quantproject-developers

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies WeightedPosition.cs, 1.3, 1.4 WeightedPositions.cs, 1.14, 1.15

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16256

Modified Files:
	WeightedPosition.cs WeightedPositions.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: WeightedPosition.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/WeightedPosition.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WeightedPosition.cs	14 Jan 2008 23:24:48 -0000	1.3
--- WeightedPosition.cs	29 Sep 2008 21:17:57 -0000	1.4
***************
*** 99,110 ****
  				new HistoricalAdjustedQuoteProvider();
  			double todayMarketValueAtClose =
! 				historicalAdjustedQuoteProvider.GetMarketValue(	ticker ,
! 				new EndOfDayDateTime( dateTime , EndOfDaySpecificTime.MarketClose ) );
  			DateTime yesterday = dateTime.AddDays( -1 );
! 			EndOfDayDateTime yesterdayAtClose = new
! 				EndOfDayDateTime( yesterday ,	EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose =
  				historicalAdjustedQuoteProvider.GetMarketValue(
! 				ticker , yesterdayAtClose );
  			double dailyReturnForLongPosition =
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
--- 99,112 ----
  				new HistoricalAdjustedQuoteProvider();
  			double todayMarketValueAtClose =
! 				historicalAdjustedQuoteProvider.GetMarketValue(
! 					ticker , HistoricalEndOfDayTimer.GetMarketClose( dateTime ) );
! //				new EndOfDayDateTime( dateTime , EndOfDaySpecificTime.MarketClose ) );
  			DateTime yesterday = dateTime.AddDays( -1 );
! 			DateTime yesterdayAtClose =
! 				HistoricalEndOfDayTimer.GetMarketClose( yesterday );
! //				new	EndOfDayDateTime( yesterday ,	EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose =
  				historicalAdjustedQuoteProvider.GetMarketValue(
! 					ticker , yesterdayAtClose );
  			double dailyReturnForLongPosition =
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;

Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/WeightedPositions.cs,v
retrieving revision 1.14
retrieving revision 1.15
diff -C2 -d -r1.14 -r1.15
*** WeightedPositions.cs	27 Feb 2008 22:17:10 -0000	1.14
--- WeightedPositions.cs	29 Sep 2008 21:17:57 -0000	1.15
***************
*** 256,261 ****
  			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
! 			EndOfDayDateTime endOfDayDateTime =
! 				new EndOfDayDateTime( dateTime , EndOfDaySpecificTime.MarketClose );
  			foreach( WeightedPosition weightedPosition in	this.Values )
  			{
--- 256,261 ----
  			HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
! //			EndOfDayDateTime endOfDayDateTime =
! //				new EndOfDayDateTime( dateTime , EndOfDaySpecificTime.MarketClose );
  			foreach( WeightedPosition weightedPosition in	this.Values )
  			{
***************
*** 265,269 ****
  				double tickerQuote =
  					historicalAdjustedQuoteProvider.GetMarketValue(
! 					ticker , endOfDayDateTime );
  				double virtualQuantityForThisPosition = valueForThisPosition / tickerQuote;
  				if ( weightedPosition.IsShort )
--- 265,269 ----
  				double tickerQuote =
  					historicalAdjustedQuoteProvider.GetMarketValue(
! 						ticker , dateTime );
  				double virtualQuantityForThisPosition = valueForThisPosition / tickerQuote;
  				if ( weightedPosition.IsShort )
***************
*** 299,306 ****
  			foreach( string ticker in tickerVirtualQuantities.Keys )
  			{
! 				EndOfDayDateTime endOfDayDateTime =	new EndOfDayDateTime(
! 					dateTime , EndOfDaySpecificTime.MarketClose );
  				double tickerQuote = historicalAdjustedQuoteProvider.GetMarketValue(
! 					ticker , endOfDayDateTime );
  				double virtualQuantity = (double)tickerVirtualQuantities[ ticker ];
  				virtualPortfolioValue +=	virtualQuantity * tickerQuote;
--- 299,306 ----
  			foreach( string ticker in tickerVirtualQuantities.Keys )
  			{
! //				EndOfDayDateTime endOfDayDateTime =	new EndOfDayDateTime(
! //					dateTime , EndOfDaySpecificTime.MarketClose );
  				double tickerQuote = historicalAdjustedQuoteProvider.GetMarketValue(
! 					ticker , dateTime );
  				double virtualQuantity = (double)tickerVirtualQuantities[ ticker ];
  				virtualPortfolioValue +=	virtualQuantity * tickerQuote;

