 52,57 **** { foreach ( Object[] array in quoteIdentifierList ) ! DataProvider.Add( ((Instrument) array[ 0 ]).Key , (BarComponent) array[ 1 ] ); ! DataProvider.SetCachedHistories( startDateTime , endDateTime ); } --- 52,57 ---- { foreach ( Object[] array in quoteIdentifierList ) ! HistoricalDataProvider.Add( ((Instrument) array[ 0 ]).Key , (BarComponent) array[ 1 ] ); ! HistoricalDataProvider.SetCachedHistories( startDateTime , endDateTime ); } *************** *** 59,68 **** public static History GetOpenHistory( string instrumentKey ) { ! return DataProvider.GetOpenHistory( instrumentKey ); } public static History GetCloseHistory( string instrumentKey ) { ! return DataProvider.GetCloseHistory( instrumentKey ); } } --- 59,68 ---- public static History GetOpenHistory( string instrumentKey ) { ! return HistoricalDataProvider.GetOpenHistory( instrumentKey ); } public static History GetCloseHistory( string instrumentKey ) { ! return HistoricalDataProvider.GetCloseHistory( instrumentKey ); } } |
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From: Glauco S. <gla...@us...> - 2004-08-23 22:37:00
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Update of /cvsroot/quantproject/QuantProject/b5_Presentation In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4406/b5_Presentation Modified Files: b5_Presentation.csproj Log Message: QuantProject.Data.DataProvider has been replaced by QuantProject.Data.DataProviders.HistoricalDataProvider Index: b5_Presentation.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/b5_Presentation.csproj,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** b5_Presentation.csproj 14 Aug 2004 21:13:07 -0000 1.9 --- b5_Presentation.csproj 23 Aug 2004 22:36:47 -0000 1.10 *************** *** 113,121 **** /> <Reference - Name = "scpl" - AssemblyName = "scpl" - HintPath = "..\..\lib\scpl.dll" - /> - <Reference Name = "System.Windows.Forms" AssemblyName = "System.Windows.Forms" --- 113,116 ---- *************** *** 138,141 **** --- 133,141 ---- WrapperTool = "primary" /> + <Reference + Name = "scpl" + AssemblyName = "scpl" + HintPath = "..\b91_QuantProject\bin\Debug\scpl.dll" + /> </References> </Build> |
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From: Glauco S. <gla...@us...> - 2004-08-23 22:36:59
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4406/b4_Business/a1_Financial/a3_Ordering Modified Files: OrderManager.cs Log Message: QuantProject.Data.DataProvider has been replaced by QuantProject.Data.DataProviders.HistoricalDataProvider Index: OrderManager.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering/OrderManager.cs,v retrieving revision 1.1.1.1 retrieving revision 1.2 diff -C2 -d -r1.1.1.1 -r1.2 *** OrderManager.cs 13 Oct 2003 21:59:06 -0000 1.1.1.1 --- OrderManager.cs 23 Aug 2004 22:36:48 -0000 1.2 *************** *** 24,28 **** using System.Collections; using QuantProject.ADT; ! using QuantProject.Data; using QuantProject.Business.Financial.Accounting; --- 24,28 ---- using System.Collections; using QuantProject.ADT; ! using QuantProject.Data.DataProviders; using QuantProject.Business.Financial.Accounting; *************** *** 43,47 **** public virtual double GetInstrumentPrice( Order order ) { ! return DataProvider.GetMarketValue( order.Instrument.Key , order.ExtendedDateTime ); } #region "GetTransaction" --- 43,47 ---- public virtual double GetInstrumentPrice( Order order ) { ! return HistoricalDataProvider.GetMarketValue( order.Instrument.Key , order.ExtendedDateTime ); } #region "GetTransaction" |
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From: Glauco S. <gla...@us...> - 2004-08-23 22:36:58
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Update of /cvsroot/quantproject/QuantProject/b3_Data In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4406/b3_Data Modified Files: b3_Data.csproj Removed Files: DataProvider.cs Log Message: QuantProject.Data.DataProvider has been replaced by QuantProject.Data.DataProviders.HistoricalDataProvider --- DataProvider.cs DELETED --- Index: b3_Data.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** b3_Data.csproj 4 Aug 2004 22:47:59 -0000 1.9 --- b3_Data.csproj 23 Aug 2004 22:36:46 -0000 1.10 *************** *** 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> *************** *** 150,153 **** --- 158,166 ---- /> <File + RelPath = "DataProviders\HistoricalDataProvider.cs" + SubType = "Code" + BuildAction = "Compile" + /> + <File RelPath = "DataTables\GroupQuotes.cs" SubType = "Component" |
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From: Glauco S. <gla...@us...> - 2004-08-23 22:34:08
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Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv3372 Added Files: HistoricalDataProvider.cs Log Message: Static methods to access the historical data --- NEW FILE: HistoricalDataProvider.cs --- /* QuantProject - Quantitative Finance Library HistoricalDataProvider.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.ADT.Histories; using QuantProject.DataAccess; using QuantProject.DataAccess.Tables; namespace QuantProject.Data.DataProviders { /// <summary> /// Static methods to access the historical data /// </summary> public class HistoricalDataProvider { private static Hashtable cachedHistories = new Hashtable(); public HistoricalDataProvider() { // // TODO: Add constructor logic here // } // to be deleted public static void Add( string instrumentKey ) { Hashtable barComponentHistories = new Hashtable(); cachedHistories.Add( instrumentKey , barComponentHistories ); } /// <summary> /// Adds a new instrument quote history to be cached in memory /// </summary> /// <param name="instrument">Instrument to be monitored</param> /// <param name="barComponent">Bar component to be monitored (Open, High, Low, Close or Volume)</param> public static void Add( string instrumentKey , BarComponent barComponent ) { if ( !cachedHistories.ContainsKey( instrumentKey ) ) cachedHistories.Add( instrumentKey , new Hashtable() ); ((Hashtable) cachedHistories[ instrumentKey ]).Add( barComponent , barComponent ); } //public static void public static void SetCachedHistories( DateTime startDateTime , DateTime endDateTime ) { ArrayList keyArray = new ArrayList(); foreach (string instrumentKey in cachedHistories.Keys) keyArray.Add( instrumentKey ); foreach (string instrumentKey in keyArray ) { Hashtable barComponents = new Hashtable(); foreach (BarComponent barComponent in (( Hashtable )cachedHistories[ instrumentKey ]).Keys ) barComponents.Add( barComponent , barComponent ); Hashtable histories = DataBase.GetHistories( instrumentKey , barComponents , startDateTime , endDateTime ); cachedHistories[ instrumentKey ] = histories; } } public static History GetOpenHistory( string instrumentKey ) { return (History)((Hashtable)cachedHistories[ instrumentKey ])[ BarComponent.Open ]; } private static History getHistory( string instrumentKey , BarComponent barComponent ) { if ( ( !cachedHistories.Contains( instrumentKey ) ) || ( !((Hashtable)cachedHistories[ instrumentKey ]).Contains( barComponent ) ) ) { Add( instrumentKey , barComponent ); ((Hashtable)cachedHistories[ instrumentKey ])[ barComponent ] = DataBase.GetHistory( instrumentKey , barComponent ); } return (History)((Hashtable)cachedHistories[ instrumentKey ])[ barComponent ]; } public static History GetCloseHistory( string instrumentKey ) { if ( ( !cachedHistories.Contains( instrumentKey ) ) || ( !((Hashtable)cachedHistories[ instrumentKey ]).Contains( BarComponent.Close ) ) ) { Add( instrumentKey , BarComponent.Close ); ((Hashtable)cachedHistories[ instrumentKey ])[ BarComponent.Close ] = DataBase.GetHistory( instrumentKey , BarComponent.Close ); } return (History)((Hashtable)cachedHistories[ instrumentKey ])[ BarComponent.Close ]; } public static History GetHighHistory( string instrumentKey ) { return getHistory( instrumentKey , BarComponent.High ); } public static History GetLowHistory( string instrumentKey ) { return getHistory( instrumentKey , BarComponent.Low ); } public static double GetMarketValue( string instrumentKey , ExtendedDateTime extendedDateTime ) { //DateTime dateTime = return Convert.ToDouble( ( (History) ((Hashtable) cachedHistories[ instrumentKey ])[ extendedDateTime.BarComponent ] ).GetByIndex( ( (History) ((Hashtable) cachedHistories[ instrumentKey ])[ extendedDateTime.BarComponent ] ).IndexOfKeyOrPrevious( extendedDateTime.DateTime ) ) ); } /// <summary> /// returns the quotes DataTable for the given ticker /// </summary> /// <param name="instrumentKey">ticker whose quotes are to be returned</param> /// <returns></returns> public static DataTable GetTickerQuotes( string instrumentKey ) { return Quotes.GetTickerQuotes( instrumentKey ); } } } |
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From: Glauco S. <gla...@us...> - 2004-08-23 22:33:24
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Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv2986/DataProviders Log Message: Directory /cvsroot/quantproject/QuantProject/b3_Data/DataProviders added to the repository |
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From: Marco M. <mi...@us...> - 2004-08-22 16:56:41
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Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20513/b3_Data/Selectors Modified Files: SelectionType.cs TickerSelector.cs Log Message: Added new types of selection for the TickerSelector class (added new methods to Quotes classes and renamed some previous elements for the enum SelectionType) Index: SelectionType.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectionType.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** SelectionType.cs 4 Aug 2004 23:02:06 -0000 1.5 --- SelectionType.cs 22 Aug 2004 16:56:26 -0000 1.6 *************** *** 33,37 **** Performance, AverageCloseToClosePerformance, ! Volatility, CloseToCloseLinearCorrelation } --- 33,40 ---- Performance, AverageCloseToClosePerformance, ! AverageCloseToOpenPerformance, ! CloseToCloseVolatility, ! CloseToOpenVolatility, ! CloseToOpenLinearCorrelation, CloseToCloseLinearCorrelation } Index: TickerSelector.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/TickerSelector.cs,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** TickerSelector.cs 4 Aug 2004 23:02:06 -0000 1.7 --- TickerSelector.cs 22 Aug 2004 16:56:26 -0000 1.8 *************** *** 134,154 **** public DataTable GetTableOfSelectedTickers() { ! switch (this.typeOfSelection) ! { ! case SelectionType.Liquidity: ! return this.getTickersByLiquidity(); ! case SelectionType.Performance: ! return this.getTickersByPerformance(); ! case SelectionType.Volatility: ! return this.getTickersByVolatility(); ! case SelectionType.AverageCloseToClosePerformance: ! return this.getTickersByAverageCloseToClosePerformance(); ! case SelectionType.CloseToCloseLinearCorrelation: ! return this.getTickersByCloseToCloseLinearCorrelation(); ! //this line should never be reached! ! default: ! return new DataTable(); ! } ! } --- 134,160 ---- public DataTable GetTableOfSelectedTickers() { ! switch (this.typeOfSelection) ! { ! case SelectionType.Liquidity: ! return this.getTickersByLiquidity(); ! case SelectionType.Performance: ! return this.getTickersByPerformance(); ! case SelectionType.CloseToCloseVolatility: ! return this.getTickersByCloseToCloseVolatility(); ! case SelectionType.CloseToOpenVolatility: ! return this.getTickersByCloseToOpenVolatility(); ! case SelectionType.AverageCloseToClosePerformance: ! return this.getTickersByAverageCloseToClosePerformance(); ! case SelectionType.AverageCloseToOpenPerformance: ! return this.getTickersByAverageCloseToOpenPerformance(); ! case SelectionType.CloseToCloseLinearCorrelation: ! return this.getTickersByCloseToCloseLinearCorrelation(); ! case SelectionType.CloseToOpenLinearCorrelation: ! return this.getTickersByCloseToOpenLinearCorrelation(); ! //this line should never be reached! ! default: ! return new DataTable(); ! } ! } *************** *** 203,210 **** } ! private DataTable