quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooser.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv9714/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooser.cs 
Log Message:
regions have been added to make the code more readable

Index: OutOfSampleChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooser.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** OutOfSampleChooser.cs	17 Nov 2008 19:51:04 -0000	1.3
--- OutOfSampleChooser.cs	18 Nov 2008 23:03:15 -0000	1.4
***************
*** 86,108 ****
  
  		#region getInefficientCouples
  
  		#region getReturnsManagerForLastSecondPhaseInterval
! 		private DateTime
! 			getIntervalBeginForLastSecondPhaseInterval(
! 				ReturnIntervals outOfSampleReturnIntervals )
! 		{
! 			// this method will be invoked only if (this.returnIntervals.Count >= 2)
! 			int secondLastIntervalIndex =
! 				outOfSampleReturnIntervals.Count - 2;
! 			ReturnInterval secondLastInterval =
! 				outOfSampleReturnIntervals[ secondLastIntervalIndex ];
! 			return secondLastInterval.End;
! 		}
! 		private DateTime
! 			getIntervalEndForLastSecondPhaseInterval(
! 				ReturnIntervals outOfSampleReturnIntervals )
! 		{
! 			return outOfSampleReturnIntervals.LastInterval.Begin;
! 		}
  		private ReturnInterval
  			getReturnIntervalForLastSecondPhaseInterval(
--- 86,112 ----
  
  		#region getInefficientCouples
+ 		
+ 		#region getArrayListOfInefficientCouples
  
  		#region getReturnsManagerForLastSecondPhaseInterval
! //		private DateTime
! //			getIntervalBeginForLastSecondPhaseInterval(
! //				ReturnIntervals outOfSampleReturnIntervals )
! //		{
! //			// this method will be invoked only if (this.returnIntervals.Count >= 2)
! //			int secondLastIntervalIndex =
! //				outOfSampleReturnIntervals.Count - 2;
! //			ReturnInterval secondLastInterval =
! //				outOfSampleReturnIntervals[ secondLastIntervalIndex ];
! //			return secondLastInterval.End;
! //		}
! //		private DateTime
! //			getIntervalEndForLastSecondPhaseInterval(
! //				ReturnIntervals outOfSampleReturnIntervals )
! //		{
! //			return outOfSampleReturnIntervals.LastInterval.Begin;
! //		}
! 		
! 		#region getReturnIntervalsForLastSecondPhaseInterval
  		private ReturnInterval
  			getReturnIntervalForLastSecondPhaseInterval(
***************
*** 140,143 ****
--- 144,149 ----
  			return returnIntervalsForLastSecondPhaseInterval;
  		}
+ 		#endregion getReturnIntervalsForLastSecondPhaseInterval
+ 		
  		private ReturnsManager getReturnsManagerForLastSecondPhaseInterval(
  			DateTime firstDateTimeToTestInefficiency ,
***************
*** 159,175 ****
  		}
  		#endregion getReturnsManagerForLastSecondPhaseInterval
! 		
! 		private double getReturnForTheLastSecondPhaseInterval(
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! 			WeightedPositions weightedPositions )
! 		{
! 			// returnsManager should contain a single ReturnInterval, and
! 			// this ReturnInterval should be the last second phase interval
! 			double returnForTheLastSecondPhaseInterval =
! 				weightedPositions.GetReturn( 0 ,
! 				                            returnsManagerForLastSecondPhaseInterval );
! 			return returnForTheLastSecondPhaseInterval;
! 		}
  
  		/// <summary>
  		/// Inverts one of the two positions
--- 165,172 ----
  		}
  		#endregion getReturnsManagerForLastSecondPhaseInterval
! 				
! 		#region getInefficientCouples
  
+ 		#region addPositionsIfInefficiencyForCurrentCoupleIsInTheRange
  		/// <summary>
  		/// Inverts one of the two positions
***************
*** 190,193 ****
--- 187,203 ----
  			return candidateForPortfolio;
  		}
+ 		
+ 		#region getPositionsIfInefficiencyIsInTheRange
+ 		private double getReturnForTheLastSecondPhaseInterval(
+ 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
+ 			WeightedPositions weightedPositions )
+ 		{
+ 			// returnsManager should contain a single ReturnInterval, and
+ 			// this ReturnInterval should be the last second phase interval
+ 			double returnForTheLastSecondPhaseInterval =
+ 				weightedPositions.GetReturn( 0 ,
+ 				                            returnsManagerForLastSecondPhaseInterval );
+ 			return returnForTheLastSecondPhaseInterval;
+ 		}
  		// if the currentWeightedPositions' return satisfies the thresholds
  		// then this method returns the WeightedPositions that might be opened.
***************
*** 227,230 ****
--- 237,242 ----
  			return weightedPositionsToBeOpened;
  		}
+ 		#endregion getPositionsIfInefficiencyIsInTheRange
+ 		
  		private void
  			addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
***************
*** 245,248 ****
--- 257,262 ----
  				inefficientCouples.Add( weightedPositionsThatMightBeOpended );
  		}
+ 		#endregion addPositionsIfInefficiencyForCurrentCoupleIsInTheRange
+ 		
  		protected ArrayList getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
***************
*** 260,263 ****
--- 274,279 ----
  			return inefficientCouples;
  		}
+ 		#endregion getInefficientCouples
+ 		
  		private ArrayList
  			getArrayListOfInefficientCouples(
***************
*** 280,283 ****
--- 296,300 ----
  			return inefficientCouples;
  		}
+ 		#endregion getArrayListOfInefficientCouples
  		
  		#region getInefficientCouplesFromArrayList
***************
*** 371,375 ****
  					                            inSampleReturnsManager );
  			return positionsToBeOpened;
! 		}		
  		#endregion getPositionsToBeOpened_actually
  		
--- 388,392 ----
  					                            inSampleReturnsManager );
  			return positionsToBeOpened;
! 		}
  		#endregion getPositionsToBeOpened_actually
  		

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies EndOfDayStrategyBackTester.cs, 1.11, 1.12

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv9546/b4_Business/a2_Strategies

Modified Files:
	EndOfDayStrategyBackTester.cs 
Log Message:
a bug has been fixed

Index: EndOfDayStrategyBackTester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategyBackTester.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** EndOfDayStrategyBackTester.cs	12 Nov 2008 20:42:39 -0000	1.11
--- EndOfDayStrategyBackTester.cs	18 Nov 2008 23:01:52 -0000	1.12
***************
*** 189,193 ****
  			this.timer = timer;
  
! 			this.initialize_endOfDayTimer();
  			this.account = this.accountProvider.GetAccount(
  				this.timer, this.historicalMarketValueProvider);
--- 189,193 ----
  			this.timer = timer;
  
! //			this.initialize_endOfDayTimer();
  			this.account = this.accountProvider.GetAccount(
  				this.timer, this.historicalMarketValueProvider);

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv9474/b4_Business/a07_DataProviders

Modified Files:
	HistoricalBarProvider.cs 
Log Message:
TickerNotExchangedException was never thrown in the previous revision

Index: HistoricalBarProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalBarProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** HistoricalBarProvider.cs	8 Nov 2008 20:25:21 -0000	1.1
--- HistoricalBarProvider.cs	18 Nov 2008 23:01:28 -0000	1.2
***************
*** 19,26 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
  
  using QuantProject.Data.DataProviders.Bars.Caching;
  
--- 19,27 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
  
+ using QuantProject.Data.DataProviders.Bars;
  using QuantProject.Data.DataProviders.Bars.Caching;
  
***************
*** 46,51 ****
  			DateTime dateTime )
  		{
! 			double marketValue = this.historicalBarProvider.GetMarketValue(
  					ticker , dateTime );
  			return marketValue;
  		}
--- 47,61 ----
  			DateTime dateTime )
  		{
! 			double marketValue = double.MinValue;
! 			try
! 			{
! 				marketValue = this.historicalBarProvider.GetMarketValue(
  					ticker , dateTime );
+ 			}
+ 			catch( MissingBarException missingBarException )
+ 			{
+ 				string forBreakPoint = missingBarException.Message; forBreakPoint += " ";
+ 				throw new TickerNotExchangedException( ticker , dateTime );
+ 			}
  			return marketValue;
  		}

[Quantproject-developers] QuantProject/b4_Business/a05_Timing IndexBasedHistoricalTimer.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv9364/b4_Business/a05_Timing

Modified Files:
	IndexBasedHistoricalTimer.cs 
Log Message:
a bug has been fixed

Index: IndexBasedHistoricalTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/IndexBasedHistoricalTimer.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** IndexBasedHistoricalTimer.cs	14 Nov 2008 15:51:18 -0000	1.2
--- IndexBasedHistoricalTimer.cs	18 Nov 2008 23:00:33 -0000	1.3
***************
*** 66,70 ****
  		{
  			this.dateTimesToBeThrown = new List< DateTime >();
! 			foreach ( DateTime dateTime in dateTimesToBeThrownHistory )
  				this.dateTimesToBeThrown.Add( dateTime );
  		}
--- 66,70 ----
  		{
  			this.dateTimesToBeThrown = new List< DateTime >();
! 			foreach ( DateTime dateTime in dateTimesToBeThrownHistory.Keys )
  				this.dateTimesToBeThrown.Add( dateTime );
  		}

[Quantproject-developers] QuantProject/b3_Data/DataTables Bars.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv9228/b3_Data/DataTables

Modified Files:
	Bars.cs 
Log Message:
a bug has been fixed int the method 
public static History GetMarketDateTimes(
			string ticker ,	DateTime firstDateTime , DateTime lastDateTime ,
			List< Time > dailyTimes, int intervalFrameInSeconds )

Index: Bars.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Bars.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** Bars.cs	14 Nov 2008 15:51:18 -0000	1.3
--- Bars.cs	18 Nov 2008 22:59:29 -0000	1.4
***************
*** 65,69 ****
  		{
  
! 			QuantProject.DataAccess.Tables.Bars.SetDataTable( 
  				tickerCollection , dateTime , this, intervalFrameInSeconds );
  
--- 65,69 ----
  		{
  
! 			QuantProject.DataAccess.Tables.Bars.SetDataTable(
  				tickerCollection , dateTime , this, intervalFrameInSeconds );
  
***************
*** 119,129 ****
  				QuantProject.DataAccess.Tables.Bars.GetFirstBarDateTime( ticker, intervalFrameInSeconds ) ,
  				QuantProject.DataAccess.Tables.Bars.GetLastBarDateTime( ticker, intervalFrameInSeconds ),
! 			  intervalFrameInSeconds);
  		}
  
!     public Bars(SerializationInfo info, StreamingContext context)
!       : base(info, context)
!     {
!     }
  		private void fillDataTable( string ticker , DateTime startDateTime , DateTime endDateTime, int intervalFrameInSeconds )
  
--- 119,129 ----
  				QuantProject.DataAccess.Tables.Bars.GetFirstBarDateTime( ticker, intervalFrameInSeconds ) ,
  				QuantProject.DataAccess.Tables.Bars.GetLastBarDateTime( ticker, intervalFrameInSeconds ),
! 				intervalFrameInSeconds);
  		}
  
! 		public Bars(SerializationInfo info, StreamingContext context)
! 			: base(info, context)
! 		{
! 		}
  		private void fillDataTable( string ticker , DateTime startDateTime , DateTime endDateTime, int intervalFrameInSeconds )
  
***************
*** 131,137 ****
  		{
  
! 			QuantProject.DataAccess.Tables.Bars.SetDataTable( 
  				ticker , startDateTime , endDateTime , this, intervalFrameInSeconds );
! 			this.setPrimaryKeys(); 
  
  		}
--- 131,137 ----
  		{
  
! 			QuantProject.DataAccess.Tables.Bars.SetDataTable(
  				ticker , startDateTime , endDateTime , this, intervalFrameInSeconds );
! 			this.setPrimaryKeys();
  
  		}
***************
*** 153,157 ****
  		/// <returns></returns>
  		public static History GetMarketDateTimes( string ticker ,
! 			DateTime firstDateTime , DateTime lastDateTime, int intervalFrameInSeconds )
  
  		{
--- 153,157 ----
  		/// <returns></returns>
  		public static History GetMarketDateTimes( string ticker ,
! 		                                         DateTime firstDateTime , DateTime lastDateTime, int intervalFrameInSeconds )
  
  		{
***************
*** 192,196 ****
  		#region removeMissingTimes
  		
! 		#region removeMissingTime
  		private static bool isTimeInDailyTimes(
  			DateTime dateTime , List< Time > dailyTimes )
--- 192,200 ----
  		#region removeMissingTimes
  		
! 		#region getDateTimesToBeRemoved
! 
! 		#region addDateTimesToBeRemoved
! 		
! 		#region addMissingTimeIfTheCase
  		private static bool isTimeInDailyTimes(
  			DateTime dateTime , List< Time > dailyTimes )
***************
*** 201,221 ****
  			return isInDailyTimes;
  		}
! 		private static void removeMissingTime(
  			DateTime candidateToBeRemoved ,
! 			List< Time > dailyTimes , History marketDateTimes )
  		{
  			if ( !Bars.isTimeInDailyTimes( candidateToBeRemoved , dailyTimes ) )
  				// the candidate's time is not in the given list of daily times
! 				marketDateTimes.Remove( candidateToBeRemoved );
  		}
- 		#endregion removeMissingTime
  		
  		private static void removeMissingTimes(
  			List< Time > dailyTimes , History marketDateTimes )
  		{
! 			foreach ( DateTime dateTime in marketDateTimes )
! 				Bars.removeMissingTime(
! 					dateTime , dailyTimes , marketDateTimes );
  		}
  		private static History getMarketDateTimes(
  			string ticker ,	DateTime firstDateTime , DateTime lastDateTime ,
--- 205,254 ----
  			return isInDailyTimes;
  		}
! 		private static void addMissingTimeIfTheCase(
  			DateTime candidateToBeRemoved ,
! 			List< Time > dailyTimes , List< DateTime > dateTimesToBeRemoved )
  		{
  			if ( !Bars.isTimeInDailyTimes( candidateToBeRemoved , dailyTimes ) )
  				// the candidate's time is not in the given list of daily times
! 				dateTimesToBeRemoved.Add( candidateToBeRemoved );
! 		}
! 		#endregion addMissingTimeIfTheCase
! 		
! 		private static void addDateTimesToBeRemoved(
! 			List< Time > dailyTimes , History marketDateTimes ,
! 			List< DateTime > dateTimesToBeRemoved)
! 		{
! 			foreach ( DateTime dateTime in marketDateTimes.Keys )
! 				Bars.addMissingTimeIfTheCase(
! 					dateTime , dailyTimes , dateTimesToBeRemoved );
! 		}
! 		#endregion addDateTimesToBeRemoved
! 		
! 		private static List< DateTime > getDateTimesToBeRemoved(
! 			List< Time > dailyTimes , History marketDateTimes )
! 		{
! 			List< DateTime > dateTimesToBeRemoved = new List< DateTime >();
! 			Bars.addDateTimesToBeRemoved(
! 				dailyTimes , marketDateTimes , dateTimesToBeRemoved );
! 			return dateTimesToBeRemoved;
! 		}
! 		#endregion getDateTimesToBeRemoved
! 		
! 		private static void removeMissingTimes(
! 			List< DateTime > dateTimesToBeRemoved , History marketDateTimes )
! 		{
! 			foreach ( DateTime dateTime in dateTimesToBeRemoved )
! 				marketDateTimes.Remove( dateTime );
  		}
  		
  		private static void removeMissingTimes(
  			List< Time > dailyTimes , History marketDateTimes )
  		{
! 			List< DateTime > dateTimesToBeRemoved = Bars.getDateTimesToBeRemoved(
! 				dailyTimes , marketDateTimes );
! 			Bars.removeMissingTimes( dateTimesToBeRemoved , marketDateTimes );
  		}
+ 		#endregion removeMissingTimes
+ 
  		private static History getMarketDateTimes(
  			string ticker ,	DateTime firstDateTime , DateTime lastDateTime ,
***************
*** 228,232 ****
  			return marketDateTimes;
  		}
- 		#endregion removeMissingTimes
  		
  		#endregion getMarketDateTimes
--- 261,264 ----
***************
*** 255,259 ****
  		#region GetCommonMarketDateTimes
  		private static Hashtable getMarketDateTimes( ICollection tickers , DateTime firstDateTime ,
! 			DateTime lastDateTime, int intervalFrameInSeconds )
  
  		{
--- 287,291 ----
  		#region GetCommonMarketDateTimes
  		private static Hashtable getMarketDateTimes( ICollection tickers , DateTime firstDateTime ,
! 		                                            DateTime lastDateTime, int intervalFrameInSeconds )
  
  		{
***************
*** 261,269 ****
  			foreach ( string ticker in tickers )
  				if ( !marketDateTimes.ContainsKey( ticker ) )
! 				{
! 					SortedList marketDateTimesForSingleTicker =
! 						GetMarketDateTimes( ticker , firstDateTime , lastDateTime, intervalFrameInSeconds );
! 					marketDateTimes.Add( ticker , marketDateTimesForSingleTicker );
! 				}
  
  			return marketDateTimes;
--- 293,301 ----
  			foreach ( string ticker in tickers )
  				if ( !marketDateTimes.ContainsKey( ticker ) )
! 			{
! 				SortedList marketDateTimesForSingleTicker =
! 					GetMarketDateTimes( ticker , firstDateTime , lastDateTime, intervalFrameInSeconds );
! 				marketDateTimes.Add( ticker , marketDateTimesForSingleTicker );
! 			}
  
  			return marketDateTimes;
***************
*** 300,308 ****
  
  		public static SortedList GetCommonMarketDateTimes( ICollection tickers ,
! 			DateTime firstDateTime , DateTime lastDateTime, int intervalFrameInSeconds )
  		{
  
  			Hashtable marketDateTimes = getMarketDateTimes( tickers , firstDateTime , lastDateTime, intervalFrameInSeconds );
!       			return getCommonMarketDateTimes( tickers , firstDateTime , lastDateTime , marketDateTimes );
  
  		}
--- 332,340 ----
  
  		public static SortedList GetCommonMarketDateTimes( ICollection tickers ,
! 		                                                  DateTime firstDateTime , DateTime lastDateTime, int intervalFrameInSeconds )
  		{
  
  			Hashtable marketDateTimes = getMarketDateTimes( tickers , firstDateTime , lastDateTime, intervalFrameInSeconds );
! 			return getCommonMarketDateTimes( tickers , firstDateTime , lastDateTime , marketDateTimes );
  
  		}

[Quantproject-developers] QuantProject/b2_DataAccess/Tables Bars.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv9149/b2_DataAccess/Tables

Modified Files:
	Bars.cs 
Log Message:
bug fixed in sql string: barInterval is numeric (it was treated as a text field)

Index: Bars.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables/Bars.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Bars.cs	14 Nov 2008 15:51:18 -0000	1.2
--- Bars.cs	18 Nov 2008 22:56:54 -0000	1.3
***************
*** 263,267 ****
  					"bars." + Bars.TickerFieldName + "=tickers_tickerGroups." + Tickers_tickerGroups.Ticker + " " +
  					"where " + Tickers_tickerGroups.GroupID + "='" + tickerOrGroupID + "' and " + 
! 					Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
  					"and " + Bars.DateTimeForOpen + ">=" + SQLBuilder.GetDateTimeConstant( startDateTime ) + " " +
  					"and " + Bars.DateTimeForOpen + "<=" + SQLBuilder.GetDateTimeConstant( endDateTime ) + " " +
--- 263,267 ----
  					"bars." + Bars.TickerFieldName + "=tickers_tickerGroups." + Tickers_tickerGroups.Ticker + " " +
  					"where " + Tickers_tickerGroups.GroupID + "='" + tickerOrGroupID + "' and " + 
! 					Bars.IntervalFrameInSeconds + "=" + intervalFrameInSeconds + " " +
  					"and " + Bars.DateTimeForOpen + ">=" + SQLBuilder.GetDateTimeConstant( startDateTime ) + " " +
  					"and " + Bars.DateTimeForOpen + "<=" + SQLBuilder.GetDateTimeConstant( endDateTime ) + " " +
***************
*** 270,274 ****
  				sql =	"select * from bars " +
  					"where " + Bars.TickerFieldName + "='" + tickerOrGroupID + "' and " + 
! 					Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
  					"and " + Bars.DateTimeForOpen + ">=" + SQLBuilder.GetDateTimeConstant( startDateTime ) + " " +
  					"and " + Bars.DateTimeForOpen + "<=" + SQLBuilder.GetDateTimeConstant( endDateTime ) + " " +
--- 270,274 ----
  				sql =	"select * from bars " +
  					"where " + Bars.TickerFieldName + "='" + tickerOrGroupID + "' and " + 
! 					Bars.IntervalFrameInSeconds + "=" + intervalFrameInSeconds + " " +
  					"and " + Bars.DateTimeForOpen + ">=" + SQLBuilder.GetDateTimeConstant( startDateTime ) + " " +
  					"and " + Bars.DateTimeForOpen + "<=" + SQLBuilder.GetDateTimeConstant( endDateTime ) + " " +

[Quantproject-developers] QuantProject/b1_ADT/Timing Time.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Timing
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv7856/b1_ADT/Timing

Modified Files:
	Time.cs 
Log Message:
Static method IsValidTimeFormat has been simplified (my previous code was totally insane ...)