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EquityEvaluation WinningPeriods.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16256/EquityEvaluation

Modified Files:
	WinningPeriods.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: WinningPeriods.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation/WinningPeriods.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WinningPeriods.cs	10 Feb 2008 15:26:34 -0000	1.3
--- WinningPeriods.cs	29 Sep 2008 21:17:57 -0000	1.4
***************
*** 29,32 ****
--- 29,33 ----
  	/// periods on the total number of non flat periods
  	/// </summary>
+ 	[Serializable]
  	public class WinningPeriods : IEquityEvaluator
  	{

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement ReturnsManager.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16161/returnsManagement

Modified Files:
	ReturnsManager.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: ReturnsManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/ReturnsManager.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** ReturnsManager.cs	13 Nov 2007 19:10:28 -0000	1.9
--- ReturnsManager.cs	29 Sep 2008 21:17:39 -0000	1.10
***************
*** 39,46 ****
  	/// by in sample optimizations)
  	/// </summary>
  	public class ReturnsManager
  	{
  		private ReturnIntervals returnIntervals; // a return for each interval
! 		private IHistoricalQuoteProvider historicalQuoteProvider; 
  		
  		private Set tickersMissingQuotes;
--- 39,47 ----
  	/// by in sample optimizations)
  	/// </summary>
+ 	[Serializable]
  	public class ReturnsManager
  	{
  		private ReturnIntervals returnIntervals; // a return for each interval
! 		private HistoricalMarketValueProvider historicalMarketValueProvider; 
  		