getTickersByVolatility() { if(this.setOfTickersToBeSelected == null) ! return QuantProject.DataAccess.Tables.Quotes.GetTickersByVolatility(this.isOrderedInASCMode, this.groupID, this.firstQuoteDate, --- 209,232 ---- } ! private DataTable getTickersByAverageCloseToOpenPerformance() { if(this.setOfTickersToBeSelected == null) ! return QuantProject.DataAccess.Tables.Quotes.GetTickersByAverageCloseToOpenPerformance(this.isOrderedInASCMode, ! this.groupID, this.firstQuoteDate, ! this.lastQuoteDate, ! this.maxNumOfReturnedTickers); ! else ! return QuantProject.Data.DataTables.Quotes.GetTickersByAverageCloseToOpenPerformance(this.isOrderedInASCMode, ! this.setOfTickersToBeSelected, ! this.firstQuoteDate, ! this.lastQuoteDate, ! this.maxNumOfReturnedTickers); ! ! } ! ! private DataTable getTickersByCloseToCloseVolatility() ! { ! if(this.setOfTickersToBeSelected == null) ! return QuantProject.DataAccess.Tables.Quotes.GetTickersByCloseToCloseVolatility(this.isOrderedInASCMode, this.groupID, this.firstQuoteDate, *************** *** 213,217 **** else ! return QuantProject.Data.DataTables.Quotes.GetTickersByVolatility(this.isOrderedInASCMode, this.setOfTickersToBeSelected, this.firstQuoteDate, --- 235,256 ---- else ! return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToCloseVolatility(this.isOrderedInASCMode, ! this.setOfTickersToBeSelected, ! this.firstQuoteDate, ! this.lastQuoteDate, ! this.maxNumOfReturnedTickers); ! } ! ! private DataTable getTickersByCloseToOpenVolatility() ! { ! if(this.setOfTickersToBeSelected == null) ! return QuantProject.DataAccess.Tables.Quotes.GetTickersByCloseToOpenVolatility(this.isOrderedInASCMode, ! this.groupID, ! this.firstQuoteDate, ! this.lastQuoteDate, ! this.maxNumOfReturnedTickers); ! ! else ! return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToOpenVolatility(this.isOrderedInASCMode, this.setOfTickersToBeSelected, this.firstQuoteDate, *************** *** 222,226 **** private DataTable getTickersByCloseToCloseLinearCorrelation() { ! return QuantProject.Data.DataTables.Quotes.GetTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode, this.setOfTickersToBeSelected, this.firstQuoteDate, --- 261,266 ---- private DataTable getTickersByCloseToCloseLinearCorrelation() { ! this.launchExceptionIfGroupIDIsNotEmpty(); ! return QuantProject.Data.DataTables.Quotes.GetTickersByAdjCloseToClosePearsonCorrelationCoefficient(this.isOrderedInASCMode, this.setOfTickersToBeSelected, this.firstQuoteDate, *************** *** 228,231 **** --- 268,290 ---- } + private DataTable getTickersByCloseToOpenLinearCorrelation() + { + + this.launchExceptionIfGroupIDIsNotEmpty(); + + return QuantProject.Data.DataTables.Quotes.GetTickersByCloseToOpenPearsonCorrelationCoefficient(this.isOrderedInASCMode, + this.setOfTickersToBeSelected, + this.firstQuoteDate, + this.lastQuoteDate); + } + + private void launchExceptionIfGroupIDIsNotEmpty() + { + if(this.groupID!="") + { + throw new Exception("Not implemented: this type of selection works only with few tickers, at the moment"); + } + } + public void SelectAllTickers() { *************** *** 254,257 **** --- 313,318 ---- } + + } } |
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From: Marco M. <mi...@us...> - 2004-08-22 16:56:40
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Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20513/b2_DataAccess/Tables Modified Files: Quotes.cs Log Message: Added new types of selection for the TickerSelector class (added new methods to Quotes classes and renamed some previous elements for the enum SelectionType) Index: Quotes.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables/Quotes.cs,v retrieving revision 1.16 retrieving revision 1.17 diff -C2 -d -r1.16 -r1.17 *** Quotes.cs 4 Aug 2004 22:55:09 -0000 1.16 --- Quotes.cs 22 Aug 2004 16:56:25 -0000 1.17 *************** *** 413,419 **** /// <summary> ! /// Returns tickers ordered by a volatility index (stdDev of adjustedCloseToClose ratio) /// </summary> ! public static DataTable GetTickersByVolatility( bool orderInASCMode, string groupID, DateTime firstQuoteDate, DateTime lastQuoteDate, --- 413,419 ---- /// <summary> ! /// Returns tickers ordered by a close to close volatility index (stdDev of adjustedCloseToClose ratio) /// </summary> ! public static DataTable GetTickersByCloseToCloseVolatility( bool orderInASCMode, string groupID, DateTime firstQuoteDate, DateTime lastQuoteDate, *************** *** 439,442 **** --- 439,468 ---- /// <summary> + /// Returns tickers ordered by a close to open volatility index (stdDev of Close To Open ratio) + /// </summary> + public static DataTable GetTickersByCloseToOpenVolatility( bool orderInASCMode, string groupID, + DateTime firstQuoteDate, + DateTime lastQuoteDate, + long maxNumOfReturnedTickers) + { + string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " + + "StDev(quotes.quClose/quotes.quOpen) AS CloseToOpenStandDev " + + "FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " + + "ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " + + "ON quotes.quTicker = tickers_tickerGroups.ttTiId " + + "WHERE tickers_tickerGroups.ttTgId='" + groupID + "' " + + "AND quotes.quDate BETWEEN " + + SQLBuilder.GetDateConstant(firstQuoteDate) + " AND " + + SQLBuilder.GetDateConstant(lastQuoteDate) + + "GROUP BY tickers.tiTicker, tickers.tiCompanyName " + + "ORDER BY StDev(quotes.quClose/quotes.quOpen)"; + string sortDirection = " DESC"; + if(orderInASCMode) + sortDirection = " ASC"; + sql = sql + sortDirection; + return SqlExecutor.GetDataTable( sql ); + } + + /// <summary> /// Returns tickers ordered by average close to close performance /// </summary> *************** *** 465,468 **** --- 491,520 ---- /// <summary> + /// Returns tickers ordered by average close to open performance (in the same bar) + /// </summary> + public static DataTable GetTickersByAverageCloseToOpenPerformance( bool orderInASCMode, string groupID, + DateTime firstQuoteDate, + DateTime lastQuoteDate, + long