quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading PairsTradingMain.cs, 1.18, 1.19

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv19578/b7_Scripts/WalkForwardTesting/PairsTrading

Modified Files:
	PairsTradingMain.cs 
Log Message:
The test has been changed to use intraday data, out of sample

Index: PairsTradingMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/PairsTradingMain.cs,v
retrieving revision 1.18
retrieving revision 1.19
diff -C2 -d -r1.18 -r1.19
*** PairsTradingMain.cs	29 Sep 2008 21:21:34 -0000	1.18
--- PairsTradingMain.cs	8 Nov 2008 20:36:36 -0000	1.19
***************
*** 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;
***************
*** 37,40 ****
--- 37,41 ----
  using QuantProject.Business.Strategies.ReturnsManagement.Time.IntervalsSelectors;
  using QuantProject.Business.Timing;
+ using QuantProject.Data.DataProviders.Bars.Caching;
  using QuantProject.Presentation;
  using QuantProject.Scripts.General;
***************
*** 68,77 ****
  
  			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! 				new HistoricalAdjustedQuoteProvider();
  //			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  //				new HistoricalRawQuoteProvider();
  
  			this.historicalMarketValueProviderForTheBacktesterAccount =
! 				new HistoricalRawQuoteProvider();
  //			this.historicalQuoteProviderForTheBacktesterAccount =
  //				new HistoricalAdjustedQuoteProvider();
--- 69,82 ----
  
  			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! 				this.getHistoricalBarProvider();
! //			this.historicalMarketValueProviderForChosingPositionsOutOfSample =
! //				new HistoricalAdjustedQuoteProvider();
  //			this.historicalQuoteProviderForChosingPositionsOutOfSample =
  //				new HistoricalRawQuoteProvider();
  
  			this.historicalMarketValueProviderForTheBacktesterAccount =
! 				this.historicalMarketValueProviderForChosingPositionsOutOfSample;
! //			this.historicalMarketValueProviderForTheBacktesterAccount =
! //				new HistoricalRawQuoteProvider();
  //			this.historicalQuoteProviderForTheBacktesterAccount =
  //				new HistoricalAdjustedQuoteProvider();
***************
*** 80,83 ****
--- 85,117 ----
  			//      IEquityEvaluator equityEvaluator = new SharpeRatio();
  		}
+ 		
+ 		#region getHistoricalBarProvider
+ 		
+ 		#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;
+ 		}
+ 		#endregion getBarCache
+ 		
+ 		private HistoricalBarProvider getHistoricalBarProvider()
+ 		{
+ 			IBarCache barCache = getBarCache();
+ 			HistoricalBarProvider historicalBarProvider =
+ 				new HistoricalBarProvider( barCache );
+ 			return historicalBarProvider;
+ 		}
+ 		#endregion getHistoricalBarProvider
  
  		protected override IEligiblesSelector getEligiblesSelector()
***************
*** 101,109 ****
  			eligiblesSelector =
  				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
! 				tickersGroupId ,
! 				true ,
! 				maxNumberOfEligiblesToBeChosen ,
! 				maxNumberOfEligiblesToBeChosen + 50 ,
! 				10 , 10 , 20 , 75 );
  
  
--- 135,143 ----
  			eligiblesSelector =
  				new ByPriceMostLiquidLessVolatileOTCAlwaysQuoted(
! 					tickersGroupId ,
! 					true ,
! 					maxNumberOfEligiblesToBeChosen ,
! 					maxNumberOfEligiblesToBeChosen + 50 ,
! 					10 , 10 , 20 , 75 );
  
  
***************
*** 137,148 ****
  			IInSampleChooser inSampleChooser =
  				new PairsTradingGeneticChooser(
! 				numberOfBestTestingPositionsToBeReturned ,
! 				this.benchmark ,
! 				decoderForWeightedPositions , fitnessEvaluator ,
! 				this.historicalMarketValueProviderForInSample ,
! 				crossoverRate , mutationRate , elitismRate ,
! 				populationSizeForGeneticOptimizer ,
! 				generationNumberForGeneticOptimizer ,
! 				seedForRandomGenerator );
  			
  			inSampleChooser =
--- 171,182 ----
  			IInSampleChooser inSampleChooser =
  				new PairsTradingGeneticChooser(
! 					numberOfBestTestingPositionsToBeReturned ,
! 					this.benchmark ,
! 					decoderForWeightedPositions , fitnessEvaluator ,
! 					this.historicalMarketValueProviderForInSample ,
! 					crossoverRate , mutationRate , elitismRate ,
! 					populationSizeForGeneticOptimizer ,
! 					generationNumberForGeneticOptimizer ,
! 					seedForRandomGenerator );
  			
  			inSampleChooser =
***************
*** 187,191 ****
  			OutOfSampleChooser outOfSampleChooser =
  				new OutOfSampleChooserForSingleLongAndShort(
! 				0.006 , 0.02 , 0.006 , 0.02 );
  //			outOfSampleChooser =
  //				new OutOfSampleChooserForExactNumberOfBestLongPositions(
--- 221,225 ----
  			OutOfSampleChooser outOfSampleChooser =
  				new OutOfSampleChooserForSingleLongAndShort(
! 					0.006 , 0.02 , 0.006 , 0.02 );
  //			outOfSampleChooser =
  //				new OutOfSampleChooserForExactNumberOfBestLongPositions(
***************
*** 194,203 ****
  			IStrategyForBacktester strategyForBacktester =
  				new PairsTradingStrategy(
! 				7 , inSampleDays ,
! 				intervalsSelectorForInSample , intervalsSelectorForOutOfSample ,
! 				eligiblesSelector , inSampleChooser ,
! 				this.historicalMarketValueProviderForInSample ,
! 				this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 				outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
  //				new PairsTradingStrategy(
--- 228,237 ----
  			IStrategyForBacktester strategyForBacktester =
  				new PairsTradingStrategy(
! 					7 , inSampleDays ,
! 					intervalsSelectorForInSample , intervalsSelectorForOutOfSample ,
! 					eligiblesSelector , inSampleChooser ,
! 					this.historicalMarketValueProviderForInSample ,
! 					this.historicalMarketValueProviderForChosingPositionsOutOfSample ,
! 					outOfSampleChooser );
  //			IEndOfDayStrategyForBacktester endOfDayStrategyForBacktester =
  //				new PairsTradingStrategy(
***************
*** 224,228 ****
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 						firstDateTime = new DateTime( 2006 , 8 , 1 );
  			DateTime lastDateTime = new DateTime( 2008 , 4 , 30 );
  
--- 258,262 ----
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 1 );
! 			firstDateTime = new DateTime( 2006 , 8 , 1 );
  			DateTime lastDateTime = new DateTime( 2008 , 4 , 30 );
  
***************
*** 235,243 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 				backTestId , this.strategyForBacktester ,
! 				this.historicalMarketValueProviderForTheBacktesterAccount ,
! 				accountProvider ,
! 				firstDateTime ,	lastDateTime ,
! 				this.benchmark , cashToStart , maxRunningHours );
  			return endOfDayStrategyBackTester;
  		}
--- 269,277 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
! 					backTestId , this.strategyForBacktester ,
! 					this.historicalMarketValueProviderForTheBacktesterAccount ,
! 					accountProvider ,
! 					firstDateTime ,	lastDateTime ,
! 					this.benchmark , cashToStart , maxRunningHours );
  			return endOfDayStrategyBackTester;
  		}

[Quantproject-developers] QuantProject/b2_DataAccess SQLBuilder.cs, 1.1.1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv19322/b2_DataAccess

Modified Files:
	SQLBuilder.cs 
Log Message:
the following method has been added
internal static string GetDateTimeConstant( DateTime dateTime )

the following method has been added
public static string GetTimeConstant( DateTime dateTime )

the following method has been added
internal static string GetFilterForTime( string fieldName , SqlComparisonOperator sqlComparisonOperator , DateTime time )

Index: SQLBuilder.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/SQLBuilder.cs,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** SQLBuilder.cs	13 Oct 2003 21:58:01 -0000	1.1.1.1
--- SQLBuilder.cs	8 Nov 2008 20:31:17 -0000	1.2
***************
*** 3,7 ****
  
  SQLBuilder.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  SQLBuilder.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 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;
  
  namespace QuantProject.DataAccess
  {
--- 19,28 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
  
+ using QuantProject.ADT;
+ 
  namespace QuantProject.DataAccess
  {
***************
*** 37,47 ****
  		}
  
!     internal static string GetDateConstant( DateTime dateTime )
!     {
!       string getDateConstant;
!       getDateConstant = "#" + dateTime.Month + "/" + dateTime.Day + "/" +
!         dateTime.Year + "#";
!       return getDateConstant;
!     }
  	}
  }
--- 39,153 ----
  		}
  
! 		internal static string GetDateConstant( DateTime dateTime )
! 		{
! 			string getDateConstant;
! 			getDateConstant = "#" + dateTime.Month + "/" + dateTime.Day + "/" +
! 				dateTime.Year + "#";
! 			return getDateConstant;
! 		}
! 
! 		/// <summary>
! 		/// returns a string to be used as a DateTime constant for a query
! 		/// for an Access database
! 		/// </summary>
! 		/// <param name="dateTime"></param>
! 		/// <returns></returns>
! 		internal static string GetDateTimeConstant( DateTime dateTime )
! 		{
! 			string dateTimeConstant =
! 				"#" +
! 				dateTime.Month + "/" +
! 				dateTime.Day + "/" +
! 				dateTime.Year + " " +
! 				dateTime.Hour + ":" +
! 				dateTime.Minute + ":" +
! 				dateTime.Second +
! 				"#";
! 			return dateTimeConstant;
! 		}
! 		
! 		#region GetTimeConstant
! 		public static string GetTimeConstant( DateTime dateTime )
! 		{
! 			string timeConstant =
! 				"'" +
! 				dateTime.Hour.ToString( "00" ) + "." +
! 				dateTime.Minute.ToString( "00" ) + "." +
! 				dateTime.Second.ToString( "00" ) + "'";
! 			return timeConstant;
! 		}
! 		#endregion GetTimeConstant
! 		
! 		#region GetFilterForTime
! 		private static void getFilterForTime_checkParameters( DateTime time )
! 		{
! //			if ( ( comparisonOperator != "=" ) &&
! //			    ( comparisonOperator != "<" ) &&
! //			    ( comparisonOperator != "<=" ) &&
! //			    ( comparisonOperator != ">" ) &&
! //			    ( comparisonOperator != ">=" ) )
! //				throw new Exception(
! //					"comparisonOperator can either be '=' or '<' or '<=' or '>' or '>='" );
! 			if ( !ExtendedDateTime.IsTime( time ) )
! 				throw new Exception(
! 					"time is actually not a time. Use the method " +
! 					"QuantProject.ADT.ExtendedDateTime.GetTime() to build your time" );
! 		}
! 		
! 		#region getFilterForTime_actually
! 		private static string getSqlStringForComparisonOperator(
! 			SqlComparisonOperator sqlComparisonOperator )
! 		{
! 			string sqlStringForComparisonOperator = "";
! 			switch( sqlComparisonOperator )
! 			{
! 				case SqlComparisonOperator.Equal:
! 					sqlStringForComparisonOperator = "=";
! 					break;
! 				case SqlComparisonOperator.LessThan:
! 					sqlStringForComparisonOperator = "<";
! 					break;
! 				case SqlComparisonOperator.LessThanOrEqual:
! 					sqlStringForComparisonOperator = "<=";
! 					break;
! 				case SqlComparisonOperator.GreaterThan:
! 					sqlStringForComparisonOperator = ">";
! 					break;
! 				case SqlComparisonOperator.GreaterThanOrEqual:
! 					sqlStringForComparisonOperator = ">=";
! 					break;
! 			}
! 			return sqlStringForComparisonOperator;
! 		}
! 		private static string getFilterForTime_actually(
! 			string fieldName , SqlComparisonOperator sqlComparisonOperator , DateTime time )
! 		{
! 			string filterForDailyTime =
! 				"(Format([baDateTimeForOpen],'hh:mm:ss')" +
! 				SQLBuilder.getSqlStringForComparisonOperator( sqlComparisonOperator ) +
! 				SQLBuilder.GetTimeConstant( time );
! 			return filterForDailyTime;
! 		}
! 		#endregion getFilterForTime_actually
! 		
! 		/// <summary>
! 		/// returns a sql where expression, to compare a field value with
! 		/// the given time
! 		/// </summary>
! 		/// <param name="fieldName"></param>
! 		/// <param name="comparisonOperator">it can either be "=" or "<" or
! 		/// "<=" or ">" or ">="</param>
! 		/// <param name="dateTime"></param>
! 		/// <returns></returns>
! 		internal static string GetFilterForTime(
! 			string fieldName , SqlComparisonOperator sqlComparisonOperator , DateTime time )
! 		{
! 			SQLBuilder.getFilterForTime_checkParameters( time );
! 			string filterForTime =
! 				SQLBuilder.getFilterForTime_actually(
! 					fieldName , sqlComparisonOperator , time );
! 			return filterForTime;
! 		}
! 		#endregion GetFilterForTime
  	}
  }

[Quantproject-developers] QuantProject/b2_DataAccess DataBase.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv19134/b2_DataAccess

Modified Files:
	DataBase.cs 
Log Message:
the following method has been added
public static History GetBarOpenHistory(
 			string ticker ,
 			int barInterval ,
 			DateTime firstDateTime ,
 			DateTime lastDateTime ,
 			DateTime[] dailyTimes )

Index: DataBase.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/DataBase.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** DataBase.cs	29 Sep 2008 21:12:37 -0000	1.9
--- DataBase.cs	8 Nov 2008 20:29:09 -0000	1.10
***************
*** 3,7 ****
  
  DataBase.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  DataBase.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 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;
***************
*** 83,89 ****
  		}
  
!     #region "GetHistory"
  		private static History getHistory_try( string instrumentKey , QuoteField quoteField ,
! 			DateTime firstDate , DateTime lastDate )
  		{
  			History history = new History();
--- 83,89 ----
  		}
  