  		private Set tickersMissingQuotes;
***************
*** 78,87 ****
  		/// n-1 elements</param>
  		public ReturnsManager( ReturnIntervals returnIntervals ,
! 			IHistoricalQuoteProvider historicalQuoteProvider )
  		{
  			// TO DO: let WFLagEligibleTickers use this class also!!!
  			this.returnIntervals = returnIntervals;
  			this.commonInitialization();
! 			this.historicalQuoteProvider = historicalQuoteProvider;
  		}
  		private void commonInitialization()
--- 79,88 ----
  		/// n-1 elements</param>
  		public ReturnsManager( ReturnIntervals returnIntervals ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider )
  		{
  			// TO DO: let WFLagEligibleTickers use this class also!!!
  			this.returnIntervals = returnIntervals;
  			this.commonInitialization();
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
  		}
  		private void commonInitialization()
***************
*** 102,118 ****
  			return this.tickersReturns.ContainsKey( ticker );
  		}
  		#region setReturns
  		private float selectReturnWithRespectToTheGivenIterval(
! 			EndOfDayHistory endOfDayQuotes , int i )
  		{
  			ReturnInterval returnInterval =
  				this.returnIntervals[ i ];
! 			double firstQuote = (double)endOfDayQuotes[ returnInterval.Begin ];
! 			double lastQuote = (double)endOfDayQuotes[ returnInterval.End ];
  			float intervalReturn = Convert.ToSingle( lastQuote / firstQuote - 1 );
  			return intervalReturn;
  		}
  		private float[] selectReturnsWithRespectToTheGivenIntervals(
! 			EndOfDayHistory endOfDayQuotes )
  		{
  			// TO DO: this method is n log n, it could be implemented to
--- 103,120 ----
  			return this.tickersReturns.ContainsKey( ticker );
  		}
+ 		
  		#region setReturns
  		private float selectReturnWithRespectToTheGivenIterval(
! 			History marketValues , int i )
  		{
  			ReturnInterval returnInterval =
  				this.returnIntervals[ i ];
! 			double firstQuote = (double)marketValues[ returnInterval.Begin ];
! 			double lastQuote = (double)marketValues[ returnInterval.End ];
  			float intervalReturn = Convert.ToSingle( lastQuote / firstQuote - 1 );
  			return intervalReturn;
  		}
  		private float[] selectReturnsWithRespectToTheGivenIntervals(
! 			History marketValues )
  		{
  			// TO DO: this method is n log n, it could be implemented to
***************
*** 122,141 ****
  			for ( int i = 0 ; i < this.returnIntervals.Count ; i++ )
  				returnsWithRespectToTheGivenIntervals[ i ] =
! 					this.selectReturnWithRespectToTheGivenIterval( endOfDayQuotes , i );
  			return returnsWithRespectToTheGivenIntervals;
  		}
  		private void setReturnsActually( string ticker ,
! 			EndOfDayHistory endOfDayQuotes )
  		{
  			float[] arrayOfReturns =
! 				this.selectReturnsWithRespectToTheGivenIntervals( endOfDayQuotes );
  			this.tickersReturns.Add( ticker , arrayOfReturns );
  		}
  		private void setReturns( string ticker ,
! 			EndOfDayHistory endOfDayQuotes )
  		{
  			if ( this.returnIntervals.AreIntervalBordersAllCoveredBy(
! 				endOfDayQuotes ) )
! 				this.setReturnsActually( ticker , endOfDayQuotes );
  			else
  				this.tickersMissingQuotes.Add( ticker );
--- 124,143 ----
  			for ( int i = 0 ; i < this.returnIntervals.Count ; i++ )
  				returnsWithRespectToTheGivenIntervals[ i ] =
! 					this.selectReturnWithRespectToTheGivenIterval( marketValues , i );
  			return returnsWithRespectToTheGivenIntervals;
  		}
  		private void setReturnsActually( string ticker ,
! 			History marketValues )
  		{
  			float[] arrayOfReturns =
! 				this.selectReturnsWithRespectToTheGivenIntervals( marketValues );
  			this.tickersReturns.Add( ticker , arrayOfReturns );
  		}
  		private void setReturns( string ticker ,
! 			History marketValues )
  		{
  			if ( this.returnIntervals.AreIntervalBordersAllCoveredBy(
! 				marketValues ) )
! 				this.setReturnsActually( ticker , marketValues );
  			else
  				this.tickersMissingQuotes.Add( ticker );
***************
*** 143,152 ****
  		private void setReturns( string ticker )
  		{
! 			EndOfDayHistory endOfDayQuotes =
! 				this.historicalQuoteProvider.GetEndOfDayQuotes( ticker ,
! 				this.returnIntervals.BordersHistory );
! 			this.setReturns( ticker , endOfDayQuotes );
  		}
  		#endregion setReturns
  		private float[] getAlreadySetReturns( string ticker )
  		{
--- 145,156 ----
  		private void setReturns( string ticker )
  		{
! 			History marketValues =
! 				this.historicalMarketValueProvider.GetMarketValues(
! 					ticker ,
! 					this.returnIntervals.BordersHistory );
! 			this.setReturns( ticker , marketValues );
  		}
  		#endregion setReturns
+ 		
  		private float[] getAlreadySetReturns( string ticker )
  		{
***************
*** 164,167 ****
--- 168,172 ----
  		}
  		#endregion GetReturns
+ 		
  		#region GetReturn
  		/// <summary>

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies SignedTicker.cs, 1.10, 1.11 TradingSystem.cs, 1.1.1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16161

Modified Files:
	SignedTicker.cs TradingSystem.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: TradingSystem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TradingSystem.cs,v
retrieving revision 1.1.1.1
retrieving revision 1.2
diff -C2 -d -r1.1.1.1 -r1.2
*** TradingSystem.cs	13 Oct 2003 21:59:14 -0000	1.1.1.1
--- TradingSystem.cs	29 Sep 2008 21:17:40 -0000	1.2
***************
*** 64,68 ****
      }
  