Index: Time.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Timing/Time.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Time.cs	14 Nov 2008 15:57:46 -0000	1.2
--- Time.cs	18 Nov 2008 22:31:29 -0000	1.3
***************
*** 30,75 ****
  	public struct Time : IEquatable<Time> , IComparable<Time>
  	{
- 		#region IsValidTimeFormat
  		public static bool IsValidTimeFormat ( string stringRepresentingTime )
  		{
! 			bool returnValue = false;
! 			char[] chars = stringRepresentingTime.ToCharArray();
! 			if( 
! 			   //first - hour
! 			   (chars[0]=='0' || chars[0]=='1' || chars[0]=='2') &&
! 			   //second - hour
! 			   ( (chars[0]=='0' || chars[0]=='1') &&
! 			   		(chars[1]=='0' || chars[1]=='1' || chars[1]=='2' ||
! 			    	chars[1]=='3' || chars[1]=='4' || chars[1]=='5' ||
! 			    	chars[1]=='6' || chars[1]=='7' || chars[1]=='8' || chars[1]=='9')	||
! 			     	chars[0] == '2' && 
! 			     	(chars[1]=='0' || chars[1]=='1' || chars[1]=='2' ||
! 			    	chars[1]=='3' || chars[1]=='4') ) &&
! 			   //third - separator
! 			   (chars[2]==':') &&
! 			   //fourth - minute
! 				 (chars[3]=='0' || chars[3]=='1' || chars[3]=='2' ||
! 			    chars[3]=='3' || chars[3]=='4' || chars[3]=='5') &&
! 			   //fifth - minute
! 				 (chars[4]=='0' || chars[4]=='1' || chars[4]=='2' ||
! 			    	chars[4]=='3' || chars[4]=='4' || chars[4]=='5' ||
! 			    	chars[4]=='6' || chars[4]=='7' || chars[4]=='8' || chars[4]=='9') &&
! 			   //sixth - separator
! 			   (chars[5]==':') &&
! 			   //seventh - second
! 				 (chars[6]=='0' || chars[6]=='1' || chars[6]=='2' ||
! 			    chars[6]=='3' || chars[6]=='4' || chars[6]=='5') &&
! 			   //eighth - second
! 				 (chars[7]=='0' || chars[7]=='1' || chars[7]=='2' ||
! 			    	chars[7]=='3' || chars[7]=='4' || chars[7]=='5' ||
! 			    	chars[7]=='6' || chars[7]=='7' || chars[7]=='8' || chars[7]=='9') 
! 			  )
! 					returnValue = true;
  			
! 			return returnValue;
  		}
! 		#endregion isValidTimeFormat
! 		
! 		
  		/// <summary>
  		/// Returns a new DateTime, having the date as the given dateTime
--- 30,49 ----
  	public struct Time : IEquatable<Time> , IComparable<Time>
  	{
  		public static bool IsValidTimeFormat ( string stringRepresentingTime )
  		{
! 			int hour = Convert.ToInt32(stringRepresentingTime.Substring(0,2));
! 			int minute = Convert.ToInt32(stringRepresentingTime.Substring(3,2));
! 			int second = Convert.ToInt32(stringRepresentingTime.Substring(6,2));
! 			string firstSeparator = stringRepresentingTime.Substring(2,1);
! 			string secondSeparator = stringRepresentingTime.Substring(5,1);
  			
! 			return (stringRepresentingTime.Length == 8) &&
! 						 (hour >= 0 && hour <= 24) &&
! 						 (firstSeparator == ":") &&
! 				     (minute >= 0 && minute <= 59) &&
! 				     (secondSeparator == ":") &&
! 						 (second >= 0 && second <= 59);
  		}
! 				
  		/// <summary>
  		/// Returns a new DateTime, having the date as the given dateTime
***************
*** 84,89 ****
  			                     time.Hour , time.Minute , time.Second );
  		}
! 		
! 		
  		private DateTime standardDateTime;
  		
--- 58,62 ----
  			                     time.Hour , time.Minute , time.Second );
  		}
! 				
  		private DateTime standardDateTime;
  		
***************
*** 121,124 ****
--- 94,98 ----
  			int minute = Convert.ToInt32(stringRepresentingTime.Substring(3,2));
  			int second = Convert.ToInt32(stringRepresentingTime.Substring(6,2));
+ 			
  			return new DateTime(1900, 1, 1, hour, minute, second);
  		}
***************
*** 126,131 ****
  		private void time_checkParameter ( string stringRepresentingTime )
  		{
! 			if( stringRepresentingTime.Length != 8 || 
! 			    !Time.IsValidTimeFormat( stringRepresentingTime ) )
  				throw new Exception("string is not in the requested time-format hh:mm:ss");
  		}
--- 100,104 ----
  		private void time_checkParameter ( string stringRepresentingTime )
  		{
! 			if( !Time.IsValidTimeFormat( stringRepresentingTime ) )
  				throw new Exception("string is not in the requested time-format hh:mm:ss");
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies PairsTradingStrategy.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv21278/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies

Modified Files:
	PairsTradingStrategy.cs 
Log Message:
- changed to work with the new OutOfSampleChooser
- this.returnIntervals is not used anymore
- now, the inefficiency is tested between two DateTime(s)

Index: PairsTradingStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies/PairsTradingStrategy.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** PairsTradingStrategy.cs	29 Sep 2008 21:21:35 -0000	1.5
--- PairsTradingStrategy.cs	17 Nov 2008 19:53:58 -0000	1.6
***************
*** 109,122 ****
  		}
  
! 		protected override WeightedPositions getPositionsToBeOpened()
  		{
! 			WeightedPositions weightedPositions =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  				this.bestTestingPositionsInSample ,
! 				this.returnIntervals ,
  				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  				this.inSampleReturnsManager );
! 			return weightedPositions;
  		}
  		
  		protected override LogItem getLogItem( EligibleTickers eligibleTickers )
--- 109,177 ----
  		}
  
! 		#region getPositionsToBeOpened
! 		
! 		#region getPositionsToBeOpened_withAtLeastASecondPhaseInterval
! 		
! 		#region getFirstDateTimeToTestInefficiency
! 		private DateTime
! 			getIntervalBeginForLastSecondPhaseInterval()
  		{
! 			// this method will be invoked only if (this.returnIntervals.Count >= 2)
! 			int secondLastIntervalIndex =
! 				this.returnIntervals.Count - 2;
! 			ReturnInterval secondLastInterval =
! 				this.returnIntervals[ secondLastIntervalIndex ];
! 			return secondLastInterval.End;
! 		}
! 		private DateTime getFirstDateTimeToTestInefficiency()
! 		{
! 			DateTime firstDateTimeToTestInefficiency =
! 				this.getIntervalBeginForLastSecondPhaseInterval();
! 			return firstDateTimeToTestInefficiency;
! 		}
! 		#endregion getFirstDateTimeToTestInefficiency
! 		
! 		#region getLastDateTimeToTestInefficiency
! 		private DateTime
! 			getIntervalEndForLastSecondPhaseInterval()
! 		{
! 			return this.returnIntervals.LastInterval.Begin;
! 		}
! 		private DateTime getLastDateTimeToTestInefficiency()
! 		{
! 			DateTime lastDateTimeToTestInefficiency =
! 				this.getIntervalEndForLastSecondPhaseInterval();
! 			return lastDateTimeToTestInefficiency;
! 		}
! 		#endregion getLastDateTimeToTestInefficiency
! 		
! 		private WeightedPositions getPositionsToBeOpened_withAtLeastASecondPhaseInterval()
! 		{
! 			DateTime firstDateTimeToTestInefficiency =
! 				this.getFirstDateTimeToTestInefficiency();
! 			DateTime lastDateTimeToTestInefficiency =
! 				this.getLastDateTimeToTestInefficiency();
! 			WeightedPositions positionsToBeOpened =
  				this.outOfSampleChooser.GetPositionsToBeOpened(
  				this.bestTestingPositionsInSample ,
! 				firstDateTimeToTestInefficiency ,
! 				lastDateTimeToTestInefficiency ,
! //				this.returnIntervals ,
  				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  				this.inSampleReturnsManager );
! 			return positionsToBeOpened;
  		}
+ 		#endregion getPositionsToBeOpened_withAtLeastASecondPhaseInterval
+ 		
+ 		protected override WeightedPositions getPositionsToBeOpened()
+ 		{
+ 			WeightedPositions positionsToBeOpened = null;
+ 			if ( this.returnIntervals.Count >= 2 )
+ //				// at least a second phase interval exists
+ 				positionsToBeOpened =
+ 					this.getPositionsToBeOpened_withAtLeastASecondPhaseInterval();
+ 			return positionsToBeOpened;
+ 		}
+ 		#endregion getPositionsToBeOpened
  		
  		protected override LogItem getLogItem( EligibleTickers eligibleTickers )

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers OutOfSampleChooser.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20901/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers

Modified Files:
	OutOfSampleChooser.cs 
Log Message:
- changed to handler intraday strategy
- outOfSampleReturnIntervals are not used anymore
- now, the inefficiency is tested between two intraday DateTime(s)

Index: OutOfSampleChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/OutOfSampleChoosers/OutOfSampleChooser.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** OutOfSampleChooser.cs	29 Sep 2008 21:19:47 -0000	1.2
--- OutOfSampleChooser.cs	17 Nov 2008 19:51:04 -0000	1.3
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 72,75 ****
--- 72,87 ----
  
  		#region GetPositionsToBeOpened
+ 		
+ 		private void checkParameters(
+ 			DateTime firstDateTimeToTestInefficiency ,
+ 			DateTime lastDateTimeToTestInefficiency )
+ 		{
+ 			if ( firstDateTimeToTestInefficiency >= lastDateTimeToTestInefficiency )
+ 				throw new Exception(
+ 					"The first date time to test inefficiency must be strictly before " +
+ 					"the last date time to test inefficiency." );
+ 		}
+ 		
+ 		#region getPositionsToBeOpened_actually
  
