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From: Glauco S. <gla...@us...> - 2008-11-22 18:24:15
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3868/b7_Scripts/ArbitrageTesting/PairTrading Modified Files: RunPairTrading.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunPairTrading.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/RunPairTrading.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** RunPairTrading.cs 29 Sep 2008 21:16:40 -0000 1.3 --- RunPairTrading.cs 22 Nov 2008 18:24:08 -0000 1.4 *************** *** 157,163 **** //default account with no commissions and no slippage calculation this.account = new Account( this.scriptName , this.timer , ! new HistoricalEndOfDayDataStreamer( this.timer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.timer , this.historicalMarketValueProvider )); --- 157,163 ---- //default account with no commissions and no slippage calculation this.account = new Account( this.scriptName , this.timer , ! new HistoricalDataStreamer( this.timer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.timer , this.historicalMarketValueProvider )); |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:23:23
|
Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3815/b4_Business/a1_Financial/a2_Accounting/AccountProviding Modified Files: InteractiveBrokerAccountProvider.cs SimpleAccountProvider.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: InteractiveBrokerAccountProvider.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding/InteractiveBrokerAccountProvider.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** InteractiveBrokerAccountProvider.cs 29 Sep 2008 21:13:10 -0000 1.3 --- InteractiveBrokerAccountProvider.cs 22 Nov 2008 18:23:12 -0000 1.4 *************** *** 77,83 **** new Account( "IBAccount" , timer , ! new HistoricalEndOfDayDataStreamer( timer , historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( timer , historicalMarketValueProvider , this.getAccount_getSlippageManager( --- 77,83 ---- new Account( "IBAccount" , timer , ! new HistoricalDataStreamer( timer , historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( timer , historicalMarketValueProvider , this.getAccount_getSlippageManager( Index: SimpleAccountProvider.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding/SimpleAccountProvider.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** SimpleAccountProvider.cs 29 Sep 2008 21:13:46 -0000 1.2 --- SimpleAccountProvider.cs 22 Nov 2008 18:23:12 -0000 1.3 *************** *** 48,54 **** new Account( "SimpleAccount" , timer , ! new HistoricalEndOfDayDataStreamer( timer , historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( timer , historicalMarketValueProvider ) ); return account; --- 48,54 ---- new Account( "SimpleAccount" , timer , ! new HistoricalDataStreamer( timer , historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( timer , historicalMarketValueProvider ) ); return account; |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:23:12
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3752/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank Modified Files: RunWalkForwardMultiOneRank.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunWalkForwardMultiOneRank.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/RunWalkForwardMultiOneRank.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** RunWalkForwardMultiOneRank.cs 29 Sep 2008 21:20:54 -0000 1.5 --- RunWalkForwardMultiOneRank.cs 22 Nov 2008 18:23:02 -0000 1.6 *************** *** 123,129 **** { this.account = new Account( "WalkForwardOneRank" , this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider ) ); } --- 123,129 ---- { this.account = new Account( "WalkForwardOneRank" , this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider ) ); } |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:23:12
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3752/b7_Scripts/WalkForwardTesting/WalkForwardOneRank Modified Files: RunWalkForwardOneRank.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunWalkForwardOneRank.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/RunWalkForwardOneRank.cs,v retrieving revision 1.12 retrieving revision 1.13 diff -C2 -d -r1.12 -r1.13 *** RunWalkForwardOneRank.cs 29 Sep 2008 21:21:47 -0000 1.12 --- RunWalkForwardOneRank.cs 22 Nov 2008 18:23:02 -0000 1.13 *************** *** 98,104 **** { this.account = new Account( "WalkForwardOneRank" , this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider ) ); } --- 98,104 ---- { this.account = new Account( "WalkForwardOneRank" , this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider ) ); } |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:23:08