!     public abstract Signals GetSignals( ExtendedDateTime extendedDateTime );
  
      public virtual void InitializeData()
--- 64,68 ----
      }
  
!     public abstract Signals GetSignals( DateTime dateTime );
  
      public virtual void InitializeData()

Index: SignedTicker.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTicker.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** SignedTicker.cs	21 Aug 2007 22:06:35 -0000	1.10
--- SignedTicker.cs	29 Sep 2008 21:17:40 -0000	1.11
***************
*** 193,204 ****
  				new HistoricalAdjustedQuoteProvider();
  			double todayMarketValueAtClose =
! 				historicalAdjustedQuoteProvider.GetMarketValue(	ticker ,
! 				new EndOfDayDateTime( today , EndOfDaySpecificTime.MarketClose ) );
  			DateTime yesterday = today.AddDays( -1 );
! 			EndOfDayDateTime yesterdayAtClose = new
! 				EndOfDayDateTime( yesterday ,	EndOfDaySpecificTime.MarketClose );
  			double yesterdayMarketValueAtClose =
  				historicalAdjustedQuoteProvider.GetMarketValue(
! 				ticker , yesterdayAtClose );
  			double dalyReturnForLongPosition =
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
--- 193,204 ----
  				new HistoricalAdjustedQuoteProvider();
  			double todayMarketValueAtClose =
! 				historicalAdjustedQuoteProvider.GetMarketValue(
! 					ticker , HistoricalEndOfDayTimer.GetMarketClose( today ) );
  			DateTime yesterday = today.AddDays( -1 );
! 			DateTime yesterdayAtClose =
! 				HistoricalEndOfDayTimer.GetMarketClose( yesterday );
  			double yesterdayMarketValueAtClose =
  				historicalAdjustedQuoteProvider.GetMarketValue(
! 					ticker , yesterdayAtClose );
  			double dalyReturnForLongPosition =
  				( todayMarketValueAtClose / yesterdayMarketValueAtClose ) - 1;
***************
*** 327,335 ****
  			HistoricalAdjustedQuoteProvider historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
! 			double previousQuote = historicalQuoteProvider.GetMarketValue( ticker ,
! 				new EndOfDayDateTime( previousDate , EndOfDaySpecificTime.MarketClose ) );
! 			double currentQuote = historicalQuoteProvider.GetMarketValue( ticker ,
! 				new EndOfDayDateTime( currentDate , EndOfDaySpecificTime.MarketClose ) );
! 			double closeToCloseReturn = currentQuote / previousQuote - 1.0;
  			return closeToCloseReturn;
  		}
--- 327,337 ----
  			HistoricalAdjustedQuoteProvider historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
! 			double previousMarketValue = historicalQuoteProvider.GetMarketValue(
! 				ticker , HistoricalEndOfDayTimer.GetMarketClose( previousDate ) );
! //				new EndOfDayDateTime( previousDate , EndOfDaySpecificTime.MarketClose ) );
! 			double currentMarketValue = historicalQuoteProvider.GetMarketValue(
! 				ticker , HistoricalEndOfDayTimer.GetMarketClose( currentDate ) );
! //				new EndOfDayDateTime( currentDate , EndOfDaySpecificTime.MarketClose ) );
! 			double closeToCloseReturn = currentMarketValue / previousMarketValue - 1.0;
  			return closeToCloseReturn;
  		}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EquityEvaluation SharpeRatio.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16161/EquityEvaluation

Modified Files:
	SharpeRatio.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: SharpeRatio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EquityEvaluation/SharpeRatio.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** SharpeRatio.cs	10 Feb 2008 15:26:15 -0000	1.3
--- SharpeRatio.cs	29 Sep 2008 21:17:39 -0000	1.4
***************
*** 32,35 ****
--- 32,36 ----
  	/// risk to reward Sharpe Ratio
  	/// </summary>
+ 	[Serializable]
  	public class SharpeRatio : IEquityEvaluator
  	{