  		#region getInefficientCouples
***************
*** 78,82 ****
  		private DateTime
  			getIntervalBeginForLastSecondPhaseInterval(
! 			ReturnIntervals outOfSampleReturnIntervals )
  		{
  			// this method will be invoked only if (this.returnIntervals.Count >= 2)
--- 90,94 ----
  		private DateTime
  			getIntervalBeginForLastSecondPhaseInterval(
! 				ReturnIntervals outOfSampleReturnIntervals )
  		{
  			// this method will be invoked only if (this.returnIntervals.Count >= 2)
***************
*** 89,93 ****
  		private DateTime
  			getIntervalEndForLastSecondPhaseInterval(
! 			ReturnIntervals outOfSampleReturnIntervals )
  		{
  			return outOfSampleReturnIntervals.LastInterval.Begin;
--- 101,105 ----
  		private DateTime
  			getIntervalEndForLastSecondPhaseInterval(
! 				ReturnIntervals outOfSampleReturnIntervals )
  		{
  			return outOfSampleReturnIntervals.LastInterval.Begin;
***************
*** 95,117 ****
  		private ReturnInterval
  			getReturnIntervalForLastSecondPhaseInterval(
! 			ReturnIntervals outOfSampleReturnIntervals )
  		{
! 			DateTime intervalBegin =
! 				this.getIntervalBeginForLastSecondPhaseInterval(
! 				outOfSampleReturnIntervals );
! 			DateTime intervalEnd =
! 				this.getIntervalEndForLastSecondPhaseInterval(
! 				outOfSampleReturnIntervals );
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
! 				new ReturnInterval( intervalBegin , intervalEnd );
  			return returnIntervalForLastSecondPhaseInterval;
  		}
  		private ReturnIntervals
  			getReturnIntervalsForLastSecondPhaseInterval(
! 			ReturnIntervals outOfSampleReturnIntervals )
  		{
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
  				this.getReturnIntervalForLastSecondPhaseInterval(
! 				outOfSampleReturnIntervals );
  			ReturnIntervals returnIntervalsForLastSecondPhaseInterval =
  				new ReturnIntervals( returnIntervalForLastSecondPhaseInterval );
--- 107,139 ----
  		private ReturnInterval
  			getReturnIntervalForLastSecondPhaseInterval(
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency
! //				ReturnIntervals outOfSampleReturnIntervals
! 			)
  		{
! //			DateTime intervalBegin =
! //				this.getIntervalBeginForLastSecondPhaseInterval(
! //					outOfSampleReturnIntervals );
! //			DateTime intervalEnd =
! //				this.getIntervalEndForLastSecondPhaseInterval(
! //					outOfSampleReturnIntervals );
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
! 				new ReturnInterval(
! 					firstDateTimeToTestInefficiency , lastDateTimeToTestInefficiency );
  			return returnIntervalForLastSecondPhaseInterval;
  		}
  		private ReturnIntervals
  			getReturnIntervalsForLastSecondPhaseInterval(
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency
! //				ReturnIntervals outOfSampleReturnIntervals
! 			)
  		{
  			ReturnInterval returnIntervalForLastSecondPhaseInterval =
  				this.getReturnIntervalForLastSecondPhaseInterval(
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency
! //					outOfSampleReturnIntervals
! 				);
  			ReturnIntervals returnIntervalsForLastSecondPhaseInterval =
  				new ReturnIntervals( returnIntervalForLastSecondPhaseInterval );
***************
*** 119,123 ****
  		}
  		private ReturnsManager getReturnsManagerForLastSecondPhaseInterval(
! 			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
--- 141,147 ----
  		}
  		private ReturnsManager getReturnsManagerForLastSecondPhaseInterval(
! 			DateTime firstDateTimeToTestInefficiency ,
! 			DateTime lastDateTimeToTestInefficiency ,
! //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
***************
*** 125,138 ****
  			ReturnIntervals returnIntervals =
  				this.getReturnIntervalsForLastSecondPhaseInterval(
! 				outOfSampleReturnIntervals );
! 			//			ReturnsManager returnsManager =
! 			//				new ReturnsManager( returnIntervals ,
! 			//				this.historicalAdjustedQuoteProvider );
  			ReturnsManager returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return returnsManager;
  		}
  		#endregion getReturnsManagerForLastSecondPhaseInterval
  		private double getReturnForTheLastSecondPhaseInterval(
  			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
--- 149,163 ----
  			ReturnIntervals returnIntervals =
  				this.getReturnIntervalsForLastSecondPhaseInterval(
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency
! //					outOfSampleReturnIntervals
! 				);
  			ReturnsManager returnsManager =
  				new ReturnsManager( returnIntervals ,
! 				                   historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return returnsManager;
  		}
  		#endregion getReturnsManagerForLastSecondPhaseInterval
+ 		
  		private double getReturnForTheLastSecondPhaseInterval(
  			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
***************
*** 143,147 ****
  			double returnForTheLastSecondPhaseInterval =
  				weightedPositions.GetReturn( 0 ,
! 				returnsManagerForLastSecondPhaseInterval );
  			return returnForTheLastSecondPhaseInterval;
  		}
--- 168,172 ----
  			double returnForTheLastSecondPhaseInterval =
  				weightedPositions.GetReturn( 0 ,
! 				                            returnsManagerForLastSecondPhaseInterval );
  			return returnForTheLastSecondPhaseInterval;
  		}
***************
*** 171,176 ****
  		private WeightedPositions
  			getPositionsIfInefficiencyIsInTheRange(
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! 			WeightedPositions currentWeightedPositions )
  		{
  			WeightedPositions weightedPositionsToBeOpened = null;
--- 196,201 ----
  		private WeightedPositions
  			getPositionsIfInefficiencyIsInTheRange(
! 				ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! 				WeightedPositions currentWeightedPositions )
  		{
  			WeightedPositions weightedPositionsToBeOpened = null;
***************
*** 179,195 ****
  				double returnForTheLastSecondPhaseInterval =
  					this.getReturnForTheLastSecondPhaseInterval(
! 					returnsManagerForLastSecondPhaseInterval ,
! 					currentWeightedPositions );
  				if ( ( returnForTheLastSecondPhaseInterval >=
! 					this.minThresholdForGoingLong ) &&
! 					( returnForTheLastSecondPhaseInterval <=
! 					this.maxThresholdForGoingLong ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going short
  					weightedPositionsToBeOpened = currentWeightedPositions.Opposite;
  				if ( ( -returnForTheLastSecondPhaseInterval >=
! 					this.minThresholdForGoingShort ) &&
! 					( -returnForTheLastSecondPhaseInterval <=
! 					this.maxThresholdForGoingShort ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going long
--- 204,220 ----
  				double returnForTheLastSecondPhaseInterval =
  					this.getReturnForTheLastSecondPhaseInterval(
! 						returnsManagerForLastSecondPhaseInterval ,
! 						currentWeightedPositions );
  				if ( ( returnForTheLastSecondPhaseInterval >=
! 				      this.minThresholdForGoingLong ) &&
! 				    ( returnForTheLastSecondPhaseInterval <=
! 				     this.maxThresholdForGoingLong ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going short
  					weightedPositionsToBeOpened = currentWeightedPositions.Opposite;
  				if ( ( -returnForTheLastSecondPhaseInterval >=
! 				      this.minThresholdForGoingShort ) &&
! 				    ( -returnForTheLastSecondPhaseInterval <=
! 				     this.maxThresholdForGoingShort ) )
  					// it looks like there has been an inefficiency that
  					// might be recovered, by going long
***************
*** 204,211 ****
  		private void
  			addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
! 			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! 			int currentTestingPositionsIndex ,
! 			ArrayList inefficientCouples )
  		{
  			WeightedPositions currentWeightedPositions =
--- 229,236 ----
  		private void
  			addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
! 				TestingPositions[] bestTestingPositionsInSample ,
! 				ReturnsManager returnsManagerForLastSecondPhaseInterval ,
! 				int currentTestingPositionsIndex ,
! 				ArrayList inefficientCouples )
  		{
  			WeightedPositions currentWeightedPositions =
***************
*** 215,219 ****
  			WeightedPositions weightedPositionsThatMightBeOpended =
  				this.getPositionsIfInefficiencyIsInTheRange(
! 				returnsManagerForLastSecondPhaseInterval , candidateForPortfolio );
  			if ( weightedPositionsThatMightBeOpended != null )
  				// the current couple has not an inefficiency that's in the range
--- 240,244 ----
  			WeightedPositions weightedPositionsThatMightBeOpended =
  				this.getPositionsIfInefficiencyIsInTheRange(
! 					returnsManagerForLastSecondPhaseInterval , candidateForPortfolio );
  			if ( weightedPositionsThatMightBeOpended != null )
  				// the current couple has not an inefficiency that's in the range
***************
*** 226,231 ****
  			ArrayList inefficientCouples = new ArrayList();
  			for ( int currentTestingPositionsIndex = 0 ;
! 				currentTestingPositionsIndex < bestTestingPositionsInSample.Length ;
! 				currentTestingPositionsIndex++ )
  				this.addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
  					bestTestingPositionsInSample ,
--- 251,256 ----
  			ArrayList inefficientCouples = new ArrayList();
  			for ( int currentTestingPositionsIndex = 0 ;
! 			     currentTestingPositionsIndex < bestTestingPositionsInSample.Length ;
! 			     currentTestingPositionsIndex++ )
  				this.addPositionsIfInefficiencyForCurrentCoupleIsInTheRange(
  					bestTestingPositionsInSample ,
***************
*** 233,266 ****
  					currentTestingPositionsIndex ,
  					inefficientCouples );
- //			
- //			while ( ( weightedPositionsToBeOpended == null )
- //				&& ( currentTestingPositionsIndex < bestTestingPositionsInSample.Length ) )
- //			{
- //				weightedPositionsToBeOpended =
- //					this.getPositionsToBeOpenedWithRespectToCurrentWeightedPositions(
- //					bestTestingPositionsInSample ,
- //					returnsManagerForLastSecondPhaseInterval ,
- //					currentTestingPositionsIndex );
- //				currentTestingPositionsIndex++;
- //			}
- //			return weightedPositionsToBeOpended;
  			return inefficientCouples;
  		}
  		private ArrayList
  			getArrayListOfInefficientCouples(
! 			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ReturnsManager returnsManagerForLastSecondPhaseInterval =
  				this.getReturnsManagerForLastSecondPhaseInterval(
! 				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			ArrayList inefficientCouples =
  				this.getInefficientCouples( bestTestingPositionsInSample ,
! 				returnsManagerForLastSecondPhaseInterval );
  			return inefficientCouples;
  		}
  		#region getInefficientCouplesFromArrayList
  		private WeightedPositions[] getInefficientCouplesFromArrayList_actually(
--- 258,284 ----
  					currentTestingPositionsIndex ,
  					inefficientCouples );
  			return inefficientCouples;
  		}
  		private ArrayList
  			getArrayListOfInefficientCouples(
! 				TestingPositions[] bestTestingPositionsInSample ,
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency ,
! //				ReturnIntervals outOfSampleReturnIntervals ,
! 				HistoricalMarketValueProvider
! 				historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ReturnsManager returnsManagerForLastSecondPhaseInterval =
  				this.getReturnsManagerForLastSecondPhaseInterval(
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! //					outOfSampleReturnIntervals ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			ArrayList inefficientCouples =
  				this.getInefficientCouples( bestTestingPositionsInSample ,
! 				                           returnsManagerForLastSecondPhaseInterval );
  			return inefficientCouples;
  		}
+ 		
  		#region getInefficientCouplesFromArrayList
  		private WeightedPositions[] getInefficientCouplesFromArrayList_actually(
***************
*** 282,339 ****
  				inefficientCouples =
  					this.getInefficientCouplesFromArrayList_actually(
! 					arrayListOfInefficientCouples );
  			return inefficientCouples;
  		}
  		#endregion getInefficientCouplesFromArrayList
  		private WeightedPositions[]
  			getInefficientCouples_withAtLeastASecondPhaseInterval(
! 			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnIntervals outOfSampleReturnIntervals ,
! 			HistoricalMarketValueProvider
! 			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ArrayList arrayListOfInefficientCouples =
  				this.getArrayListOfInefficientCouples(
! 				bestTestingPositionsInSample ,
! 				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
  			WeightedPositions[] inefficientCouples =
  				this.getInefficientCouplesFromArrayList( arrayListOfInefficientCouples );
  			return inefficientCouples;
  		}
- //		private WeightedPositions
- //			getInfefficientCouples_withAtLeastASecondPhaseInterval(
- //			TestingPositions[] bestTestingPositionsInSample ,
- //			ReturnIntervals outOfSampleReturnIntervals ,
- //			IHistoricalQuoteProvider
- //			historicalQuoteProviderForChosingPositionsOutOfSample )
- //		{
- //			WeightedPositions weightedPositions =
- //				this.getPositionsToBeOpened_withAtLeastASecondPhaseInterval_actually(
- //				bestTestingPositionsInSample ,
- //				outOfSampleReturnIntervals ,
- //				historicalQuoteProviderForChosingPositionsOutOfSample );
- ////			WeightedPositions weightedPositionsToBeReturned = null;
- ////			if ( weightedPositions != null )
- ////				// at least one of the BestTestingPositions shows an inefficiency
- ////				// above the threshold
- ////				weightedPositionsToBeReturned =
- ////					selectWeightedPositions( weightedPositions );
- ////			return weightedPositionsToBeReturned;
- //			return weightedPositions;
- //		}
  		private WeightedPositions[] getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			WeightedPositions[] inefficientCouples = null;
! 			if ( outOfSampleReturnIntervals.Count >= 2 )
! 				// at least a second phase interval exists
! 				inefficientCouples =
! 					this.getInefficientCouples_withAtLeastASecondPhaseInterval(
  					bestTestingPositionsInSample ,
! 					outOfSampleReturnIntervals ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return inefficientCouples;
--- 300,345 ----
  				inefficientCouples =
  					this.getInefficientCouplesFromArrayList_actually(
! 						arrayListOfInefficientCouples );
  			return inefficientCouples;
  		}
  		#endregion getInefficientCouplesFromArrayList
+ 		
  		private WeightedPositions[]
  			getInefficientCouples_withAtLeastASecondPhaseInterval(
! 				TestingPositions[] bestTestingPositionsInSample ,
! 				DateTime firstDateTimeToTestInefficiency ,
! 				DateTime lastDateTimeToTestInefficiency ,
! //				ReturnIntervals outOfSampleReturnIntervals ,
! 				HistoricalMarketValueProvider
! 				historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			ArrayList arrayListOfInefficientCouples =
  				this.getArrayListOfInefficientCouples(
! 					bestTestingPositionsInSample ,
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! //					outOfSampleReturnIntervals ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			WeightedPositions[] inefficientCouples =
  				this.getInefficientCouplesFromArrayList( arrayListOfInefficientCouples );
  			return inefficientCouples;
  		}
  		private WeightedPositions[] getInefficientCouples(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime firstDateTimeToTestInefficiency ,
! 			DateTime lastDateTimeToTestInefficiency ,
! //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample )
  		{
  			WeightedPositions[] inefficientCouples = null;
! //			if ( outOfSampleReturnIntervals.Count >= 2 )
! //				// at least a second phase interval exists
! 			inefficientCouples =
! 				this.getInefficientCouples_withAtLeastASecondPhaseInterval(
  					bestTestingPositionsInSample ,
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! //						outOfSampleReturnIntervals ,
  					historicalMarketValueProviderForChosingPositionsOutOfSample );
  			return inefficientCouples;
***************
*** 341,344 ****
--- 347,377 ----
  		}
  		#endregion getInefficientCouples
+ 		
+ 		private WeightedPositions getPositionsToBeOpened_actually(
+ 			TestingPositions[] bestTestingPositionsInSample ,
+ 			DateTime firstDateTimeToTestInefficiency ,
+ 			DateTime lastDateTimeToTestInefficiency ,
+ //			ReturnIntervals outOfSampleReturnIntervals ,
+ 			HistoricalMarketValueProvider
+ 			historicalMarketValueProviderForChosingPositionsOutOfSample ,
+ 			ReturnsManager inSampleReturnsManager )
+ 		{
+ 			WeightedPositions positionsToBeOpened = null;
+ 			WeightedPositions[] inefficientCouples =
+ 				this.getInefficientCouples(
+ 					bestTestingPositionsInSample ,
+ 					firstDateTimeToTestInefficiency ,
+ 					lastDateTimeToTestInefficiency ,
+ //					outOfSampleReturnIntervals ,
+ 					historicalMarketValueProviderForChosingPositionsOutOfSample );
+ 			if ( inefficientCouples != null )
+ 				// at least an inefficient couple has been found
+ 				positionsToBeOpened =
+ 					this.getPositionsToBeOpened( inefficientCouples ,
+ 					                            inSampleReturnsManager );
+ 			return positionsToBeOpened;
+ 		}		
+ 		#endregion getPositionsToBeOpened_actually
+ 		
  		/// <summary>
  		/// Selects the WeghtedPositions to actually be opened
***************
*** 346,351 ****
  		/// <param name="bestTestingPositionsInSample">most correlated couples,
  		/// in sample</param>
- 		/// <param name="outOfSampleReturnIntervals">return intervals for
- 		/// the current backtest</param>
  		/// <param name="minThreshold">min requested inefficiency</param>
  		/// <param name="maxThreshold">max allowed inefficiency</param>
--- 379,382 ----
***************
*** 354,372 ****
  		public virtual WeightedPositions GetPositionsToBeOpened(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample ,
  			ReturnsManager inSampleReturnsManager )
  		{
! 			WeightedPositions positionsToBeOpened = null;
! 			WeightedPositions[] inefficientCouples =
! 				this.getInefficientCouples(
! 				bestTestingPositionsInSample ,
! 				outOfSampleReturnIntervals ,
! 				historicalMarketValueProviderForChosingPositionsOutOfSample );
! 			if ( inefficientCouples != null )
! 				// at least an inefficient couple has been found
! 				positionsToBeOpened =
! 					this.getPositionsToBeOpened( inefficientCouples ,
  					inSampleReturnsManager );
  			return positionsToBeOpened;
--- 385,403 ----
  		public virtual WeightedPositions GetPositionsToBeOpened(
  			TestingPositions[] bestTestingPositionsInSample ,
! 			DateTime firstDateTimeToTestInefficiency ,
! 			DateTime lastDateTimeToTestInefficiency ,
! //			ReturnIntervals outOfSampleReturnIntervals ,
  			HistoricalMarketValueProvider
  			historicalMarketValueProviderForChosingPositionsOutOfSample ,
  			ReturnsManager inSampleReturnsManager )
  		{
! 			this.checkParameters(
! 				firstDateTimeToTestInefficiency , lastDateTimeToTestInefficiency );
! 			WeightedPositions positionsToBeOpened =
! 				this.getPositionsToBeOpened_actually(
! 					bestTestingPositionsInSample ,
! 					firstDateTimeToTestInefficiency ,
! 					lastDateTimeToTestInefficiency ,
! 					historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					inSampleReturnsManager );
  			return positionsToBeOpened;
***************
*** 382,387 ****
  			if ( inefficientCouple.Count != 2 )
  				throw new Exception( "The method getLongPositionTickers() expects " +
! 					"an array of WeightedPositions, each of wich contains exactly " +
! 					"two positions!" );
  		}
  		private void addPositionIfLong(
--- 413,418 ----
  			if ( inefficientCouple.Count != 2 )
  				throw new Exception( "The method getLongPositionTickers() expects " +
! 				                    "an array of WeightedPositions, each of wich contains exactly " +
! 				                    "two positions!" );
  		}
  		private void addPositionIfLong(
***************
*** 391,396 ****
  		{
  			if ( ( weightedPosition.IsLong ) &&
! 				( !alreadyAddedLongPositionTickers.Contains(
! 				weightedPosition.Ticker ) ) )
  				// the given weightedPosition is long and its ticker has not
  				// yet been added to the set of tickers for long positions
--- 422,427 ----
  		{
  			if ( ( weightedPosition.IsLong ) &&
! 			    ( !alreadyAddedLongPositionTickers.Contains(
! 			    	weightedPosition.Ticker ) ) )
  				// the given weightedPosition is long and its ticker has not
  				// yet been added to the set of tickers for long positions
***************
*** 407,415 ****
  			this.checkParameters_forCurrentCouple( inefficientCouple );
  			this.addPositionIfLong( inefficientCouple[ 0 ] ,
! 				alreadyAddedLongPositionTickers ,
! 				arrayListOfLongPositionTickers );
  			this.addPositionIfLong( inefficientCouple[ 1 ] ,
! 				alreadyAddedLongPositionTickers ,
! 				arrayListOfLongPositionTickers );
  		}
  		private ArrayList getArrayListOfLongPositionTickers(
--- 438,446 ----
  			this.checkParameters_forCurrentCouple( inefficientCouple );
  			this.addPositionIfLong( inefficientCouple[ 0 ] ,
! 			                       alreadyAddedLongPositionTickers ,
! 			                       arrayListOfLongPositionTickers );
  			this.addPositionIfLong( inefficientCouple[ 1 ] ,
! 			                       alreadyAddedLongPositionTickers ,
! 			                       arrayListOfLongPositionTickers );
  		}
  		private ArrayList getArrayListOfLongPositionTickers(
***************
*** 420,425 ****
  			foreach( WeightedPositions weightedPositions in inefficientCouples )
  				this.addLongPositions( weightedPositions ,
! 					alreadyAddedLongPositionTickers ,
! 					arrayListOfLongPositionTickers );
  			return arrayListOfLongPositionTickers;
  		}
--- 451,456 ----
  			foreach( WeightedPositions weightedPositions in inefficientCouples )
  				this.addLongPositions( weightedPositions ,
! 				                      alreadyAddedLongPositionTickers ,
! 				                      arrayListOfLongPositionTickers );
  			return arrayListOfLongPositionTickers;
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.20, 1.21

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20768/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
Added code to use the new intraday strategy PairsTradingIntradayStrategy

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** PairsTradingMain.cs	12 Nov 2008 20:44:13 -0000	1.20
--- PairsTradingMain.cs	17 Nov 2008 19:49:02 -0000	1.21
***************
*** 153,157 ****
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! 			numberOfBestTestingPositionsToBeReturned = 5;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
--- 153,157 ----
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! //			numberOfBestTestingPositionsToBeReturned = 5;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
***************
*** 235,252 ****
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					outOfSampleChooser );
! //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
! //				new PairsTradingStrategy(
! //				7 , inSampleDays , intervalsSelector ,
! //				eligiblesSelector , inSampleChooser ,
! //				this.historicalQuoteProviderForInSample ,
! //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! //				0.006 , 0.99 , 0.006 , 0.99 );
! //			endOfDayStrategyForBacktester =
! //				new LongOnlyPairsTradingStrategy(
! //				7 , inSampleDays , intervalsSelector ,
! //				eligiblesSelector , inSampleChooser ,
! //				this.historicalQuoteProviderForInSample ,
! //				this.historicalQuoteProviderForChosingPositionsOutOfSample ,
! //				0.006 , 0.02 , 0.006 , 0.02 );
  			return strategyForBacktester;
  		}
--- 235,250 ----
  					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
  					outOfSampleChooser );
! 			
! 			strategyForBacktester =
! 				new PairsTradingIntradayStrategy(
! 					7 , inSampleDays ,
! 					intervalsSelectorForInSample ,
! 					new Time( 13 , 0 , 0 ) ,
! 					new Time( 14 , 0 , 0 ) ,
! 					new Time( 15 , 0 , 0 ) ,
! 					eligiblesSelector , inSampleChooser ,
! 					this.historicalMarketValueProviderForInSample ,
! 					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 					outOfSampleChooser );
  			return strategyForBacktester;
  		}
***************
*** 260,264 ****
  				new IndexBasedHistoricalTimer(
  					this.benchmark.Ticker ,
! 					firstDateTime , lastDateTime , dailyTimes );
  			return indexBasedTimer;
  		}
--- 258,262 ----
  				new IndexBasedHistoricalTimer(
  					this.benchmark.Ticker ,
! 					firstDateTime , lastDateTime , dailyTimes , 60 );
  			return indexBasedTimer;
  		}
***************
*** 276,280 ****
  			// uncomment the following two lines for a faster script
  			firstDateTime = new DateTime( 2006 , 2 , 1 );
! 			lastDateTime = new DateTime( 2007 , 6 , 30 );
  
  			double maxRunningHours = 0.05;
--- 274,278 ----
  			// uncomment the following two lines for a faster script
  			firstDateTime = new DateTime( 2006 , 2 , 1 );
! 			lastDateTime = new DateTime( 2006 , 2 , 28 );
  
  			double maxRunningHours = 0.05;