maxNumOfReturnedTickers) + { + string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " + + "Avg(quotes.quClose/quotes.quOpen) AS AverageCloseToOpenPerformance " + + "FROM quotes INNER JOIN (tickers INNER JOIN tickers_tickerGroups " + + "ON tickers.tiTicker = tickers_tickerGroups.ttTiId) " + + "ON quotes.quTicker = tickers_tickerGroups.ttTiId " + + "WHERE tickers_tickerGroups.ttTgId='" + groupID + "' " + + "AND quotes.quDate BETWEEN " + + SQLBuilder.GetDateConstant(firstQuoteDate) + " AND " + + SQLBuilder.GetDateConstant(lastQuoteDate) + + "GROUP BY tickers.tiTicker, tickers.tiCompanyName " + + "ORDER BY Avg(quotes.quClose/quotes.quOpen)"; + string sortDirection = " DESC"; + if(orderInASCMode) + sortDirection = " ASC"; + sql = sql + sortDirection; + return SqlExecutor.GetDataTable( sql ); + } + + /// <summary> /// returns the average traded value for the given ticker in the specified interval /// </summary> *************** *** 512,515 **** --- 564,591 ---- /// <summary> + /// returns the average close to open performance value for the given ticker in the specified interval + /// </summary> + public static double GetAverageCloseToOpenPerformance( string ticker, + DateTime firstQuoteDate, + DateTime lastQuoteDate) + + { + DataTable dt; + string sql = "SELECT quotes.quTicker, " + + "Avg([quClose]/[quOpen]) AS AverageCloseToOpenPerformance " + + "FROM quotes WHERE quTicker ='" + + ticker + "' " + + "AND quotes.quDate BETWEEN " + SQLBuilder.GetDateConstant(firstQuoteDate) + + " AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + + " GROUP BY quotes.quTicker"; + dt = SqlExecutor.GetDataTable( sql ); + if(dt.Rows.Count==0) + return 0; + else + return (double)dt.Rows[0]["AverageCloseToOpenPerformance"]; + } + + + /// <summary> /// returns the standard deviation of the adjusted close to close ratio /// for the given ticker in the specified interval *************** *** 535,539 **** } ! --- 611,637 ---- } ! /// <summary> ! /// returns the standard deviation of the adjusted close to open ratio ! /// for the given ticker in the specified interval ! /// </summary> ! public static double GetCloseToOpenStandardDeviation( string ticker, ! DateTime firstQuoteDate, ! DateTime lastQuoteDate) ! ! { ! DataTable dt; ! string sql = "SELECT quotes.quTicker, " + ! "StDev(quotes.quClose/quotes.quOpen) AS CloseToOpenStandDev " + ! "FROM quotes WHERE quTicker ='" + ! ticker + "' " + ! "AND quotes.quDate BETWEEN " + SQLBuilder.GetDateConstant(firstQuoteDate) + ! " AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + ! " GROUP BY quotes.quTicker"; ! dt = SqlExecutor.GetDataTable( sql ); ! if(dt.Rows.Count==0) ! return 0; ! else ! return (double)dt.Rows[0]["CloseToOpenStandDev"]; ! } |
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From: Marco M. <mi...@us...> - 2004-08-22 16:56:40
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Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20513/b3_Data/DataTables Modified Files: Quotes.cs Log Message: Added new types of selection for the TickerSelector class (added new methods to Quotes classes and renamed some previous elements for the enum SelectionType) Index: Quotes.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** Quotes.cs 11 Aug 2004 21:36:55 -0000 1.7 --- Quotes.cs 22 Aug 2004 16:56:25 -0000 1.8 *************** *** 53,61 **** /// close to close ratio, within the given set of tickers /// </summary> ! public static DataTable GetTickersByVolatility( bool orderByASC, ! DataTable setOfTickers, ! DateTime firstQuoteDate, ! DateTime lastQuoteDate, ! long maxNumOfReturnedTickers) { if(!setOfTickers.Columns.Contains("AdjCloseToCloseStandDev")) --- 53,61 ---- /// close to close ratio, within the given set of tickers /// </summary> ! public static DataTable GetTickersByCloseToCloseVolatility( bool orderByASC, ! DataTable setOfTickers, ! DateTime firstQuoteDate, ! DateTime lastQuoteDate, ! long maxNumOfReturnedTickers) { if(!setOfTickers.Columns.Contains("AdjCloseToCloseStandDev")) *************** *** 74,77 **** --- 74,102 ---- /// <summary> + /// returns tickers ordered by volatility computed with Standard deviation of adjusted + /// close to open ratio, within the given set of tickers + /// </summary> + public static DataTable GetTickersByCloseToOpenVolatility( bool orderByASC, + DataTable setOfTickers, + DateTime firstQuoteDate, + DateTime lastQuoteDate, + long maxNumOfReturnedTickers) + { + if(!setOfTickers.Columns.Contains("CloseToOpenStandDev")) + setOfTickers.Columns.Add("CloseToOpenStandDev", System.Type.GetType("System.Double")); + foreach(DataRow row in setOfTickers.Rows) + { + row["CloseToOpenStandDev"] = + QuantProject.DataAccess.Tables.Quotes.GetCloseToOpenStandardDeviation((string)row[0], + firstQuoteDate, + lastQuoteDate); + } + DataTable getTickersByVolatility = ExtendedDataTable.CopyAndSort(setOfTickers,"CloseToOpenStandDev", orderByASC); + ExtendedDataTable.DeleteRows(getTickersByVolatility, maxNumOfReturnedTickers); + return getTickersByVolatility; + } + + + /// <summary> /// returns tickers by average close to close performance within the given set of tickers /// </summary> *************** *** 98,101 **** --- 123,152 ---- /// <summary> + /// returns tickers by average close to open performance within the given set of tickers + /// </summary> + + public static DataTable GetTickersByAverageCloseToOpenPerformance( bool orderByASC, + DataTable setOfTickers, + DateTime firstQuoteDate, + DateTime lastQuoteDate, + long maxNumOfReturnedTickers) + { + if(!setOfTickers.Columns.Contains("AverageCloseToOpenPerformance")) + setOfTickers.Columns.Add("AverageCloseToOpenPerformance", System.Type.GetType("System.Double")); + foreach(DataRow row in setOfTickers.Rows) + { + row["AverageCloseToOpenPerformance"] = + QuantProject.DataAccess.Tables.Quotes.GetAverageCloseToOpenPerformance((string)row[0], + firstQuoteDate, + lastQuoteDate); + } + DataTable tableToReturn = ExtendedDataTable.CopyAndSort(setOfTickers,"AverageCloseToOpenPerformance", orderByASC); + ExtendedDataTable.DeleteRows(tableToReturn, maxNumOfReturnedTickers); + return tableToReturn; + } + + + + /// <summary> /// Returns a table containing the Pearson correlation coefficient of the adjusted close to close ratios /// for any possible couple of tickers contained in the given table, for the specified interval *************** *** 115,144 **** { string firstTicker = (string)setOfTickers.Rows[j][0]; ! for(int i = j; i!