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies SymmetricEndOfDayStrategyForBacktester.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16161/EndOfDayStrategies

Modified Files:
	SymmetricEndOfDayStrategyForBacktester.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: SymmetricEndOfDayStrategyForBacktester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies/SymmetricEndOfDayStrategyForBacktester.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** SymmetricEndOfDayStrategyForBacktester.cs	11 May 2008 16:56:17 -0000	1.2
--- SymmetricEndOfDayStrategyForBacktester.cs	29 Sep 2008 21:17:40 -0000	1.3
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
***************
*** 39,42 ****
--- 39,43 ----
  	/// market open and market close events
  	/// </summary>
+ 	[Serializable]
  	public abstract class SymmetricEndOfDayStrategyForBacktester :
  		BasicEndOfDayStrategyForBacktester
***************
*** 49,61 ****
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			IHistoricalQuoteProvider historicalQuoteProviderForInSample	) :
  			base(
! 			numDaysBeetweenEachOtpimization ,
! 			numDaysForInSampleOptimization ,
! 			intervalsSelectorForInSample ,
! 			intervalsSelectorForOutOfSample ,
! 			eligiblesSelector ,
! 			inSampleChooser ,
! 			historicalQuoteProviderForInSample )
  		{
  			//
--- 50,62 ----
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			HistoricalMarketValueProvider historicalMarketValueProviderForInSample	) :
  			base(
! 				numDaysBeetweenEachOtpimization ,
! 				numDaysForInSampleOptimization ,
! 				intervalsSelectorForInSample ,
! 				intervalsSelectorForOutOfSample ,
! 				eligiblesSelector ,
! 				inSampleChooser ,
! 				historicalMarketValueProviderForInSample )
  		{
  			//

[Quantproject-developers] QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend EndOfDayTimerHandlerECT.cs, 1.9, 1.10 GenomeManagerECT.cs, 1.5, 1.6 RunExtremeCounterTrend.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16104/Oscillators/ExtremeCounterTrend

Modified Files:
	EndOfDayTimerHandlerECT.cs GenomeManagerECT.cs 
	RunExtremeCounterTrend.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: EndOfDayTimerHandlerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/EndOfDayTimerHandlerECT.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** EndOfDayTimerHandlerECT.cs	19 Aug 2008 17:11:28 -0000	1.9
--- EndOfDayTimerHandlerECT.cs	29 Sep 2008 21:17:25 -0000	1.10
***************
*** 48,52 ****
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerECT : EndOfDayTimerHandler
  	{
  		private int numDaysForReturnCalculation;
--- 48,53 ----
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerECT :		
! 		QuantProject.Scripts.TickerSelectionTesting.EfficientPortfolios.EndOfDayTimerHandler
  	{
  		private int numDaysForReturnCalculation;
***************
*** 82,87 ****
  		}
  		
! 		public override void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			;
--- 83,88 ----
  		}
  		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			;
***************
*** 89,93 ****
  		
  
! 		#region MarketCloseEventHandler
  		
  		protected void marketCloseEventHandler_updateStopLossCondition()
--- 90,94 ----
  		
  
! 		#region marketCloseEventHandler
  		
  		protected void marketCloseEventHandler_updateStopLossCondition()
***************
*** 115,125 ****
  				DateTime finalDateForHalfPeriod =
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				ReturnsManager returnsManager = new ReturnsManager(new CloseToCloseIntervals(
! 					new EndOfDayDateTime(initialDateForHalfPeriod,
! 					                     EndOfDaySpecificTime.MarketClose) ,
! 					new EndOfDayDateTime(finalDateForHalfPeriod,
! 					                     EndOfDaySpecificTime.MarketClose) ,
! 					this.benchmark , this.numDaysForReturnCalculation ) ,
! 				                                                   new HistoricalAdjustedQuoteProvider() );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
  			}
--- 116,130 ----
  				DateTime finalDateForHalfPeriod =
  					(DateTime)timer.IndexQuotes.Rows[timer.CurrentDateArrayPosition]["quDate"];
! 				ReturnsManager returnsManager = new ReturnsManager(
! 					new CloseToCloseIntervals(
! 						HistoricalEndOfDayTimer.GetMarketClose( initialDateForHalfPeriod ) ,
! 						HistoricalEndOfDayTimer.GetMarketClose( finalDateForHalfPeriod ) ,
! //					new EndOfDayDateTime(initialDateForHalfPeriod,
! //					                     EndOfDaySpecificTime.MarketClose) ,
! //					new EndOfDayDateTime(finalDateForHalfPeriod,
! //					                     EndOfDaySpecificTime.MarketClose) ,
! 						this.benchmark ,
! 						this.numDaysForReturnCalculation ) ,
! 					new HistoricalAdjustedQuoteProvider() );
  				returnValue = this.chosenWeightedPositions.GetReturn(0,returnsManager);
  			}
***************
*** 172,177 ****
  		}
  		