! 		#region "GetHistory"
  		private static History getHistory_try( string instrumentKey , QuoteField quoteField ,
! 		                                      DateTime firstDate , DateTime lastDate )
  		{
  			History history = new History();
***************
*** 99,103 ****
  		}
  		private static History getHistory_common( string instrumentKey , QuoteField quoteField ,
! 			DateTime firstDate , DateTime lastDate )
  		{
  			History history;
--- 99,103 ----
  		}
  		private static History getHistory_common( string instrumentKey , QuoteField quoteField ,
! 		                                         DateTime firstDate , DateTime lastDate )
  		{
  			History history;
***************
*** 135,139 ****
  		/// <returns>The history for the given instrument and quote field</returns>
  		public static History GetHistory( string instrumentKey , QuoteField quoteField ,
! 			DateTime firstDate , DateTime lastDate )
  		{
  			return getHistory_common( instrumentKey , quoteField , firstDate , lastDate );
--- 135,139 ----
  		/// <returns>The history for the given instrument and quote field</returns>
  		public static History GetHistory( string instrumentKey , QuoteField quoteField ,
! 		                                 DateTime firstDate , DateTime lastDate )
  		{
  			return getHistory_common( instrumentKey , quoteField , firstDate , lastDate );
***************
*** 141,145 ****
  		#endregion
  		public static double GetQuote( string ticker ,
! 			QuoteField quoteField , DateTime dateTime )
  		{
  			double quote = Double.MinValue;
--- 141,145 ----
  		#endregion
  		public static double GetQuote( string ticker ,
! 		                              QuoteField quoteField , DateTime dateTime )
  		{
  			double quote = Double.MinValue;
***************
*** 164,168 ****
  		}
  		public static bool WasExchanged( string ticker ,
! 			DateTime dateTime )
  		{
  			string sqlQuery =
--- 164,168 ----
  		}
  		public static bool WasExchanged( string ticker ,
! 		                                DateTime dateTime )
  		{
  			string sqlQuery =
***************
*** 182,185 ****
--- 182,304 ----
  			return ( quotes.Rows.Count > 0 );
  		}
+ 		
+ 		#region getHistory
+ 		private static History getHistory(
+ 			DataTable barDataTable , string barFieldName )
+ 		{
+ 			History history = new History();
+ 			history.Import(
+ 				barDataTable , BarFieldNames.DateTimeForOpen , barFieldName );
+ 			return history;
+ 		}
+ 		#endregion getHistory
+ 		
+ 		#region GetBarOpenHistory
+ 		
+ 		#region getBarDataTable
+ 		
+ 		#region getSqlForBarDataTable
+ 		
+ 		#region getFilterForDailyTimes
+ 		
+ //		#region getFilterForDailyTime
+ //		private getFilterForDailyTime( DateTime dateTime )
+ //		{
+ //			string filterForDailyTime =
+ //				"(Format([baDateTimeForOpen],'hh:mm:ss')>='" +
+ //				this.getSqlTimeConstantForFirstDailyBar() + "')";
+ //		}
+ //		#endregion getFilterForDailyTime
+ 		
+ 		private static string getFilterForDailyTimes( DateTime[] dailyTimes )
+ 		{
+ 			string filterForDailyTimes = "";
+ 			foreach( DateTime dateTime in dailyTimes )
+ 				filterForDailyTimes =
+ 					filterForDailyTimes +
+ 					SQLBuilder.GetFilterForTime(
+ 						"baDateTimeForOpen" , SqlComparisonOperator.Equal , dateTime ) +
+ 					" and ";
+ 			filterForDailyTimes = filterForDailyTimes.Substring(
+ 				0 , filterForDailyTimes.Length - " and ".Length );
+ 			return filterForDailyTimes;
+ 		}
+ 		#endregion getFilterForDailyTimes
+ 		
+ 		private static string getSqlForBarDataTable(
+ 			string ticker ,
+ 			int barInterval ,
+ 			string barFieldName ,
+ 			DateTime firstDateTime ,
+ 			DateTime lastDateTime ,
+ 			DateTime[] dailyTimes )
+ 		{
+ 			string sql =
+ 				"select baOpen from bars " +
+ 				"where (baTicker='" + ticker + "') and " +
+ 				"(baInterval=" + barInterval + ") and" +
+ 				"(baDateTimeForOpen>=" +
+ 				SQLBuilder.GetDateTimeConstant( firstDateTime ) + ") and" +
+ 				"(baDateTimeForOpen<=" +
+ 				SQLBuilder.GetDateTimeConstant( lastDateTime )
+ 				+ ") and" +
+ 				DataBase.getFilterForDailyTimes( dailyTimes );
+ //			"(Format([baDateTimeForOpen],'hh:mm:ss')>='" +
+ //				DataBase.getSqlTimeConstantForFirstDailyBar() + "') and" +
+ //				"(Format([baDateTimeForOpen],'hh:mm:ss')<='" +
+ //				DataBase.getSqlTimeConstantForLastDailyBar() + "');";
+ 			return sql;
+ 		}
+ 		#endregion getSqlForBarDataTable
+ 		
+ 		private static DataTable getBarDataTable(
+ 			string ticker ,
+ 			int barInterval ,
+ 			string barFieldName ,
+ 			DateTime firstDateTime ,
+ 			DateTime lastDateTime ,
+ 			DateTime[] dailyTimes )
+ 		{
+ 			string sql = DataBase.getSqlForBarDataTable(
+ 				ticker ,
+ 				barInterval ,
+ 				barFieldName ,
+ 				firstDateTime ,
+ 				lastDateTime ,
+ 				dailyTimes );
+ 			DataTable barDataTable = SqlExecutor.GetDataTable( sql );
+ 			return barDataTable;
+ 		}
+ 		#endregion getBarDataTable
+ 		
+ 		/// <summary>
+ 		/// returns the market value for the given ticker, for all days in the given
+ 		/// interval, at the open of all the bars that begin at dailyTimes
+ 		/// </summary>
+ 		/// <param name="ticker"></param>
+ 		/// <param name="barInterval"></param>
+ 		/// <param name="firstDateTime"></param>
+ 		/// <param name="lastDateTime"></param>
+ 		/// <param name="dailyTimes"></param>
+ 		/// <returns></returns>
+ 		public static History GetBarOpenHistory(
+ 			string ticker ,
+ 			int barInterval ,
+ 			DateTime firstDateTime ,
+ 			DateTime lastDateTime ,
+ 			DateTime[] dailyTimes )
+ 		{
+ 			DataTable barDataTable = DataBase.getBarDataTable(
+ 				ticker ,
+ 				barInterval ,
+ 				BarFieldNames.Open ,
+ 				firstDateTime ,
+ 				lastDateTime ,
+ 				dailyTimes );
+ 			History barOpenHistory = DataBase.getHistory(
+ 				barDataTable , BarFieldNames.Open );
+ 			return barOpenHistory;
+ 		}
+ 		#endregion GetBarOpenHistory
  	}
  }

[Quantproject-developers] QuantProject/b1_ADT ExtendedDateTime.cs, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv19066/b1_ADT

Modified Files:
	ExtendedDateTime.cs 
Log Message:
the method
public static bool IsTime( DateTime dateTime )
has been added

the method
public static DateTime GetTime( DateTime dateTime )
has been added



Index: ExtendedDateTime.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ExtendedDateTime.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** ExtendedDateTime.cs	29 Sep 2008 21:12:25 -0000	1.7
--- ExtendedDateTime.cs	8 Nov 2008 20:27:25 -0000	1.8
***************
*** 3,7 ****
  
  ExtendedDateTime.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  ExtendedDateTime.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 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;
***************
*** 29,34 ****
  	/// Summary description for DateTime.
  	/// </summary>
!   public static class ExtendedDateTime
!   {
  		/// <summary>
  		/// Returns a DateTime short description suitable for file names (no slashes)
--- 29,34 ----
  	/// Summary description for DateTime.
  	/// </summary>
! 	public static class ExtendedDateTime
! 	{
  		/// <summary>
  		/// Returns a DateTime short description suitable for file names (no slashes)
***************
*** 101,105 ****
  					dateTime.Hour , dateTime.Minute , dateTime.Second );
  			return newDateTime;
! 		}		
  		
  		public static bool IsDate( DateTime dateTime )
--- 101,105 ----
  					dateTime.Hour , dateTime.Minute , dateTime.Second );
  			return newDateTime;
! 		}
  		
  		public static bool IsDate( DateTime dateTime )
***************
*** 113,116 ****
--- 113,128 ----
  		
  		/// <summary>
+ 		/// true iif the given dateTime can be interpreted as a time
+ 		/// </summary>
+ 		/// <param name="dateTime"></param>
+ 		/// <returns></returns>
+ 		public static bool IsTime( DateTime dateTime )
+ 		{
+ 			bool isTime =
+ 				( dateTime == ExtendedDateTime.GetTime( dateTime ) );
+ 			return isTime;
+ 		}
+ 		
+ 		/// <summary>
  		/// True iff the time for the first argument is equal
  		/// to the time for the second argument
***************
*** 129,134 ****
  		}
  		
! 		#region IsFirstTimeLessThenSecondTime
! 		private static DateTime getTime( DateTime dateTime )
  		{
  			DateTime time = new DateTime(
--- 141,151 ----
  		}
  		
! 		/// <summary>
! 		/// Returns a standardized version of a given DateTime, that will
! 		/// be interpreted as a time
! 		/// </summary>
! 		/// <param name="dateTime"></param>
! 		/// <returns></returns>
! 		public static DateTime GetTime( DateTime dateTime )
  		{
  			DateTime time = new DateTime(
***************
*** 137,140 ****
--- 154,158 ----
  			return time;
  		}
+ 		
  		/// <summary>
  		/// true iif the time for dateTime1 is less than the time
***************
*** 146,156 ****
  			DateTime dateTime1 , DateTime dateTime2 )
  		{
! 			DateTime time1 = ExtendedDateTime.getTime( dateTime1 );
! 			DateTime time2 = ExtendedDateTime.getTime( dateTime2 );
  			bool isFirstTimeLessThenSecondTime =
  				( time1 < time2 );
  			return isFirstTimeLessThenSecondTime;
  		}
- 		#endregion IsFirstTimeLessThenSecondTime
  	}
  }
--- 164,173 ----
  			DateTime dateTime1 , DateTime dateTime2 )
  		{
! 			DateTime time1 = ExtendedDateTime.GetTime( dateTime1 );
! 			DateTime time2 = ExtendedDateTime.GetTime( dateTime2 );
  			bool isFirstTimeLessThenSecondTime =
  				( time1 < time2 );
  			return isFirstTimeLessThenSecondTime;
  		}
  	}
  }

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.29, 1.30

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv19007/b4_Business

Modified Files:
	Business_SD.csproj 
Log Message:
a07_DataProviders\HistoricalBarProvider.cs has been added

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.29
retrieving revision 1.30
diff -C2 -d -r1.29 -r1.30
*** Business_SD.csproj	29 Sep 2008 21:03:22 -0000	1.29
--- Business_SD.csproj	8 Nov 2008 20:26:04 -0000	1.30
***************
*** 47,50 ****
--- 47,51 ----
    <ItemGroup>
      <Compile Include="a05_Timing\Timer.cs" />
+     <Compile Include="a07_DataProviders\HistoricalBarProvider.cs" />
      <Compile Include="a07_DataProviders\HistoricalMarketValueProvider.cs" />
      <Compile Include="a07_DataProviders\TickerNotExchangedException.cs" />

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv18974/b4_Business/a07_DataProviders

Added Files:
	HistoricalBarProvider.cs 
Log Message:
Returns historical bars

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

HistoricalBarProvider.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.Data.DataProviders.Bars.Caching;

namespace QuantProject.Business.DataProviders
{
	/// <summary>
	/// Returns historical bars
	/// </summary>
	public class HistoricalBarProvider : HistoricalMarketValueProvider
	{
		private QuantProject.Data.DataProviders.Bars.HistoricalBarProvider
			historicalBarProvider;
		
		public HistoricalBarProvider( IBarCache barCache )
		{
			this.historicalBarProvider =
				new QuantProject.Data.DataProviders.Bars.HistoricalBarProvider(
					barCache );
		}
		
		public override double GetMarketValue(
			string ticker ,
			DateTime dateTime )
		{
			double marketValue = this.historicalBarProvider.GetMarketValue(
					ticker , dateTime );
			return marketValue;
		}
		
		protected override string getDescription()
		{
			return "barProvider";
		}
	}
}

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Bars MissingBarException.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Bars
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv18928

Added Files:
	MissingBarException.cs 
Log Message:
Thrown when a bar is requested, but it is not present in the database

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

MissingBarException.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;

namespace QuantProject.Data.DataProviders.Bars
{
	/// <summary>
	/// Thrown when a bar is requested, but it is not present in
	/// the database
	/// </summary>
	public class MissingBarException : Exception
	{
		private string ticker;
		private DateTime dateTimeForOpen;
		private int barInterval;
		
		public override string Message
		{
			get
			{
				return "The database doesn't contain a bar for the ticker " +
					this.ticker + ", that begins at the DateTime " +
					this.dateTimeForOpen.ToString() +
					" and with an interval of " + this.barInterval + " seconds";
			}
		}
		public MissingBarException(
			string ticker , DateTime dateTimeForOpen , int barInterval )
		{
			this.ticker = ticker;
			this.dateTimeForOpen = dateTimeForOpen;
			this.barInterval = barInterval;
		}
	}
}

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Bars HistoricalBarProvider.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Bars
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv18899

Added Files:
	HistoricalBarProvider.cs 
Log Message:
Returns historical bars, playing with caching

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

HistoricalBarProvider.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.Data.DataProviders.Bars.Caching;

namespace QuantProject.Data.DataProviders.Bars
{
	/// <summary>
	/// Returns historical bars, playing with caching
	/// </summary>
	public class HistoricalBarProvider
	{
		IBarCache barCache;
		
		public HistoricalBarProvider( IBarCache barCache )
		{
			this.barCache = barCache;
		}
		
		public double GetMarketValue( string ticker , DateTime dateTime )
		{
			double marketValue = barCache.GetMarketValue( ticker , dateTime );
			return marketValue;
		}
	}
}

[Quantproject-developers] QuantProject/b3_Data Data_SD.csproj, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv18791/b3_Data

Modified Files:
	Data_SD.csproj 
Log Message:
- DataProviders\Bars\Caching\BarCacheData.cs has been added
- DataProviders\Bars\Caching\DailyBarCache.cs has been added
- DataProviders\Bars\Caching\IBarCache.cs has been added
- DataProviders\Bars\HistoricalBarProvider.cs has been added
- DataProviders\Bars\MissingBarException.cs has been added

Index: Data_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Data_SD.csproj,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** Data_SD.csproj	29 Sep 2008 21:09:27 -0000	1.3
--- Data_SD.csproj	8 Nov 2008 20:22:11 -0000	1.4
***************
*** 46,49 ****
--- 46,54 ----
    <ItemGroup>
      <Compile Include="AssemblyInfo.cs" />
+     <Compile Include="DataProviders\Bars\Caching\BarCacheData.cs" />
+     <Compile Include="DataProviders\Bars\Caching\DailyBarCache.cs" />
+     <Compile Include="DataProviders\Bars\Caching\IBarCache.cs" />
+     <Compile Include="DataProviders\Bars\HistoricalBarProvider.cs" />
+     <Compile Include="DataProviders\Bars\MissingBarException.cs" />
      <Compile Include="DataProviders\Quotes\HistoricalQuotesProvider.cs" />
      <Compile Include="DataProviders\Quotes\MarketStatusSwitch.cs" />
***************
*** 100,103 ****
--- 105,110 ----
        <Name>b1_ADT</Name>
      </ProjectReference>
+     <Folder Include="DataProviders\Bars" />
+     <Folder Include="DataProviders\Bars\Caching" />
      <Folder Include="DataProviders\Quotes" />
      <Folder Include="Selectors\ByLinearIndipendence" />

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Bars/Caching IBarCache.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Bars/Caching
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv18606

Added Files:
	IBarCache.cs 
Log Message:
Interface to be implemented by caches for bars

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

IBarCache.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;

namespace QuantProject.Data.DataProviders.Bars.Caching
{
	/// <summary>
	/// Interface to be implemented by caches for bars
	/// </summary>
	public interface IBarCache
	{
		double GetMarketValue( string ticker , DateTime dateTime );
	}
}

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Bars/Caching DailyBarCache.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Bars/Caching
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv18479

Added Files:
	DailyBarCache.cs 
Log Message:
Caches bar values for some days, for the given times