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/ShortTest In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3752/b7_Scripts/SimpleTesting/ShortTest Modified Files: RunShortTest.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunShortTest.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/ShortTest/RunShortTest.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** RunShortTest.cs 29 Sep 2008 21:17:09 -0000 1.2 --- RunShortTest.cs 22 Nov 2008 18:23:02 -0000 1.3 *************** *** 59,71 **** "MSFT" ); // this.account = new Account( "MSFT" , historicalEndOfDayTimer , ! // new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , ! // new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , // new IBCommissionManager() ); this.account = new Account( "MSFT" , historicalEndOfDayTimer , ! new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); EndOfDayTimerHandler endOfDayTimerHandler = --- 59,71 ---- "MSFT" ); // this.account = new Account( "MSFT" , historicalEndOfDayTimer , ! // new HistoricalDataStreamer( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , ! // new HistoricalOrderExecutor( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , // new IBCommissionManager() ); this.account = new Account( "MSFT" , historicalEndOfDayTimer , ! new HistoricalDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); EndOfDayTimerHandler endOfDayTimerHandler = |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:23:08
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3752/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample Modified Files: RunSimplePairTradingIS.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunSimplePairTradingIS.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample/RunSimplePairTradingIS.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** RunSimplePairTradingIS.cs 29 Sep 2008 21:16:41 -0000 1.2 --- RunSimplePairTradingIS.cs 22 Nov 2008 18:23:02 -0000 1.3 *************** *** 99,105 **** //default account with no commissions and no slippage calculation this.account = new Account( this.scriptName , this.timer , ! new HistoricalEndOfDayDataStreamer( this.timer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.timer , this.historicalMarketValueProvider )); --- 99,105 ---- //default account with no commissions and no slippage calculation this.account = new Account( this.scriptName , this.timer , ! new HistoricalDataStreamer( this.timer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.timer , this.historicalMarketValueProvider )); |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:23:08
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3752/b7_Scripts/TickerSelectionTesting/SimpleSelection Modified Files: RunSimpleSelection.cs RunSimpleSelectionOpenToClose.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunSimpleSelectionOpenToClose.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/RunSimpleSelectionOpenToClose.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** RunSimpleSelectionOpenToClose.cs 29 Sep 2008 21:19:53 -0000 1.4 --- RunSimpleSelectionOpenToClose.cs 22 Nov 2008 18:23:02 -0000 1.5 *************** *** 74,80 **** { this.account = new Account( this.ScriptName , this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalQuoteProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalQuoteProvider ), new IBCommissionManager()); --- 74,80 ---- { this.account = new Account( this.ScriptName , this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalQuoteProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalQuoteProvider ), new IBCommissionManager()); Index: RunSimpleSelection.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/SimpleSelection/RunSimpleSelection.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** RunSimpleSelection.cs 29 Sep 2008 21:19:36 -0000 1.4 --- RunSimpleSelection.cs 22 Nov 2008 18:23:02 -0000 1.5 *************** *** 166,172 **** //default account with no commissions this.account = new Account( this.scriptName , this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider )); --- 166,172 ---- //default account with no commissions this.account = new Account( this.scriptName , this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider )); |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:23:08
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3752/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest Modified Files: RunWalkForwardLinearCombination.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunWalkForwardLinearCombination.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/WalkForwardTest/RunWalkForwardLinearCombination.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** RunWalkForwardLinearCombination.cs 29 Sep 2008 21:20:24 -0000 1.5 --- RunWalkForwardLinearCombination.cs 22 Nov 2008 18:23:02 -0000 1.6 *************** *** 134,140 **** run_setHistoricalQuoteProvider(); this.account = new Account( "LinearCombination" , historicalEndOfDayTimer , ! new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); run_setStrategy(); --- 134,140 ---- run_setHistoricalQuoteProvider(); this.account = new Account( "LinearCombination" , historicalEndOfDayTimer , ! new HistoricalDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); run_setStrategy(); |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:23:08