! 		public override void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.account.Portfolio.Count > 0)
--- 177,181 ----
  		}
  		
! 		protected override void marketCloseEventHandler( Object sender , DateTime dateTime )
  		{
  			if(this.account.Portfolio.Count > 0)
***************
*** 190,194 ****
  		#endregion
  		
! 		#region OneHourAfterMarketCloseEventHandler
  		
  
--- 194,198 ----
  		#endregion
  		
! 		#region oneHourAfterMarketCloseEventHandler
  		
  
***************
*** 298,305 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public override void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			this.lastCloseDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			this.seedForRandomGenerator++;
  			this.numDaysElapsedSinceLastOptimization++;
--- 302,309 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! 			this.lastCloseDate = dateTime;
  			this.seedForRandomGenerator++;
  			this.numDaysElapsedSinceLastOptimization++;
***************
*** 309,313 ****
  				//it is the first close (OLD IMPLEMENTATION)
  			{
! 				this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime, true);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;
--- 313,317 ----
  				//it is the first close (OLD IMPLEMENTATION)
  			{
! 				this.setTickers(dateTime, true);
  				//sets tickers to be chosen next Market Close event
  				this.numDaysElapsedSinceLastOptimization = 0;

Index: GenomeManagerECT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/GenomeManagerECT.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** GenomeManagerECT.cs	14 Jan 2008 23:38:36 -0000	1.5
--- GenomeManagerECT.cs	29 Sep 2008 21:17:25 -0000	1.6
***************
*** 73,84 ****
      private void setReturnsManager()
      {
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  			this.returnsManager =
  				 new ReturnsManager( new CloseToCloseIntervals(
! 																 firstEndOfDayDateTime, 
! 																 lastEndOfDayDateTime, 
  																 this.benchmark,
  																 this.numDaysForReturnCalculation) ,
--- 73,86 ----
      private void setReturnsManager()
      {
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  			this.returnsManager =
  				 new ReturnsManager( new CloseToCloseIntervals(
! 																 firstDateTime, 
! 																 lastDateTime, 
  																 this.benchmark,
  																 this.numDaysForReturnCalculation) ,
***************
*** 110,117 ****
      protected override float[] getStrategyReturns()
  		{
! 			EndOfDayDateTime firstEndOfDayDateTime =
! 				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			EndOfDayDateTime lastEndOfDayDateTime =
! 				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
                							 this.returnsManager);
--- 112,121 ----
      protected override float[] getStrategyReturns()
  		{
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( firstQuoteDate );
! //				new EndOfDayDateTime(firstQuoteDate, EndOfDaySpecificTime.MarketClose);
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastQuoteDate );
! //				new EndOfDayDateTime(lastQuoteDate, EndOfDaySpecificTime.MarketClose);
  	  	float[] plainReturns = this.weightedPositionsFromGenome.GetReturns(
                							 this.returnsManager);

Index: RunExtremeCounterTrend.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/TechnicalAnalysisTesting/Oscillators/ExtremeCounterTrend/RunExtremeCounterTrend.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** RunExtremeCounterTrend.cs	19 Aug 2008 17:13:06 -0000	1.5
--- RunExtremeCounterTrend.cs	29 Sep 2008 21:17:25 -0000	1.6
***************
*** 95,99 ****
      protected override void run_initializeHistoricalQuoteProvider()
      {
!     	this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
      }
      