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

DailyBarCache.cs
Copyright (C) 2008
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
 */

using System;
using System.Collections.Generic;

using QuantProject.ADT;
using QuantProject.ADT.Histories;
using QuantProject.DataAccess;

namespace QuantProject.Data.DataProviders.Bars.Caching
{
	/// <summary>
	/// Caches bar values for some days, for the given times
	/// </summary>
	public class DailyBarCache : IBarCache
	{
		private int barInterval;
		private DateTime[] dailyTimes;
		
		private int roughNumberOfItemsToBeCachedWithASingleQuery;

		private BarCacheData barOpenValues;
//		private int numberOfBarsIn_barOpenValues;
//		private int maxNumberOfItemsIn_barOpenValues;
//		private int numberOfItemsToBeRemovedFrom_barOpenValues_whenCacheIsCleanedUp;
//		List<DateTime> dateTimesForCleaningUp_barOpenValues;
//		List<string> tickersForCleaningUp_barOpenValues;
		
		private BarCacheData barsMissingInTheDatabase;
//		private int numberOfBarsIn_barsMissingInTheDatabase;
//		private int maxNumberOfItemsIn_barsMissingInTheDatabase;
//		private int	numberOfItemsToBeRemovedFrom_barsMissingInTheDatabase_whenCacheIsCleanedUp;
//		List<DateTime> dateTimesForCleaningUp_barsMissingInTheDatabase;
//		List<string> tickersForCleaningUp_barsMissingInTheDatabase;


		public DailyBarCache(
			int barInterval ,
			DateTime[] dailyTimes )
		{
			this.checkParameters( dailyTimes );
			this.barInterval = barInterval;
			this.dailyTimes = dailyTimes;

			this.roughNumberOfItemsToBeCachedWithASingleQuery = 100;

			int maxNumberOfItemsIn_barOpenValues = 100000;
			int numberOfItemsToBeRemovedFrom_barOpenValues_whenCacheIsCleanedUp =
				maxNumberOfItemsIn_barOpenValues / 2;
			
			this.barOpenValues = new BarCacheData(
				maxNumberOfItemsIn_barOpenValues ,
				numberOfItemsToBeRemovedFrom_barOpenValues_whenCacheIsCleanedUp );
				
//			this.barOpenValues = new Dictionary< DateTime , Dictionary< string , double > >();
//			this.numberOfBarsIn_barOpenValues = 0;
				
			int maxNumberOfItemsIn_barsMissingInTheDatabase = 100000;
			int numberOfItemsToBeRemovedFrom_barsMissingInTheDatabase_whenCacheIsCleanedUp =
				maxNumberOfItemsIn_barOpenValues / 2;

			this.barsMissingInTheDatabase = new BarCacheData(
				maxNumberOfItemsIn_barsMissingInTheDatabase ,
				numberOfItemsToBeRemovedFrom_barsMissingInTheDatabase_whenCacheIsCleanedUp );
//			this.numberOfBarsIn_barsMissingInTheDatabase = 0;
		}
		
		#region checkParameters
		
		#region checkDailyTimesAreActuallyTimes
		private void checkIfItActuallyIsATime( DateTime dateTime )
		{
			if ( !ExtendedDateTime.IsTime( dateTime ) )
				throw new Exception(
					"dailyTimes have to be times: use the method " +
					"QuantProject.ADT.ExtendedDateTime.GetTime() " +
					"to build them" );
		}
		private void checkDailyTimesAreActuallyTimes( DateTime[] dailyTimes )
		{
			foreach ( DateTime dateTime in dailyTimes )
				this.checkIfItActuallyIsATime( dateTime );
		}
		#endregion checkDailyTimesAreActuallyTimes
		
		#region checkIfDailyTimesAreInStrictAscendingOrder
		private void checkIfDailyTimesAreInStrictAscendingOrder(
			int indexForCurrentDailyTime , DateTime[] dailyTimes )
		{
			DateTime currentDailyTime = dailyTimes[ indexForCurrentDailyTime ];
			DateTime nextDailyTime = dailyTimes[ indexForCurrentDailyTime + 1 ];
			if ( currentDailyTime >= nextDailyTime )
				throw new Exception(
					"dailyTimes are not in strict ascending order. " +
					"dailyTimes have to be in strict ascending order. " +
					"dailyTime with index " + indexForCurrentDailyTime +
					" is >= than dailyTime with index " +
					( indexForCurrentDailyTime + 1 ) +
					" while it should <" );
		}
		private void checkIfDailyTimesAreInStrictAscendingOrder( DateTime[] dailyTimes )
		{
			for ( int index = 0 ; index < dailyTimes.Length - 1 ; index++ )
				this.checkIfDailyTimesAreInStrictAscendingOrder(
					index , dailyTimes );
		}
		#endregion checkIfDailyTimesAreInStrictAscendingOrder
		
		private void checkParameters( DateTime[] dailyTimes )
		{
			this.checkDailyTimesAreActuallyTimes( dailyTimes );
			this.checkIfDailyTimesAreInStrictAscendingOrder( dailyTimes );
		}
		#endregion checkParameters
		
		#region GetMarketValue
		
		private bool isABarMissingInTheDatabase( string ticker, DateTime dateTime )
		{
//			bool isMissing = false;
//			if ( this.barsMissingInTheDatabase.Bars.ContainsKey( dateTime ) )
//				// it is known at least a missing bar for the given dateTime
//				isMissing =
//					this.barsMissingInTheDatabase.Bars[ dateTime ].ContainsKey( ticker );
			bool isMissing =
				this.barsMissingInTheDatabase.ContainsBar( ticker , dateTime );
			return isMissing;
		}
		
		#region getMarketValueForBarThatCouldBeInTheDatabase
		
		private bool isInCache( string ticker , DateTime dateTime )
		{
//			bool isIn_barOpenValues =
//				( ( this.barOpenValues.Bars.ContainsKey( dateTime ) ) &&
//				 this.barOpenValues.Bars[ dateTime ].ContainsKey( ticker ) );
			bool isIn_barOpenValues = this.barOpenValues.ContainsBar( ticker , dateTime );
			return isIn_barOpenValues;
		}
		
		#region getMarketValueForBarThatsNotInCacheButCouldBeInTheDatabase
		
		#region updateDictionaries
		
		#region getBarOpenValues
		
		#region getLastDateTime
		private int getNumberOfDaysToBeCachedForASingleQuery()
		{
			int numberOfDaysToBeCachedForASingleQuery =
				this.roughNumberOfItemsToBeCachedWithASingleQuery /
				this.dailyTimes.Length;
			return numberOfDaysToBeCachedForASingleQuery;
		}
		private DateTime getLastDateTime( DateTime firstDateTime )
		{
			int numberOfDaysToBeCachedForASingleQuery =
				this.getNumberOfDaysToBeCachedForASingleQuery();
			DateTime lastDateTime =
				firstDateTime.AddDays( numberOfDaysToBeCachedForASingleQuery );
			return lastDateTime;
		}
		#endregion getLastDateTime
		
		private History getBarOpenValues( string ticker, DateTime firstDateTime )
		{
			DateTime lastDateTime = this.getLastDateTime( firstDateTime );
			History barOpenValues = DataBase.GetBarOpenHistory(
				ticker ,
				this.barInterval ,
				firstDateTime ,
				lastDateTime ,
				this.dailyTimes );
			return barOpenValues;
		}
		#endregion getBarOpenValues
		
		#region update_barOpenValues
		
		private void addBarOpenValue(
			string ticker, DateTime dateTime , History barOpenValuesFromQuery )
		{
			double barOpenValue =
				(double)barOpenValuesFromQuery[ dateTime ];
			this.barOpenValues.AddBar(
				ticker , dateTime , barOpenValue );
		}
		
		private void update_barOpenValues(
			string ticker, History barOpenValuesFromQuery )
		{
			foreach ( DateTime dateTime in barOpenValuesFromQuery.TimeLine )
				this.addBarOpenValue( ticker , dateTime , barOpenValuesFromQuery );
		}
		#endregion update_barOpenValues

		#region update_barsMissingInTheDatabase
		
		#region getDateTimesForMissingBarsToBeAdded
//		private List< DateTime > getDateTimesIn_barOpenValues()
//		{
//			List< DateTime > dateTimesIn_barOpenValues =
//				new List<DateTime>( this.barOpenValues.Bars.Keys );
//			dateTimesIn_barOpenValues.Sort();
//			return dateTimesIn_barOpenValues;
//		}
		
		#region removeThisDateIfItIsNotToBeAddedToMissingBars
		
//		private bool isIn_barsMissingInTheDatabase(
//			string ticker , DateTime dateTime )
//		{
//			bool isInCacheForMissingBars =
//				( ( this.barsMissingInTheDatabase.Bars.ContainsKey( dateTime ) ) &&
//				 this.barOpenValues.Bars[ dateTime ].ContainsKey( ticker ) );
//			return isInCacheForMissingBars;
//		}
		private bool hasToBeAddedToMissingBars(
			string ticker ,
			DateTime firstDateTime ,
			DateTime lastDateTime ,
			DateTime candidateDateTime )
		{
			bool hasToBeAdded =
				( ( candidateDateTime >= firstDateTime ) &&
				 ( candidateDateTime <= lastDateTime ) &&
				 ( !this.isInCache( ticker , candidateDateTime ) ) &&
				 ( !this.barsMissingInTheDatabase.ContainsBar(
				 	ticker , candidateDateTime ) ) );
			return hasToBeAdded;
		}
		private void removeThisDateIfItIsNotToBeAddedToMissingBars(
			string ticker ,
			DateTime firstDateTime ,
			DateTime lastDateTime ,
			DateTime candidateDateTime ,
			List< DateTime >  dateTimesForMissingBarsToBeAdded )
		{
			if ( !this.hasToBeAddedToMissingBars(
				ticker , firstDateTime , lastDateTime , candidateDateTime ) )
				dateTimesForMissingBarsToBeAdded.Remove( candidateDateTime );
		}
		private void removeThisDateIfItIsNotToBeAddedToMissingBars(
			string ticker ,
			DateTime firstDateTime ,
			DateTime lastDateTime ,
			int indexFor_dateTimesForMissingBarsToBeAdded ,
			List< DateTime >  dateTimesForMissingBarsToBeAdded )
		{
			DateTime candidateDateTime =
				dateTimesForMissingBarsToBeAdded[ indexFor_dateTimesForMissingBarsToBeAdded ];
			this.removeThisDateIfItIsNotToBeAddedToMissingBars(
				ticker , firstDateTime , lastDateTime , candidateDateTime ,
				dateTimesForMissingBarsToBeAdded );
		}
		#endregion removeThisDateIfItIsNotToBeAddedToMissingBars
		
		private List< DateTime > getDateTimesForMissingBarsToBeAdded(
			string ticker ,
			DateTime firstDateTime ,
			DateTime lastDateTime ,
			List< DateTime >  dateTimesForMissingBarsToBeAdded )
		{
			int indexFor_dateTimesForMissingBarsToBeAdded = 0;
			while ( ( indexFor_dateTimesForMissingBarsToBeAdded <
			         dateTimesForMissingBarsToBeAdded.Count ) &&
			       ( dateTimesForMissingBarsToBeAdded[
			       	indexFor_dateTimesForMissingBarsToBeAdded ] <=
			        lastDateTime ) )
				this.removeThisDateIfItIsNotToBeAddedToMissingBars(
					ticker , firstDateTime , lastDateTime ,
					indexFor_dateTimesForMissingBarsToBeAdded ,
					dateTimesForMissingBarsToBeAdded );
			return dateTimesForMissingBarsToBeAdded;
		}
		private List< DateTime > getDateTimesForMissingBarsToBeAdded(
			string ticker , DateTime firstDateTime , DateTime lastDateTime )
		{
			List< DateTime > dateTimesIn_barOpenValues =
				this.barOpenValues.DateTimes;
//				this.getDateTimesIn_barOpenValues();
			List< DateTime >  dateTimesForMissingBarsToBeAdded =
				this.getDateTimesForMissingBarsToBeAdded(
					ticker , firstDateTime , lastDateTime , dateTimesIn_barOpenValues );
			return dateTimesForMissingBarsToBeAdded;
		}
		private List< DateTime >  getDateTimesForMissingBarsToBeAdded(
			string ticker , DateTime firstDateTime )
		{
			DateTime lastDateTime = this.getLastDateTime( firstDateTime );
			List< DateTime > dateTimesForMissingBarsToBeAdded =
				this.getDateTimesForMissingBarsToBeAdded(
					ticker , firstDateTime , lastDateTime );
			return dateTimesForMissingBarsToBeAdded;
		}
		#endregion getDateTimesForMissingBarsToBeAdded

		#region update_barsMissingInTheDatabase
//		
//		#region addBarTo_barsMissingInTheDatabase
//		
//		#region removeValuesFrom_barsMissingInTheDatabase_ifMaxSizeHasBeenReached
//		
//		#region removeValuesFrom_barsMissingInTheDatabase
//		
//		#region initializeMembersForCleaningUp_barsMissingInTheDatabase
//		private void initialize_dateTimesForCleaningUp_barsMissingInTheDatabase()
//		{
//			this.dateTimesForCleaningUp_barsMissingInTheDatabase =
//				new List<DateTime>( this.barsMissingInTheDatabase.Keys );
//			this.dateTimesForCleaningUp_barsMissingInTheDatabase.Sort();
//		}
//		
//		#region initialize_tickersForCleaningUp_barsMissingInTheDatabase
//		private List< string >
//			getTickersForTheCurrentDateTimeToBeCleanedUpInMissingBars()
//		{
//			DateTime currentDateTimeForCleaningUp_barsMissingInTheDatabase =
//				this.dateTimesForCleaningUp_barsMissingInTheDatabase[ 0 ];
//			List< string >
//				tickersForTheCurrentDateTimeToBeCleanedUpInMissingBars =
//				this.barsMissingInTheDatabase[
//					currentDateTimeForCleaningUp_barsMissingInTheDatabase ];
//			return tickersForTheCurrentDateTimeToBeCleanedUpInMissingBars;
//		}
//		private void initialize_tickersForCleaningUp_barsMissingInTheDatabase()
//		{
//			this.tickersForCleaningUp_barOpenValues =
//				this.getTickersForTheCurrentDateTimeToBeCleanedUpInMissingBars();
//		}
//		#endregion initialize_tickersForCleaningUp_barsMissingInTheDatabase
//		
//		private void initializeMembersForCleaningUp_barsMissingInTheDatabase()
//		{
//			this.initialize_dateTimesForCleaningUp_barsMissingInTheDatabase();
//			this.initialize_tickersForCleaningUp_barsMissingInTheDatabase();
//		}
//		#endregion initializeMembersForCleaningUp_barsMissingInTheDatabase
//		
//		private void removeValuesFrom_barsMissingInTheDatabase()
//		{
//			this.initializeMembersForCleaningUp_barsMissingInTheDatabase();
//			while ( this.numberOfBarsIn_barsMissingInTheDatabase >
//			       this.maxNumberOfItemsIn_barsMissingInTheDatabase -
//			       this.numberOfItemsToBeRemovedFrom_barsMissingInTheDatabase_whenCacheIsCleanedUp )
//				this.removeNextItemFrom_barsMissingInTheDatabase();
//		}
//		#endregion removeValuesFrom_barsMissingInTheDatabase
//		
//		private void removeValuesFrom_barsMissingInTheDatabase_ifMaxSizeHasBeenReached()
//		{
//			if ( this.numberOfBarsIn_barsMissingInTheDatabase >=
//			    this.maxNumberOfItemsIn_barsMissingInTheDatabase )
//				// the cache for missing bars is full
//				this.removeValuesFrom_barsMissingInTheDatabase();
//		}
//		#endregion removeValuesFrom_barsMissingInTheDatabase_ifMaxSizeHasBeenReached
//		
//		private void addBarTo_barsMissingInTheDatabase(
//			string ticker, DateTime dateTime )
//		{
//			this.removeValuesFrom_barsMissingInTheDatabase_ifMaxSizeHasBeenReached();
//			this.addBarTo_barsMissingInTheDatabase_withFreeSpaceAssured();
//		}
//		#endregion addBarTo_barsMissingInTheDatabase
//		
		private void update_barsMissingInTheDatabase(
			string ticker, List< DateTime > dateTimesForMissingBarsToBeAdded )
		{
			foreach ( DateTime dateTime in dateTimesForMissingBarsToBeAdded )
				this.barsMissingInTheDatabase.AddBar( ticker , dateTime , double.MinValue );
//				this.addBarTo_barsMissingInTheDatabase( ticker , dateTime );
		}
		#endregion update_barsMissingInTheDatabase
		
		private void update_barsMissingInTheDatabase(
			string ticker, DateTime firstDateTime , History barOpenValues )
		{
			List< DateTime > dateTimesForMissingBarsToBeAdded =
				this.getDateTimesForMissingBarsToBeAdded(
					ticker , firstDateTime );
			this.update_barsMissingInTheDatabase(
				ticker , dateTimesForMissingBarsToBeAdded );
		}
		#endregion update_barsMissingInTheDatabase
		
		private void updateDictionaries(
			string ticker, DateTime dateTime , History barOpenValues )
		{
			this.update_barOpenValues( ticker, barOpenValues );
			this.update_barsMissingInTheDatabase(
				ticker , dateTime , barOpenValues );
		}

		private void updateDictionaries( string ticker, DateTime dateTime )
		{
			History barOpenValues = this.getBarOpenValues( ticker , dateTime );
			this.updateDictionaries( ticker , dateTime , barOpenValues );
		}
		#endregion updateDictionaries
		