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3752/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest Modified Files: RunSimpleOHTest.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunSimpleOHTest.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/SimpleOHTest/RunSimpleOHTest.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** RunSimpleOHTest.cs 29 Sep 2008 21:16:40 -0000 1.4 --- RunSimpleOHTest.cs 22 Nov 2008 18:23:02 -0000 1.5 *************** *** 95,101 **** this.account = new Account( "SimpleOH" , this.timer , ! new HistoricalEndOfDayDataStreamer( this.timer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.timer , this.historicalMarketValueProvider ) ); --- 95,101 ---- this.account = new Account( "SimpleOH" , this.timer , ! new HistoricalDataStreamer( this.timer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.timer , this.historicalMarketValueProvider ) ); |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:23:08
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3752/b7_Scripts/WalkForwardTesting/WalkForwardLag Modified Files: RunWalkForwardLag.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunWalkForwardLag.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/RunWalkForwardLag.cs,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** RunWalkForwardLag.cs 29 Sep 2008 21:20:51 -0000 1.14 --- RunWalkForwardLag.cs 22 Nov 2008 18:23:02 -0000 1.15 *************** *** 115,121 **** { this.account = new Account( "WalkForwardLag" , this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider ) ); } --- 115,121 ---- { this.account = new Account( "WalkForwardLag" , this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider ) ); } |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:22:15
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3648/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization Modified Files: RunEfficientOTCTypesBruteForce.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunEfficientOTCTypesBruteForce.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/BruteForceOptimization/RunEfficientOTCTypesBruteForce.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** RunEfficientOTCTypesBruteForce.cs 29 Sep 2008 21:19:35 -0000 1.3 --- RunEfficientOTCTypesBruteForce.cs 22 Nov 2008 18:22:04 -0000 1.4 *************** *** 84,90 **** { this.accounts[i] = new Account( this.ScriptName, this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider )); } --- 84,90 ---- { this.accounts[i] = new Account( this.ScriptName, this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider )); } |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:22:14
|
Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3648/b7_Scripts/TickerSelectionTesting Modified Files: RunLastChosenPortfolioOutOfSample.cs RunEfficientPortfolio.cs RunEfficientOTCPortfolioMultiday.cs RunEfficientOTCPortfolio.cs RunEfficientOTCCTOPortfolio.cs RunEfficientOTC_WorstAtNightPortfolio.cs RunEfficientCTOPortfolio.cs RunEfficientCTO_WorstAtDayPortfolio.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunEfficientCTO_WorstAtDayPortfolio.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTO_WorstAtDayPortfolio.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** RunEfficientCTO_WorstAtDayPortfolio.cs 29 Sep 2008 21:18:59 -0000 1.2 --- RunEfficientCTO_WorstAtDayPortfolio.cs 22 Nov 2008 18:22:04 -0000 1.3 *************** *** 82,88 **** this.account = new Account(this.ScriptName, this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer(this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer , this.historicalMarketValueProvider)); //, new FixedPercentageSlippageManager(this.historicalQuoteProvider, --- 82,88 ---- this.account = new Account(this.ScriptName, this.endOfDayTimer , ! new HistoricalDataStreamer(this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor(this.endOfDayTimer , this.historicalMarketValueProvider)); //, new FixedPercentageSlippageManager(this.historicalQuoteProvider, Index: RunEfficientOTCCTOPortfolio.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientOTCCTOPortfolio.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** RunEfficientOTCCTOPortfolio.cs 29 Sep 2008 21:19:16 -0000 1.2 --- RunEfficientOTCCTOPortfolio.cs 22 Nov 2008 18:22:03 -0000 1.3 *************** *** 81,87 **** { this.account = new Account( this.ScriptName , this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalQuoteProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalQuoteProvider ), new IBCommissionManager()); --- 81,87 ---- { this.account = new Account( this.ScriptName , this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalQuoteProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalQuoteProvider ), new IBCommissionManager()); Index: RunEfficientOTC_WorstAtNightPortfolio.