quantproject-developers

[Quantproject-developers] QuantProject/b91_QuantProject b91_QuantProject.csproj,1.1.1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv18784/b91_QuantProject

Modified Files:
	b91_QuantProject.csproj 
Log Message:
Fixed app.config warning

Index: b91_QuantProject.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/b91_QuantProject.csproj,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** b91_QuantProject.csproj	13 Oct 2003 22:00:24 -0000	1.1.1.1
--- b91_QuantProject.csproj	27 Oct 2003 18:27:14 -0000	1.2
***************
*** 103,110 ****
              <Include>
                  <File
-                     RelPath = "app.config"
-                     BuildAction = "None"
-                 />
-                 <File
                      RelPath = "App.ico"
                      BuildAction = "Content"
--- 103,106 ----

[Quantproject-developers] QuantProject QuantProject.suo,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv18784

Modified Files:
	QuantProject.suo 
Log Message:
Fixed app.config warning

Index: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
Binary files /tmp/cvs09LPDd and /tmp/cvsqA8cVg differ

[Quantproject-developers] QuantProject QuantProject.suo,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject
In directory sc8-pr-cvs1:/tmp/cvs-serv5112

Modified Files:
	QuantProject.suo 
Log Message:
Added the Funds script

Index: QuantProject.suo
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/QuantProject.suo,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
Binary files /tmp/cvsgIkuZX and /tmp/cvs8OUqFL differ

[Quantproject-developers] QuantProject/b7_Scripts/Funds AsFunds.cs,NONE,1.1 RunFunds.cs,NONE,1.1 TsFunds.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/Funds
In directory sc8-pr-cvs1:/tmp/cvs-serv5112/b7_Scripts/Funds

Added Files:
	AsFunds.cs RunFunds.cs TsFunds.cs 
Log Message:
Added the Funds script

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

AsProfunds.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.Ordering;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Strategies;

namespace QuantProject.Scripts
{
	/// <summary>
	/// Summary description for AsProfunds.
	/// </summary>
	public class AsFunds : AccountStrategy
	{
		public AsFunds( Account account ) : base( account )
		{
			//
			// TODO: Add constructor logic here
			//
		}
    public override ArrayList GetOrdersForCurrentVirtualOrder( Order virtualOrder )
    {
      ArrayList orders = new ArrayList();
      switch(virtualOrder.Type)       
      {
        case OrderType.MarketBuy:
          if ( !this.account.Portfolio.IsLong( virtualOrder.Instrument ) )
            orders.Add( new Order( OrderType.MarketBuy ,
              virtualOrder.Instrument ,
              virtualOrder.Instrument.GetMaxBuyableQuantity(
              this.account.CashAmount +
              this.account.Portfolio.GetMarketValue( virtualOrder.ExtendedDateTime ) ,
              virtualOrder.ExtendedDateTime ) , virtualOrder.ExtendedDateTime ) );
          break;
        case OrderType.MarketSell:
          if ( this.account.Portfolio.IsLong( virtualOrder.Instrument ) )
            orders.Add( new Order( OrderType.MarketSell ,
              virtualOrder.Instrument ,
              (long) this.account.Portfolio.GetPosition( virtualOrder.Instrument ).Quantity ,
              virtualOrder.ExtendedDateTime ) );
          break;
        default:            
          break;      
      }
      return orders;
    }
	}
}

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

RunProfunds.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.ADT.Histories;
using QuantProject.ADT.Optimizing;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Testing;
using QuantProject.Business.Strategies;
using QuantProject.Business.Scripting;
using QuantProject.Presentation.MicrosoftExcel;

namespace QuantProject.Scripts
{
	/// <summary>
	/// Summary description for RunProfunds.
	/// </summary>
	public class RunFunds : Script
	{
		public RunFunds()
		{
			//
			// TODO: Add constructor logic here
			//
		}
    private void runForSingleTicker( string ticker )
    {
      //DateTime startDateTime = new DateTime( 2000 , 6 , 23 );
      DateTime startDateTime = new DateTime( 2003 , 1 , 1 );
      DateTime endDateTime = new DateTime( 2003 , 9 , 26 );