		#region getMarketValueWithUpdatedDictionaries
		private double getMarketValueWithUpdatedDictionaries(
			string ticker, DateTime dateTime )
		{
			double marketValue = double.MinValue;
			if ( !this.barOpenValues.ContainsBar( ticker , dateTime ) )
				// the requested bar is not in the database
				throw new MissingBarException( ticker , dateTime , this.barInterval );
			else
				// the requested bar is in the database
				marketValue = this.barOpenValues.GetBarValue( ticker , dateTime );
			return marketValue;
		}		
		#endregion getMarketValueWithUpdatedDictionaries
		
		private double getMarketValueForBarThatsNotInCacheButCouldBeInTheDatabase(
			string ticker, DateTime dateTime )
		{
			this.updateDictionaries( ticker , dateTime );
			double marketValue =
				this.getMarketValueWithUpdatedDictionaries( ticker , dateTime );
			return marketValue;
		}
		#endregion getMarketValueForBarThatsNotInCacheButCouldBeInTheDatabase
		
		private double getMarketValueForBarThatCouldBeInTheDatabase(
			string ticker, DateTime dateTime )
		{
			double marketValue = double.MinValue;
			if ( this.isInCache( ticker , dateTime ) )
				// the requested bar is already in cache
				marketValue = this.barOpenValues.GetBarValue( ticker , dateTime );
			else
				// the requested bar is not in cache, but it could be in the database
				marketValue = this.getMarketValueForBarThatsNotInCacheButCouldBeInTheDatabase(
					ticker , dateTime );
			return marketValue;
		}
		#endregion getMarketValueForBarThatCouldBeInTheDatabase
		
		
		/// <summary>
		/// returns the market value for the given ticker, for the bar
		/// that opens at the given dateTime
		/// </summary>
		/// <param name="ticker"></param>
		/// <param name="dateTime"></param>
		/// <returns></returns>
		public double GetMarketValue( string ticker, DateTime dateTime )
		{
			double marketValue = double.MinValue;
			if ( this.isABarMissingInTheDatabase( ticker , dateTime ) )
				// the bar is not in the database
				throw new MissingBarException( ticker , dateTime , this.barInterval );
			else
				// the bar can be in the database
				marketValue = this.getMarketValueForBarThatCouldBeInTheDatabase(
					ticker , dateTime );
			return marketValue;
		}
		#endregion GetMarketValue
	}
}

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Bars/Caching BarCacheData.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Bars/Caching
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv17969

Added Files:
	BarCacheData.cs 
Log Message:
Basic data structure used by bar caches: each IBarCache will use its own
strategy, but it will probably use this class for adding bars to the cache
and for checking if bars are already in the cache

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

BarCacheData.cs
Copyright (C) 2008
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
 */

using System;
using System.Collections.Generic;

namespace QuantProject.Data.DataProviders.Bars.Caching
{
	/// <summary>
	/// Basic data structure used by bar caches: each IBarCache will use its own
	/// strategy, but it will probably use this class for adding bars to the cache
	/// and for checking if bars are already in the cache
	/// </summary>
	public class BarCacheData
	{
		private int maxNumberOfItemsIn_bars;
		private int numberOfItemsToBeRemovedFrom_bars_whenCacheIsCleanedUp;

		private Dictionary< DateTime , Dictionary< string , double > > bars;
		
//		public Dictionary<DateTime, Dictionary<string, double>> Bars {
//			get { return this.bars; }
//		}
		
		private int numberOfBarsIn_bars;
		List<DateTime> dateTimesForCleaningUp_bars;
		List<string> tickersForCleaningUp_bars;

		/// <summary>
		/// date times for which at least a bar is in the dictionary
		/// </summary>
		public List< DateTime > DateTimes
		{
			get
			{
				List<DateTime> dateTimes =
					new List<DateTime>( this.bars.Keys );
				return dateTimes;
			}
		}
		
		public BarCacheData(
			int maxNumberOfItemsIn_bars ,
			int numberOfItemsToBeRemovedFrom_bars_whenCacheIsCleanedUp	)
		{
			this.maxNumberOfItemsIn_bars = maxNumberOfItemsIn_bars;
			this.numberOfItemsToBeRemovedFrom_bars_whenCacheIsCleanedUp =
				numberOfBarsIn_bars;
			
			this.bars = new Dictionary< DateTime , Dictionary< string , double > >();
			this.numberOfBarsIn_bars = 0;
		}
		
		#region AddBar
		private void add_dateTime_toCacheIfTheCase(
			DateTime dateTime )
		{
			if ( !this.bars.ContainsKey( dateTime ) )
				// no data is yet in cache for this dateTime and a
				this.bars.Add( dateTime , new Dictionary< string , double >() );
		}
		
		#region addBar_with_dateTime_alreadyInCache
		
		#region addBar_actually
		
		#region removeValuesFromTheCacheIfMaxSizeHasBeenReached
		
		#region removeValuesFromTheCache
		
		#region initializeMembersForCleaningUp_bars
		private void initialize_dateTimesForCleaningUp_bars()
		{
			this.dateTimesForCleaningUp_bars =
				new List<DateTime>(this.bars.Keys);
			this.dateTimesForCleaningUp_bars.Sort();
		}
		
		#region initialize_tickersForCleaningUp_bars
		private Dictionary< string , double >
			getBarOpenValuesForTheCurrentDateTimeToBeCleanedUpInCache()
		{
			DateTime currentDateTimeForCleaningUp_bars =
				this.dateTimesForCleaningUp_bars[ 0 ];
			Dictionary< string , double >
				barOpenValuesForTheCurrentDateTimeToBeCleanedUpInCache =
				this.bars[ currentDateTimeForCleaningUp_bars ];
			return barOpenValuesForTheCurrentDateTimeToBeCleanedUpInCache;
		}
		private void initialize_tickersForCleaningUp_bars()
		{
			Dictionary< string , double >
				barOpenValuesForTheCurrentDateTimeToBeCleanedUpInCache =
				this.getBarOpenValuesForTheCurrentDateTimeToBeCleanedUpInCache();
			this.tickersForCleaningUp_bars =
				new List<string>(
					barOpenValuesForTheCurrentDateTimeToBeCleanedUpInCache.Keys );
		}
		#endregion initialize_tickersForCleaningUp_bars
		
		private void initializeMembersForCleaningUp_bars()
		{
			this.initialize_dateTimesForCleaningUp_bars();
//			this.currentDateTimeIndexForCleaningUp_bars = 0;
			this.initialize_tickersForCleaningUp_bars();
		}
		#endregion initializeMembersForCleaningUp_bars
		
		#region removeNextItemFrom_bars
		
//		private void update_tickersForCleaningUp_bars()
//		{
//			344
//		}
		
		#region removeNextItemFrom_bars_withUpdated_tickersForCleaningUp
		
		#region removeCurrentItemFrom_bars
		
		#region removeCurrentItemFrom_bars_actually
		private void removeCurrentItemFrom_bars_only()
		{
			DateTime dateTimeForCurrentItemToBeRemoved =
				this.dateTimesForCleaningUp_bars[ 0 ];
			string tickerForCurrentItemToBeRemoved =
				this.tickersForCleaningUp_bars[ 0 ];
			this.bars[ dateTimeForCurrentItemToBeRemoved ].Remove(
				tickerForCurrentItemToBeRemoved );
		}
		
		#region updateMembersUsedToCleanUp_bars
		
		#region moveToTheNextDateTimeForCleaningUp_bars
		private void moveToTheNextDateTimeForCleaningUp_bars()
		{
			this.dateTimesForCleaningUp_bars.RemoveAt( 0 );
			this.initialize_tickersForCleaningUp_bars();
		}
		#endregion moveToTheNextDateTimeForCleaningUp_bars
		
		private void updateMembersUsedToCleanUp_bars()
		{
			this.tickersForCleaningUp_bars.RemoveAt( 0 );
			if ( this.tickersForCleaningUp_bars.Count == 0 )
				// all the tickers have been removed for the current DateTime
				this.moveToTheNextDateTimeForCleaningUp_bars();
		}
		#endregion updateMembersUsedToCleanUp_bars
		
		private void removeCurrentItemFrom_bars_actually()
		{
			this.removeCurrentItemFrom_bars_only();
			this.updateMembersUsedToCleanUp_bars();
		}
		#endregion removeCurrentItemFrom_bars_actually
		
		private void removeCurrentItemFrom_bars()
		{
			removeCurrentItemFrom_bars_actually();
			this.numberOfBarsIn_bars--;
		}
		#endregion removeCurrentItemFrom_bars
		
		private void removeNextItemFrom_bars_withUpdated_tickersForCleaningUp()
		{
			this.removeCurrentItemFrom_bars();
			this.updateMembersUsedToCleanUp_bars();
		}
		#endregion removeNextItemFrom_bars_withUpdated_tickersForCleaningUp
		
		private void removeNextItemFrom_bars()
		{
			this.removeNextItemFrom_bars_withUpdated_tickersForCleaningUp();
		}
		#endregion removeNextItemFrom_bars
		
		private void removeValuesFromTheCache()
		{
			this.initializeMembersForCleaningUp_bars();
			while ( this.numberOfBarsIn_bars >
			       this.maxNumberOfItemsIn_bars -
			       this.numberOfItemsToBeRemovedFrom_bars_whenCacheIsCleanedUp )
				this.removeNextItemFrom_bars();
		}
		#endregion removeValuesFromTheCache
		
		private void removeValuesFromTheCacheIfMaxSizeHasBeenReached()
		{
			if ( this.numberOfBarsIn_bars >= this.maxNumberOfItemsIn_bars )
				// the cache is full
				this.removeValuesFromTheCache();
		}
		#endregion removeValuesFromTheCacheIfMaxSizeHasBeenReached
		
		private void addBar_actually(
			string ticker, double barOpenValue ,
			Dictionary< string , double > barsInDictionaryForTheGivenDateTime )
		{
			this.removeValuesFromTheCacheIfMaxSizeHasBeenReached();
			barsInDictionaryForTheGivenDateTime.Add( ticker , barOpenValue );
			this.numberOfBarsIn_bars++;
		}
		#endregion addBar_actually
		
		private void addBar(
			string ticker, double barOpenValue ,
			Dictionary< string , double > barsInDictionaryForTheGivenDateTime )
		{
			if ( !barsInDictionaryForTheGivenDateTime.ContainsKey( ticker ) )
				// the cache doesn't contain the open value
				// for the given ticker and the given dateTime
				this.addBar_actually(
					ticker , barOpenValue ,	barsInDictionaryForTheGivenDateTime);
		}
//		private void addBarOpenValue(
//			Dictionary< string , double > barOpenValuesInCacheForGivenDateTime ,
//			string ticker, DateTime dateTime , double theValue )
//		{
//			this.addBarOpenValue(
//				barOpenValuesInCacheForGivenDateTime , ticker , barOpenValue );
//		}
		private void addBar_with_dateTime_alreadyInCache(
			string ticker, DateTime dateTime , double theValue )
		{
			Dictionary< string , double > barsInDictionaryForTheGivenDateTime =
				this.bars[ dateTime ];
			this.addBar(
				ticker , theValue , barsInDictionaryForTheGivenDateTime );
		}
		#endregion addBar_with_dateTime_alreadyInCache
		
		/// <summary>
		/// adds a bar to the cache; if there is no more space in the cache, (supposed)
		/// old items are removed before adding the new bar
		/// </summary>
		/// <param name="ticker"></param>
		/// <param name="dateTime"></param>
		/// <param name="theValue"></param>
		public void AddBar(
			string ticker, DateTime dateTime , double theValue )
		{
			this.add_dateTime_toCacheIfTheCase( dateTime );
			this.addBar_with_dateTime_alreadyInCache(
				ticker , dateTime , theValue );
		}
		#endregion AddBar
		
		/// <summary>
		/// true iif the dictionary contains the requested bar
		/// </summary>
		/// <param name="ticker"></param>
		/// <param name="dateTime"></param>
		/// <returns></returns>
		public bool ContainsBar( string ticker , DateTime dateTime )
		{
			bool containsBar =
				( ( this.bars.ContainsKey( dateTime ) ) &&
				 ( this.bars[ dateTime ].ContainsKey( ticker ) ) );
			return containsBar;
		}
		

		/// <summary>
		/// returns the value for the given bar
		/// </summary>
		/// <param name="ticker"></param>
		/// <param name="dateTime"></param>
		/// <returns></returns>
		public double GetBarValue( string ticker , DateTime dateTime )
		{
			// we don't check if the bar is actually in the database,
			// because we want this method to be as fast as possible;
			// if the bar is missing, then an exception will be thrown by
			// the framework. It is responsability of the caller to decide if
			// to invoke the ContainsBar method before invoking this method
			double barValue = this.bars[ dateTime ][ ticker ];
			return barValue;
		}
	}
}

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Bars/Caching - New directory

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Bars/Caching
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv17751/Caching

Log Message:
Directory /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Bars/Caching added to the repository

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Bars - New directory

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Bars
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv17718/Bars

Log Message:
Directory /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Bars added to the repository