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientOTC_WorstAtNightPortfolio.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** RunEfficientOTC_WorstAtNightPortfolio.cs 29 Sep 2008 21:19:16 -0000 1.4 --- RunEfficientOTC_WorstAtNightPortfolio.cs 22 Nov 2008 18:22:03 -0000 1.5 *************** *** 84,90 **** this.account = new Account(this.ScriptName, this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer(this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer , this.historicalMarketValueProvider)//, // new FixedPercentageSlippageManager(this.historicalQuoteProvider, --- 84,90 ---- this.account = new Account(this.ScriptName, this.endOfDayTimer , ! new HistoricalDataStreamer(this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor(this.endOfDayTimer , this.historicalMarketValueProvider)//, // new FixedPercentageSlippageManager(this.historicalQuoteProvider, Index: RunEfficientOTCPortfolio.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientOTCPortfolio.cs,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** RunEfficientOTCPortfolio.cs 29 Sep 2008 21:19:16 -0000 1.5 --- RunEfficientOTCPortfolio.cs 22 Nov 2008 18:22:03 -0000 1.6 *************** *** 85,91 **** this.account = new Account(this.ScriptName, this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer(this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer , this.historicalMarketValueProvider)//, // new FixedPercentageSlippageManager(this.historicalQuoteProvider, --- 85,91 ---- this.account = new Account(this.ScriptName, this.endOfDayTimer , ! new HistoricalDataStreamer(this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor(this.endOfDayTimer , this.historicalMarketValueProvider)//, // new FixedPercentageSlippageManager(this.historicalQuoteProvider, Index: RunEfficientOTCPortfolioMultiday.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientOTCPortfolioMultiday.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** RunEfficientOTCPortfolioMultiday.cs 29 Sep 2008 21:19:16 -0000 1.3 --- RunEfficientOTCPortfolioMultiday.cs 22 Nov 2008 18:22:03 -0000 1.4 *************** *** 81,87 **** { this.account = new Account( this.ScriptName , this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalQuoteProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalQuoteProvider ), new IBCommissionManager()); --- 81,87 ---- { this.account = new Account( this.ScriptName , this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalQuoteProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalQuoteProvider ), new IBCommissionManager()); Index: RunLastChosenPortfolioOutOfSample.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunLastChosenPortfolioOutOfSample.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** RunLastChosenPortfolioOutOfSample.cs 29 Sep 2008 21:19:35 -0000 1.4 --- RunLastChosenPortfolioOutOfSample.cs 22 Nov 2008 18:22:03 -0000 1.5 *************** *** 109,115 **** //default account with no commissions this.account = new Account( this.scriptName , this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider )); --- 109,115 ---- //default account with no commissions this.account = new Account( this.scriptName , this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider )); Index: RunEfficientPortfolio.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientPortfolio.cs,v retrieving revision 1.23 retrieving revision 1.24 diff -C2 -d -r1.23 -r1.24 *** RunEfficientPortfolio.cs 29 Sep 2008 21:19:35 -0000 1.23 --- RunEfficientPortfolio.cs 22 Nov 2008 18:22:03 -0000 1.24 *************** *** 188,194 **** //default account with no commissions and no slippage calculation this.account = new Account( this.scriptName , this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider )); --- 188,194 ---- //default account with no commissions and no slippage calculation this.account = new Account( this.scriptName , this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider )); Index: RunEfficientCTOPortfolio.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/RunEfficientCTOPortfolio.cs,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** RunEfficientCTOPortfolio.cs 29 Sep 2008 21:18:59 -0000 1.28 --- RunEfficientCTOPortfolio.cs 22 Nov 2008 18:22:04 -0000 1.29 *************** *** 79,85 **** this.account = new Account(this.ScriptName, this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer(this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer , this.historicalMarketValueProvider)); //, new FixedPercentageSlippageManager(this.historicalQuoteProvider, --- 79,85 ---- this.account = new Account(this.ScriptName, this.endOfDayTimer , ! new HistoricalDataStreamer(this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor(this.endOfDayTimer , this.historicalMarketValueProvider)); //, new FixedPercentageSlippageManager(this.historicalQuoteProvider, |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:22:14