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.32, 1.33

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20535/b7_Scripts

Modified Files:
	Scripts_SD.csproj 
Log Message:
WalkForwardTesting\PairsTrading\Strategies\PairsTradingIntradayStrategy.cs has been added

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.32
retrieving revision 1.33
diff -C2 -d -r1.32 -r1.33
*** Scripts_SD.csproj	19 Aug 2008 17:13:13 -0000	1.32
--- Scripts_SD.csproj	17 Nov 2008 19:47:51 -0000	1.33
***************
*** 131,134 ****
--- 131,135 ----
      <Compile Include="WalkForwardTesting\PairsTrading\PairsTradingMain.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\PairsTradingTestingPositions.cs" />
+     <Compile Include="WalkForwardTesting\PairsTrading\Strategies\PairsTradingIntradayStrategy.cs" />
      <Compile Include="WalkForwardTesting\PairsTrading\Strategies\PairsTradingStrategy.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\RunSimpleLag.cs" />

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies PairsTradingIntradayStrategy.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20451/b7_Scripts/WalkForwardTesting/PairsTrading/Strategies

Added Files:
	PairsTradingIntradayStrategy.cs 
Log Message:
Pairs trading strategy with intraday bars

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

PairsTradingIntradayStrategy.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 QuantProject.ADT.Timing;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Strategies;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;

namespace QuantProject.Scripts.WalkForwardTesting.PairsTrading
{
	/// <summary>
	/// Pairs trading strategy with intraday bars
	/// </summary>
	public class PairsTradingIntradayStrategy : BasicStrategyForBacktester
	{
		private Time firstTimeToTestInefficiency;
		private Time lastTimeToTestInefficiency;
		private Time timeToClosePositions;
		private HistoricalMarketValueProvider
			historicalMarketValueProviderForChosingPositionsOutOfSample;
		private OutOfSampleChooser outOfSampleChooser;
		
		public PairsTradingIntradayStrategy(
			int numDaysBeetweenEachOtpimization ,
			int numDaysForInSampleOptimization ,
			IIntervalsSelector intervalsSelectorForInSample ,
//			IIntervalsSelector intervalsSelectorForOutOfSample ,
			Time firstTimeToTestInefficiency ,
			Time lastTimeToTestInefficiency ,
			Time timeToClosePositions ,
			IEligiblesSelector eligiblesSelector ,
			IInSampleChooser inSampleChooser ,
			HistoricalMarketValueProvider historicalMarketValueProviderForInSample ,
			HistoricalMarketValueProvider
			historicalMarketValueProviderForChosingPositionsOutOfSample ,
			OutOfSampleChooser outOfSampleChooser ) :
			base(
				numDaysBeetweenEachOtpimization ,
				numDaysForInSampleOptimization ,
				intervalsSelectorForInSample ,
//			intervalsSelectorForOutOfSample ,
				eligiblesSelector ,
				inSampleChooser ,
				historicalMarketValueProviderForInSample )
		{
			this.firstTimeToTestInefficiency = firstTimeToTestInefficiency;
			this.lastTimeToTestInefficiency = lastTimeToTestInefficiency;
			this.timeToClosePositions = timeToClosePositions;
			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
				historicalMarketValueProviderForChosingPositionsOutOfSample;
			this.outOfSampleChooser = outOfSampleChooser;
		}
		
		protected override string getTextIdentifier()
		{
			return "pairsTrdngIntrdy";
		}
		
		protected override LogItem getLogItem( EligibleTickers eligibleTickers )
		{
			PairsTradingLogItem logItem =
				new PairsTradingLogItem( this.now() ,
				                        this.bestTestingPositionsInSample ,
				                        this.numDaysForInSampleOptimization ,
				                        eligibleTickers.Count );
			return logItem;
		}
		
		protected override bool arePositionsToBeClosed()
		{
			bool areToBeClosed =
				( this.Account.Portfolio.Count > 1 );
			areToBeClosed = (
				areToBeClosed &&
				( this.time() == this.timeToClosePositions ) );
			return ( areToBeClosed );
		}
		
		protected override bool arePositionsToBeOpened()
		{
			bool areToBeOpened = ( this.time() == this.lastTimeToTestInefficiency );
			return ( areToBeOpened );
		}

		#region getPositionsToBeOpened
		private DateTime getFirstDateTimeToTestInefficiency()
		{
			DateTime now = this.now();
			DateTime firstDateTimeToTestInefficiency = new DateTime(
				now.Year , now.Month , now.Day ,
				this.firstTimeToTestInefficiency.Hour ,
				this.firstTimeToTestInefficiency.Minute ,
				this.firstTimeToTestInefficiency.Second );
			return firstDateTimeToTestInefficiency;
		}
		private DateTime getLastDateTimeToTestInefficiency()
		{
			DateTime now = this.now();
			DateTime lastDateTimeToTestInefficiency = new DateTime(
				now.Year , now.Month , now.Day ,
				this.lastTimeToTestInefficiency.Hour ,
				this.lastTimeToTestInefficiency.Minute ,
				this.lastTimeToTestInefficiency.Second );
			return lastDateTimeToTestInefficiency;
		}
		protected override WeightedPositions getPositionsToBeOpened()
		{
			DateTime firstDateTimeToTestInefficiency =
				this.getFirstDateTimeToTestInefficiency();
			DateTime lastDateTimeToTestInefficiency =
				this.getLastDateTimeToTestInefficiency();
			WeightedPositions weightedPositions =
				this.outOfSampleChooser.GetPositionsToBeOpened(
					this.bestTestingPositionsInSample ,
					firstDateTimeToTestInefficiency ,
					lastDateTimeToTestInefficiency ,
					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
					this.inSampleReturnsManager );
			return weightedPositions;
		}
		#endregion getPositionsToBeOpened
	}
}

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.32, 1.33

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20293/b4_Business

Modified Files:
	Business_SD.csproj 
Log Message:
a2_Strategies\BasicStrategyForBacktester.cs has been added

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.32
retrieving revision 1.33
diff -C2 -d -r1.32 -r1.33
*** Business_SD.csproj	14 Nov 2008 16:01:23 -0000	1.32
--- Business_SD.csproj	17 Nov 2008 19:46:39 -0000	1.33
***************
*** 66,69 ****
--- 66,70 ----
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\Tables\StatisticsSummary.cs" />
      <Compile Include="a1_Financial\a2_Accounting\Transactions\TimedTransaction.cs" />
+     <Compile Include="a2_Strategies\BasicStrategyForBacktester.cs" />
      <Compile Include="a2_Strategies\Benchmark.cs" />
      <Compile Include="a2_Strategies\Eligibles\ByPriceLessVolatileOTCAlwaysQuoted.cs" />

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies BasicStrategyForBacktester.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv20138/b4_Business/a2_Strategies

Added Files:
	BasicStrategyForBacktester.cs 
Log Message:
Basic abstract implementation of IStrategyForBacktester,
that should be inherited by specific strategies

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

BasicStrategyForBacktester.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 QuantProject.ADT.Messaging;
using QuantProject.ADT.Timing;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Strategies.Eligibles;
using QuantProject.Business.Strategies.InSample;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Strategies.OutOfSample;
using QuantProject.Business.Strategies.ReturnsManagement;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies
{
	/// <summary>
	/// Basic abstract implementation of IStrategyForBacktester,
	/// that should be inherited by specific strategies
	/// </summary>
	[Serializable]
	public abstract class BasicStrategyForBacktester : IStrategyForBacktester
	{
		public event NewLogItemEventHandler NewLogItem;
		public event NewMessageEventHandler NewMessage;
		
		protected int numDaysBeetweenEachOtpimization;
		protected int numDaysForInSampleOptimization;
		protected IIntervalsSelector intervalsSelectorForInSample;
//		protected IIntervalsSelector intervalsSelectorForOutOfSample;
		protected IEligiblesSelector eligiblesSelector;
		protected IInSampleChooser inSampleChooser;
		protected HistoricalMarketValueProvider historicalMarketValueProviderForInSample;
		
		protected DateTime lastOptimizationDateTime;
		private Account account;
		
		protected ReturnsManager inSampleReturnsManager;
		
		protected TestingPositions[] bestTestingPositionsInSample;

		#region StopBacktestIfMaxRunningHoursHasBeenReached
		protected DateTime now()
		{
			DateTime simulatedDateTime =
				this.account.Timer.GetCurrentDateTime();
			return simulatedDateTime;
		}
		private bool areOptimalWeightedPositionsToBeUpdated()
		{
			DateTime dateTimeForNextOptimization =
				this.lastOptimizationDateTime.AddDays(
					this.numDaysBeetweenEachOtpimization );
			DateTime currentSimulatedDateTime = this.now();
			bool areToBeUpdated =
				( ( ( this.account.Portfolio.Count == 0 )
				   && ( ( this.lastOptimizationDateTime == DateTime.MinValue ) ) ) ||
				 ( currentSimulatedDateTime >= dateTimeForNextOptimization ) );
			return areToBeUpdated;
		}
		public virtual bool StopBacktestIfMaxRunningHoursHasBeenReached
		{
			get
			{
				return this.areOptimalWeightedPositionsToBeUpdated();
			}
		}
		#endregion StopBacktestIfMaxRunningHoursHasBeenReached
		
		public Account Account
		{
			get { return this.account; }
			set { this.account = value; }
		}

		#region Description
		protected abstract string getTextIdentifier();
		public string Description
		{
			get
			{
				string descriptionForLogFileName =
					"Strtgy_" +
					this.getTextIdentifier() +
					"nmDysBtwnOptmztns_" +
					this.numDaysBeetweenEachOtpimization.ToString() + "_" +
					this.eligiblesSelector.Description + "_" +
					this.inSampleChooser.Description +
					"_oS_longOnly";
				return descriptionForLogFileName;
			}
		}
		#endregion Description

		public BasicStrategyForBacktester(
			int numDaysBeetweenEachOtpimization ,
			int numDaysForInSampleOptimization ,
			IIntervalsSelector intervalsSelectorForInSample ,
//			IIntervalsSelector intervalsSelectorForOutOfSample ,
			IEligiblesSelector eligiblesSelector ,
			IInSampleChooser inSampleChooser ,
			HistoricalMarketValueProvider historicalMarketValueProviderForInSample
		)
		{
			this.numDaysBeetweenEachOtpimization = numDaysBeetweenEachOtpimization;
			this.numDaysForInSampleOptimization = numDaysForInSampleOptimization;
			this.intervalsSelectorForInSample = intervalsSelectorForInSample;
//			this.intervalsSelectorForOutOfSample = intervalsSelectorForOutOfSample;
			this.eligiblesSelector = eligiblesSelector;
			this.inSampleChooser = inSampleChooser;
			this.historicalMarketValueProviderForInSample =
				historicalMarketValueProviderForInSample;
			
//			this.returnIntervals =
//				new ReturnIntervals( this.intervalsSelectorForOutOfSample );
		}
		
		#region NewDateTimeEventHandler
		
		#region updateOptimalTestingPositions
		
		#region updateOptimalTestingPositions_actually
		
		#region getInSampleReturnIntervals
		private DateTime getInSampleReturnIntervals_getFirstDateTime()
		{
			DateTime someDaysBefore = this.now().AddDays(
				-this.numDaysForInSampleOptimization );
			DateTime firstDateTime =
				HistoricalEndOfDayTimer.GetMarketOpen( someDaysBefore );
			return firstDateTime;
		}
		private ReturnIntervals getInSampleReturnIntervals()
		{
			DateTime firstDateTime =
				this.getInSampleReturnIntervals_getFirstDateTime();
			DateTime lastDateTime =
				HistoricalEndOfDayTimer.GetMarketClose( this.now() );
			ReturnIntervals inSampleReturnIntervals =
				new ReturnIntervals( this.intervalsSelectorForInSample );
			inSampleReturnIntervals.AppendFirstInterval( firstDateTime );
			if ( inSampleReturnIntervals.LastDateTime < lastDateTime )
				inSampleReturnIntervals.AppendIntervalsButDontGoBeyondLastDate(
					lastDateTime );
			return inSampleReturnIntervals;
		}
		#endregion getInSampleReturnIntervals
		
		private void checkQualityFor_bestTestingPositionsInSample()
		{
			for( int i = 0 ; i < this.bestTestingPositionsInSample.Length ; i++ )
				if ( this.bestTestingPositionsInSample[ i ] == null )
				throw new Exception(
					"The IInSampleChooser should have returned an array " +
					"of non null bestTestingPositionsInSample!" );
		}
		private void notifyMessage( EligibleTickers eligibleTickers )
		{
			string message = "Number of Eligible tickers: " +
				eligibleTickers.Count +
				" - " +
				DateTime.Now.ToString();
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( message );
			if ( this.NewMessage != null )
				this.NewMessage( this , newMessageEventArgs );
		}
		
		#region logOptimizationInfo
		protected abstract LogItem getLogItem( EligibleTickers eligibleTickers );

		private void raiseNewLogItem( EligibleTickers eligibleTickers )
		{
			LogItem logItem =
				this.getLogItem( eligibleTickers );
			NewLogItemEventArgs newLogItemEventArgs =
				new NewLogItemEventArgs( logItem );
			this.NewLogItem( this , newLogItemEventArgs );
		}
		private void logOptimizationInfo( EligibleTickers eligibleTickers )
		{
			this.raiseNewLogItem( eligibleTickers );
		}
		#endregion logOptimizationInfo
		
		private void updateOptimalTestingPositions_actually()
		{
			ReturnIntervals inSampleReturnIntervals =
				this.getInSampleReturnIntervals();
			EligibleTickers eligibleTickers =
				this.eligiblesSelector.GetEligibleTickers(
					inSampleReturnIntervals.BordersHistory );
			this.inSampleReturnsManager = new ReturnsManager(
				inSampleReturnIntervals ,
				this.historicalMarketValueProviderForInSample );
			this.bestTestingPositionsInSample =
				(TestingPositions[])this.inSampleChooser.AnalyzeInSample(
					eligibleTickers , this.inSampleReturnsManager );
			this.checkQualityFor_bestTestingPositionsInSample();

			this.notifyMessage( eligibleTickers );
			this.logOptimizationInfo( eligibleTickers );
		}
		#endregion updateOptimalTestingPositions_actually
		
		private void updateOptimalTestingPositions()
		{
			this.updateOptimalTestingPositions_actually();
			this.lastOptimizationDateTime = this.now();
		}
		#endregion updateOptimalTestingPositions
		
		protected abstract bool arePositionsToBeClosed();
		protected abstract bool arePositionsToBeOpened();
		protected abstract WeightedPositions getPositionsToBeOpened();
		
		public void NewDateTimeEventHandler( Object sender , DateTime dateTime )
		{
			if ( this.areOptimalWeightedPositionsToBeUpdated() )
				this.updateOptimalTestingPositions();
			if ( this.arePositionsToBeClosed() )
				AccountManager.ClosePositions( this.account );
			if ( this.arePositionsToBeOpened() )
			{
				WeightedPositions positionsToBeOpened =
					this.getPositionsToBeOpened();
				if ( positionsToBeOpened != null )
					// positions to be opened are available, actually
					AccountManager.OpenPositions( positionsToBeOpened , this.account );
			}
		}
		#endregion NewDateTimeEventHandler
		
		/// <summary>
		/// returns the current simulated time for the current simulated day
		/// </summary>
		/// <returns></returns>
		protected Time time()
		{
			DateTime simulatedDateTime =
				this.account.Timer.GetCurrentDateTime();
			Time simulatedTime = new Time( simulatedDateTime );
			return simulatedTime;
		}
	}
}

[Quantproject-developers] QuantProject/b3_Data Data_SD.csproj, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv6505/b3_Data

Modified Files:
	Data_SD.csproj 
Log Message:
Updated SharpDevelop project's files

Index: Data_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Data_SD.csproj,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** Data_SD.csproj	12 Nov 2008 20:34:58 -0000	1.5
--- Data_SD.csproj	14 Nov 2008 16:01:23 -0000	1.6
***************
*** 77,80 ****
--- 77,81 ----
      <Compile Include="Selectors\SelectorByOpenToCloseLinearCorrelation.cs" />
      <Compile Include="Selectors\SelectorByOpenToCloseVolatility.cs" />
+     <Compile Include="Selectors\SelectorByQuotationAtAGivenPercentageOfDateTimes.cs" />
      <Compile Include="Selectors\SelectorByQuotationAtEachMarketDay.cs" />
      <Compile Include="Selectors\SelectorByAverageRawOpenPrice.cs" />

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.31, 1.32

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv6505/b4_Business

Modified Files:
	Business_SD.csproj 
Log Message:
Updated SharpDevelop project's files

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.31
retrieving revision 1.32
diff -C2 -d -r1.31 -r1.32
*** Business_SD.csproj	12 Nov 2008 20:34:09 -0000	1.31
--- Business_SD.csproj	14 Nov 2008 16:01:23 -0000	1.32
***************
*** 75,78 ****
--- 75,79 ----
      <Compile Include="a2_Strategies\Eligibles\EligibleTickers.cs" />
      <Compile Include="a2_Strategies\Eligibles\IEligiblesSelector.cs" />
+     <Compile Include="a2_Strategies\Eligibles\ByPriceMostLiquidQuotedAtEachDateTime.cs" />
      <Compile Include="a2_Strategies\EndOfDayStrategies\BasicEndOfDayStrategyForBacktester.cs" />
      <Compile Include="a2_Strategies\EndOfDayStrategies\EndOfDayStrategy.cs" />

[Quantproject-developers] QuantProject/b1_ADT/Timing Time.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Timing
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv5589/b1_ADT/Timing

Modified Files:
	Time.cs 
Log Message:
Added a new constructor, from a time represented by a formatted string;
moved constructor's code out from region hashCode (Glauco, check please ...);
added some static and instance method 