      QuoteCache.Add( new Instrument( ticker ) , BarComponent.Open );
      QuoteCache.Add( new Instrument( ticker ) , BarComponent.Close );
      //QuoteCache.Add( new Instrument( "MSFT" ) , BarComponent.Close );
      QuoteCache.SetCache( startDateTime , endDateTime );

      TradingSystems tradingSystems = new TradingSystems();
      TsFunds tsFunds = new TsFunds();
      tsFunds.Ticker = ticker;
     
      tradingSystems.Add( tsFunds );

      Tester tester = new Tester(
        new TestWindow( startDateTime , endDateTime ) ,
        tradingSystems ,
        10000 );

      tester.Account.AccountStrategy = new AsProfunds( tester.Account );

      //tester.Parameters.Add( new Parameter( "SMAdays" , 10 , 10 , 2 ) );

      //tester.Optimize();

      tester.Test();

      //tester.Account.ReportToConsole( endDateTime );

      ((History)tester.Account.GetProfitNetLossHistory(
        new ExtendedDateTime( endDateTime , BarComponent.Close ) ) ).ReportToConsole();

      //      tester.Account.AccountReport.ReportToExcel( "MSFT" ,
      //        new ExtendedDateTime( endDateTime , BarComponent.Close ) );

      AccountReport accountReport = tester.Account.CreateReport( ticker , 7 ,
        new ExtendedDateTime( endDateTime , BarComponent.Close ) );
      ExcelManager.Add( accountReport );
      ExcelManager.ShowReport();
    }
    public override void Run()
    {
      runForSingleTicker( "FSELX" );
    }
	}
}

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

TsProfunds.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.ADT.Histories;
using QuantProject.ADT.Optimizing;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Strategies;

namespace QuantProject.Scripts
{
	/// <summary>
	/// Summary description for TsProfunds.
	/// </summary>
	public class TsFunds : TradingSystem
	{
    public string Ticker;

		public TsFunds()
		{
			//
			// TODO: Add constructor logic here
			//
		}
    private History fund;
//    private History microsoftCloseHistorySMA;

    public override void InitializeData()
    {
      fund = QuoteCache.GetOpenHistory( Ticker );
//      microsoftCloseHistorySMA = microsoftCloseHistory.GetSimpleMovingAverage( (int) parameter.Value );
    }

    public override Signals GetSignals( ExtendedDateTime extendedDateTime )
    {
      Signals signals = new Signals();
      if ( !fund.IsLastKey( extendedDateTime.DateTime ) &&
        ( extendedDateTime.BarComponent == BarComponent.Close ) )
      {
        DateTime previousMarketDay = (DateTime)((History)fund).GetKey(
          ((History)fund).IndexOfKeyOrPrevious( extendedDateTime.DateTime ) );
        DateTime nextMarketDay =
          new Instrument( Ticker ).GetNextMarketDay( extendedDateTime.DateTime );
        Signal signal = new Signal();
        if ( (Single)fund[ nextMarketDay ] > (Single)fund[ previousMarketDay ] )
        {
          signal.Add( new Order( OrderType.MarketBuy , new Instrument( Ticker ) , 1 ,
            new ExtendedDateTime( nextMarketDay , BarComponent.Open ) ) );
          signals.Add( signal );
        }
        if ( (Single)fund[ nextMarketDay ] < (Single)fund[ previousMarketDay ] )
        {
          signal.Add( new Order( OrderType.MarketSell , new Instrument( Ticker ) , 1 ,
            new ExtendedDateTime( nextMarketDay , BarComponent.Open ) ) );
          signals.Add( signal );
        }
      }
      return signals;
    }
	}
}