= initialNumberOfRows; i++) { string secondTicker = (string)setOfTickers.Rows[i][0]; ! if(firstTicker != secondTicker) { ! DataTable dtFirstTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(firstTicker, ! firstQuoteDate, ! lastQuoteDate); ! DataTable dtSecondTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(secondTicker, ! firstQuoteDate, ! lastQuoteDate); ! DataRow rowToAdd = setOfTickers.NewRow(); ! rowToAdd[0] = firstTicker; ! rowToAdd["CorrelatedTicker"] = secondTicker; ! try ! { ! rowToAdd["PearsonCorrelationCoefficient"] = ! QuantProject.ADT.Statistics.BasicFunctions.PearsonCorrelationCoefficient( ! ExtendedDataTable.GetArrayOfFloatFromColumn(dtFirstTicker, "quAdjustedCloseToCloseRatio"), ! ExtendedDataTable.GetArrayOfFloatFromColumn(dtSecondTicker, "quAdjustedCloseToCloseRatio")); ! setOfTickers.Rows.Add(rowToAdd); ! } ! catch(Exception ex) ! { ! string notUsed = ex.ToString(); ! } } } --- 166,240 ---- { string firstTicker = (string)setOfTickers.Rows[j][0]; ! for(int i = j+1; i!= initialNumberOfRows; i++) { string secondTicker = (string)setOfTickers.Rows[i][0]; ! DataTable dtFirstTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(firstTicker, ! firstQuoteDate, ! lastQuoteDate); ! DataTable dtSecondTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(secondTicker, ! firstQuoteDate, ! lastQuoteDate); ! DataRow rowToAdd = setOfTickers.NewRow(); ! rowToAdd[0] = firstTicker; ! rowToAdd["CorrelatedTicker"] = secondTicker; ! try { ! rowToAdd["PearsonCorrelationCoefficient"] = ! QuantProject.ADT.Statistics.BasicFunctions.PearsonCorrelationCoefficient( ! ExtendedDataTable.GetArrayOfFloatFromColumn(dtFirstTicker, "quAdjustedCloseToCloseRatio"), ! ExtendedDataTable.GetArrayOfFloatFromColumn(dtSecondTicker, "quAdjustedCloseToCloseRatio")); ! setOfTickers.Rows.Add(rowToAdd); ! } ! catch(Exception ex) ! { ! string notUsed = ex.ToString(); ! } ! } ! } ! ExtendedDataTable.DeleteRows(setOfTickers, 0, initialNumberOfRows - 1); ! return ExtendedDataTable.CopyAndSort(setOfTickers,"PearsonCorrelationCoefficient", orderByASC); ! } ! ! /// <summary> ! /// Returns a table containing the Pearson correlation coefficient of the close to open ratios ! /// for any possible couple of tickers contained in the given table, for the specified interval ! /// </summary> ! public static DataTable GetTickersByCloseToOpenPearsonCorrelationCoefficient( bool orderByASC, ! DataTable setOfTickers, ! DateTime firstQuoteDate, ! DateTime lastQuoteDate) ! ! { ! if(!setOfTickers.Columns.Contains("CorrelatedTicker")) ! setOfTickers.Columns.Add("CorrelatedTicker", System.Type.GetType("System.String")); ! if(!setOfTickers.Columns.Contains("PearsonCorrelationCoefficient")) ! setOfTickers.Columns.Add("PearsonCorrelationCoefficient", System.Type.GetType("System.Double")); ! int initialNumberOfRows = setOfTickers.Rows.Count; ! for(int j=0; j!= initialNumberOfRows; j++) ! { ! string firstTicker = (string)setOfTickers.Rows[j][0]; ! for(int i = j+1; i!= initialNumberOfRows; i++) ! { ! string secondTicker = (string)setOfTickers.Rows[i][0]; ! DataTable dtFirstTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(firstTicker, ! firstQuoteDate, ! lastQuoteDate); ! DataTable dtSecondTicker = QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(secondTicker, ! firstQuoteDate, ! lastQuoteDate); ! DataRow rowToAdd = setOfTickers.NewRow(); ! rowToAdd[0] = firstTicker; ! rowToAdd["CorrelatedTicker"] = secondTicker; ! try ! { ! rowToAdd["PearsonCorrelationCoefficient"] = ! QuantProject.ADT.Statistics.BasicFunctions.PearsonCorrelationCoefficient( ! ExtendedDataTable.GetArrayOfFloatFromRatioOfColumns(dtFirstTicker, "quClose", "quOpen"), ! ExtendedDataTable.GetArrayOfFloatFromRatioOfColumns(dtSecondTicker, "quClose", "quOpen")); ! setOfTickers.Rows.Add(rowToAdd); ! } ! catch(Exception ex) ! { ! string notUsed = ex.ToString(); } } *************** *** 149,152 **** --- 245,249 ---- + private History history; |
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From: Marco M. <mi...@us...> - 2004-08-22 16:52:49
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Update of /cvsroot/quantproject/QuantProject/b1_ADT/Statistics In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv19434/b1_ADT/Statistics Modified Files: BasicFunctions.cs Log Message: Updated BasicFunctions class with the computation of CoVariance Index: BasicFunctions.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Statistics/BasicFunctions.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** BasicFunctions.cs 4 Aug 2004 22:49:27 -0000 1.3 --- BasicFunctions.cs 22 Aug 2004 16:52:40 -0000 1.4 *************** *** 90,93 **** --- 90,116 ---- return (sumOfSquares - sum*sum/data.Length)/data.Length; } + + static public double CoVariance( double[] firstDataVariable, + double[] secondDataVariable ) + { + BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable); + double simpleAvgOfProduct = BasicFunctions.SimpleAverageOfProduct(firstDataVariable, secondDataVariable); + double productOfSimpleAvgs = BasicFunctions.SimpleAverage(firstDataVariable) * + BasicFunctions.SimpleAverage(secondDataVariable); + + return (simpleAvgOfProduct - productOfSimpleAvgs); + } + + static public double CoVariance( float[] firstDataVariable, + float[] secondDataVariable ) + { + BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable); + double simpleAvgOfProduct = BasicFunctions.SimpleAverageOfProduct(firstDataVariable, secondDataVariable); + double productOfSimpleAvgs = BasicFunctions.SimpleAverage(firstDataVariable) * + BasicFunctions.SimpleAverage(secondDataVariable); + + return (simpleAvgOfProduct - productOfSimpleAvgs); + } + static public double StdDev( double[] data ) { *************** *** 103,113 **** { BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable); ! double simpleAvgOfProduct = BasicFunctions.SimpleAverageOfProduct(firstDataVariable, secondDataVariable); ! double productOfSimpleAvgs = BasicFunctions.SimpleAverage(firstDataVariable) * ! BasicFunctions.SimpleAverage(secondDataVariable); double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable); double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable); ! return (simpleAvgOfProduct - productOfSimpleAvgs)/(stdDevOfFirst*stdDevOfSecond); } static public double PearsonCorrelationCoefficient( float[] firstDataVariable, --- 126,136 ---- { BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable); ! double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable); double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable); + double coVariance = BasicFunctions.CoVariance(firstDataVariable, + secondDataVariable); ! return (coVariance)/(stdDevOfFirst*stdDevOfSecond); } static public double PearsonCorrelationCoefficient( float[] firstDataVariable, *************** *** 115,125 **** { BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable); ! double simpleAvgOfProduct = BasicFunctions.SimpleAverageOfProduct(firstDataVariable, secondDataVariable); ! double productOfSimpleAvgs = BasicFunctions.SimpleAverage(firstDataVariable) * ! BasicFunctions.SimpleAverage(secondDataVariable); double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable); double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable); ! return (simpleAvgOfProduct - productOfSimpleAvgs)/(stdDevOfFirst*stdDevOfSecond); } --- 138,148 ---- { BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable); ! double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable); double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable); + double coVariance = BasicFunctions.CoVariance(firstDataVariable, + secondDataVariable); ! return (coVariance)/(stdDevOfFirst*stdDevOfSecond); } |
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From: Marco M. <mi...@us...> - 2004-08-22 16:51:21
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Update of /cvsroot/quantproject/QuantProject/b1_ADT In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv18983/b1_ADT Modified Files: ExtendedDataTable.cs Log Message: Added static method to the class in order to retrieve a HashTable containing common values from two given columns in two given dataTables (method has to be tested) Index: ExtendedDataTable.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ExtendedDataTable.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** ExtendedDataTable.cs 11 Aug 2004 21:33:10 -0000 1.5 --- ExtendedDataTable.cs 22 Aug 2004 16:51:09 -0000 1.6 *************** *** 1,7 **** --- 1,9 ---- using System; + using System.Collections; using System.Data; using System.Windows.Forms; + namespace QuantProject.ADT { *************** *** 94,97 **** --- 96,165 ---- } + /// <summary> + /// Get an array of float corresponding to the ratio between columnA and columnB + /// </summary> + public static float[] GetArrayOfFloatFromRatioOfColumns(DataTable table, + string columnAName, string columnBName) + { + int numRows = table.Rows.Count; + float[] arrayOfFloat = new float[numRows]; + int index = 0; + try + { + for(; index!= numRows; index++) + { + arrayOfFloat[index] = (float) table.Rows[index][columnAName] / + (float) table.Rows[index][columnBName]; + } + + } + catch(Exception ex) + { + MessageBox.Show(ex.ToString()); + index = numRows; + } + return arrayOfFloat; + + } + + /// <summary> + /// It returns a hashtable containing the common values in two + /// columns of two given Data tables (the two columns must contain unique values!) + /// </summary> + /// <param name="firstDataTable">The first table that contains the first column</param> + /// <param name="secondDataTable">The second table that contains the second column</param> + /// <param name="indexOfColumnOfFirstTable">The index of the first column in the first table</param> + /// <param name="indexOfColumnOfSecondTable">The index of the second column in the second table</param> + public static Hashtable GetCommonValues(DataTable firstDataTable, DataTable secondDataTable, + int indexOfColumnOfFirstTable, + int indexOfColumnOfSecondTable) + { + + Hashtable hashTable = new Hashtable(); + + string columnNameTable1 = firstDataTable.Columns[indexOfColumnOfFirstTable].ColumnName; + string columnNameTable2 = firstDataTable.Columns[indexOfColumnOfSecondTable].ColumnName; + DataRow[] orderedRowsTable1 = firstDataTable.Select(columnNameTable1 + "!=' '", "DESC"); + DataRow[] orderedRowsTable2 = secondDataTable.Select(columnNameTable2 + "!=' '", "DESC"); + int j = 0; + for(int i=0; i != orderedRowsTable1.Length; i++) + { + for(; j != orderedRowsTable2.Length; j++) + { + int currentIndex = j; + object object1 = orderedRowsTable1[i][indexOfColumnOfFirstTable]; + object object2 = orderedRowsTable2[i][indexOfColumnOfSecondTable]; + if( object1 == object2 ) + { + hashTable.Add(object1, object2); + j = currentIndex; + } + } + } + return hashTable; + + } + + } } |
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From: Marco M. <mi...@us...> - 2004-08-22 16:48:33