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3648/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO Modified Files: RunBiasedPVO_OTC.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunBiasedPVO_OTC.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/FixedLevelOscillators/PortfolioValueOscillator/BiasedPVO/RunBiasedPVO_OTC.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** RunBiasedPVO_OTC.cs 29 Sep 2008 21:18:49 -0000 1.4 --- RunBiasedPVO_OTC.cs 22 Nov 2008 18:22:04 -0000 1.5 *************** *** 123,129 **** { this.account = new Account( this.scriptName , this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider, new FixedPercentageSlippageManager( --- 123,129 ---- { this.account = new Account( this.scriptName , this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider, new FixedPercentageSlippageManager( *************** *** 135,141 **** // { // this.account = new Account( this.scriptName , this.endOfDayTimer , ! // new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , // this.historicalQuoteProvider ) , ! // new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , // this.historicalQuoteProvider ), // new IBCommissionManager() ); --- 135,141 ---- // { // this.account = new Account( this.scriptName , this.endOfDayTimer , ! // new HistoricalDataStreamer( this.endOfDayTimer , // this.historicalQuoteProvider ) , ! // new HistoricalOrderExecutor( this.endOfDayTimer , // this.historicalQuoteProvider ), // new IBCommissionManager() ); |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:22:14
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3648/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst Modified Files: RunBestAndWorstFollower.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunBestAndWorstFollower.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/BestAndWorst/RunBestAndWorstFollower.cs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** RunBestAndWorstFollower.cs 29 Sep 2008 21:19:23 -0000 1.4 --- RunBestAndWorstFollower.cs 22 Nov 2008 18:22:04 -0000 1.5 *************** *** 101,107 **** this.startingTimeForScript = DateTime.Now; this.account = new Account( "BestAndWorstFollower" , this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider ) ); EndOfDayTimerHandlerBWFollower endOfDayTimerHandler = --- 101,107 ---- this.startingTimeForScript = DateTime.Now; this.account = new Account( "BestAndWorstFollower" , this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider ) ); EndOfDayTimerHandlerBWFollower endOfDayTimerHandler = |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:22:11
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3648/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC Modified Files: RunDOR_OTC.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunDOR_OTC.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC/RunDOR_OTC.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** RunDOR_OTC.cs 29 Sep 2008 21:16:12 -0000 1.3 --- RunDOR_OTC.cs 22 Nov 2008 18:22:04 -0000 1.4 *************** *** 95,101 **** this.startingTimeForScript = DateTime.Now; this.account = new Account( "DoubleOverReaction_OTC" , this.timer , ! new HistoricalEndOfDayDataStreamer( this.timer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.timer , this.historicalMarketValueProvider ) ); EndOfDayTimerHandlerDOR_OTC endOfDayTimerHandler = --- 95,101 ---- this.startingTimeForScript = DateTime.Now; this.account = new Account( "DoubleOverReaction_OTC" , this.timer , ! new HistoricalDataStreamer( this.timer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.timer , this.historicalMarketValueProvider ) ); EndOfDayTimerHandlerDOR_OTC endOfDayTimerHandler = |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:22:11
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3648/b7_Scripts/SimpleTesting/OneRank Modified Files: RunOneRank.cs OneRankForm.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunOneRank.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank/RunOneRank.cs,v retrieving revision 1.13 retrieving revision 1.14 diff -C2 -d -r1.13 -r1.14 *** RunOneRank.cs 29 Sep 2008 21:17:09 -0000 1.13 --- RunOneRank.cs 22 Nov 2008 18:22:03 -0000 1.14 *************** *** 90,96 **** // with IB commission // this.account = new Account( "MSFT" , historicalEndOfDayTimer , ! // new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , ! // new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , // new IBCommissionManager() ); --- 90,96 ---- // with IB commission // this.account = new Account( "MSFT" , historicalEndOfDayTimer , ! // new HistoricalDataStreamer( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , ! // new HistoricalOrderExecutor( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , // new IBCommissionManager() ); *************** *** 98,104 **** // with no commission this.account = new Account( "MSFT" , historicalEndOfDayTimer , ! new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); OneRank oneRank = new OneRank( account , --- 98,104 ---- // with no commission this.account = new Account( "MSFT" , historicalEndOfDayTimer , ! new HistoricalDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); OneRank oneRank = new OneRank( account , Index: OneRankForm.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/OneRank/OneRankForm.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** OneRankForm.cs 29 Sep 2008 21:17:09 -0000 1.2 --- OneRankForm.cs 22 Nov 2008 18:22:03 -0000 1.3 *************** *** 184,190 **** // with IB commission // this.account = new Account( "MSFT" , historicalEndOfDayTimer , ! // new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , ! // new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , // new IBCommissionManager() ); --- 184,190 ---- // with IB commission // this.account = new Account( "MSFT" , historicalEndOfDayTimer , ! // new HistoricalDataStreamer( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , ! // new HistoricalOrderExecutor( historicalEndOfDayTimer , // this.historicalQuoteProvider ) , // new IBCommissionManager() ); *************** *** 192,198 **** // with no commission this.account = new Account( this.ticker.Text , historicalEndOfDayTimer , ! new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , this.historicalQuoteProvider ) , ! new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer , this.historicalQuoteProvider ) ); } --- 192,198 ---- // with no commission this.account = new Account( this.ticker.Text , historicalEndOfDayTimer , ! new HistoricalDataStreamer( historicalEndOfDayTimer , this.historicalQuoteProvider ) , ! new HistoricalOrderExecutor( historicalEndOfDayTimer , this.historicalQuoteProvider ) ); } |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:22:11
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3648/b7_Scripts/WalkForwardTesting/LinearCombination Modified Files: LinearCombinationTest.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: LinearCombinationTest.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** LinearCombinationTest.cs 29 Sep 2008 21:19:30 -0000 1.14 --- LinearCombinationTest.cs 22 Nov 2008 18:22:04 -0000 1.15 *************** *** 346,352 **** run_setHistoricalQuoteProvider(); this.account = new Account( "LinearCombination" , historicalEndOfDayTimer , ! new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); run_setStrategy(); --- 346,352 ---- run_setHistoricalQuoteProvider(); this.account = new Account( "LinearCombination" , historicalEndOfDayTimer , ! new HistoricalDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); run_setStrategy(); |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:22:11
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3648/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce Modified Files: RunDOR_WeekEndBounce.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunDOR_WeekEndBounce.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce/RunDOR_WeekEndBounce.cs,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** RunDOR_WeekEndBounce.cs 29 Sep 2008 21:16:40 -0000 1.3 --- RunDOR_WeekEndBounce.cs 22 Nov 2008 18:22:04 -0000 1.4 *************** *** 97,103 **** this.startingTimeForScript = DateTime.Now; this.account = new Account( "WeekEndBounce" , this.timer , ! new HistoricalEndOfDayDataStreamer( this.timer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.timer , this.historicalMarketValueProvider ) ); EndOfDayTimerHandlerDOR_WeekEndBounce endOfDayTimerHandler = --- 97,103 ---- this.startingTimeForScript = DateTime.Now; this.account = new Account( "WeekEndBounce" , this.timer , ! new HistoricalDataStreamer( this.timer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.timer , this.historicalMarketValueProvider ) ); EndOfDayTimerHandlerDOR_WeekEndBounce endOfDayTimerHandler = |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:22:10
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3648/b7_Scripts/TickerSelectionTesting/TestingOTCTypes Modified Files: RunEfficientOTCTypes.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunEfficientOTCTypes.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TickerSelectionTesting/TestingOTCTypes/RunEfficientOTCTypes.cs,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** RunEfficientOTCTypes.cs 29 Sep 2008 21:19:35 -0000 1.10 --- RunEfficientOTCTypes.cs 22 Nov 2008 18:22:04 -0000 1.11 *************** *** 85,91 **** { this.accounts[i] = new Account( this.ScriptName, this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider )); } --- 85,91 ---- { this.accounts[i] = new Account( this.ScriptName, this.endOfDayTimer , ! new HistoricalDataStreamer( this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( this.endOfDayTimer , this.historicalMarketValueProvider )); } |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:22:10