Index: Time.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Timing/Time.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** Time.cs	12 Nov 2008 20:31:53 -0000	1.1
--- Time.cs	14 Nov 2008 15:57:46 -0000	1.2
***************
*** 30,33 ****
--- 30,89 ----
  	public struct Time : IEquatable<Time> , IComparable<Time>
  	{
+ 		#region IsValidTimeFormat
+ 		public static bool IsValidTimeFormat ( string stringRepresentingTime )
+ 		{
+ 			bool returnValue = false;
+ 			char[] chars = stringRepresentingTime.ToCharArray();
+ 			if( 
+ 			   //first - hour
+ 			   (chars[0]=='0' || chars[0]=='1' || chars[0]=='2') &&
+ 			   //second - hour
+ 			   ( (chars[0]=='0' || chars[0]=='1') &&
+ 			   		(chars[1]=='0' || chars[1]=='1' || chars[1]=='2' ||
+ 			    	chars[1]=='3' || chars[1]=='4' || chars[1]=='5' ||
+ 			    	chars[1]=='6' || chars[1]=='7' || chars[1]=='8' || chars[1]=='9')	||
+ 			     	chars[0] == '2' && 
+ 			     	(chars[1]=='0' || chars[1]=='1' || chars[1]=='2' ||
+ 			    	chars[1]=='3' || chars[1]=='4') ) &&
+ 			   //third - separator
+ 			   (chars[2]==':') &&
+ 			   //fourth - minute
+ 				 (chars[3]=='0' || chars[3]=='1' || chars[3]=='2' ||
+ 			    chars[3]=='3' || chars[3]=='4' || chars[3]=='5') &&
+ 			   //fifth - minute
+ 				 (chars[4]=='0' || chars[4]=='1' || chars[4]=='2' ||
+ 			    	chars[4]=='3' || chars[4]=='4' || chars[4]=='5' ||
+ 			    	chars[4]=='6' || chars[4]=='7' || chars[4]=='8' || chars[4]=='9') &&
+ 			   //sixth - separator
+ 			   (chars[5]==':') &&
+ 			   //seventh - second
+ 				 (chars[6]=='0' || chars[6]=='1' || chars[6]=='2' ||
+ 			    chars[6]=='3' || chars[6]=='4' || chars[6]=='5') &&
+ 			   //eighth - second
+ 				 (chars[7]=='0' || chars[7]=='1' || chars[7]=='2' ||
+ 			    	chars[7]=='3' || chars[7]=='4' || chars[7]=='5' ||
+ 			    	chars[7]=='6' || chars[7]=='7' || chars[7]=='8' || chars[7]=='9') 
+ 			  )
+ 					returnValue = true;
+ 			
+ 			return returnValue;
+ 		}
+ 		#endregion isValidTimeFormat
+ 		
+ 		
+ 		/// <summary>
+ 		/// Returns a new DateTime, having the date as the given dateTime
+ 		/// and the time as the given time
+ 		/// </summary>
+ 		/// <param name="dateTime">dateTime containing the date to merge with the given time in a new DateTime</param>
+ 		/// /// <param name="time">time containing the hour, minute and second to merge with the given dateTime in a new DateTime</param>
+ 		/// <returns></returns>
+ 		public static DateTime GetDateTimeFromMerge ( DateTime dateTime, Time time )
+ 		{
+ 			return new DateTime( dateTime.Year , dateTime.Month , dateTime.Day,
+ 			                     time.Hour , time.Minute , time.Second );
+ 		}
+ 		
+ 		
  		private DateTime standardDateTime;
  		
***************
*** 47,56 ****
  		}
  
- 		
- 		
- 		#region Equals and GetHashCode implementation
- 		// The code in this region is useful if you want to use this structure in collections.
- 		// If you don't need it, you can just remove the region and the ": IEquatable<Time>" declaration.
- 		
  		public Time( int hour , int minute , int second )
  		{
--- 103,106 ----
***************
*** 66,69 ****
--- 116,150 ----
  		}
  		
+ 		private DateTime time_getStandardTimeFromString ( string stringRepresentingTime )
+ 		{
+ 			int hour = Convert.ToInt32(stringRepresentingTime.Substring(0,2));
+ 			int minute = Convert.ToInt32(stringRepresentingTime.Substring(3,2));
+ 			int second = Convert.ToInt32(stringRepresentingTime.Substring(6,2));
+ 			return new DateTime(1900, 1, 1, hour, minute, second);
+ 		}
+ 		
+ 		private void time_checkParameter ( string stringRepresentingTime )
+ 		{
+ 			if( stringRepresentingTime.Length != 8 || 
+ 			    !Time.IsValidTimeFormat( stringRepresentingTime ) )
+ 				throw new Exception("string is not in the requested time-format hh:mm:ss");
+ 		}
+ 		
+ 		/// <summary>
+ 		/// Represent a time (for any possible date)
+ 		/// </summary>
+ 		/// <param name="stringRepresentingTime">String representing time in format: hh:mm:ss</param>
+ 		public Time( string stringRepresentingTime )
+ 		{
+ 			this.standardDateTime = new DateTime(1900,1,1,0,0,0);
+ 			//just for compiling next two lines
+ 			this.time_checkParameter( stringRepresentingTime );
+ 			this.standardDateTime = 
+ 				this.time_getStandardTimeFromString( stringRepresentingTime );
+ 		}
+ 		
+ 		#region Equals and GetHashCode implementation
+ 		// The code in this region is useful if you want to use this structure in collections.
+ 		// If you don't need it, you can just remove the region and the ": IEquatable<Time>" declaration.
  		public override bool Equals(object obj)
  		{
***************
*** 134,137 ****
--- 215,233 ----
  			return compareTo;
  		}
+ 		
+ 		/// <summary>
+ 		/// True iff the time of the given dateTime is equal to
+ 		/// the current instance
+ 		/// </summary>
+ 		/// <param name="dateTime">dateTime containing time to compare to the current instance</param>
+ 		/// <returns></returns>
+ 		public bool HasTheSameTime( DateTime dateTime )
+ 		{
+ 			bool returnValue =
+ 				( this.Hour == dateTime.Hour ) &&
+ 				( this.Minute == dateTime.Minute ) &&
+ 				( this.Second == dateTime.Second );
+ 			return returnValue;
+ 		}
  	}
  }

[Quantproject-developers] QuantProject/b3_Data/DataTables TickerDataTable.cs, 1.11, 1.12

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv4534/b3_Data/DataTables

Modified Files:
	TickerDataTable.cs 
Log Message:
Added parameter intervalFrameInSeconds

Index: TickerDataTable.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/TickerDataTable.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** TickerDataTable.cs	9 Nov 2008 19:22:14 -0000	1.11
--- TickerDataTable.cs	14 Nov 2008 15:51:51 -0000	1.12
***************
*** 249,257 ****
      private static void getTickersQuotedAtAGivenPercentageOfDateTimes_handleRow(
      	DataRow row , History marketDateTimes , double percentageOfDateTimes ,
!     	DateTime firstQuoteDate , DateTime lastQuoteDate ,
      	DataTable tableToWhichRowIsToBeAdded )
      {
      	History dateTimesForTicker = Bars.GetMarketDateTimes( (string)row[0],
!     	                                      firstQuoteDate , lastQuoteDate );
      	if( dateTimesForTicker.ContainsAtAGivenPercentageDateTimesIn( marketDateTimes , percentageOfDateTimes ) )
      		//the current ticker has been effectively traded at the given percentage of times
--- 249,257 ----
      private static void getTickersQuotedAtAGivenPercentageOfDateTimes_handleRow(
      	DataRow row , History marketDateTimes , double percentageOfDateTimes ,
!     	DateTime firstQuoteDate , DateTime lastQuoteDate , int intervalFrameInSeconds,
      	DataTable tableToWhichRowIsToBeAdded )
      {
      	History dateTimesForTicker = Bars.GetMarketDateTimes( (string)row[0],
!     	                                      firstQuoteDate , lastQuoteDate, intervalFrameInSeconds );
      	if( dateTimesForTicker.ContainsAtAGivenPercentageDateTimesIn( marketDateTimes , percentageOfDateTimes ) )
      		//the current ticker has been effectively traded at the given percentage of times
***************
*** 271,281 ****
                                                                            DataTable setOfTickers,
      																																			DateTime firstBarDateTime, DateTime lastBarDateTime,
      																																			long maxNumOfReturnedTickers)
      {
      	History marketDateTimesForIndex = Bars.GetMarketDateTimes(marketIndex,
!     	                                                  firstBarDateTime , lastBarDateTime);
      	return GetTickersQuotedAtAGivenPercentageOfDateTimes(
      		marketDateTimesForIndex , percentageOfDateTimes , setOfTickers ,
!     		firstBarDateTime , lastBarDateTime , maxNumOfReturnedTickers );
      }
      
--- 271,282 ----
                                                                            DataTable setOfTickers,
      																																			DateTime firstBarDateTime, DateTime lastBarDateTime,
+     																																			int intervalFrameInSeconds,
      																																			long maxNumOfReturnedTickers)
      {
      	History marketDateTimesForIndex = Bars.GetMarketDateTimes(marketIndex,
!     	                                                  firstBarDateTime , lastBarDateTime, intervalFrameInSeconds);
      	return GetTickersQuotedAtAGivenPercentageOfDateTimes(
      		marketDateTimesForIndex , percentageOfDateTimes , setOfTickers ,
!     		firstBarDateTime , lastBarDateTime , intervalFrameInSeconds, maxNumOfReturnedTickers );
      }
      
***************
*** 283,286 ****
--- 284,288 ----
                                                                            string groupID,
      																																			DateTime firstBarDateTime, DateTime lastBarDateTime,
+     																																			int intervalFrameInSeconds,
      																																			long maxNumOfReturnedTickers)
      {
***************
*** 289,293 ****
      	return GetTickersQuotedAtAGivenPercentageOfDateTimes(
      		marketIndex , percentageOfDateTimes , groupOfTicker ,
!     		firstBarDateTime , lastBarDateTime , maxNumOfReturnedTickers );
      }
          
--- 291,295 ----
      	return GetTickersQuotedAtAGivenPercentageOfDateTimes(
      		marketIndex , percentageOfDateTimes , groupOfTicker ,
!     		firstBarDateTime , lastBarDateTime , intervalFrameInSeconds, maxNumOfReturnedTickers );
      }
          
***************
*** 307,310 ****
--- 309,313 ----
      	DataTable setOfTickers,
      	DateTime firstBarDateTime, DateTime lastBarDateTime,
+     	int intervalFrameInSeconds,
      	long maxNumOfReturnedTickers)
      {
***************
*** 317,321 ****
      		getTickersQuotedAtAGivenPercentageOfDateTimes_handleRow(
      			row , marketDateTimes , percentageOfDateTimes ,
!     			firstBarDateTime , lastBarDateTime , returnValue );
      	ExtendedDataTable.DeleteRows(returnValue, maxNumOfReturnedTickers);
      	return returnValue;
--- 320,324 ----
      		getTickersQuotedAtAGivenPercentageOfDateTimes_handleRow(
      			row , marketDateTimes , percentageOfDateTimes ,
!     			firstBarDateTime , lastBarDateTime , intervalFrameInSeconds , returnValue );
      	ExtendedDataTable.DeleteRows(returnValue, maxNumOfReturnedTickers);
      	return returnValue;

[Quantproject-developers] QuantProject/b3_Data/Selectors SelectorByQuotationAtAGivenPercentageOfDateTimes.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/Selectors
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv4416/b3_Data/Selectors

Modified Files:
	SelectorByQuotationAtAGivenPercentageOfDateTimes.cs 
Log Message:
Added parameter intervalFrameInSeconds

Index: SelectorByQuotationAtAGivenPercentageOfDateTimes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Selectors/SelectorByQuotationAtAGivenPercentageOfDateTimes.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** SelectorByQuotationAtAGivenPercentageOfDateTimes.cs	9 Nov 2008 19:20:32 -0000	1.1
--- SelectorByQuotationAtAGivenPercentageOfDateTimes.cs	14 Nov 2008 15:51:18 -0000	1.2
***************
*** 41,44 ****
--- 41,45 ----
      private History marketDateTimes;
      private double percentageOfDateTimes;
+     private int intervalFrameInSeconds;
      
      public SelectorByQuotationAtAGivenPercentageOfDateTimes(DataTable setOfTickersToBeSelected, 
***************
*** 46,49 ****
--- 47,51 ----
                                 DateTime firstBarDateTime,
                                 DateTime lastBarDateTime,
+                                int intervalFrameInSeconds,
                                 long maxNumOfReturnedTickers, string marketIndex,
                                 double percentageOfDateTimes):
***************
*** 56,59 ****
--- 58,62 ----
        this.marketIndex = marketIndex;
        this.percentageOfDateTimes = percentageOfDateTimes;
+       this.intervalFrameInSeconds = intervalFrameInSeconds;
      }
       public SelectorByQuotationAtAGivenPercentageOfDateTimes(string groupID, 
***************
*** 61,64 ****
--- 64,68 ----
                                  DateTime firstBarDateTime,
                                 	DateTime lastBarDateTime,
+                                	int intervalFrameInSeconds,
                                  long maxNumOfReturnedTickers, string marketIndex,
                                  double percentageOfDateTimes):
***************
*** 71,79 ****
      	this.marketIndex = marketIndex;
      	this.percentageOfDateTimes = percentageOfDateTimes;
      }
      
      public SelectorByQuotationAtAGivenPercentageOfDateTimes(
      	DataTable setOfTickersToBeSelected , bool orderInASCmode ,
!     	History marketDateTimes , long maxNumOfReturnedTickers,
        double percentageOfDateTimes):
      	base(setOfTickersToBeSelected ,
--- 75,84 ----
      	this.marketIndex = marketIndex;
      	this.percentageOfDateTimes = percentageOfDateTimes;
+     	this.intervalFrameInSeconds = intervalFrameInSeconds;
      }
      
      public SelectorByQuotationAtAGivenPercentageOfDateTimes(
      	DataTable setOfTickersToBeSelected , bool orderInASCmode ,
!     	History marketDateTimes , int intervalFrameInSeconds, long maxNumOfReturnedTickers,
        double percentageOfDateTimes):
      	base(setOfTickersToBeSelected ,
***************
*** 86,89 ****
--- 91,95 ----
      	this.marketDateTimes = marketDateTimes;
      	this.percentageOfDateTimes = percentageOfDateTimes;
+     	this.intervalFrameInSeconds = intervalFrameInSeconds;
      }
  
***************
*** 94,98 ****
  				 QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedAtAGivenPercentageOfDateTimes(
  				 this.marketDateTimes , this.percentageOfDateTimes , this.setOfTickersToBeSelected , this.firstQuoteDate ,
! 				 this.lastQuoteDate , this.maxNumOfReturnedTickers );
  			 return dataTable;
  		 }
--- 100,104 ----
  				 QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedAtAGivenPercentageOfDateTimes(
  				 this.marketDateTimes , this.percentageOfDateTimes , this.setOfTickersToBeSelected , this.firstQuoteDate ,
! 				 this.lastQuoteDate , this.intervalFrameInSeconds , this.maxNumOfReturnedTickers );
  			 return dataTable;
  		 }
***************
*** 105,114 ****
  				 return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedAtAGivenPercentageOfDateTimes(
  					 this.marketIndex, this.percentageOfDateTimes , this.groupID, this.firstQuoteDate, this.lastQuoteDate,
! 					 this.maxNumOfReturnedTickers);        
  
  			 else
  				 return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedAtAGivenPercentageOfDateTimes(
  					 this.marketIndex, this.percentageOfDateTimes , this.setOfTickersToBeSelected, this.firstQuoteDate, this.lastQuoteDate,
! 					 this.maxNumOfReturnedTickers);
  		 }
  		 public DataTable GetTableOfSelectedTickers()
--- 111,120 ----
  				 return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedAtAGivenPercentageOfDateTimes(
  					 this.marketIndex, this.percentageOfDateTimes , this.groupID, this.firstQuoteDate, this.lastQuoteDate,
! 					 this.intervalFrameInSeconds, this.maxNumOfReturnedTickers);        
  
  			 else
  				 return QuantProject.Data.DataTables.TickerDataTable.GetTickersQuotedAtAGivenPercentageOfDateTimes(
  					 this.marketIndex, this.percentageOfDateTimes , this.setOfTickersToBeSelected, this.firstQuoteDate, this.lastQuoteDate,
! 					 this.intervalFrameInSeconds, this.maxNumOfReturnedTickers);
  		 }
  		 public DataTable GetTableOfSelectedTickers()

[Quantproject-developers] QuantProject/b2_DataAccess/Tables Bars.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv4416/b2_DataAccess/Tables