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Update of /cvsroot/quantproject/QuantDownloader/Downloader/TickerSelectors In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv18096/Downloader/TickerSelectors Modified Files: TickerSelectorForm.cs Log Message: Updated combo box of ticker selector form with another selection type for the TickerSelector class Index: TickerSelectorForm.cs =================================================================== RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/TickerSelectors/TickerSelectorForm.cs,v retrieving revision 1.7 retrieving revision 1.8 diff -C2 -d -r1.7 -r1.8 *** TickerSelectorForm.cs 4 Aug 2004 23:03:17 -0000 1.7 --- TickerSelectorForm.cs 22 Aug 2004 16:47:56 -0000 1.8 *************** *** 71,80 **** this.comboBoxAvailableSelectionRules.Text = "Performance"; this.comboBoxAvailableSelectionRules.Items.Add("Performance"); ! this.comboBoxAvailableSelectionRules.Text = "Volatility"; ! this.comboBoxAvailableSelectionRules.Items.Add("Volatility"); this.comboBoxAvailableSelectionRules.Text = "AverageCloseToClosePerformance"; this.comboBoxAvailableSelectionRules.Items.Add("AverageCloseToClosePerformance"); this.comboBoxAvailableSelectionRules.Text = "CloseToCloseLinearCorrelation"; this.comboBoxAvailableSelectionRules.Items.Add("CloseToCloseLinearCorrelation"); } --- 71,86 ---- this.comboBoxAvailableSelectionRules.Text = "Performance"; this.comboBoxAvailableSelectionRules.Items.Add("Performance"); ! this.comboBoxAvailableSelectionRules.Text = "CloseToCloseVolatility"; ! this.comboBoxAvailableSelectionRules.Items.Add("CloseToCloseVolatility"); ! this.comboBoxAvailableSelectionRules.Text = "CloseToOpenVolatility"; ! this.comboBoxAvailableSelectionRules.Items.Add("CloseToOpenVolatility"); this.comboBoxAvailableSelectionRules.Text = "AverageCloseToClosePerformance"; this.comboBoxAvailableSelectionRules.Items.Add("AverageCloseToClosePerformance"); this.comboBoxAvailableSelectionRules.Text = "CloseToCloseLinearCorrelation"; this.comboBoxAvailableSelectionRules.Items.Add("CloseToCloseLinearCorrelation"); + this.comboBoxAvailableSelectionRules.Text = "CloseToOpenLinearCorrelation"; + this.comboBoxAvailableSelectionRules.Items.Add("CloseToOpenLinearCorrelation"); + this.comboBoxAvailableSelectionRules.Text = "AverageCloseToOpenPerformance"; + this.comboBoxAvailableSelectionRules.Items.Add("AverageCloseToOpenPerformance"); } *************** *** 351,360 **** else if (this.comboBoxAvailableSelectionRules.Text == "Performance") typeSelected = SelectionType.Performance; ! else if (this.comboBoxAvailableSelectionRules.Text == "Volatility") ! typeSelected = SelectionType.Volatility; else if (this.comboBoxAvailableSelectionRules.Text == "AverageCloseToClosePerformance") typeSelected = SelectionType.AverageCloseToClosePerformance; else if (this.comboBoxAvailableSelectionRules.Text == "CloseToCloseLinearCorrelation") typeSelected = SelectionType.CloseToCloseLinearCorrelation; return typeSelected; } --- 357,372 ---- else if (this.comboBoxAvailableSelectionRules.Text == "Performance") typeSelected = SelectionType.Performance; ! else if (this.comboBoxAvailableSelectionRules.Text == "CloseToCloseVolatility") ! typeSelected = SelectionType.CloseToCloseVolatility; ! else if (this.comboBoxAvailableSelectionRules.Text == "CloseToOpenVolatility") ! typeSelected = SelectionType.CloseToOpenVolatility; else if (this.comboBoxAvailableSelectionRules.Text == "AverageCloseToClosePerformance") typeSelected = SelectionType.AverageCloseToClosePerformance; else if (this.comboBoxAvailableSelectionRules.Text == "CloseToCloseLinearCorrelation") typeSelected = SelectionType.CloseToCloseLinearCorrelation; + else if (this.comboBoxAvailableSelectionRules.Text == "CloseToOpenLinearCorrelation") + typeSelected = SelectionType.CloseToOpenLinearCorrelation; + else if (this.comboBoxAvailableSelectionRules.Text == "AverageCloseToOpenPerformance") + typeSelected = SelectionType.AverageCloseToOpenPerformance; return typeSelected; } |
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From: Glauco S. <gla...@us...> - 2004-08-15 00:08:58
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12886/b4_Business/a1_Financial/a2_Accounting Modified Files: Account.cs Log Message: Moved reporting features from the Account class to the ConsoleManager class (fixed the n-tier approach) Index: Account.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Account.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** Account.cs 14 Aug 2004 21:12:09 -0000 1.5 --- Account.cs 15 Aug 2004 00:08:41 -0000 1.6 *************** *** 107,115 **** } - public void DrawReport() - { - // TO DO !!! - } - public bool Contains( Instrument instrument ) { --- 107,110 ---- |
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From: Glauco S. <gla...@us...> - 2004-08-15 00:07:58
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12720/b7_Scripts/SimpleTesting/OneRank Modified Files: RunOneRank.cs RunOneRankWithExcelReport.cs RunOneRankWithWindowsReport.cs Log Message: The ExcelManager class has been moved to the QuantProject.Presentation.Reporting.MicrosoftExcel namespace Index: RunOneRank.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank/RunOneRank.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** RunOneRank.cs 1 Aug 2004 00:33:26 -0000 1.2 --- RunOneRank.cs 15 Aug 2004 00:07:48 -0000 1.3 *************** *** 31,35 **** using QuantProject.Business.Strategies; using QuantProject.Business.Scripting; ! using QuantProject.Presentation.MicrosoftExcel; using QuantProject.Presentation.Reporting.WindowsForm; --- 31,35 ---- using QuantProject.Business.Strategies; using QuantProject.Business.Scripting; ! using QuantProject.Presentation.Reporting.MicrosoftExcel; using QuantProject.Presentation.Reporting.WindowsForm; Index: RunOneRankWithWindowsReport.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank/RunOneRankWithWindowsReport.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** RunOneRankWithWindowsReport.cs 1 Aug 2004 00:23:43 -0000 1.1 --- RunOneRankWithWindowsReport.cs 15 Aug 2004 00:07:49 -0000 1.2 *************** *** 31,35 **** using QuantProject.Business.Strategies; using QuantProject.Business.Scripting; - using QuantProject.Presentation.MicrosoftExcel; using QuantProject.Presentation.Reporting.WindowsForm; --- 31,34 ---- Index: RunOneRankWithExcelReport.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank/RunOneRankWithExcelReport.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** RunOneRankWithExcelReport.cs 1 Aug 2004 00:22:44 -0000 1.1 --- RunOneRankWithExcelReport.cs 15 Aug 2004 00:07:49 -0000 1.2 *************** *** 31,36 **** using QuantProject.Business.Strategies; using QuantProject.Business.Scripting; ! using QuantProject.Presentation.MicrosoftExcel; ! using QuantProject.Presentation.Reporting.WindowsForm; namespace QuantProject.Scripts --- 31,35 ---- using QuantProject.Business.Strategies; using QuantProject.Business.Scripting; ! using QuantProject.Presentation.Reporting.MicrosoftExcel; namespace QuantProject.Scripts |