--- 95,99 ----
      protected override void run_initializeHistoricalQuoteProvider()
      {
!     	this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
      }
      
***************
*** 101,115 ****
      {
             
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       this.endOfDayTimer.OneHourAfterMarketClose += 
!       	new OneHourAfterMarketCloseEventHandler(
!       	   this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
      }
  
--- 101,120 ----
      {
             
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.endOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
! 
! //			this.endOfDayTimer.MarketClose +=
! //        new MarketCloseEventHandler(
! //        this.endOfDayTimerHandler.MarketCloseEventHandler);
! //      
! //      this.endOfDayTimer.MarketClose +=
! //        new MarketCloseEventHandler(
! //        this.checkDateForReport);
! //      
! //      this.endOfDayTimer.OneHourAfterMarketClose += 
! //      	new OneHourAfterMarketCloseEventHandler(
! //      	   this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler);
      }
  
***************
*** 134,138 ****
        //default report with numIntervalDays = 1
        AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentTime(),
                                      		this.benchmark,
                                          new HistoricalAdjustedQuoteProvider());
--- 139,143 ----
        //default report with numIntervalDays = 1
        AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentDateTime(),
                                      		this.benchmark,
                                          new HistoricalAdjustedQuoteProvider());

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/TickersRelationships OpenToCloseCorrelationProvider.cs, 1.1, 1.2 OpenToOpenCorrelationProvider.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16037/TickersRelationships

Modified Files:
	OpenToCloseCorrelationProvider.cs 
	OpenToOpenCorrelationProvider.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: OpenToOpenCorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/OpenToOpenCorrelationProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OpenToOpenCorrelationProvider.cs	14 Aug 2008 23:37:13 -0000	1.1
--- OpenToOpenCorrelationProvider.cs	29 Sep 2008 21:17:15 -0000	1.2
***************
*** 89,98 ****
  		}
  		
! 		protected override void setEndOfDayDatesTime(DateTime startDate, DateTime endDate)
  		{
! 			this.firstEndOfDayDateTime =
! 				new EndOfDayDateTime(startDate, EndOfDaySpecificTime.MarketOpen);
! 			this.lastEndOfDayDateTime = 
! 				new EndOfDayDateTime(endDate, EndOfDaySpecificTime.MarketOpen);
  		}
  		
--- 89,101 ----
  		}
  		
! 		protected override void setEndOfDayDatesTime(
! 			DateTime firstDate , DateTime lastDate )
  		{
! 			this.firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( firstDate );
! //				new EndOfDayDateTime(firstDate, EndOfDaySpecificTime.MarketOpen);
! 			this.lastDateTime = 
! 				HistoricalEndOfDayTimer.GetMarketOpen( lastDate );
! //				new EndOfDayDateTime(lastDate, EndOfDaySpecificTime.MarketOpen);
  		}
  		
***************
*** 100,104 ****
  		{
  			OpenToOpenIntervals openToOpenIntervals = 
! 				new OpenToOpenIntervals(this.firstEndOfDayDateTime, this.lastEndOfDayDateTime,
  				                          this.benchmark, this.openToOpenIntervalLength);
  			this.returnsManager = 
--- 103,107 ----
  		{
  			OpenToOpenIntervals openToOpenIntervals = 
! 				new OpenToOpenIntervals(this.firstDateTime, this.lastDateTime,
  				                          this.benchmark, this.openToOpenIntervalLength);
  			this.returnsManager = 

Index: OpenToCloseCorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/OpenToCloseCorrelationProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OpenToCloseCorrelationProvider.cs	14 Jan 2008 23:02:30 -0000	1.1
--- OpenToCloseCorrelationProvider.cs	29 Sep 2008 21:17:15 -0000	1.2
***************
*** 86,95 ****
  		}
  