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/OTC_CTOTrendFollower In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3648/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/OTC_CTOTrendFollower Modified Files: RunEfficientOTC_CTOTrendFollower.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: RunEfficientOTC_CTOTrendFollower.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/TrendFollowing/OTC_CTOTrendFollower/RunEfficientOTC_CTOTrendFollower.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** RunEfficientOTC_CTOTrendFollower.cs 29 Sep 2008 21:19:40 -0000 1.2 --- RunEfficientOTC_CTOTrendFollower.cs 22 Nov 2008 18:22:04 -0000 1.3 *************** *** 87,93 **** this.account = new Account(this.ScriptName, this.endOfDayTimer , ! new HistoricalEndOfDayDataStreamer(this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor(this.endOfDayTimer , this.historicalMarketValueProvider)//, // new FixedPercentageSlippageManager(this.historicalQuoteProvider, --- 87,93 ---- this.account = new Account(this.ScriptName, this.endOfDayTimer , ! new HistoricalDataStreamer(this.endOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor(this.endOfDayTimer , this.historicalMarketValueProvider)//, // new FixedPercentageSlippageManager(this.historicalQuoteProvider, |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:20:32
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Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3582/b7_Scripts/WalkForwardTesting/WalkForwardOneRank Modified Files: BestPerformingTickers.cs Log Message: - HistoricalEndOfDayDataStreamer has been replaced by HistoricalDataStreamer.cs - HistoricalEndOfDayOrderExecutor has been replaced by HistoricalOrderExecutor Index: BestPerformingTickers.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/BestPerformingTickers.cs,v retrieving revision 1.11 retrieving revision 1.12 diff -C2 -d -r1.11 -r1.12 *** BestPerformingTickers.cs 29 Sep 2008 21:18:25 -0000 1.11 --- BestPerformingTickers.cs 22 Nov 2008 18:20:22 -0000 1.12 *************** *** 80,86 **** // EndOfDaySpecificTime.MarketOpen ) ); ComparableAccount account = new ComparableAccount( ticker , historicalEndOfDayTimer , ! new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); OneRank oneRank = new OneRank( account , dateTime ); --- 80,86 ---- // EndOfDaySpecificTime.MarketOpen ) ); ComparableAccount account = new ComparableAccount( ticker , historicalEndOfDayTimer , ! new HistoricalDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); OneRank oneRank = new OneRank( account , dateTime ); *************** *** 126,132 **** // EndOfDaySpecificTime.MarketOpen ) ); ComparableAccount account = new ComparableAccount( ticker , historicalEndOfDayTimer , ! new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); OneRank oneRank = new OneRank( account , dateTime ); --- 126,132 ---- // EndOfDaySpecificTime.MarketOpen ) ); ComparableAccount account = new ComparableAccount( ticker , historicalEndOfDayTimer , ! new HistoricalDataStreamer( historicalEndOfDayTimer , this.historicalMarketValueProvider ) , ! new HistoricalOrderExecutor( historicalEndOfDayTimer , this.historicalMarketValueProvider ) ); OneRank oneRank = new OneRank( account , dateTime ); |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:19:15
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3519/b4_Business/a2_Strategies Modified Files: BasicStrategyForBacktester.cs Log Message: now positions are open using all cash available Index: BasicStrategyForBacktester.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/BasicStrategyForBacktester.cs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** BasicStrategyForBacktester.cs 20 Nov 2008 20:53:51 -0000 1.2 --- BasicStrategyForBacktester.cs 22 Nov 2008 18:19:08 -0000 1.3 *************** *** 254,258 **** if ( positionsToBeOpened != null ) // positions to be opened are available, actually ! AccountManager.OpenPositions( positionsToBeOpened , this.account ); } } --- 254,259 ---- if ( positionsToBeOpened != null ) // positions to be opened are available, actually ! AccountManager.OpenPositions( ! positionsToBeOpened , this.account , this.account.CashAmount ); } } |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:18:16