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From: Glauco S. <gla...@us...> - 2004-08-15 00:07:58
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12720/b4_Business/a3_Testing Modified Files: Tester.cs Log Message: The ExcelManager class has been moved to the QuantProject.Presentation.Reporting.MicrosoftExcel namespace Index: Tester.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing/Tester.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** Tester.cs 28 Nov 2003 16:26:17 -0000 1.3 --- Tester.cs 15 Aug 2004 00:07:49 -0000 1.4 *************** *** 34,38 **** { /// <summary> ! /// Summary description for Tester. /// </summary> public class Tester : BackTester --- 34,39 ---- { /// <summary> ! /// Used to test an account (with its account strategy), given a time window, ! /// a trading system and a starting cash amount /// </summary> public class Tester : BackTester |
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From: Glauco S. <gla...@us...> - 2004-08-15 00:07:58
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/MultiTesting/MultiTestOneRank In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12720/b7_Scripts/MultiTesting/MultiTestOneRank Modified Files: RunMultiTestOneRank.cs Log Message: The ExcelManager class has been moved to the QuantProject.Presentation.Reporting.MicrosoftExcel namespace Index: RunMultiTestOneRank.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/MultiTesting/MultiTestOneRank/RunMultiTestOneRank.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** RunMultiTestOneRank.cs 28 Nov 2003 16:31:24 -0000 1.1 --- RunMultiTestOneRank.cs 15 Aug 2004 00:07:48 -0000 1.2 *************** *** 30,34 **** using QuantProject.Business.Strategies; using QuantProject.Business.Testing; ! using QuantProject.Presentation.MicrosoftExcel; namespace QuantProject.Scripts --- 30,34 ---- using QuantProject.Business.Strategies; using QuantProject.Business.Testing; ! using QuantProject.Presentation.Reporting.MicrosoftExcel; namespace QuantProject.Scripts |
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From: Glauco S. <gla...@us...> - 2004-08-15 00:07:57
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12720/b7_Scripts/WalkForwardTesting/MSFTwalkForward Modified Files: RunMSFTwalkForward.cs Log Message: The ExcelManager class has been moved to the QuantProject.Presentation.Reporting.MicrosoftExcel namespace Index: RunMSFTwalkForward.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/MSFTwalkForward/RunMSFTwalkForward.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** RunMSFTwalkForward.cs 24 Nov 2003 19:38:10 -0000 1.1 --- RunMSFTwalkForward.cs 15 Aug 2004 00:07:48 -0000 1.2 *************** *** 31,35 **** using QuantProject.Business.Strategies; using QuantProject.Business.Testing; ! using QuantProject.Presentation.MicrosoftExcel; namespace QuantProject.Scripts --- 31,35 ---- using QuantProject.Business.Strategies; using QuantProject.Business.Testing; ! using QuantProject.Presentation.Reporting.MicrosoftExcel; namespace QuantProject.Scripts |
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From: Glauco S. <gla...@us...> - 2004-08-15 00:07:57
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/MSFTSimpleTest_2 In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12720/b7_Scripts/SimpleTesting/MSFTSimpleTest_2 Modified Files: RunMSFTsimpleTest_2.cs Log Message: The ExcelManager class has been moved to the QuantProject.Presentation.Reporting.MicrosoftExcel namespace Index: RunMSFTsimpleTest_2.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/MSFTSimpleTest_2/RunMSFTsimpleTest_2.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** RunMSFTsimpleTest_2.cs 11 Jan 2004 19:15:21 -0000 1.3 --- RunMSFTsimpleTest_2.cs 15 Aug 2004 00:07:48 -0000 1.4 *************** *** 31,35 **** using QuantProject.Business.Strategies; using QuantProject.Business.Scripting; ! using QuantProject.Presentation.MicrosoftExcel; namespace QuantProject.Scripts --- 31,35 ---- using QuantProject.Business.Strategies; using QuantProject.Business.Scripting; ! using QuantProject.Presentation.Reporting.MicrosoftExcel; namespace QuantProject.Scripts |
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From: Glauco S. <gla...@us...> - 2004-08-15 00:07:57
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/MSFTsimpleTest In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv12720/b7_Scripts/SimpleTesting/MSFTsimpleTest Modified Files: RunMSFTsimpleTest.cs Log Message: The ExcelManager class has been moved to the QuantProject.Presentation.Reporting.MicrosoftExcel namespace Index: RunMSFTsimpleTest.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/MSFTsimpleTest/RunMSFTsimpleTest.cs,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** RunMSFTsimpleTest.cs 24 Nov 2003 19:35:30 -0000 1.1 --- RunMSFTsimpleTest.cs 15 Aug 2004 00:07:48 -0000 1.2 *************** *** 31,35 **** using QuantProject.Business.Strategies; using QuantProject.Business.Scripting; ! using QuantProject.Presentation.MicrosoftExcel; namespace QuantProject.Scripts --- 31,36 ---- using QuantProject.Business.Strategies; using QuantProject.Business.Scripting; ! using QuantProject.Presentation.Reporting.Console; ! using QuantProject.Presentation.Reporting.MicrosoftExcel; namespace QuantProject.Scripts *************** *** 74,78 **** tester.Objective(); ! tester.Account.ReportToConsole( endDateTime ); ((History)tester.Account.GetProfitNetLossHistory( --- 75,79 ---- tester.Objective(); ! ConsoleManager.Report( tester.Account , endDateTime ); ((History)tester.Account.GetProfitNetLossHistory( |