Modified Files:
	Bars.cs 
Log Message:
Added parameter intervalFrameInSeconds

Index: Bars.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/Tables/Bars.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** Bars.cs	9 Nov 2008 19:11:10 -0000	1.1
--- Bars.cs	14 Nov 2008 15:51:18 -0000	1.2
***************
*** 47,75 ****
  		public static string Close = "baClose";
  		public static string Volume = "baVolume";   
!     
! 		private DataTable bars;
!     
! 		/// <summary>
! 		/// Gets the ticker whose bars are contained into the Bars object
! 		/// </summary>
! 		/// <returns></returns>
! 		public string Ticker
! 		{
! 			get{ return ((string)this.bars.Rows[ 0 ][ Bars.TickerFieldName ]); }
! 		}
! 
  		public Bars( string ticker)
  		{
! 			this.bars = Bars.GetTickerBars( ticker );
  		}
! 		/// <summary>
! 		/// Creates bars for the given instrument, since the startDateTime to the endDateTime
! 		/// </summary>
! 		/// <param name="ticker"></param>
! 		/// <param name="startDateTime"></param>
! 		/// <param name="endDateTime"></param>
  		public Bars( string ticker , DateTime startDateTime , DateTime endDateTime )
  		{
! 			/// TO DO
  		}
  		/// <summary>
--- 47,59 ----
  		public static string Close = "baClose";
  		public static string Volume = "baVolume";   
!     		
  		public Bars( string ticker)
  		{
! 			
  		}
! 		
  		public Bars( string ticker , DateTime startDateTime , DateTime endDateTime )
  		{
! 			
  		}
  		/// <summary>
***************
*** 77,85 ****
  		/// </summary>
  		/// <param name="ticker">ticker for which the dateTime of the first bar has to be returned</param>
  		/// <returns></returns>
! 		public static DateTime GetFirstBarDateTime( string ticker )
  		{
  			DataTable dataTable = SqlExecutor.GetDataTable(
! 				"select min(" + Bars.DateTimeForOpen + ") as minDate from bars where " + Bars.TickerFieldName + "='" + ticker + "' " +
  				"group by " + Bars.TickerFieldName + ")" );
  			return (DateTime)(dataTable.Rows[ 0 ][ "minDate" ]);
--- 61,72 ----
  		/// </summary>
  		/// <param name="ticker">ticker for which the dateTime of the first bar has to be returned</param>
+ 		/// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
  		/// <returns></returns>
! 		public static DateTime GetFirstBarDateTime( string ticker, int intervalFrameInSeconds )
  		{
  			DataTable dataTable = SqlExecutor.GetDataTable(
! 				"select min(" + Bars.DateTimeForOpen + ") as minDate from bars " +
! 				"where " + Bars.TickerFieldName + "='" + ticker + "' and " + 
! 				Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
  				"group by " + Bars.TickerFieldName + ")" );
  			return (DateTime)(dataTable.Rows[ 0 ][ "minDate" ]);
***************
*** 89,97 ****
  		/// </summary>
  		/// <param name="ticker">ticker for which the dateTime of the last bar has to be returned</param>
  		/// <returns></returns>
! 		public static DateTime GetLastBarDateTime( string ticker )
  		{
  			DataTable dataTable = SqlExecutor.GetDataTable(
! 				"select * from bars where " + Bars.TickerFieldName + "='" + ticker + "' " +
  				"order by " + Bars.DateTimeForOpen + " DESC");
  			return (DateTime)(dataTable.Rows[0][ Bars.DateTimeForOpen ]);
--- 76,86 ----
  		/// </summary>
  		/// <param name="ticker">ticker for which the dateTime of the last bar has to be returned</param>
+ 		/// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
  		/// <returns></returns>
! 		public static DateTime GetLastBarDateTime( string ticker, int intervalFrameInSeconds )
  		{
  			DataTable dataTable = SqlExecutor.GetDataTable(
! 				"select * from bars where " + Bars.TickerFieldName + "='" + ticker + "' and " + 
! 				Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
  				"order by " + Bars.DateTimeForOpen + " DESC");
  			return (DateTime)(dataTable.Rows[0][ Bars.DateTimeForOpen ]);
***************
*** 101,109 ****
      /// </summary>
      /// <param name="ticker">ticker for which the number of bars has to be returned</param>
      /// <returns></returns>
!     public static int GetNumberOfBars( string ticker )
      {
        DataTable dataTable = SqlExecutor.GetDataTable(
!         "select * from bars where " + Bars.TickerFieldName + "='" + ticker + "'" );
        return dataTable.Rows.Count;
      }
--- 90,101 ----
      /// </summary>
      /// <param name="ticker">ticker for which the number of bars has to be returned</param>
+     /// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
      /// <returns></returns>
!     public static int GetNumberOfBars( string ticker, int intervalFrameInSeconds )
      {
        DataTable dataTable = SqlExecutor.GetDataTable(
!         "select * from bars " + 
!         "where " + Bars.TickerFieldName + "='" + ticker + "' and " +
! 				Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " );
        return dataTable.Rows.Count;
      }
***************
*** 114,125 ****
      /// </summary>
      /// <param name="ticker">ticker for which the number of bars has to be returned</param>
      /// <returns></returns>
      public static int GetNumberOfBarsWithEffectiveTrades( string ticker, DateTime firstDateTime,
!                                                           DateTime lastDateTime)
      {
        DataTable dataTable = SqlExecutor.GetDataTable(
!         "select * from bars WHERE " + Bars.TickerFieldName + "='" + ticker + "'" +
!         " AND " + Bars.Volume + ">0" + " AND " + Bars.DateTimeForOpen + " BETWEEN " + SQLBuilder.GetDateConstant(firstDateTime) + 
!         " AND " + SQLBuilder.GetDateConstant(lastDateTime));
        return dataTable.Rows.Count;
      }
--- 106,120 ----
      /// </summary>
      /// <param name="ticker">ticker for which the number of bars has to be returned</param>
+     /// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
      /// <returns></returns>
      public static int GetNumberOfBarsWithEffectiveTrades( string ticker, DateTime firstDateTime,
!                                                           DateTime lastDateTime, int intervalFrameInSeconds)
      {
        DataTable dataTable = SqlExecutor.GetDataTable(
!         "select * from bars " + 
!         "WHERE " + Bars.TickerFieldName + "='" + ticker + "' and " + 
! 				Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
!         "and " + Bars.Volume + ">0" + " and " + Bars.DateTimeForOpen + " BETWEEN " + SQLBuilder.GetDateConstant(firstDateTime) + " " +
!         "and " + SQLBuilder.GetDateConstant(lastDateTime) );
        return dataTable.Rows.Count;
      }
***************
*** 130,138 ****
      /// </summary>
      /// <param name="ticker">ticker for which the close has to be returned</param>
      /// <returns></returns>
!     public static float GetClose( string ticker, DateTime dateTime )
      {
        DataTable dataTable = SqlExecutor.GetDataTable(
!         "select " + Bars.Close +" from bars where " + Bars.TickerFieldName + "='" + ticker + "' " +
          "and " + Bars.DateTimeForOpen + "=" + SQLBuilder.GetDateConstant(dateTime) );
        return (float)dataTable.Rows[0][0];
--- 125,136 ----
      /// </summary>
      /// <param name="ticker">ticker for which the close has to be returned</param>
+     /// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
      /// <returns></returns>
!     public static float GetClose( string ticker, DateTime dateTime, int intervalFrameInSeconds )
      {
        DataTable dataTable = SqlExecutor.GetDataTable(
!         "select " + Bars.Close + " from bars " + 
!         "where " + Bars.TickerFieldName + "='" + ticker + "' and " + 
! 				Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
          "and " + Bars.DateTimeForOpen + "=" + SQLBuilder.GetDateConstant(dateTime) );
        return (float)dataTable.Rows[0][0];
***************
*** 143,151 ****
      /// </summary>
      /// <param name="ticker">ticker for which the raw open has to be returned</param>
      /// <returns></returns>
!     public static float GetOpen( string ticker, DateTime dateTime )
      {
        DataTable dataTable = SqlExecutor.GetDataTable(
!         "select " + Bars.Open +" from bars where " + Bars.TickerFieldName + "='" + ticker + "' " +
          "and " + Bars.DateTimeForOpen + "=" + SQLBuilder.GetDateConstant(dateTime) );
        return (float)dataTable.Rows[0][0];
--- 141,152 ----
      /// </summary>
      /// <param name="ticker">ticker for which the raw open has to be returned</param>
+     /// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
      /// <returns></returns>
!     public static float GetOpen( string ticker, DateTime dateTime, int intervalFrameInSeconds )
      {
        DataTable dataTable = SqlExecutor.GetDataTable(
!         "select " + Bars.Open + " from bars " + 
!         "where " + Bars.TickerFieldName + "='" + ticker + "' and " + 
! 				Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
          "and " + Bars.DateTimeForOpen + "=" + SQLBuilder.GetDateConstant(dateTime) );
        return (float)dataTable.Rows[0][0];
***************
*** 211,703 ****
  //      }
  //    }             
! 
!     
!     /// <summary>
!     /// returns tickers ordered by a liquidity index
!     /// </summary>
!     public static DataTable GetTickersByLiquidity( bool orderInASCMode, string groupID,
!                                                   DateTime firstQuoteDate,
!                                                   DateTime lastQuoteDate,
!                                                   long maxNumOfReturnedTickers)
!     {
!       string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
!                     "Avg([quVolume]*[quClose]) AS AverageTradedValue " +
!                     "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([quVolume]*[quClose])";
!       string sortDirection = " DESC";
!       if(orderInASCMode)
!         sortDirection = " ASC";
!       sql = sql + sortDirection;
!       return SqlExecutor.GetDataTable( sql );
!     }
! 
! //		/// <summary>
! //		/// returns tickers ordered by liquidity, with a specified min volume
! //		/// </summary>
! //		/// <param name="orderInASCMode">true iff return must be ordered</param>
! //		/// <param name="groupID"></param>
! //		/// <param name="firstQuoteDate"></param>
! //		/// <param name="lastQuoteDate"></param>
! //		/// <param name="maxNumOfReturnedTickers"></param>
! //		/// <param name="minVolume"></param>
! //		/// <returns></returns>
! //		public static DataTable GetTickersByLiquidity( bool orderInASCMode, string groupID,
! //			DateTime firstQuoteDate,
! //			DateTime lastQuoteDate,
! //			long minVolume,
! //			long maxNumOfReturnedTickers
! //			)
! //		{
! //			string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
! //				"Avg([quVolume]*[quClose]) AS AverageTradedValue " +
! //				"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 " +
! //				"HAVING Avg([quVolume])>=" + minVolume.ToString() + " " +
! //				"ORDER BY Avg([quVolume])";
! //			string sortDirection = " DESC";
! //			if(orderInASCMode)
! //				sortDirection = " ASC";
! //			sql = sql + sortDirection;
! //			return SqlExecutor.GetDataTable( sql );
! //		}
! //
! //    
! //
! //    /// <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,
! //                                                    long maxNumOfReturnedTickers)
! //    {
! //      string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
! //        "StDev(quotes.quAdjustedCloseToCloseRatio) AS AdjCloseToCloseStandDev " +
! //        "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.quAdjustedCloseToCloseRatio)";
! //      string sortDirection = " DESC";
! //      if(orderInASCMode)
! //        sortDirection = " ASC";
! //      sql = sql + sortDirection;
! //      return SqlExecutor.GetDataTable( sql );
! //    }
! //
! //    /// <summary>
! //    /// Returns tickers ordered by the open to close volatility index (stdDev of OTC ratio)
! //    /// </summary>
! //    public static DataTable GetTickersByOpenToCloseVolatility( bool orderInASCMode, string groupID,
! //      DateTime firstQuoteDate,
! //      DateTime lastQuoteDate,
! //      long maxNumOfReturnedTickers)
! //    {
! //      string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
! //        "StDev(quotes.quClose/quotes.quOpen - 1) AS OpenToCloseStandDev " +
! //        "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 - 1)";
! //      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>
! //    public static DataTable GetTickersByAverageCloseToClosePerformance( bool orderInASCMode, string groupID,
! //                                                          DateTime firstQuoteDate,
! //                                                          DateTime lastQuoteDate,
! //                                                          long maxNumOfReturnedTickers)
! //    {
! //      string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
! //        "Avg(quotes.quAdjustedCloseToCloseRatio) AS AverageCloseToClosePerformance " +
! //        "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.quAdjustedCloseToCloseRatio)";
! //      string sortDirection = " DESC";
! //      if(orderInASCMode)
! //        sortDirection = " ASC";
! //      sql = sql + sortDirection;
! //      return SqlExecutor.GetDataTable( sql );
! //    }
! //
! //    /// <summary>
! //    /// Returns tickers ordered by average open to close performance (in the same bar)
! //    /// </summary>
! //    public static DataTable GetTickersByAverageOpenToClosePerformance( bool orderInASCMode, string groupID,
! //                                                            DateTime firstQuoteDate,
! //                                                            DateTime lastQuoteDate,
! //                                                            double maxAbsoluteAverageOTCPerformance,
! //                                                            long maxNumOfReturnedTickers)
! //    {
! //      string sql = "SELECT TOP " + maxNumOfReturnedTickers + " tickers.tiTicker, tickers.tiCompanyName, " +
! //        "Avg(quotes.quClose/quotes.quOpen - 1) AS AverageOpenToClosePerformance " +
! //        "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 " +
! //      	"HAVING Avg(quotes.quClose/quotes.quOpen - 1) <= " + maxAbsoluteAverageOTCPerformance +
! //      	" AND Avg(quotes.quClose/quotes.quOpen - 1) >= -" + maxAbsoluteAverageOTCPerformance + " " +
! //        "ORDER BY Avg(quotes.quClose/quotes.quOpen)";
! //      string sortDirection = " DESC";
! //      if(orderInASCMode)
! //        sortDirection = " ASC";
! //      sql = sql + sortDirection;
! //      return SqlExecutor.GetDataTable( sql );
! //    }
! //
! //    /// <summary>
! //    /// returns tickers ordered by the average raw open price that is over
! //    /// a given minimum, at a given time interval
! //    /// </summary>
! //    public static DataTable GetTickersByRawOpenPrice( bool orderInASCMode, string groupID,
! //                                                      DateTime firstQuoteDate,
! //                                                      DateTime lastQuoteDate,
! //                                                      long maxNumOfReturnedTickers, double minPrice )
! //    {
! //      string sql = "SELECT TOP " + maxNumOfReturnedTickers + " quotes.quTicker, tickers.tiCompanyName, " +
! //        "Avg(quotes.quOpen) AS AverageRawOpenPrice " +
! //        "FROM (quotes INNER JOIN tickers ON quotes.quTicker=tickers.tiTicker) " +
! //        "INNER JOIN tickers_tickerGroups ON tickers.tiTicker=tickers_tickerGroups.ttTiId " +
! //        "WHERE quotes.quDate Between " + SQLBuilder.GetDateConstant(firstQuoteDate) + " " +
! //        "AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + " " +
! //        "AND " + "tickers_tickerGroups.ttTgId='" + groupID + "' " +
! //        "GROUP BY quotes.quTicker, tickers.tiCompanyName " +
! //        "HAVING Avg(quotes.quOpen) >= " + minPrice + " " + 
! //        "ORDER BY Avg(quotes.quOpen)";
! //      string sortDirection = " DESC";
! //      if(orderInASCMode)
! //        sortDirection = " ASC";
! //      sql = sql + sortDirection;
! //      return SqlExecutor.GetDataTable( sql );
! //    }
! //
! //    /// <summary>
! //    /// returns tickers ordered by average raw open price level,
! //    /// with a given standard deviation, in a given time interval
! //    /// </summary>
! //    public static DataTable GetTickersByRawOpenPrice( bool orderInASCMode, string groupID,
! //                                                    DateTime firstQuoteDate,
! //                                                    DateTime lastQuoteDate,
! //                                                    long maxNumOfReturnedTickers, double minPrice,
! //                                                    double maxPrice, double minStdDeviation,
! //                                                    double maxStdDeviation)
! //    {
! //      string sql = "SELECT TOP " + maxNumOfReturnedTickers + " quotes.quTicker, tickers.tiCompanyName, " +
! //                    "Avg(quotes.quOpen) AS AverageRawOpenPrice, StDev(quotes.quOpen) AS StdDevRawOpenPrice " +
! //                  "FROM (quotes INNER JOIN tickers ON quotes.quTicker=tickers.tiTicker) " +
! //                  "INNER JOIN tickers_tickerGroups ON tickers.tiTicker=tickers_tickerGroups.ttTiId " +
! //                  "WHERE quotes.quDate Between " + SQLBuilder.GetDateConstant(firstQuoteDate) + " " +
! //                  "AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + " " +
! //                  "AND " + "tickers_tickerGroups.ttTgId='" + groupID + "' " +
! //                  "GROUP BY quotes.quTicker, tickers.tiCompanyName " +
! //                  "HAVING Avg(quotes.quOpen) BETWEEN " + minPrice + " AND " + maxPrice + " " +
! //                    "AND StDev(quotes.quOpen) BETWEEN " + minStdDeviation + " AND " + maxStdDeviation + " " +
! //                  "ORDER BY Avg(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>
! //    public static double GetAverageTradedValue( string ticker,
! //                                                DateTime firstQuoteDate,
! //                                                DateTime lastQuoteDate)
! //                                                
! //    {
! //      DataTable dt;
! //      string sql = "SELECT quotes.quTicker, " +
! //          "Avg([quVolume]*[quClose]) AS AverageTradedValue " +
! //          "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]["AverageTradedValue"];
! //     }
! //
! //    /// <summary>
! //    /// returns the average traded volume for the given ticker in the specified interval
! //    /// </summary>
! //    public static double GetAverageTradedVolume( string ticker,
! //      DateTime firstQuoteDate,
! //      DateTime lastQuoteDate)
! //                                                
! //    {
! //      DataTable dt;
! //      string sql = "SELECT quotes.quTicker, " +
! //        "Avg([quVolume]) AS AverageTradedVolume " +
! //        "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]["AverageTradedVolume"];
! //    }
! //
! //    /// <summary>
! //    /// returns the average close to close performance value for the given ticker in the specified interval
! //    /// </summary>
! //    public static double GetAverageCloseToClosePerformance( string ticker,
! //                                                            DateTime firstQuoteDate,
! //                                                            DateTime lastQuoteDate)
! //                                                
! //    {
! //      DataTable dt;
! //      string sql = "SELECT quotes.quTicker, " +
! //        "Avg([quAdjustedCloseToCloseRatio]) AS AverageCloseToClosePerformance " +
! //        "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]["AverageCloseToClosePerformance"];
! //    }
! //
! //    /// <summary>
! //    /// returns the average open to close performance
! //    /// for the given ticker in the specified interval
! //    /// </summary>
! //    public static double GetAverageOpenToClosePerformance(string ticker,
! //                                                          DateTime firstQuoteDate,
! //                                                          DateTime lastQuoteDate)
! //                                                
! //    {
! //      DataTable dt;
! //      string sql = "SELECT quotes.quTicker, " +
! //        "Avg([quClose]/[quOpen] - 1) AS AverageOpenToClosePerformance " +
! //        "FROM quotes WHERE quTicker ='" + 
! //        ticker + "' " +
! //        "AND quotes.quDate BETWEEN " + SQLBuilder.GetDateConstant(firstQuoteDate) + 
! //        " AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + 
! //        " GROUP BY quotes.quTicker";
! //      dt = SqlExecutor.GetDataTable( sql );
! //      return (double)dt.Rows[0]["AverageOpenToClosePerformance"];
! //    }
! //
! //
! //    /// <summary>
! //    /// returns the standard deviation of the adjusted close to close ratio
! //    /// for the given ticker in the specified interval
! //    /// </summary>
! //    public static double GetAdjustedCloseToCloseStandardDeviation( string ticker,
! //                                                                    DateTime firstQuoteDate,
! //                                                                    DateTime lastQuoteDate)
! //                                                
! //    {
! //      double adjCloseToCloseStdDev = 0.0;
! //			DataTable dt;
! //      string sql = "SELECT quotes.quTicker, " +
! //        "StDev(quotes.quAdjustedCloseToCloseRatio) AS AdjCloseToCloseStandDev " +
! //        "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 &&
! //				  DBNull.Value != dt.Rows[0]["AdjCloseToCloseStandDev"] )
! //        adjCloseToCloseStdDev = (double)dt.Rows[0]["AdjCloseToCloseStandDev"];
! //
! //			return adjCloseToCloseStdDev;
! //    }
! //    
! //    /// <summary>
! //    /// returns the standard deviation of the open to close ratio
! //    /// for the given ticker in the specified interval
! //    /// </summary>
! //    public static double GetOpenToCloseStandardDeviation( string ticker,
! //                                                          DateTime firstQuoteDate,
! //                                                          DateTime lastQuoteDate)
! //                                                
! //    {
! //      DataTable dt;
! //      string sql = "SELECT quotes.quTicker, " +
! //        "StDev(quotes.quClose/quotes.quOpen - 1) AS OpenToCloseStandDev " +
! //        "FROM quotes WHERE quTicker ='" + 
! //        ticker + "' " +
! //        "AND quotes.quDate BETWEEN " + SQLBuilder.GetDateConstant(firstQuoteDate) + 
! //        " AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + 
! //        " GROUP BY quotes.quTicker";
! //      dt = SqlExecutor.GetDataTable( sql );
! //      return (double)dt.Rows[0]["OpenToCloseStandDev"];
! //    }
! //
! //    /// <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)
! //                                                
! //    {
! //      double returnValue = Double.MaxValue;
! //      
! //      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)
! //      {  
! //        if( dt.Rows[0]["CloseToOpenStandDev"] is double )
! //        //cast is possible
! //            returnValue = (double)dt.Rows[0]["CloseToOpenStandDev"];
! //      }
! //      return returnValue;
! //    } 
! //    
! //    /// <summary>
! //    /// returns the average raw open price for the given ticker, 
! //    /// at the specified time interval 
! //    /// </summary>
! //    public static double GetAverageRawOpenPrice( string ticker,
! //                                                DateTime firstQuoteDate,
! //                                                DateTime lastQuoteDate)
! //                                                
! //    {
! //      double returnValue = 0;
! //    	DataTable dt;
! //      string sql = "SELECT quotes.quTicker, tickers.tiCompanyName, " +
! //                    "Avg(quotes.quOpen) AS AverageRawOpenPrice " +
! //                  "FROM (quotes INNER JOIN tickers ON quotes.quTicker=tickers.tiTicker) " +
! //                  "INNER JOIN tickers_tickerGroups ON tickers.tiTicker=tickers_tickerGroups.ttTiId " +
! //                  "WHERE quotes.quTicker ='" + ticker + 
! //      			  "' AND quotes.quDate Between " + SQLBuilder.GetDateConstant(firstQuoteDate) + " " +
! //                  "AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + " " +
! //                  "GROUP BY quotes.quTicker, tickers.tiCompanyName";
! //      dt = SqlExecutor.GetDataTable( sql );
! //      if(dt.Rows.Count > 0)
! //      {  
! //        if( dt.Rows[0]["AverageRawOpenPrice"] is double )
! //        //cast is possible
! //            returnValue = (double)dt.Rows[0]["AverageRawOpenPrice"];
! //      }
! //      return returnValue;
! //      	
! //     }
! //
! //	/// <summary>
! //    /// returns raw open price's standard deviation for the given ticker,
! //    /// at the specified time interval
! //	/// </summary>
! //    public static double GetRawOpenPriceStdDeviation( string ticker,
! //                                                DateTime firstQuoteDate,
! //                                                DateTime lastQuoteDate)
! //                                                
! //    {
! //      double returnValue = Double.MaxValue;
! //			DataTable dt;
! //      string sql = "SELECT quotes.quTicker, tickers.tiCompanyName, " +
! //                    "StDev(quotes.quOpen) AS RawOpenPriceStdDev " +
! //                  "FROM (quotes INNER JOIN tickers ON quotes.quTicker=tickers.tiTicker) " +
! //                  "INNER JOIN tickers_tickerGroups ON tickers.tiTicker=tickers_tickerGroups.ttTiId " +
! //                  "WHERE quotes.quTicker ='" + ticker + 
! //      			  "' AND quotes.quDate Between " + SQLBuilder.GetDateConstant(firstQuoteDate) + " " +
! //                  "AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + " " +
! //                  "GROUP BY quotes.quTicker, tickers.tiCompanyName";
! //      dt = SqlExecutor.GetDataTable( sql );
! //      if(dt.Rows.Count > 0)
! //      {  
! //        if( dt.Rows[0]["RawOpenPriceStdDev"] is double )
! //        //cast is possible
! //            returnValue = (double)dt.Rows[0]["RawOpenPriceStdDev"];
! //      }
! //      return returnValue;
! //     }
! //    
! //	  /// <summary>
! //    /// Returns number of days for which raw close was greater than raw open 
! //    /// for the given interval of days (for the given ticker).
! //    /// </summary>
! //    public static int GetNumberOfOpenToCloseWinningDays(string ticker,
! //                                                   DateTime firstQuoteDate,
! //                               										 DateTime lastQuoteDate)
! //    {
! //      DataTable dt;
! //      int returnValue = 0;
! //    	string sql = "SELECT Count(*) AS CloseToOpenWinningDays " +
! //      						"FROM quotes WHERE " + 
! //    							"quotes.quDate Between " + SQLBuilder.GetDateConstant(firstQuoteDate) + " " +
! //                  "AND " + SQLBuilder.GetDateConstant(lastQuoteDate) + " " +
! //                  "AND " + "quotes.quTicker='" + ticker + "' " +
! //    							"AND quotes.quClose > quotes.quOpen";
! //    	
! //     	dt = SqlExecutor.GetDataTable( sql );
! //     	if(dt.Rows.Count > 0)
! //     	{
! //     		if(dt.Rows[0][0] is int)
! //     			returnValue = (int)dt.Rows[0][0];
! //     	}
! //     	return returnValue;
! //    }
! 	
    	/// <summary>
  		/// returns the bars DataTable for the given ticker
  		/// </summary>
! 		/// <param name="instrumentKey">ticker whose bars are to be returned</param>
  		/// <returns></returns>
! 		public static DataTable GetTickerBars( string instrumentKey )
  		{
! 			string sql = "select * from bars where " + Bars.TickerFieldName + "='" + instrumentKey + "' " +
  				"order by " + Bars.DateTimeForOpen;
  			return SqlExecutor.GetDataTable( sql );
--- 212,227 ----
  //      }
  //    }             
!   	
    	/// <summary>
  		/// returns the bars DataTable for the given ticker
  		/// </summary>
! 		/// <param name="ticker">ticker whose bars are to be returned</param>
! 		/// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
  		/// <returns></returns>
! 		public static DataTable GetTickerBars( string ticker, int intervalFrameInSeconds )
  		{
! 			string sql = "select * from bars " + 
! 				"where " + Bars.TickerFieldName + "='" + ticker + "' and " + 
! 				Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
  				"order by " + Bars.DateTimeForOpen;
  			return SqlExecutor.GetDataTable( sql );
***************
*** 707,720 ****
      /// returns the bars DataTable for the given ticker
      /// </summary>
!     /// <param name="instrumentKey">ticker whose quotes are to be returned</param>
      /// <param name="firstBarDateTime">The first bar date time</param>
      /// <param name="lastBarDateTime">The last bar date time</param>
      /// <returns></returns>
!     public static DataTable GetTickerBars( string instrumentKey, DateTime firstBarDateTime,
!                                               DateTime lastBarDateTime)
      {
!       string sql = "select * from bars where " + Bars.TickerFieldName + "='" + instrumentKey + "' " +
!         "AND " + Bars.DateTimeForOpen + " BETWEEN " + SQLBuilder.GetDateConstant(firstBarDateTime) + 
!         " AND " + SQLBuilder.GetDateConstant(lastBarDateTime) + " " +
          "order by " + Bars.DateTimeForOpen;
        return SqlExecutor.GetDataTable( sql );
--- 231,247 ----
      /// returns the bars DataTable for the given ticker
      /// </summary>
!     /// <param name="ticker">ticker whose quotes are to be returned</param>
      /// <param name="firstBarDateTime">The first bar date time</param>
      /// <param name="lastBarDateTime">The last bar date time</param>
+     /// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
      /// <returns></returns>
!     public static DataTable GetTickerBars( string ticker, DateTime firstBarDateTime,
!                                               DateTime lastBarDateTime, int intervalFrameInSeconds)
      {
!       string sql = "select * from bars " + 
!       	"where " + Bars.TickerFieldName + "='" + ticker + "' and " + 
! 				Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
!         "and " + Bars.DateTimeForOpen + " between " + SQLBuilder.GetDateConstant(firstBarDateTime) + " " +
!         "and " + SQLBuilder.GetDateConstant(lastBarDateTime) + " " +
          "order by " + Bars.DateTimeForOpen;
        return SqlExecutor.GetDataTable( sql );
***************
*** 726,732 ****
  		/// <param name="startDateTime"></param>
  		/// <param name="endDateTime"></param>
  		/// <returns></returns>
  		public static void SetDataTable( string tickerOrGroupID , DateTime startDateTime , DateTime endDateTime ,
! 			DataTable dataTable)
  		{
  			string sql;
--- 253,260 ----
  		/// <param name="startDateTime"></param>
  		/// <param name="endDateTime"></param>
+ 		/// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
  		/// <returns></returns>
  		public static void SetDataTable( string tickerOrGroupID , DateTime startDateTime , DateTime endDateTime ,
! 			DataTable dataTable, int intervalFrameInSeconds)
  		{
  			string sql;
***************
*** 734,738 ****
  				sql =	"select * from bars INNER JOIN tickers_tickerGroups ON " +
  					"bars." + Bars.TickerFieldName + "=tickers_tickerGroups." + Tickers_tickerGroups.Ticker + " " +
! 					"where " + Tickers_tickerGroups.GroupID + "='" + tickerOrGroupID + "' " +
  					"and " + Bars.DateTimeForOpen + ">=" + SQLBuilder.GetDateTimeConstant( startDateTime ) + " " +
  					"and " + Bars.DateTimeForOpen + "<=" + SQLBuilder.GetDateTimeConstant( endDateTime ) + " " +
--- 262,267 ----
  				sql =	"select * from bars INNER JOIN tickers_tickerGroups ON " +
  					"bars." + Bars.TickerFieldName + "=tickers_tickerGroups." + Tickers_tickerGroups.Ticker + " " +
! 					"where " + Tickers_tickerGroups.GroupID + "='" + tickerOrGroupID + "' and " + 
! 					Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
  					"and " + Bars.DateTimeForOpen + ">=" + SQLBuilder.GetDateTimeConstant( startDateTime ) + " " +
  					"and " + Bars.DateTimeForOpen + "<=" + SQLBuilder.GetDateTimeConstant( endDateTime ) + " " +
***************
*** 740,744 ****
  			else
  				sql =	"select * from bars " +
! 					"where " + Bars.TickerFieldName + "='" + tickerOrGroupID + "' " +
  					"and " + Bars.DateTimeForOpen + ">=" + SQLBuilder.GetDateTimeConstant( startDateTime ) + " " +
  					"and " + Bars.DateTimeForOpen + "<=" + SQLBuilder.GetDateTimeConstant( endDateTime ) + " " +
--- 269,274 ----
  			else
  				sql =	"select * from bars " +
! 					"where " + Bars.TickerFieldName + "='" + tickerOrGroupID + "' and " + 
! 					Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
  					"and " + Bars.DateTimeForOpen + ">=" + SQLBuilder.GetDateTimeConstant( startDateTime ) + " " +
  					"and " + Bars.DateTimeForOpen + "<=" + SQLBuilder.GetDateTimeConstant( endDateTime ) + " " +
***************
*** 774,782 ****
  		/// <param name="dateTime">Date for the quotes to be fetched</param>
  		/// <param name="dataTable">Output parameter</param>
! 		public static void SetDataTable( ICollection tickerCollection , DateTime dateTime , DataTable dataTable)
  		{
  			string sql;
  			sql =	"select * from bars " +
! 				"where " + setDataTable_getTickerListWhereClause( tickerCollection ) +
  				" and " + Bars.DateTimeForOpen + "=" + SQLBuilder.GetDateTimeConstant( dateTime ) + " " +
  				"order by " + Bars.TickerFieldName;
--- 304,314 ----
  		/// <param name="dateTime">Date for the quotes to be fetched</param>
  		/// <param name="dataTable">Output parameter</param>
! 		/// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
! 		public static void SetDataTable( ICollection tickerCollection , DateTime dateTime , DataTable dataTable, int intervalFrameInSeconds)
  		{
  			string sql;
  			sql =	"select * from bars " +
! 				"where " + setDataTable_getTickerListWhereClause( tickerCollection ) + " and " + 
! 				Bars.IntervalFrameInSeconds + "='" + intervalFrameInSeconds + "' " +
  				" and " + Bars.DateTimeForOpen + "=" + SQLBuilder.GetDateTimeConstant( dateTime ) + " " +
  				"order by " + Bars.TickerFieldName;
***************
*** 785,789 ****
  		}
  		#endregion
- 
  	}
  }
--- 317,320 ----