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Update of /cvsroot/quantproject/QuantProject/b4_Business In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3472/b4_Business Modified Files: Business_SD.csproj Log Message: - a07_DataProviders\HistoricalEndOfDayDataStreamer.cs has been replaced by a07_DataProviders\HistoricalDataStreamer.cs - a1_Financial\a3_Ordering\HistoricalEndOfDayOrderExecutor.cs has been replaced by a1_Financial\a3_Ordering\HistoricalOrderExecutor.cs Index: Business_SD.csproj =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** Business_SD.csproj 20 Nov 2008 20:35:34 -0000 1.34 --- Business_SD.csproj 22 Nov 2008 18:18:09 -0000 1.35 *************** *** 49,52 **** --- 49,53 ---- <Compile Include="a05_Timing\Timer.cs" /> <Compile Include="a07_DataProviders\HistoricalBarProvider.cs" /> + <Compile Include="a07_DataProviders\HistoricalDataStreamer.cs" /> <Compile Include="a07_DataProviders\HistoricalMarketValueProvider.cs" /> <Compile Include="a07_DataProviders\HistoricalQuoteProvider.cs" /> *************** *** 67,70 **** --- 68,72 ---- <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\Tables\StatisticsSummary.cs" /> <Compile Include="a1_Financial\a2_Accounting\Transactions\TimedTransaction.cs" /> + <Compile Include="a1_Financial\a3_Ordering\HistoricalOrderExecutor.cs" /> <Compile Include="a2_Strategies\BasicStrategyForBacktester.cs" /> <Compile Include="a2_Strategies\Benchmark.cs" /> *************** *** 142,146 **** <Compile Include="a05_Timing\IndexBasedEndOfDayTimer.cs" /> <Compile Include="a07_DataProviders\HistoricalAdjustedQuoteProvider.cs" /> - <Compile Include="a07_DataProviders\HistoricalEndOfDayDataStreamer.cs" /> <Compile Include="a07_DataProviders\HistoricalRawQuoteProvider.cs" /> <Compile Include="a1_Financial\a1_Instruments\Instrument.cs" /> --- 144,147 ---- *************** *** 182,186 **** <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\Tables\Transactions.cs" /> <Compile Include="a1_Financial\a2_Accounting\Transactions\TransactionHistory.cs" /> - <Compile Include="a1_Financial\a3_Ordering\HistoricalEndOfDayOrderExecutor.cs" /> <Compile Include="a1_Financial\a3_Ordering\IOrderExecutor.cs" /> <Compile Include="a1_Financial\a3_Ordering\Order.cs" /> --- 183,186 ---- |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:15:39
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3374/b4_Business/a1_Financial/a3_Ordering Removed Files: HistoricalEndOfDayOrderExecutor.cs Log Message: a1_Financial\a3_Ordering\HistoricalEndOfDayOrderExecutor.cs has been replaced by a1_Financial\a3_Ordering\HistoricalOrderExecutor.cs --- HistoricalEndOfDayOrderExecutor.cs DELETED --- |
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From: Glauco S. <gla...@us...> - 2008-11-22 18:15:11
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv3332/b4_Business/a1_Financial/a3_Ordering Added Files: HistoricalOrderExecutor.cs Log Message: a1_Financial\a3_Ordering\HistoricalEndOfDayOrderExecutor.cs has been replaced by a1_Financial\a3_Ordering\HistoricalOrderExecutor.cs --- NEW FILE: HistoricalOrderExecutor.cs --- /* QuantProject - Quantitative Finance Library HistoricalOrderExecutor.cs Copyright (C) 2008 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.DataProviders; using QuantProject.Business.Financial.Accounting; using QuantProject.Business.Financial.Accounting.Transactions; using QuantProject.Business.Timing; using QuantProject.Business.Financial.Accounting.Slippage; namespace QuantProject.Business.Financial.Ordering { /// <summary> /// Simulates historical order executions/rejections for end of day simulation /// </summary> [Serializable] public class HistoricalOrderExecutor : IOrderExecutor { private Timer timer; private HistoricalMarketValueProvider historicalMarketValueProvider; private ISlippageManager slippageManager; public HistoricalOrderExecutor( Timer timer , HistoricalMarketValueProvider historicalMarketValueProvider ) { this.timer = timer; this.historicalMarketValueProvider = historicalMarketValueProvider; this.slippageManager = new ZeroSlippageManager(); } public HistoricalOrderExecutor( Timer timer , HistoricalMarketValueProvider historicalMarketValueProvider , ISlippageManager slippageManager ) { this.timer = timer; this.historicalMarketValueProvider = historicalMarketValueProvider; this.slippageManager = slippageManager; } [field:NonSerialized] public event OrderFilledEventHandler OrderFilled; // Tries to execute the order public void Execute( Order order ) { double instrumentMarketPrice = this.historicalMarketValueProvider.GetMarketValue(order.Instrument.Key , this.timer.GetCurrentDateTime()); double instrumentPriceWithSlippage = instrumentMarketPrice + this.slippageManager.GetSlippage(order); TimedTransaction timedTransaction = new TimedTransaction( TimedTransaction.GetTransactionType( order.Type ) , order.Instrument , order.Quantity , instrumentPriceWithSlippage , this.timer.GetCurrentDateTime() ); // new EndOfDayDateTime( this.timer.GetCurrentTime().DateTime , // this.timer.GetCurrentTime().EndOfDaySpecificTime ) ); OrderFilled( this , new OrderFilledEventArgs( order , timedTransaction ) ); } } } |