[Quantproject-developers] QuantProject/b2_DataAccess DataAccess_SD.csproj, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv17419/b2_DataAccess

Modified Files:
	DataAccess_SD.csproj 
Log Message:
- BarFieldNames.cs has been added
- SqlComparisonOperator.cs has been added

Index: DataAccess_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/DataAccess_SD.csproj,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** DataAccess_SD.csproj	29 Aug 2007 10:34:57 -0000	1.2
--- DataAccess_SD.csproj	8 Nov 2008 20:08:48 -0000	1.3
***************
*** 46,49 ****
--- 46,50 ----
    <ItemGroup>
      <Compile Include="AssemblyInfo.cs" />
+     <Compile Include="BarFieldNames.cs" />
      <Compile Include="ConnectionProvider.cs" />
      <Compile Include="DataBase.cs" />
***************
*** 53,56 ****
--- 54,58 ----
      <Compile Include="QuoteField.cs" />
      <Compile Include="SQLBuilder.cs" />
+     <Compile Include="SqlComparisonOperator.cs" />
      <Compile Include="SqlExecutor.cs" />
      <Compile Include="ValidationTypes.cs" />

[Quantproject-developers] QuantProject/b2_DataAccess BarFieldNames.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv17173

Added Files:
	BarFieldNames.cs 
Log Message:
Provides field names for the bars table

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

BarFieldNames.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;

namespace QuantProject.DataAccess
{
	/// <summary>
	/// Provides field names for the bars table
	/// </summary>
	public class BarFieldNames
	{
		public static string Open
		{
			get { return "baOpen"; }
		}
		public static string DateTimeForOpen
		{
			get { return "baDateTimeForOpen"; }
		}
		public BarFieldNames()
		{
		}
	}
}

[Quantproject-developers] QuantProject/b2_DataAccess SqlComparisonOperator.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory ddv4jf1.ch3.sourceforge.com:/tmp/cvs-serv17128

Added Files:
	SqlComparisonOperator.cs 
Log Message:
Comparison operators that can be used in a Sql where clause

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

DataBase.cs
Copyright (C) 2003
Glauco Siliprandi

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
*/

using System;

namespace QuantProject.DataAccess
{
	/// <summary>
	/// Comparison operators that can be used in a Sql where clause
	/// </summary>
	public enum SqlComparisonOperator
	{
		Equal ,
		LessThan ,
		LessThanOrEqual ,
		GreaterThan ,
		GreaterThanOrEqual
	}
}

[Quantproject-developers] QuantProject/b4_Business/a05_Timing IndexBasedEndOfDayTimer.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19753/b4_Business/a05_Timing

Modified Files:
	IndexBasedEndOfDayTimer.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: IndexBasedEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/IndexBasedEndOfDayTimer.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** IndexBasedEndOfDayTimer.cs	14 Jan 2008 23:21:03 -0000	1.9
--- IndexBasedEndOfDayTimer.cs	29 Sep 2008 21:22:45 -0000	1.10
***************
*** 3,7 ****
  
  IndexBasedEndOfDayTimer.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  IndexBasedEndOfDayTimer.cs
! Copyright (C) 2003
  Marco Milletti
  
***************
*** 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;
  using System.Collections;
--- 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;
  using System.Collections;
***************
*** 30,35 ****
  {
  	/// <summary>
! 	/// IEndOfDayTimer implementation using a market index as the base
! 	/// for time walking simulation
  	/// </summary>
  	[Serializable]
--- 30,36 ----
  {
  	/// <summary>
! 	/// ITimer implementation using a market index as the base
! 	/// for time walking simulation; end of day timing events are risen
! 	/// only for those days when the index is traded
  	/// </summary>
  	[Serializable]
***************
*** 37,132 ****
  	{
  		private string marketIndex;
!     public string MarketIndex
!     {
!       get	{	return this.marketIndex;	}
!     }
!     
!     private Quotes indexQuotes;
!     public Quotes IndexQuotes
!     {
!       get { return this.indexQuotes;  }
!     }
  		
!     private int currentDateArrayPosition;
!     public int CurrentDateArrayPosition
!     {
!       get { return this.currentDateArrayPosition ;  }
!     }
  
!     private void indexBasedEndOfDayTimer( EndOfDayDateTime startDateTime,
!                                           string marketIndex)
!     {
!       this.marketIndex = marketIndex;
!       if ( this.indexQuotes.Rows.Count == 0 )
!       {
!         string errorMessage = "IndexBasedEndOfDayTimer error: the given " +
!           "index (" + marketIndex + ") has no quotes in the interval.";
!         throw new Exception( errorMessage );
!       }
!       this.StartDateTime = 
!         new EndOfDayDateTime(this.indexQuotes.GetQuoteDateOrFollowing(this.StartDateTime.DateTime),
!         EndOfDaySpecificTime.MarketOpen);
!       this.tickers = new Hashtable();
!       this.currentDateArrayPosition = 0;
!     }
  
!     public IndexBasedEndOfDayTimer( EndOfDayDateTime startDateTime,
!                                     string marketIndex): base(startDateTime)
  		{
! 			this.indexQuotes = new Quotes(marketIndex,startDateTime.DateTime,DateTime.Now);
!       this.indexBasedEndOfDayTimer(startDateTime, marketIndex);
  		}
-     
-     public IndexBasedEndOfDayTimer( EndOfDayDateTime startDateTime,
-                                     EndOfDayDateTime endDateTime,
-                                     string marketIndex): base(startDateTime)
-     {
-       this.indexQuotes = new Quotes(marketIndex,startDateTime.DateTime,endDateTime.DateTime.AddDays(10));
-       this.indexBasedEndOfDayTimer(startDateTime, marketIndex);
-     }
  		
!     /// <summary>
! 		/// Starts the time walking simulation, based on index's dates
! 		/// </summary>
! 		public override void Start()
  		{
! 			base.activeTimer();
! 			while ( this.isActive )
  			{
!         base.callEvents();
! 				this.moveNext();
  			}
  		}
-     //move the current endOfDayDateTime to the next moment
-     //at which the market is surely open
-     protected override void moveNext()
-     {
-       EndOfDaySpecificTime nextSpecificTime = this.currentTime.GetNextEndOfDaySpecificTime();
-       if ( nextSpecificTime < this.currentTime.EndOfDaySpecificTime )
-       {
-         // the current end of day specific time is the last end of day specific time in the day
-         this.currentTime.DateTime =
-                         this.indexQuotes.GetFollowingDate(this.currentTime.DateTime, 1);
-         this.currentDateArrayPosition++;
-       }
-       this.currentTime.EndOfDaySpecificTime = nextSpecificTime;
-       
-     }
-     /// <summary>
-     /// Gets the previous index based date time
-     /// </summary>
-     public DateTime GetPreviousDateTime()
-     {
-       return this.indexQuotes.GetPrecedingDate(this.currentTime.DateTime,1);
-     }
-     /// <summary>
-     /// Gets the date time that is 'precedingDays' days before
-     /// the current date time of the current timer
-     /// </summary>
-     public DateTime GetPreviousDateTime(int precedingDays)
-     {
-       return this.indexQuotes.GetPrecedingDate(
-     		this.currentTime.DateTime,precedingDays);
-     }
  
  	}
--- 38,173 ----
  	{
  		private string marketIndex;
! 		public string MarketIndex
! 		{
! 			get	{	return this.marketIndex;	}
! 		}
  		
! 		private Quotes indexQuotes;
! 		public Quotes IndexQuotes
! 		{
! 			get { return this.indexQuotes;  }
! 		}
! 		
! 		private int currentDateArrayPosition;
! 		public int CurrentDateArrayPosition
! 		{
! 			get { return this.currentDateArrayPosition ;  }
! 		}
  
! 		
! 		#region commonInitialization
! 		private void indexBasedEndOfDayTimer(
! 			DateTime startDateTime, string marketIndex)
! 		{
! 			this.marketIndex = marketIndex;
! 			if ( this.indexQuotes.Rows.Count == 0 )
! 			{
! 				string errorMessage = "IndexBasedEndOfDayTimer error: the given " +
! 					"index (" + marketIndex + ") has no quotes in the interval.";
! 				throw new Exception( errorMessage );
! 			}
! 			this.StartDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( startDateTime );
! 			this.tickers = new Hashtable();
! 			this.currentDateArrayPosition = 0;
! 		}
! 		private void commonInitialization(
! 			string marketIndex ,
! 			DateTime startDateTime ,
! 			DateTime endDateTime )
! 		{
! 			DateTime startDate =
! 				ExtendedDateTime.GetDate( startDateTime );
! 			this.indexQuotes = new Quotes(marketIndex,startDate,DateTime.Now);
! 			this.indexBasedEndOfDayTimer(startDateTime, marketIndex);
! 		}
! 		#endregion commonInitialization
  
! 		public IndexBasedEndOfDayTimer(
! 			DateTime startDateTime,
! 			string marketIndex): base(startDateTime)
  		{
! 			this.commonInitialization( marketIndex,startDateTime,DateTime.Now );
  		}
  		
! 		public IndexBasedEndOfDayTimer(
! 			DateTime startDateTime,
! 			DateTime endDateTime,
! 			string marketIndex): base(startDateTime)
  		{
! 			this.commonInitialization( marketIndex,startDateTime,endDateTime.AddDays(10) );
! 		}
! 		
! //		/// <summary>
! //		/// Starts the time walking simulation, based on index's dates
! //		/// </summary>
! //		public override void Start()
! //		{
! //			base.activateTimer();
! //			while ( this.isActive )
! //			{
! //				base.callEvents();
! //				this.moveNext();
! //			}
! //		}
! 		
! 		#region moveNext
! 		private void moveNext_with_currentDateTime_properlyInitialized()
! 		{
! 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose(
! 				this.currentDateTime ) )
  			{
! 				// current time is the last end of day event for the day
! 				DateTime followingDateForIndex =
! 					this.indexQuotes.GetFollowingDate(this.currentDateTime, 1);
! 				this.currentDateTime =
! 					HistoricalEndOfDayTimer.GetMarketOpen( followingDateForIndex );
! 				this.currentDateArrayPosition++;
  			}
+ 			else
+ 				// current time is the last end of day event for the day
+ 				base.moveNext();
+ 				
+ //			this.currentDateTime =
+ //				HistoricalEndOfDayTimer.ge
+ //			EndOfDaySpecificTime nextSpecificTime = this.currentTime.GetNextEndOfDaySpecificTime();
+ //			if ( nextSpecificTime < this.currentTime.EndOfDaySpecificTime )
+ //			{
+ //				// the current end of day specific time is the last end of day specific time in the day
+ //				this.currentTime.DateTime =
+ //					this.indexQuotes.GetFollowingDate(this.currentTime.DateTime, 1);
+ //				this.currentDateArrayPosition++;
+ //			}
+ //			this.currentTime.EndOfDaySpecificTime = nextSpecificTime;
+ 		}
+ 		//move the current endOfDayDateTime to the next moment
+ 		//at which the market is surely open
+ 		protected override void moveNext()
+ 		{
+ 			DateTime dateTimeForTheFirstStep =
+ 				HistoricalEndOfDayTimer.GetMarketOpen(
+ 			    	this.indexQuotes.StartDate );
+ 			if ( this.currentDateTime < dateTimeForTheFirstStep )
+ 				this.currentDateTime = dateTimeForTheFirstStep;
+ 			this.moveNext_with_currentDateTime_properlyInitialized();
+ 		}
+ 		#endregion moveNext
+ 		
+ 		/// <summary>
+ 		/// Gets the previous index based date time
+ 		/// </summary>
+ 		public DateTime GetPreviousDateTime()
+ 		{
+ 			return this.indexQuotes.GetPrecedingDate(this.currentDateTime,1);
+ 		}
+ 		/// <summary>
+ 		/// Gets the date time that is 'precedingDays' days before
+ 		/// the current date time of the current timer
+ 		/// </summary>
+ 		public DateTime GetPreviousDateTime(int precedingDays)
+ 		{
+ 			return this.indexQuotes.GetPrecedingDate(
+ 				this.currentDateTime,precedingDays);
  		}
  
  	}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19753/b4_Business/a07_DataProviders

Modified Files:
	TickerNotExchangedException.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: TickerNotExchangedException.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/TickerNotExchangedException.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TickerNotExchangedException.cs	27 Feb 2008 21:21:21 -0000	1.1
--- TickerNotExchangedException.cs	29 Sep 2008 21:22:45 -0000	1.2
***************
*** 33,37 ****
  	{
  		private string ticker;
! 		private EndOfDayDateTime endOfDayDateTime;
  		public override string Message
  		{
--- 33,37 ----
  	{
  		private string ticker;
! 		private DateTime dateTime;
  		public override string Message
  		{
***************
*** 40,51 ****
  				return "Missing quote for ticker " +
  					this.ticker + " for end of day date time " +
! 					this.endOfDayDateTime.Description;
  			}
  		}
  		public TickerNotExchangedException( string ticker ,
! 			EndOfDayDateTime endOfDayDateTime )
  		{
  			this.ticker = ticker;
! 			this.endOfDayDateTime = endOfDayDateTime;
  		}
  	}
--- 40,51 ----
  				return "Missing quote for ticker " +
  					this.ticker + " for end of day date time " +
! 					this.dateTime.ToString();
  			}
  		}
  		public TickerNotExchangedException( string ticker ,
! 			DateTime dateTime )
  		{
  			this.ticker = ticker;
! 			this.dateTime = dateTime;
  		}
  	}

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalAdjustedQuoteProvider.cs, 1.6, 1.7 HistoricalEndOfDayDataStreamer.cs, 1.5, 1.6 HistoricalRawQuoteProvider.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19614/b4_Business/a07_DataProviders

Modified Files:
	HistoricalAdjustedQuoteProvider.cs 
	HistoricalEndOfDayDataStreamer.cs 
	HistoricalRawQuoteProvider.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: HistoricalEndOfDayDataStreamer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalEndOfDayDataStreamer.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** HistoricalEndOfDayDataStreamer.cs	4 Feb 2005 00:10:25 -0000	1.5
--- HistoricalEndOfDayDataStreamer.cs	29 Sep 2008 21:22:23 -0000	1.6
***************
*** 26,29 ****
--- 26,30 ----
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
+ using QuantProject.Data.DataProviders.Quotes;
  
  namespace QuantProject.Business.DataProviders
***************
*** 37,47 ****
  		private Hashtable tickers;
  
! 		private IEndOfDayTimer endOfDayTimer;
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
  
! 		private EndOfDayDateTime startDateTime;
! 		private EndOfDayDateTime endDateTime;
  
! 		public EndOfDayDateTime StartDateTime
  		{
  			get	{	return this.startDateTime;	}
--- 38,48 ----
  		private Hashtable tickers;
  
! 		private Timer timer;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
  
! 		private DateTime startDateTime;
! 		private DateTime endDateTime;
  
! 		public DateTime StartDateTime
  		{
  			get	{	return this.startDateTime;	}
***************
*** 49,53 ****
  		}
  
! 		public EndOfDayDateTime EndDateTime
  		{
  			get	{	return this.endDateTime;	}
--- 50,54 ----
  		}
  
! 		public DateTime EndDateTime
  		{
  			get	{	return this.endDateTime;	}
***************
*** 55,68 ****
  		}
  