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv4416/b4_Business/a05_Timing

Modified Files:
	IndexBasedHistoricalTimer.cs 
Log Message:
Added parameter intervalFrameInSeconds

Index: IndexBasedHistoricalTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/IndexBasedHistoricalTimer.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IndexBasedHistoricalTimer.cs	12 Nov 2008 20:33:37 -0000	1.1
--- IndexBasedHistoricalTimer.cs	14 Nov 2008 15:51:18 -0000	1.2
***************
*** 37,45 ****
  	{
  		private string indexTicker;
! 		DateTime firstDateTime;
! 		DateTime lastDateTime;
! 		List< Time > dailyTimes;
  		
! 		List< DateTime > dateTimesToBeThrown;
  		private int currentDateTimeIndex;
  		
--- 37,46 ----
  	{
  		private string indexTicker;
! 		private DateTime firstDateTime;
! 		private DateTime lastDateTime;
! 		private List< Time > dailyTimes;
! 		private int intervalFrameInSeconds;
  		
! 		private List< DateTime > dateTimesToBeThrown;
  		private int currentDateTimeIndex;
  		
***************
*** 48,52 ****
  			DateTime firstDateTime ,
  			DateTime lastDateTime ,
! 			List< Time > dailyTimes )
  		{
  			this.indexTicker = indexTicker;
--- 49,54 ----
  			DateTime firstDateTime ,
  			DateTime lastDateTime ,
! 			List< Time > dailyTimes,
! 			int intervalFrameInSeconds)
  		{
  			this.indexTicker = indexTicker;
***************
*** 54,57 ****
--- 56,60 ----
  			this.lastDateTime = lastDateTime;
  			this.dailyTimes = dailyTimes;
+ 			this.intervalFrameInSeconds = intervalFrameInSeconds;
  		}
  		
***************
*** 71,75 ****
  				Bars.GetMarketDateTimes(
  					this.indexTicker , this.firstDateTime , this.lastDateTime ,
! 					this.dailyTimes );
  			this.initialize_dateTimesToBeThrown( dateTimesToBeThrownHistory );
  		}
--- 74,78 ----
  				Bars.GetMarketDateTimes(
  					this.indexTicker , this.firstDateTime , this.lastDateTime ,
! 					this.dailyTimes, this.intervalFrameInSeconds );
  			this.initialize_dateTimesToBeThrown( dateTimesToBeThrownHistory );
  		}

[Quantproject-developers] QuantProject/b3_Data/DataTables Bars.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv4416/b3_Data/DataTables

Modified Files:
	Bars.cs 
Log Message:
Added parameter intervalFrameInSeconds

Index: Bars.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Bars.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Bars.cs	12 Nov 2008 20:40:43 -0000	1.2
--- Bars.cs	14 Nov 2008 15:51:18 -0000	1.3
***************
*** 61,72 ****
  		/// <param name="tickerCollection">Tickers whose quotes are to be fetched</param>
  		/// <param name="dateTime">DateTime for the bars to be fetched</param>
! 		public Bars( ICollection tickerCollection , DateTime dateTime )
  		{
! 			QuantProject.DataAccess.Tables.Bars.SetDataTable(
! 				tickerCollection , dateTime , this );
  		}
! 		public Bars( string ticker , DateTime startDateTime , DateTime endDateTime )
  		{
! 			this.fillDataTable( ticker , startDateTime , endDateTime );
  		}
  
--- 61,75 ----
  		/// <param name="tickerCollection">Tickers whose quotes are to be fetched</param>
  		/// <param name="dateTime">DateTime for the bars to be fetched</param>
! 		/// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
! 		public Bars( ICollection tickerCollection , DateTime dateTime, int intervalFrameInSeconds )
  		{
! 
! 			QuantProject.DataAccess.Tables.Bars.SetDataTable( 
! 				tickerCollection , dateTime , this, intervalFrameInSeconds );
! 
  		}
! 		public Bars( string ticker , DateTime startDateTime , DateTime endDateTime, int intervalFrameInSeconds )
  		{
! 			this.fillDataTable( ticker , startDateTime , endDateTime, intervalFrameInSeconds );
  		}
  
***************
*** 77,86 ****
  		/// <param name="ticker"></param>
  		/// <param name="marketDateTimes"></param>
! 		public Bars( string ticker , SortedList marketDateTimes )
  		{
  			DateTime firstDateTime = (DateTime)marketDateTimes.GetByIndex( 0 );
  			DateTime lastDateTime = (DateTime)marketDateTimes.GetByIndex(
  				marketDateTimes.Count - 1 );
! 			this.fillDataTable( ticker , firstDateTime , lastDateTime );
  			this.removeNonContainedDateTimes( marketDateTimes );
  		}
--- 80,89 ----
  		/// <param name="ticker"></param>
  		/// <param name="marketDateTimes"></param>
! 		public Bars( string ticker , SortedList marketDateTimes, int intervalFrameInSeconds )
  		{
  			DateTime firstDateTime = (DateTime)marketDateTimes.GetByIndex( 0 );
  			DateTime lastDateTime = (DateTime)marketDateTimes.GetByIndex(
  				marketDateTimes.Count - 1 );
! 			this.fillDataTable( ticker , firstDateTime , lastDateTime, intervalFrameInSeconds );
  			this.removeNonContainedDateTimes( marketDateTimes );
  		}
***************
*** 110,129 ****
  		#endregion
  
! 		public Bars( string ticker )
  		{
  			this.fillDataTable(
  				ticker ,
! 				QuantProject.DataAccess.Tables.Bars.GetFirstBarDateTime( ticker ) ,
! 				QuantProject.DataAccess.Tables.Bars.GetLastBarDateTime( ticker ) );
! 		}
! 		public Bars(SerializationInfo info, StreamingContext context)
! 			: base(info, context)
! 		{
  		}
! 		private void fillDataTable( string ticker , DateTime startDateTime , DateTime endDateTime )
  		{
! 			QuantProject.DataAccess.Tables.Bars.SetDataTable(
! 				ticker , startDateTime , endDateTime , this );
! 			this.setPrimaryKeys();
  		}
  		private void setPrimaryKeys()
--- 113,138 ----
  		#endregion
  
! 		public Bars( string ticker, int intervalFrameInSeconds )
  		{
  			this.fillDataTable(
  				ticker ,
! 				QuantProject.DataAccess.Tables.Bars.GetFirstBarDateTime( ticker, intervalFrameInSeconds ) ,
! 				QuantProject.DataAccess.Tables.Bars.GetLastBarDateTime( ticker, intervalFrameInSeconds ),
! 			  intervalFrameInSeconds);
  		}
! 
!     public Bars(SerializationInfo info, StreamingContext context)
!       : base(info, context)
!     {
!     }
! 		private void fillDataTable( string ticker , DateTime startDateTime , DateTime endDateTime, int intervalFrameInSeconds )
! 
! 
  		{
! 
! 			QuantProject.DataAccess.Tables.Bars.SetDataTable( 
! 				ticker , startDateTime , endDateTime , this, intervalFrameInSeconds );
! 			this.setPrimaryKeys(); 
! 
  		}
  		private void setPrimaryKeys()
***************
*** 141,149 ****
  		/// <param name="firstDateTime">begin interval</param>
  		/// <param name="lastDateTime">end interval</param>
  		/// <returns></returns>
  		public static History GetMarketDateTimes( string ticker ,
! 		                                         DateTime firstDateTime , DateTime lastDateTime )
  		{
! 			Bars bars = new Bars( ticker , firstDateTime , lastDateTime );
  			History marketDateTimes = new History();
  //			int i = 0;
--- 150,160 ----
  		/// <param name="firstDateTime">begin interval</param>
  		/// <param name="lastDateTime">end interval</param>
+ 		/// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
  		/// <returns></returns>
  		public static History GetMarketDateTimes( string ticker ,
! 			DateTime firstDateTime , DateTime lastDateTime, int intervalFrameInSeconds )
! 
  		{
! 			Bars bars = new Bars( ticker , firstDateTime , lastDateTime, intervalFrameInSeconds );
  			History marketDateTimes = new History();
  //			int i = 0;
***************
*** 209,217 ****
  		private static History getMarketDateTimes(
  			string ticker ,	DateTime firstDateTime , DateTime lastDateTime ,
! 			List< Time > dailyTimes )
  		{
  			History marketDateTimes =
  				Bars.GetMarketDateTimes(
! 					ticker , firstDateTime  , lastDateTime );
  			Bars.removeMissingTimes( dailyTimes , marketDateTimes );
  			return marketDateTimes;
--- 220,228 ----
  		private static History getMarketDateTimes(
  			string ticker ,	DateTime firstDateTime , DateTime lastDateTime ,
! 			List< Time > dailyTimes, int intervalFrameInSeconds )
  		{
  			History marketDateTimes =
  				Bars.GetMarketDateTimes(
! 					ticker , firstDateTime  , lastDateTime, intervalFrameInSeconds );
  			Bars.removeMissingTimes( dailyTimes , marketDateTimes );
  			return marketDateTimes;
***************
*** 232,241 ****
  		public static History GetMarketDateTimes(
  			string ticker ,	DateTime firstDateTime , DateTime lastDateTime ,
! 			List< Time > dailyTimes )
  		{
  //			Bars.checkIfAreTimes( dailyTimes );
  			History marketDateTimes =
  				Bars.getMarketDateTimes(
! 					ticker , firstDateTime , lastDateTime , dailyTimes );
  			return marketDateTimes;
  		}
--- 243,252 ----
  		public static History GetMarketDateTimes(
  			string ticker ,	DateTime firstDateTime , DateTime lastDateTime ,
! 			List< Time > dailyTimes, int intervalFrameInSeconds )
  		{
  //			Bars.checkIfAreTimes( dailyTimes );
  			History marketDateTimes =
  				Bars.getMarketDateTimes(
! 					ticker , firstDateTime , lastDateTime , dailyTimes, intervalFrameInSeconds );
  			return marketDateTimes;
  		}
***************
*** 244,257 ****
  		#region GetCommonMarketDateTimes
  		private static Hashtable getMarketDateTimes( ICollection tickers , DateTime firstDateTime ,
! 		                                            DateTime lastDateTime )
  		{
  			Hashtable marketDateTimes = new Hashtable();
  			foreach ( string ticker in tickers )
  				if ( !marketDateTimes.ContainsKey( ticker ) )
! 			{
! 				History marketDateTimesForSingleTicker =
! 					GetMarketDateTimes( ticker , firstDateTime , lastDateTime );
! 				marketDateTimes.Add( ticker , marketDateTimesForSingleTicker );
! 			}
  			return marketDateTimes;
  		}
--- 255,270 ----
  		#region GetCommonMarketDateTimes
  		private static Hashtable getMarketDateTimes( ICollection tickers , DateTime firstDateTime ,
! 			DateTime lastDateTime, int intervalFrameInSeconds )
! 
  		{
  			Hashtable marketDateTimes = new Hashtable();
  			foreach ( string ticker in tickers )
  				if ( !marketDateTimes.ContainsKey( ticker ) )
! 				{
! 					SortedList marketDateTimesForSingleTicker =
! 						GetMarketDateTimes( ticker , firstDateTime , lastDateTime, intervalFrameInSeconds );
! 					marketDateTimes.Add( ticker , marketDateTimesForSingleTicker );
! 				}
! 
  			return marketDateTimes;
  		}
***************
*** 287,294 ****
  
  		public static SortedList GetCommonMarketDateTimes( ICollection tickers ,
! 		                                                  DateTime firstDateTime , DateTime lastDateTime )
  		{
! 			Hashtable marketDateTimes = getMarketDateTimes( tickers , firstDateTime , lastDateTime );
! 			return getCommonMarketDateTimes( tickers , firstDateTime , lastDateTime , marketDateTimes );
  		}
  
--- 300,309 ----
  
  		public static SortedList GetCommonMarketDateTimes( ICollection tickers ,
! 			DateTime firstDateTime , DateTime lastDateTime, int intervalFrameInSeconds )
  		{
! 
! 			Hashtable marketDateTimes = getMarketDateTimes( tickers , firstDateTime , lastDateTime, intervalFrameInSeconds );
!       			return getCommonMarketDateTimes( tickers , firstDateTime , lastDateTime , marketDateTimes );
! 
  		}
  
***************
*** 519,526 ****
  		/// </summary>
  		/// <param name="ticker"></param>
  		/// <returns></returns>
! 		public static DateTime GetFirstBarDateTime( string ticker )
  		{
! 			return QuantProject.DataAccess.Tables.Bars.GetFirstBarDateTime( ticker );
  		}
  
--- 534,542 ----
  		/// </summary>
  		/// <param name="ticker"></param>
+ 		/// <param name="intervalFrameInSeconds">interval frame in seconds for the ticker's bars</param>
  		/// <returns></returns>
! 		public static DateTime GetFirstBarDateTime( string ticker, int intervalFrameInSeconds )
  		{
! 			return QuantProject.DataAccess.Tables.Bars.GetFirstBarDateTime( ticker, intervalFrameInSeconds );
  		}
  

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles ByPriceMostLiquidQuotedAtEachDateTime.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv4416/b4_Business/a2_Strategies/Eligibles

Modified Files:
	ByPriceMostLiquidQuotedAtEachDateTime.cs 
Log Message:
Added parameter intervalFrameInSeconds

Index: ByPriceMostLiquidQuotedAtEachDateTime.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByPriceMostLiquidQuotedAtEachDateTime.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ByPriceMostLiquidQuotedAtEachDateTime.cs	9 Nov 2008 19:21:48 -0000	1.1
--- ByPriceMostLiquidQuotedAtEachDateTime.cs	14 Nov 2008 15:51:18 -0000	1.2
***************
*** 54,57 ****
--- 54,58 ----
  		private double minPrice;
  		private double maxPrice;
+ 		private int intervalFrameInSeconds;
  		private string marketIndex;
  		
***************
*** 73,77 ****
  			int maxNumberOfEligibleTickersToBeChosen,
  		 	int numOfDaysForAverageOpenRawPriceComputation, double minPrice, double maxPrice,
! 		  string marketIndex)
  		{
  			this.temporizedGroup = temporizedGroup;
--- 74,78 ----
  			int maxNumberOfEligibleTickersToBeChosen,
  		 	int numOfDaysForAverageOpenRawPriceComputation, double minPrice, double maxPrice,
! 		  int intervalFrameInSeconds, string marketIndex)
  		{
  			this.temporizedGroup = temporizedGroup;
***************
*** 83,86 ****
--- 84,88 ----
  			this.minPrice = minPrice;
  			this.maxPrice = maxPrice;
+ 			this.intervalFrameInSeconds = intervalFrameInSeconds;
  			this.marketIndex = marketIndex;
  		}
***************
*** 124,128 ****
        History marketDateTimes =
        	Bars.GetMarketDateTimes(this.marketIndex,history.FirstDateTime,
!       	                        history.LastDateTime);
        double percentageOfDateTimes = 100.0;
        
--- 126,130 ----
        History marketDateTimes =
        	Bars.GetMarketDateTimes(this.marketIndex,history.FirstDateTime,
!       	                        history.LastDateTime, this.intervalFrameInSeconds);
        double percentageOfDateTimes = 100.0;
        
***************
*** 130,133 ****
--- 132,136 ----
          new SelectorByQuotationAtAGivenPercentageOfDateTimes( dataTableMostLiquid ,
          false, marketDateTimes,
+         this.intervalFrameInSeconds,
          this.maxNumberOfEligibleTickersToBeChosen,
          percentageOfDateTimes);

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging TesterForPairsTradingTestingPositions.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv14085/b7_Scripts/WalkForwardTesting/PairsTrading/Logging

Modified Files:
	TesterForPairsTradingTestingPositions.cs 
Log Message:
A new parameter of type Timer has been added to the EndOfDayStrategyBackTester

Index: TesterForPairsTradingTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging/TesterForPairsTradingTestingPositions.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** TesterForPairsTradingTestingPositions.cs	29 Sep 2008 21:21:34 -0000	1.5
--- TesterForPairsTradingTestingPositions.cs	12 Nov 2008 20:44:38 -0000	1.6
***************
*** 19,23 ****
  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;
--- 19,23 ----
  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;
***************
*** 100,104 ****
  			SimpleStrategy simpleStrategy =
  				new SimpleStrategy( weightedPositions ,
! 				intervalsSelector , historicalMarketValueProvider );
  			IAccountProvider accountProvider =
  				new SimpleAccountProvider();
--- 100,104 ----
  			SimpleStrategy simpleStrategy =
  				new SimpleStrategy( weightedPositions ,
! 				                   intervalsSelector , historicalMarketValueProvider );
  			IAccountProvider accountProvider =
  				new SimpleAccountProvider();
***************
*** 106,110 ****
  			DateTime firstDateTime =
  				this.dateTimeWhenThisObjectWasLogged.AddDays(
! 				- this.numberOfInSampleDays );
  			DateTime lastDateTime =
  				this.dateTimeWhenThisObjectWasLogged;
--- 106,110 ----
  			DateTime firstDateTime =
  				this.dateTimeWhenThisObjectWasLogged.AddDays(
! 					- this.numberOfInSampleDays );
  			DateTime lastDateTime =
  				this.dateTimeWhenThisObjectWasLogged;
***************
*** 112,119 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				"SinglePosition" , simpleStrategy ,
! 				historicalMarketValueProvider , accountProvider ,
! 				firstDateTime , lastDateTime ,
! 				benchmark , cashToStart , maxRunningHours );
  
  //			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
--- 112,123 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					"SinglePosition" ,
! 					new QuantProject.Business.Timing.IndexBasedEndOfDayTimer(
! 						HistoricalEndOfDayTimer.GetMarketOpen( firstDateTime ) ,
! 						benchmark.Ticker ) ,
! 					simpleStrategy ,
! 					historicalMarketValueProvider , accountProvider ,
! 					firstDateTime , lastDateTime ,
! 					benchmark , cashToStart , maxRunningHours );
  
  //			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
***************
*** 161,165 ****
  			WeightedPositions weightedPositions =
  				this.testingPositions.WeightedPositions;
! 				
  			WeightedPositions firstPosition =
  				this.getWeightedPositions( weightedPositions[ 0 ] );
--- 165,169 ----
  			WeightedPositions weightedPositions =
  				this.testingPositions.WeightedPositions;
! 			
  			WeightedPositions firstPosition =
  				this.getWeightedPositions( weightedPositions[ 0 ] );
***************
*** 168,179 ****
  			AccountReport accountReportForFirstPosition =
  				this.getAccountReport( firstPosition , intervalsSelector ,
! 				historicalMarketValueProvider ,
! 				benchmark , 30000 );
  			AccountReport accountReportForSecondPosition =
  				this.getAccountReport( secondPosition , intervalsSelector ,
! 				historicalMarketValueProvider ,
! 				benchmark ,
! 				Math.Abs(	30000 * weightedPositions[ 1 ].Weight /
! 				weightedPositions[ 0 ].Weight ) );
  			
  			Report report =
--- 172,183 ----
  			AccountReport accountReportForFirstPosition =
  				this.getAccountReport( firstPosition , intervalsSelector ,
! 				                      historicalMarketValueProvider ,
! 				                      benchmark , 30000 );
  			AccountReport accountReportForSecondPosition =
  				this.getAccountReport( secondPosition , intervalsSelector ,
! 				                      historicalMarketValueProvider ,
! 				                      benchmark ,
! 				                      Math.Abs(	30000 * weightedPositions[ 1 ].Weight /
! 				                               weightedPositions[ 0 ].Weight ) );
  			
  			Report report =
***************
*** 185,194 ****
  //				accountReportForFirstPosition.EquityLine.LastDateTime ,
  //				EndOfDaySpecificTime.OneHourAfterMarketClose );
! 				
  			//			report.Create( "PearsonDebug" , 1 ,
  			//			              lastEndOfDayDateTimeForReport ,
  			//			              benchmark.Ticker , false );
  			report.AddEquityLine( accountReportForSecondPosition.EquityLine ,
! 				Color.Brown );
  			report.ShowDialog();
  		}
--- 189,198 ----
  //				accountReportForFirstPosition.EquityLine.LastDateTime ,
  //				EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			
  			//			report.Create( "PearsonDebug" , 1 ,
  			//			              lastEndOfDayDateTimeForReport ,
  			//			              benchmark.Ticker , false );
  			report.AddEquityLine( accountReportForSecondPosition.EquityLine ,
! 			                     Color.Brown );
  			report.ShowDialog();
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.19, 1.20

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv14049/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
A new parameter of type Timer has been added to the EndOfDayStrategyBackTester

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** PairsTradingMain.cs	8 Nov 2008 20:36:36 -0000	1.19
--- PairsTradingMain.cs	12 Nov 2008 20:44:13 -0000	1.20
***************
*** 22,27 ****
--- 22,29 ----
  
  using System;
+ using System.Collections.Generic;
  
  using QuantProject.ADT;
+ using QuantProject.ADT.Timing;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting.AccountProviding;
***************
*** 89,104 ****
  		
  		#region getBarCache
! 		private DateTime[] getDailyTimes()
  		{
! 			DateTime[] dailyTimes = {
! 				new DateTime( 1900 , 1 , 1 , 10 , 0 , 0 ) ,
! 				new DateTime( 1900 , 1 , 1 , 10 , 30 , 0 ) ,
! 				new DateTime( 1900 , 1 , 1 , 11 , 0 , 0 )			
! 			};
  			return dailyTimes;
  		}
  		private IBarCache getBarCache()
  		{
! 			DateTime[] dailyTimes = this.getDailyTimes();
  			IBarCache barCache = new DailyBarCache( 60 , dailyTimes );
  			return barCache;
--- 91,105 ----
  		
  		#region getBarCache
! 		private List< Time > getDailyTimes()
  		{
! 			List< Time > dailyTimes = new List< Time >();
! 			dailyTimes.Add( new Time( 13 , 0 , 0 ) );
! 			dailyTimes.Add( new Time( 14 , 0 , 0 ) );
! 			dailyTimes.Add( new Time( 15 , 0 , 0 ) );
  			return dailyTimes;
  		}
  		private IBarCache getBarCache()
  		{
! 			List< Time > dailyTimes = this.getDailyTimes();
  			IBarCache barCache = new DailyBarCache( 60 , dailyTimes );
  			return barCache;
***************
*** 121,125 ****
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! //			tickersGroupId = "fastTest";
  
  //			IEligiblesSelector eligiblesSelector =
--- 122,126 ----
  			string tickersGroupId = "SP500";
  			// uncomment the following line for a faster script
! 			tickersGroupId = "fastTest";
  
  //			IEligiblesSelector eligiblesSelector =
***************
*** 152,156 ****
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! //			 numberOfBestTestingPositionsToBeReturned = 5;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
--- 153,157 ----
  			int numberOfBestTestingPositionsToBeReturned = 50;
  			// uncomment the following line for a faster script
! 			numberOfBestTestingPositionsToBeReturned = 5;
  			
  			IDecoderForTestingPositions decoderForWeightedPositions =
***************
*** 202,206 ****
  			// uncomment the following line for a faster script
  //			inSampleDays = 5;
! //			 inSampleDays = 60;
  			
  			IIntervalsSelector intervalsSelectorForOutOfSample =
--- 203,207 ----
  			// uncomment the following line for a faster script
  //			inSampleDays = 5;
! 			inSampleDays = 60;
  			
  			IIntervalsSelector intervalsSelectorForOutOfSample =
***************
*** 250,253 ****
--- 251,266 ----
  			return strategyForBacktester;
  		}
+ 		
+ 		#region getEndOfDayStrategyBackTester
+ 		private Timer getTimer(
+ 			DateTime firstDateTime , DateTime lastDateTime)
+ 		{
+ 			List< Time > dailyTimes = this.getDailyTimes();
+ 			IndexBasedHistoricalTimer indexBasedTimer =
+ 				new IndexBasedHistoricalTimer(
+ 					this.benchmark.Ticker ,
+ 					firstDateTime , lastDateTime , dailyTimes );
+ 			return indexBasedTimer;
+ 		}
  		protected override EndOfDayStrategyBackTester
  			getEndOfDayStrategyBackTester()
***************
*** 262,266 ****
  
  			// uncomment the following two lines for a faster script
! 			firstDateTime = new DateTime( 2002 , 1 , 1 );
  			lastDateTime = new DateTime( 2007 , 6 , 30 );
  
--- 275,279 ----
  
  			// uncomment the following two lines for a faster script
! 			firstDateTime = new DateTime( 2006 , 2 , 1 );
  			lastDateTime = new DateTime( 2007 , 6 , 30 );
  
***************
*** 269,273 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , this.strategyForBacktester ,
  					this.historicalMarketValueProviderForTheBacktesterAccount ,
  					accountProvider ,
--- 282,288 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId ,
! 					this.getTimer( firstDateTime , lastDateTime ) ,
! 					this.strategyForBacktester ,
  					this.historicalMarketValueProviderForTheBacktesterAccount ,
  					accountProvider ,
***************
*** 276,279 ****
--- 291,295 ----
  			return endOfDayStrategyBackTester;
  		}
+ 		#endregion getEndOfDayStrategyBackTester
  
  		protected override string getPathForTheMainFolderWhereScriptsResultsAreToBeSaved()