! 		public HistoricalEndOfDayDataStreamer( IEndOfDayTimer endOfDayTimer ,
! 			IHistoricalQuoteProvider historicalQuoteProvider )
  		{
! 			this.endOfDayTimer = endOfDayTimer;
! 			this.historicalQuoteProvider = historicalQuoteProvider;
! 			this.endOfDayTimer.MarketOpen += new MarketOpenEventHandler(
! 				this.marketOpenEventHandler );
  			this.tickers = new Hashtable();
  		}
  
  		/// <summary>
  		/// Returns the current bid for the given ticker
--- 56,117 ----
  		}
  
! 		public HistoricalEndOfDayDataStreamer(
! 			Timer timer ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider )
  		{
! 			this.timer = timer;
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
! 			this.timer.NewDateTime +=
! 				new NewDateTimeEventHandler(
! 				this.newTimeEventHandler );
  			this.tickers = new Hashtable();
  		}
  
+ 		#region newTimeEventHandler
+ 		private void riseNewQuotesIfTheCase(
+ 			DateTime dateTime , MarketStatusSwitch marketStatusSwitch )
+ 		{
+ 			if ( this.tickers.Count > 0 )
+ 			{
+ 				// the data streamer is monitoring some ticker
+ 				Hashtable quotes =
+ 					HistoricalQuotesProvider.GetAdjustedQuotes(
+ 						this.tickers , dateTime , marketStatusSwitch );
+ 				foreach ( Quote quote in quotes )
+ 					this.NewQuote( this , new NewQuoteEventArgs( quote ) );
+ 			}
+ 		}
+ 		private void newTimeEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ 				this.riseNewQuotesIfTheCase( dateTime , MarketStatusSwitch.Open );
+ 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ 				this.riseNewQuotesIfTheCase( dateTime , MarketStatusSwitch.Close );			
+ 		}
+ 		#endregion newTimeEventHandler
+ 
+ 		#region GetCurrentBid
+ 		private void getCurrentBid_checkValidTime()
+ 		{
+ 			DateTime currentDateTime = this.timer.GetCurrentDateTime();
+ 			if ( !HistoricalEndOfDayTimer.IsMarketStatusSwitch( currentDateTime ) )
+ 				throw new Exception(
+ 					"With this data streamer, GetCurrentBid can be invoked only " +
+ 					"if the current time is either on market open or on market " +
+ 					"close." );
+ 		}
+ 		
+ 		#region getCurrentBid_actually
+ 		private double getCurrentBid_actually( string ticker )
+ 		{
+ 			double currentBid =
+ 				this.historicalMarketValueProvider.GetMarketValue(
+ 					ticker ,
+ 					this.timer.GetCurrentDateTime() );
+ 			return currentBid;
+ 		}
+ 		#endregion getCurrentBid_actually
+ 		
  		/// <summary>
  		/// Returns the current bid for the given ticker
***************
*** 72,78 ****
  		public double GetCurrentBid( string ticker )
  		{
! 			return historicalQuoteProvider.GetMarketValue( ticker ,
! 				this.endOfDayTimer.GetCurrentTime() );
  		}
  
  		/// <summary>
--- 121,130 ----
  		public double GetCurrentBid( string ticker )
  		{
! 			this.getCurrentBid_checkValidTime();
! 			double currentBid =
! 				this.getCurrentBid_actually( ticker );
! 			return currentBid;
  		}
+ 		#endregion GetCurrentBid
  
  		/// <summary>
***************
*** 83,88 ****
  		public double GetCurrentAsk( string ticker )
  		{
! 			return historicalQuoteProvider.GetMarketValue( ticker ,
! 				this.endOfDayTimer.GetCurrentTime() );
  		}
  
--- 135,139 ----
  		public double GetCurrentAsk( string ticker )
  		{
! 			return this.GetCurrentBid( ticker );
  		}
  
***************
*** 94,99 ****
  		public bool IsExchanged( string ticker )
  		{
! 			return HistoricalDataProvider.WasExchanged( ticker ,
! 				this.endOfDayTimer.GetCurrentTime().GetNearestExtendedDateTime() );
  		}
  		/// <summary>
--- 145,150 ----
  		public bool IsExchanged( string ticker )
  		{
! 			return HistoricalQuotesProvider.WasExchanged(
! 				ticker , this.timer.GetCurrentDateTime() );
  		}
  		/// <summary>
***************
*** 119,136 ****
  //			timer.Start();
  //		}
- 
- 		private void marketOpenEventHandler(
- 			Object sender , EndOfDayTimingEventArgs eventArgs )
- 		{
- 			if ( this.tickers.Count > 0 )
- 			{
- 				// the data streamer is monitoring some ticker
- 				Hashtable quotes =
- 					HistoricalDataProvider.GetQuotes( this.tickers ,
- 					this.endOfDayTimer.GetCurrentTime().GetNearestExtendedDateTime() );
- 				foreach ( Quote quote in quotes )
- 					this.NewQuote( this , new NewQuoteEventArgs( quote ) );
- 			}
- 		}
  	}
  }
--- 170,173 ----

Index: HistoricalRawQuoteProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalRawQuoteProvider.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** HistoricalRawQuoteProvider.cs	10 Feb 2008 14:28:09 -0000	1.5
--- HistoricalRawQuoteProvider.cs	29 Sep 2008 21:22:23 -0000	1.6
***************
*** 3,7 ****
  
  HistoricalRawQuoteProvider.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  HistoricalRawQuoteProvider.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,28 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
  
  using QuantProject.Business.Timing;
! using QuantProject.Data.DataProviders;
  
  namespace QuantProject.Business.DataProviders
--- 19,29 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
  
+ using QuantProject.ADT;
  using QuantProject.Business.Timing;
! using QuantProject.Data.DataProviders.Quotes;
  
  namespace QuantProject.Business.DataProviders
***************
*** 32,45 ****
  	/// </summary>
  	[Serializable]
!   public class HistoricalRawQuoteProvider : HistoricalQuoteProvider
  	{
  		public HistoricalRawQuoteProvider()
  		{
  		}
! 		public override double GetMarketValue( string instrumentKey ,
! 			EndOfDayDateTime endOfDayDateTime )
  		{
! 			return HistoricalDataProvider.GetRawMarketValue( instrumentKey ,
! 				endOfDayDateTime.GetNearestExtendedDateTime() );
  		}
  
--- 33,52 ----
  	/// </summary>
  	[Serializable]
! 	public class HistoricalRawQuoteProvider : HistoricalMarketValueProvider
  	{
  		public HistoricalRawQuoteProvider()
  		{
  		}
! 		public override double GetMarketValue(
! 			string instrumentKey ,
! 			DateTime dateTime )
  		{
! 			MarketStatusSwitch marketStatusSwitch =
! 				HistoricalAdjustedQuoteProvider.GetMarketStatusSwitch( dateTime ); // TO DO move this method to an abstract class BasicQuotesProvider to be inherited both by HistoricalAdjustedQuoteProvider and by HistoricalRawQuoteProvider
! 			double marketValue = HistoricalQuotesProvider.GetRawMarketValue(
! 				instrumentKey ,
! 				ExtendedDateTime.GetDate( dateTime ) ,
! 				marketStatusSwitch );
! 			return marketValue;
  		}
  

Index: HistoricalAdjustedQuoteProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalAdjustedQuoteProvider.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** HistoricalAdjustedQuoteProvider.cs	10 Feb 2008 14:28:09 -0000	1.6
--- HistoricalAdjustedQuoteProvider.cs	29 Sep 2008 21:22:23 -0000	1.7
***************
*** 3,7 ****
  
  HistoricalAdjustedQuoteProvider.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  HistoricalAdjustedQuoteProvider.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,28 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
  
  using QuantProject.Business.Timing;
! using QuantProject.Data.DataProviders;
  
  namespace QuantProject.Business.DataProviders
--- 19,29 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
  
+ using QuantProject.ADT;
  using QuantProject.Business.Timing;
! using QuantProject.Data.DataProviders.Quotes;
  
  namespace QuantProject.Business.DataProviders
***************
*** 32,49 ****
  	/// </summary>
  	[Serializable]
! 	public class HistoricalAdjustedQuoteProvider : HistoricalQuoteProvider
  	{
  		public HistoricalAdjustedQuoteProvider()
  		{
  		}
! 		public override double GetMarketValue( string instrumentKey ,
! 			EndOfDayDateTime endOfDayDateTime )
  		{
! 			double marketValue =
! 				HistoricalDataProvider.GetAdjustedMarketValue( instrumentKey ,
! 				endOfDayDateTime.GetNearestExtendedDateTime() );
  			return marketValue;
  		}
  
  		protected override string getDescription()
  		{
--- 33,97 ----
  	/// </summary>
  	[Serializable]
! 	public class HistoricalAdjustedQuoteProvider : HistoricalMarketValueProvider
  	{
  		public HistoricalAdjustedQuoteProvider()
  		{
  		}
! 		
! 		// TO DO move GetMarketStatusSwitch to an abstract class
! 		// BasicQuotesProvider to be inherited both by HistoricalAdjustedQuoteProvider
! 		// and by HistoricalRawQuoteProvider
! 		#region GetMarketStatusSwitch
! 		private static void riseExceptionIfNotAtMarketSwitch( DateTime dateTime )
  		{
! 			if ( !HistoricalEndOfDayTimer.IsMarketStatusSwitch( dateTime ) )
! 				throw new Exception(
! 					"when GetCurrentMarketStatusSwitch() is invoked, dateTime " +
! 					"is expected to either be a market open or a market close." );
! 		}
! 		/// <summary>
! 		/// Returns the market status switch that corresponds to dateTime
! 		/// </summary>
! 		/// <param name="dateTime">it has to be either a market open or a
! 		/// market close</param>
! 		/// <returns></returns>
! 		public static MarketStatusSwitch GetMarketStatusSwitch(
! 			DateTime dateTime )
! 		{
! 			HistoricalAdjustedQuoteProvider.riseExceptionIfNotAtMarketSwitch( dateTime );
! 			MarketStatusSwitch marketStatusSwitch =
! 				MarketStatusSwitch.Open;
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 				marketStatusSwitch = MarketStatusSwitch.Close;
! 			return marketStatusSwitch;
! 		}
! 		#endregion GetMarketStatusSwitch
! 
! //		public override double GetMarketValue(
! //			string instrumentKey ,
! //			DateTime date ,
! //			MarketStatusSwitch marketStatusSwitch )
! //		{
! //			double marketValue =
! //				HistoricalQuotesProvider.GetAdjustedMarketValue(
! //					instrumentKey ,	date , marketStatusSwitch );
! //			return marketValue;
! //		}
! 		
! 		public override double GetMarketValue(
! 			string instrumentKey ,
! 			DateTime dateTime )
! 		{
! 			MarketStatusSwitch marketStatusSwitch =
! 				HistoricalAdjustedQuoteProvider.GetMarketStatusSwitch( dateTime );
! 				double marketValue =
! 				HistoricalQuotesProvider.GetAdjustedMarketValue(
! 					instrumentKey ,
! 					ExtendedDateTime.GetDate( dateTime ) ,
! 					marketStatusSwitch );
  			return marketValue;
  		}
  
+ 
  		protected override string getDescription()
  		{

[Quantproject-developers] QuantProject/b4_Business/a05_Timing HistoricalEndOfDayTimer.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19614/b4_Business/a05_Timing

Modified Files:
	HistoricalEndOfDayTimer.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: HistoricalEndOfDayTimer.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/HistoricalEndOfDayTimer.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** HistoricalEndOfDayTimer.cs	7 Feb 2008 18:43:35 -0000	1.9
--- HistoricalEndOfDayTimer.cs	29 Sep 2008 21:22:23 -0000	1.10
***************
*** 2,7 ****
  QuantProject - Quantitative Finance Library
  
! HistoricalDataStreamer.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 2,7 ----
  QuantProject - Quantitative Finance Library
  
! HistoricalEndOfDayTimer.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 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;
  using System.Collections;
--- 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;
  using System.Collections;
***************
*** 31,46 ****
  	/// </summary>
  	[Serializable]
! 	public class HistoricalEndOfDayTimer : IEndOfDayTimer
  	{
- 		protected bool isActive;	// true iff the timer is started and not stopped
- 
  		protected Hashtable tickers;
  
! 		protected EndOfDayDateTime currentTime;
! 
! 		protected EndOfDayDateTime startDateTime;
  //		private EndOfDayDateTime endDateTime;
  
! 		public EndOfDayDateTime StartDateTime
  		{
  			get	{	return this.startDateTime;	}
--- 31,68 ----
  	/// </summary>
  	[Serializable]
! 	public class HistoricalEndOfDayTimer : Timer
  	{
  		protected Hashtable tickers;
  
! 		protected DateTime startDateTime;
  //		private EndOfDayDateTime endDateTime;
+ 		
+ 		private static DateTime timeForMarketOpen =
+ 			new DateTime( 1900 , 1 , 1 , 9 , 30 , 00 );
+ 		private static DateTime timeForMarketClose =
+ 			new DateTime( 1900 , 1 , 1 , 16 , 00 , 00 );
+ 		
+ 		/// <summary>
+ 		/// time when the market opens
+ 		/// </summary>
+ 		public static DateTime TimeForMarketOpen {
+ 			get { return HistoricalEndOfDayTimer.timeForMarketOpen; }
+ 		}
+ 		
+ 		/// <summary>
+ 		/// time when the market closes
+ 		/// </summary>
+ 		public static DateTime TimeForMarketClose {
+ 			get { return HistoricalEndOfDayTimer.timeForMarketClose; }
+ 		}
  
! 		/// <summary>
! 		/// time for one hour after market closes
! 		/// </summary>
! 		public static DateTime TimeForOneHourAfterMarketClose {
! 			get { return HistoricalEndOfDayTimer.TimeForMarketClose.AddHours( 1 ); }
! 		}
! 
! 		public DateTime StartDateTime
  		{
  			get	{	return this.startDateTime;	}
***************
*** 53,125 ****
  //			set	{	this.endDateTime = value;	}
  //		}
-     [field:NonSerialized]
- 		public event MarketOpenEventHandler MarketOpen;
- 		[field:NonSerialized]
-     public event FiveMinutesBeforeMarketCloseEventHandler FiveMinutesBeforeMarketClose;
- 		[field:NonSerialized]
-     public event MarketCloseEventHandler MarketClose;
- 		[field:NonSerialized]
-     public event OneHourAfterMarketCloseEventHandler OneHourAfterMarketClose;
  
! 		public HistoricalEndOfDayTimer( EndOfDayDateTime startDateTime )
  		{
  			this.startDateTime = startDateTime;
  //			this.endDateTime = EndDateTime;
  			this.tickers = new Hashtable();
  		}
!     
!     protected void callEvents()
!     {
!       if ( ( this.MarketOpen != null ) && ( this.currentTime.EndOfDaySpecificTime ==
!         EndOfDaySpecificTime.MarketOpen ) )
!         this.MarketOpen( this , new EndOfDayTimingEventArgs( this.currentTime ) );
!       if ( ( this.FiveMinutesBeforeMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
!         EndOfDaySpecificTime.FiveMinutesBeforeMarketClose ) )
!         this.FiveMinutesBeforeMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
!       if ( ( this.MarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
!         EndOfDaySpecificTime.MarketClose ) )
!         this.MarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
!       if ( ( this.OneHourAfterMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
!         EndOfDaySpecificTime.OneHourAfterMarketClose ) )
!         this.OneHourAfterMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
!     }
  
-     protected virtual void moveNext()
-     {
-       this.currentTime.MoveNext();
-     }
-     
-     protected virtual void activeTimer()
-     {
-       this.isActive = true;
-       this.currentTime = this.startDateTime.Copy();
-     }
  		/// <summary>
! 		/// Starts the time walking simulation
  		/// </summary>
! 		public virtual void Start()
  		{
!       this.activeTimer();
! 			while ( this.isActive )
  			{
!         this.callEvents();
! 				this.moveNext();
  			}
  		}
  
! 		public EndOfDayDateTime GetCurrentTime()
  		{
! 			if ( !this.isActive )
! 				throw new Exception( "Start() has not been invoked yet!" +
! 					"GetCurrentTime() cannot be invoked before Start()" ); 
! 			return this.currentTime;
  		}
  
  		/// <summary>
! 		/// Stops the timer
  		/// </summary>
! 		public void Stop()
  		{
! 			this.isActive = false;
  		}
  	}
--- 75,321 ----
  //			set	{	this.endDateTime = value;	}
  //		}
  
! 		public HistoricalEndOfDayTimer( DateTime startDateTime )
  		{
  			this.startDateTime = startDateTime;
  //			this.endDateTime = EndDateTime;
  			this.tickers = new Hashtable();
+ 			
+ //			HistoricalEndOfDayTimer.timeForMarketOpen =
+ //				new DateTime( 1900 , 1 , 1 , 9 , 30 , 00 );
+ //			HistoricalEndOfDayTimer.timeForMarketClose =
+ //				new DateTime( 1900 , 1 , 1 , 16 , 00 , 00 );
  		}
! 		
! 		protected override void initializeTimer()
! 		{
! 			this.currentDateTime =
! 				ExtendedDateTime.Copy( this.startDateTime );
! 		}
! 		
! 		#region moveNext
! 		protected bool isBetweenMarketCloseAndOneHourAfterMarketClose()
! 		{
! 			bool isBetween =
! 				( ( this.currentDateTime >=
! 				   HistoricalEndOfDayTimer.GetMarketClose( this.currentDateTime ) )
! 				 &&
! 				 ( this.currentDateTime <
! 				  HistoricalEndOfDayTimer.GetOneHourAfterMarketClose(
! 				  	this.currentDateTime ) ) );
! 			return isBetween;
! 		}
! 		protected override void moveNext()
! 		{
! 			if ( this.isBetweenMarketCloseAndOneHourAfterMarketClose() )
! 				this.currentDateTime =
! 					HistoricalEndOfDayTimer.GetOneHourAfterMarketClose(
! 						this.currentDateTime );
! 			else
! 				// current time is either before market close or >= one hour
! 				// after market close
! 				this.currentDateTime =
! 					HistoricalEndOfDayTimer.GetNextMarketStatusSwitch(
! 						this.currentDateTime );
! 		}
! 		#endregion moveNext
  
  		/// <summary>
! 		/// true iif the argument is at market open
  		/// </summary>
! 		/// <param name="dateTime"></param>
! 		/// <returns></returns>
! 		public static bool IsMarketOpen( DateTime dateTime )
  		{
! 			bool returnValue =
! 				ExtendedDateTime.HaveTheSameTime(
! 					dateTime , HistoricalEndOfDayTimer.TimeForMarketOpen );
! 			return returnValue;
! 		}
! 		
! 		/// <summary>
! 		/// true iif the argument is at market close
! 		/// </summary>
! 		/// <param name="dateTime"></param>
! 		/// <returns></returns>
! 		public static bool IsMarketClose( DateTime dateTime )
! 		{
! 			bool returnValue =
! 				ExtendedDateTime.HaveTheSameTime(
! 					dateTime , HistoricalEndOfDayTimer.TimeForMarketClose );
! 			return returnValue;
! 		}
! 
! 		/// <summary>
! 		/// true iif the argument is one our after market close
! 		/// </summary>
! 		/// <param name="dateTime"></param>
! 		/// <returns></returns>
! 		public static bool IsOneHourAfterMarketClose( DateTime dateTime )
! 		{
! 			bool returnValue =
! 				ExtendedDateTime.HaveTheSameTime(
! 					dateTime ,
! 					HistoricalEndOfDayTimer.TimeForOneHourAfterMarketClose );
! 			return returnValue;
! 		}
! 		
! 		/// <summary>
! 		/// true iif the argument is an end of day relevant time
! 		/// </summary>
! 		/// <param name="dateTime"></param>
! 		/// <returns></returns>
! 		public static bool IsEndOfDayDateTime( DateTime dateTime )
! 		{
! 			bool isEndOfDayDateTime =
! 				( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) ||
! 				 HistoricalEndOfDayTimer.IsMarketClose( dateTime ) ||
! 				 HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) );
! 			return isEndOfDayDateTime;
! 		}
! 		
! 		/// <summary>
! 		/// true iif the argument is either at market close or at market open
! 		/// </summary>
! 		/// <param name="dateTime"></param>
! 		/// <returns></returns>
! 		public static bool IsMarketStatusSwitch( DateTime dateTime )
! 		{
! 			bool isEndOfDayDateTime =
! 				( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) ||
! 				 HistoricalEndOfDayTimer.IsMarketClose( dateTime ) );
! 			return isEndOfDayDateTime;
! 		}
! 		
! 		#region GetNextMarketStatusSwitch
! //		private void getNextMarketStatusSwitch_checkParameters(
! //			DateTime dateTime)
! //		{
! //			if ( !HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) &&
! //			    !HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! //				throw new Exception( "dateTime must be a
! //		}
! 		/// <summary>
! 		/// Returns either the next market close or the next market open,
! 		/// whichever is the nearest (all days are considered as market
! 		/// days, week-ends included)
! 		/// We have a market status switch when the market opens and when
! 		/// the market closes
! 		/// </summary>
! 		/// <returns></returns>
! 		public static DateTime GetNextMarketStatusSwitch(
! 			DateTime dateTime)
! 		{
! //			this.getNextMarketStatusSwitch_checkParameters(
! //				dateTime );
! 			DateTime nextMarketStatusSwitch;
! 			if ( ExtendedDateTime.IsFirstTimeLessThenSecondTime(
! 				dateTime , HistoricalEndOfDayTimer.TimeForMarketOpen ) )
! 				// dateTime's time is before market open
! 				nextMarketStatusSwitch = new DateTime(
! 					dateTime.Year , dateTime.Month , dateTime.Day ,
! 					HistoricalEndOfDayTimer.TimeForMarketOpen.Hour ,
! 					HistoricalEndOfDayTimer.TimeForMarketOpen.Minute ,
! 					HistoricalEndOfDayTimer.TimeForMarketOpen.Second );
! 			else
  			{
! 				// dateTime's time is equal or after the market open
! 				if ( ExtendedDateTime.IsFirstTimeLessThenSecondTime(
! 					dateTime , HistoricalEndOfDayTimer.TimeForMarketClose ) )
! 					// dateTime's time is equal or after the market open
! 					// AND dateTime's time is before market close
! 					nextMarketStatusSwitch = new DateTime(
! 						dateTime.Year , dateTime.Month , dateTime.Day ,
! 						HistoricalEndOfDayTimer.TimeForMarketClose.Hour ,
! 						HistoricalEndOfDayTimer.TimeForMarketClose.Minute ,
! 						HistoricalEndOfDayTimer.TimeForMarketClose.Second );
! 				else
! 					// dateTime's time is equal or after the market close
! 				{
! 					DateTime nextDay =
! 						dateTime.AddDays( 1 );
! 					nextMarketStatusSwitch = new DateTime(
! 						nextDay.Year , nextDay.Month , nextDay.Day ,
! 						HistoricalEndOfDayTimer.TimeForMarketOpen.Hour ,
! 						HistoricalEndOfDayTimer.TimeForMarketOpen.Minute ,
! 						HistoricalEndOfDayTimer.TimeForMarketOpen.Second );
! 				}
  			}
+ 			
+ //
+ //				    if ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketOpen )
+ //				    	nextMarketStatusSwitch = new EndOfDayDateTime(
+ //				    		this.DateTime , EndOfDaySpecificTime.MarketOpen );
+ //				    else
+ //				    {
+ //				    	// this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketOpen
+ //				    	if ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketClose )
+ //				    		// ( this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketOpen )
+ //				    		// AND ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketClose )
+ //				    		nextMarketStatusSwitch = new EndOfDayDateTime(
+ //				    			this.DateTime , EndOfDaySpecificTime.MarketClose );
+ //				    	else
+ //				    		// ( this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketClose )
+ //				    		nextMarketStatusSwitch = new EndOfDayDateTime(
+ //				    			this.DateTime.AddDays( 1 ) , EndOfDaySpecificTime.MarketOpen );
+ //				    }
+ 			return nextMarketStatusSwitch;
+ 		}
+ 		#endregion GetNextMarketStatusSwitch
+ 		
+ 		/// <summary>
+ 		/// Returns the market open time, for the date of the given dateTime
+ 		/// </summary>
+ 		/// <param name="dateTime"></param>
+ 		/// <returns></returns>
+ 		public static DateTime GetMarketOpen( DateTime dateTime )
+ 		{
+ 			DateTime date = ExtendedDateTime.GetDate( dateTime );
+ 			DateTime marketOpen =
+ 				HistoricalEndOfDayTimer.GetNextMarketStatusSwitch( date );
+ 			return marketOpen;
+ 		}
+ 		
+ 		/// <summary>
+ 		/// Returns the market close time, for the date of the given dateTime
+ 		/// </summary>
+ 		/// <param name="dateTime"></param>
+ 		/// <returns></returns>
+ 		public static DateTime GetMarketClose( DateTime dateTime )
+ 		{
+ 			DateTime marketOpen =
+ 				HistoricalEndOfDayTimer.GetMarketOpen( dateTime );
+ 			DateTime marketClose =
+ 				HistoricalEndOfDayTimer.GetNextMarketStatusSwitch( marketOpen );
+ 			return marketClose;
  		}
  
! 		
! 		/// <summary>
! 		/// Returns the one hour after market close time, for the
! 		/// date of the given dateTime
! 		/// </summary>
! 		/// <param name="dateTime"></param>
! 		/// <returns></returns>
! 		public static DateTime GetOneHourAfterMarketClose( DateTime dateTime )
  		{
! 			DateTime marketClose =
! 				HistoricalEndOfDayTimer.GetMarketClose( dateTime );
! 			DateTime oneHourAfterMarketClose = marketClose.AddHours( 1 );
! 			return oneHourAfterMarketClose;
  		}
  
  		/// <summary>
! 		/// Returns returns five minutes before market close time, for the
! 		/// date of the given dateTime
  		/// </summary>
! 		/// <param name="dateTime"></param>
! 		/// <returns></returns>
! 		public static DateTime GetFiveMinutesBeforeMarketClose( DateTime dateTime )
  		{
! 			DateTime marketClose =
! 				HistoricalEndOfDayTimer.GetMarketClose( dateTime );
! 			DateTime fiveMinutesBeforeMarketClose = marketClose.AddMinutes( -5 );
! 			return fiveMinutesBeforeMarketClose;
  		}
  	}

[Quantproject-developers] QuantProject/b91_QuantProject Main.cs, 1.21, 1.22

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19100

Modified Files:
	Main.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: Main.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/Main.cs,v
retrieving revision 1.21
retrieving revision 1.22
diff -C2 -d -r1.21 -r1.22
*** Main.cs	19 Aug 2008 17:27:01 -0000	1.21
--- Main.cs	29 Sep 2008 21:22:01 -0000	1.22
***************
*** 474,479 ****
  //			new WFLagMain().ShowDialog();
  
! 			new FixedLengthTwoPhasesMain().Run();
! //			new PairsTradingMain().Run();
  			
  //			new RunOneRank().Run();
--- 474,479 ----
  //			new WFLagMain().ShowDialog();
  
! //			new FixedLengthTwoPhasesMain().Run();
! 			new PairsTradingMain().Run();
  			
  //			new RunOneRank().Run();

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank RunWalkForwardOneRank.cs, 1.11, 1.12

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19021

Modified Files:
	RunWalkForwardOneRank.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: RunWalkForwardOneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardOneRank/RunWalkForwardOneRank.cs,v
retrieving revision 1.11
retrieving revision 1.12
diff -C2 -d -r1.11 -r1.12
*** RunWalkForwardOneRank.cs	15 Oct 2005 18:21:01 -0000	1.11
--- RunWalkForwardOneRank.cs	29 Sep 2008 21:21:47 -0000	1.12
***************
*** 3,7 ****
  
  RunWalkForwardOneRank.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  RunWalkForwardOneRank.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 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;
***************
*** 51,65 ****
  	public class RunWalkForwardOneRank : Script , IWalkForwardProgressNotifier
  	{
! 		private IHistoricalQuoteProvider historicalQuoteProvider =
  			new HistoricalAdjustedQuoteProvider();
!     private ReportTable reportTable;
  
!     private EndOfDayDateTime startDateTime;
!     private EndOfDayDateTime endDateTime;
  		int numberDaysForPerformanceCalculation;
  
!     private int numIntervalDays;
  
!     private ProgressBarForm progressBarForm;
  
  		private EndOfDayTimerHandler endOfDayTimerHandler;
--- 51,65 ----
  	public class RunWalkForwardOneRank : Script , IWalkForwardProgressNotifier
  	{
! 		private HistoricalMarketValueProvider historicalMarketValueProvider =
  			new HistoricalAdjustedQuoteProvider();
! 		private ReportTable reportTable;
  
! 		private DateTime startDateTime;
! 		private DateTime endDateTime;
  		int numberDaysForPerformanceCalculation;
  
! 		private int numIntervalDays;
  
! 		private ProgressBarForm progressBarForm;
  
  		private EndOfDayTimerHandler endOfDayTimerHandler;
***************
*** 67,79 ****
  		private Account account;
  		
! 		private IEndOfDayTimer endOfDayTimer;
  
  		public RunWalkForwardOneRank()
  		{
  			this.reportTable = new ReportTable( "Summary_Reports" );
! 			this.startDateTime = new EndOfDayDateTime(
! 				new DateTime( 2002 , 1 , 1 ) , EndOfDaySpecificTime.MarketOpen );
! 			this.endDateTime = new EndOfDayDateTime(
! 				new DateTime( 2002 , 12 , 31 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.numberDaysForPerformanceCalculation = 120;
  			this.numIntervalDays = 1;
--- 67,85 ----
  		private Account account;
  		
! 		private QuantProject.Business.Timing.Timer endOfDayTimer;
  
  		public RunWalkForwardOneRank()
  		{
  			this.reportTable = new ReportTable( "Summary_Reports" );
! 			this.startDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose(
! 					new DateTime( 2002 , 1 , 1 ) );
! //			new EndOfDayDateTime(
! //				new DateTime( 2002 , 1 , 1 ) , EndOfDaySpecificTime.MarketOpen );
! 			this.endDateTime =
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose(
! 					new DateTime( 2002 , 12 , 31 ) );
! //				new EndOfDayDateTime(
! //				new DateTime( 2002 , 12 , 31 ) , EndOfDaySpecificTime.OneHourAfterMarketClose );
  			this.numberDaysForPerformanceCalculation = 120;
  			this.numIntervalDays = 1;
***************
*** 83,87 ****
  		public event NewProgressEventHandler OutOfSampleNewProgress;
  
!     #region Run
  		private void run_initializeEndOfDayTimer()
  		{
--- 89,93 ----
  		public event NewProgressEventHandler OutOfSampleNewProgress;
  
! 		#region Run
  		private void run_initializeEndOfDayTimer()
  		{
***************
*** 92,105 ****
  		{
  			this.account = new Account( "WalkForwardOneRank" , this.endOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) ,
! 				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
  		{
  			this.endOfDayTimerHandler = new EndOfDayTimerHandler( 400 , 20 , 5 ,
! 				this.numberDaysForPerformanceCalculation , 30 ,
! 				this.account );
  //			this.endOfDayTimerHandler = new EndOfDayTimerHandler( 4 , 3 , 2 , 100 , 30 ,
  //				this.account );
--- 98,111 ----
  		{
  			this.account = new Account( "WalkForwardOneRank" , this.endOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) );
  		}
  		private void run_initializeEndOfDayTimerHandler()
  		{
  			this.endOfDayTimerHandler = new EndOfDayTimerHandler( 400 , 20 , 5 ,
! 			                                                     this.numberDaysForPerformanceCalculation , 30 ,
! 			                                                     this.account );
  //			this.endOfDayTimerHandler = new EndOfDayTimerHandler( 4 , 3 , 2 , 100 , 30 ,
  //				this.account );
***************
*** 128,141 ****
  				new InSampleNewProgressEventHandler( this.inSampleNewProgressEventHandler );
  		}
  		#region oneHourAfterMarketCloseEventHandler
  		private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
! 			IEndOfDayTimer endOfDayTimer )
  		{
! 			long elapsedDays = Convert.ToInt64( ((TimeSpan)( endOfDayTimer.GetCurrentTime().DateTime - 
! 				this.startDateTime.DateTime )).TotalDays );
! 			double totalDays = Convert.ToDouble( ((TimeSpan)( this.endDateTime.DateTime - 
! 				this.startDateTime.DateTime )).TotalDays + 1);
  			if ( Math.Floor( elapsedDays / totalDays * 100 ) >
! 				Math.Floor( ( elapsedDays - 1 ) / totalDays * 100 ) )
  			{
  				// a new out of sample time percentage point has been elapsed
--- 134,155 ----
  				new InSampleNewProgressEventHandler( this.inSampleNewProgressEventHandler );
  		}
+ 		
+ 		public void marketOpenEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			if ( this.account.Transactions.Count == 0 )
+ 				this.account.AddCash( 30000 );
+ 		}
+ 		
  		#region oneHourAfterMarketCloseEventHandler
  		private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
! 			QuantProject.Business.Timing.Timer endOfDayTimer )
  		{
! 			long elapsedDays = Convert.ToInt64( ((TimeSpan)( endOfDayTimer.GetCurrentDateTime() -
! 			                                                this.startDateTime )).TotalDays );
! 			double totalDays = Convert.ToDouble( ((TimeSpan)( this.endDateTime -
! 			                                                 this.startDateTime )).TotalDays + 1);
  			if ( Math.Floor( elapsedDays / totalDays * 100 ) >
! 			    Math.Floor( ( elapsedDays - 1 ) / totalDays * 100 ) )
  			{
  				// a new out of sample time percentage point has been elapsed
***************
*** 146,158 ****
  			}
  		}
! 		public void marketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 			if ( this.account.Transactions.Count == 0 )
! 				this.account.AddCash( 30000 );
! 		}
! 		#region oneHourAfterMarketCloseEventHandler
  		private void showOneRankForm( object sender ,
! 			MouseEventArgs eventArgs )
  		{
  			DataGrid dataGrid = (DataGrid)sender;
--- 160,167 ----
  			}
  		}
! 		
! 		#region mouseEventHandler
  		private void showOneRankForm( object sender ,
! 		                             MouseEventArgs eventArgs )
  		{
  			DataGrid dataGrid = (DataGrid)sender;
***************
*** 177,192 ****
  		}
  		#endregion
! 		public void oneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
! 				this.endDateTime.DateTime )
  			{
  				// the simulation has reached the ending date
! 				this.account.EndOfDayTimer.Stop();
  //				this.progressBarForm.Close();
  //				ObjectArchiver.Archive( this.account ,
  //					@"C:\Documents and Settings\Glauco\Desktop\reports\final.qP" );
! 				Report report = new Report( this.account , this.historicalQuoteProvider );
  				report.Create( "WFT One Rank" , this.numIntervalDays , this.endDateTime , "MSFT" );
  				report.TransactionGrid.MouseUp +=
--- 186,202 ----
  		}
  		#endregion
! 		
! 		private void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			if ( ( ( QuantProject.Business.Timing.Timer )sender ).GetCurrentDateTime() >
! 			    this.endDateTime )
  			{
  				// the simulation has reached the ending date
! 				this.account.Timer.Stop();
  //				this.progressBarForm.Close();
  //				ObjectArchiver.Archive( this.account ,
  //					@"C:\Documents and Settings\Glauco\Desktop\reports\final.qP" );
! 				Report report = new Report( this.account , this.historicalMarketValueProvider );
  				report.Create( "WFT One Rank" , this.numIntervalDays , this.endDateTime , "MSFT" );
  				report.TransactionGrid.MouseUp +=
***************
*** 197,203 ****
  				// the simulation has not reached the ending date, yet
  				this.oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
! 					( IEndOfDayTimer )sender );
  		}
  		#endregion
  		public override void Run()
  		{
--- 207,226 ----
  				// the simulation has not reached the ending date, yet
  				this.oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
! 					( QuantProject.Business.Timing.Timer )sender );
  		}
  		#endregion
+ 		
+ 		private void newDateTimeEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
+ 				this.marketOpenEventHandler( sender , dateTime );
+ //			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
+ //				this.marketCloseEventHandler( sender , dateTime );
+ 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
+ 				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
+ 		}
+ 
+ 		
  		public override void Run()
  		{
***************
*** 207,225 ****
  			run_initializeProgressBar();
  			run_initializeProgressHandlers();
! 			this.endOfDayTimer.MarketOpen +=
! 				new MarketOpenEventHandler( this.marketOpenEventHandler );
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.oneHourAfterMarketCloseEventHandler );
! 			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! 				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
  //			this.progressBarForm.Show();
  			this.endOfDayTimer.Start();
  		}
!     #endregion
  	}
  }
--- 230,254 ----
  			run_initializeProgressBar();
  			run_initializeProgressHandlers();
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 
! //			this.endOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler( this.marketOpenEventHandler );
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //				this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //				this.oneHourAfterMarketCloseEventHandler );
! //			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! //				new FiveMinutesBeforeMarketCloseEventHandler(
! //				this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
! 			
  //			this.progressBarForm.Show();
  			this.endOfDayTimer.Start();
  		}
! 		#endregion
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs, 1.9, 1.10 WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18958/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio

Modified Files:
	WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs 
	WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs	28 Oct 2007 22:35:28 -0000	1.9
--- WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs	29 Sep 2008 21:21:41 -0000	1.10
***************
*** 55,59 ****
  		protected GeneticOptimizer geneticOptimizer;
  		protected WFLagWeightedPositions wFLagChosenPositions;
! 		private EndOfDayDateTime timeWhenChosePositionsIsRequested;
  
  //		// first in sample quote date for driving positions
--- 55,59 ----
  		protected GeneticOptimizer geneticOptimizer;
  		protected WFLagWeightedPositions wFLagChosenPositions;
! 		private DateTime timeWhenChosePositionsIsRequested;
  
  //		// first in sample quote date for driving positions
***************
*** 138,154 ****
  		}
  		#region setChosenPositions_usingTheGeneticOptimizer
! 		private ReturnIntervals getReturnIntervals( EndOfDayDateTime now )
  		{
  			DateTime firstInSampleDateForDrivingPositions =
! 				now.DateTime.AddDays(
  				-( this.NumberDaysForInSampleOptimization - 1 ) );
  			DateTime lastInSampleOptimizationDate =
! 				now.DateTime;
  			ReturnIntervals returnIntervals =
  				new CloseToCloseIntervals(
! 				new EndOfDayDateTime( firstInSampleDateForDrivingPositions ,
! 				EndOfDaySpecificTime.MarketClose ) ,
! 				new EndOfDayDateTime( lastInSampleOptimizationDate ,
! 				EndOfDaySpecificTime.MarketClose ) ,
  				this.benchmark );
  			return returnIntervals;
--- 138,156 ----
  		}
  		#region setChosenPositions_usingTheGeneticOptimizer
! 		private ReturnIntervals getReturnIntervals( DateTime now )
  		{
  			DateTime firstInSampleDateForDrivingPositions =
! 				now.AddDays(
  				-( this.NumberDaysForInSampleOptimization - 1 ) );
  			DateTime lastInSampleOptimizationDate =
! 				now;
  			ReturnIntervals returnIntervals =
  				new CloseToCloseIntervals(
! 				HistoricalEndOfDayTimer.GetMarketClose( firstInSampleDateForDrivingPositions ) ,
! 				HistoricalEndOfDayTimer.GetMarketClose( lastInSampleOptimizationDate ) ,
! //				new EndOfDayDateTime( firstInSampleDateForDrivingPositions ,
! //				EndOfDaySpecificTime.MarketClose ) ,
! //				new EndOfDayDateTime( lastInSampleOptimizationDate ,
! //				EndOfDaySpecificTime.MarketClose ) ,
  				this.benchmark );
  			return returnIntervals;
***************
*** 162,166 ****
  				new WFLagGenerationDebugger(
  				e.Generation ,
! 				this.timeWhenChosePositionsIsRequested.DateTime ,
  				this.NumberDaysForInSampleOptimization ,
  				this.benchmark );
--- 164,168 ----
  				new WFLagGenerationDebugger(
  				e.Generation ,
! 				this.timeWhenChosePositionsIsRequested ,
  				this.NumberDaysForInSampleOptimization ,
  				this.benchmark );
***************
*** 190,194 ****
  		private void setChosenPositions_FromDecodableGenome(
  			IGenomeManager genomeManager , Genome genome ,
! 			EndOfDayDateTime now )
  		{
  			this.wFLagChosenPositions =
--- 192,196 ----
  		private void setChosenPositions_FromDecodableGenome(
  			IGenomeManager genomeManager , Genome genome ,
! 			DateTime now )
  		{
  			this.wFLagChosenPositions =
***************
*** 209,213 ****
  		public virtual void setChosenPositions_usingTheGeneticOptimizer(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
! 			EndOfDayDateTime now )
  		{
  			ReturnIntervals returnIntervals =
--- 211,215 ----
  		public virtual void setChosenPositions_usingTheGeneticOptimizer(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
! 			DateTime now )
  		{
  			ReturnIntervals returnIntervals =
***************
*** 247,253 ****
  		private void chosePositions_checkParameters(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
! 			EndOfDayDateTime now )
  		{
! 			if ( now.EndOfDaySpecificTime != EndOfDaySpecificTime.OneHourAfterMarketClose )
  				throw new Exception( "The 'now' parameter must be one hour after market " +
  					"close. It is not." );
--- 249,256 ----
  		private void chosePositions_checkParameters(
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
! 			DateTime now )
  		{
! 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( now ) )
! //			if ( now.EndOfDaySpecificTime != EndOfDaySpecificTime.OneHourAfterMarketClose )
  				throw new Exception( "The 'now' parameter must be one hour after market " +
  					"close. It is not." );
***************
*** 269,273 ****
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			WFLagEligibleTickers eligibleTickersForPortfolioPositions ,
! 			EndOfDayDateTime now )
  		{
  			this.timeWhenChosePositionsIsRequested = now;
--- 272,276 ----
  			WFLagEligibleTickers eligibleTickersForDrivingPositions ,
  			WFLagEligibleTickers eligibleTickersForPortfolioPositions ,
! 			DateTime now )
  		{
  			this.timeWhenChosePositionsIsRequested = now;

Index: WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WeightedPositionsChoosers/WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio/WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	16 Sep 2007 22:17:18 -0000	1.6
--- WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs	29 Sep 2008 21:21:41 -0000	1.7
***************
*** 127,135 ****
  //				11 );
  			GenomeManagement.SetRandomGenerator( seedForRandomGenerator );
! 			IHistoricalQuoteProvider historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
  			this.closeToCloseReturnsManager =
  				new ReturnsManager( this.returnIntervalsForOptimization ,
! 				historicalQuoteProvider );
  
  			this.wFLagMeaningForUndecodableGenomes =
--- 127,135 ----
  //				11 );
  			GenomeManagement.SetRandomGenerator( seedForRandomGenerator );
! 			HistoricalMarketValueProvider historicalMarketValueProvider =
  				new HistoricalAdjustedQuoteProvider();
  			this.closeToCloseReturnsManager =
  				new ReturnsManager( this.returnIntervalsForOptimization ,
! 				historicalMarketValueProvider );
  
  			this.wFLagMeaningForUndecodableGenomes =

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger WFLagRunDebugger.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18958/WFLagDebugger

Modified Files:
	WFLagRunDebugger.cs 
Log Message:
The new revision moves toward an intraday enabled framework.

EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly.

Index: WFLagRunDebugger.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag/WFLagDebugger/WFLagRunDebugger.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFLagRunDebugger.cs	22 Jun 2006 21:39:24 -0000	1.2
--- WFLagRunDebugger.cs	29 Sep 2008 21:21:42 -0000	1.3
***************
*** 3,7 ****
  
  WFLagRunDebugger.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  WFLagRunDebugger.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 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;
***************
*** 49,62 ****
  			DateTime lastDateTime =
  				((DateTime)transactionHistory.GetKey(
! 				transactionHistory.Count - 1 ) ).AddDays( 1 );
  			RebuildableAccount account =
  				new RebuildableAccount( "FromSerializedTransactions" );
  			account.Add( transactionHistory );
  			Report report = new Report( account ,
! 				new HistoricalAdjustedQuoteProvider() );
! 			report.Create( "WFT One Rank" , 1 ,
! 				new EndOfDayDateTime(
! 				lastDateTime ,
! 				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  				"^SPX" );
  			WFLagReportDebugger wFLagReportDebugger =
--- 49,65 ----
  			DateTime lastDateTime =
  				((DateTime)transactionHistory.GetKey(
! 					transactionHistory.Count - 1 ) ).AddDays( 1 );
  			RebuildableAccount account =
  				new RebuildableAccount( "FromSerializedTransactions" );
  			account.Add( transactionHistory );
  			Report report = new Report( account ,
! 			                           new HistoricalAdjustedQuoteProvider() );
! 			report.Create(
! 				"WFT One Rank" , 1 ,
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose(
! 					lastDateTime ) ,
! //				new EndOfDayDateTime(
! //				lastDateTime ,
! //				EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  				"^SPX" );
  			WFLagReportDebugger wFLagReportDebugger =
***************
*** 64,68 ****
  			report.TransactionGrid.MouseUp +=
  				new MouseEventHandler(
! 				wFLagReportDebugger.MouseClickEventHandler );
  			report.Show();
  		}
--- 67,71 ----
  			report.TransactionGrid.MouseUp +=
  				new MouseEventHandler(
! 					wFLagReportDebugger.MouseClickEventHandler );
  			report.Show();
  		}