! 		protected override void setEndOfDayDatesTime(DateTime startDate, DateTime endDate)
  		{
! 			this.firstEndOfDayDateTime =
! 				new EndOfDayDateTime(startDate, EndOfDaySpecificTime.MarketOpen);
! 			this.lastEndOfDayDateTime = 
! 				new EndOfDayDateTime(endDate, EndOfDaySpecificTime.MarketClose);
  		}
  		
--- 86,98 ----
  		}
  
! 		protected override void setEndOfDayDatesTime(
! 			DateTime firstDate , DateTime lastDate )
  		{
! 			this.firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( firstDate );
! //				new EndOfDayDateTime(firstDate, EndOfDaySpecificTime.MarketOpen);
! 			this.lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( lastDate );
! //				new EndOfDayDateTime(lastDate, EndOfDaySpecificTime.MarketClose);
  		}
  		
***************
*** 97,101 ****
  		{
  			DailyOpenToCloseIntervals dailyOpenToCloseIntervals = 
! 				new DailyOpenToCloseIntervals(this.firstEndOfDayDateTime, this.lastEndOfDayDateTime,
  				                          		this.benchmark);
  			this.returnsManager = 
--- 100,104 ----
  		{
  			DailyOpenToCloseIntervals dailyOpenToCloseIntervals = 
! 				new DailyOpenToCloseIntervals(this.firstDateTime, this.lastDateTime,
  				                          		this.benchmark);
  			this.returnsManager = 

[Quantproject-developers] QuantProject/b7_Scripts/SimpleTesting/ShortTest EndOfDayTimerHandler.cs, 1.1, 1.2 RunShortTest.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/ShortTest
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15980/ShortTest

Modified Files:
	EndOfDayTimerHandler.cs RunShortTest.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: RunShortTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/ShortTest/RunShortTest.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunShortTest.cs	20 Feb 2005 00:05:11 -0000	1.1
--- RunShortTest.cs	29 Sep 2008 21:17:09 -0000	1.2
***************
*** 3,7 ****
  
  RunShortTest.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  RunShortTest.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;
***************
*** 42,46 ****
  		private DateTime endDateTime = new DateTime( 2000 , 12 , 31 );
  		private Account account;
! 		private IHistoricalQuoteProvider historicalQuoteProvider =
  			new HistoricalAdjustedQuoteProvider();
  		/// <summary>
--- 42,46 ----
  		private DateTime endDateTime = new DateTime( 2000 , 12 , 31 );
  		private Account account;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider =
  			new HistoricalAdjustedQuoteProvider();
  		/// <summary>
***************
*** 54,59 ****
  			HistoricalEndOfDayTimer historicalEndOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 				new EndOfDayDateTime( this.startDateTime ,
! 				EndOfDaySpecificTime.MarketOpen ) , "MSFT" );
  			//			this.account = new Account( "MSFT" , historicalEndOfDayTimer ,
  			//				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
--- 54,61 ----
  			HistoricalEndOfDayTimer historicalEndOfDayTimer =
  				new IndexBasedEndOfDayTimer(
! 					HistoricalEndOfDayTimer.GetMarketOpen( this.startDateTime ) ,
! //				new EndOfDayDateTime( this.startDateTime ,
! //				EndOfDaySpecificTime.MarketOpen ) ,
! 					"MSFT" );
  			//			this.account = new Account( "MSFT" , historicalEndOfDayTimer ,
  			//				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
***************
*** 63,80 ****
  			//				new IBCommissionManager() );
  			this.account = new Account( "MSFT" , historicalEndOfDayTimer ,
! 				new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) ,
! 				new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 				this.historicalQuoteProvider ) );
! 			EndOfDayTimerHandler EndOfDayTimerHandler =
  				new EndOfDayTimerHandler( this.account , endDateTime );
! 			historicalEndOfDayTimer.MarketOpen += new MarketOpenEventHandler(
! 				EndOfDayTimerHandler.MarketOpenEventHandler );
! 			historicalEndOfDayTimer.MarketClose += new MarketCloseEventHandler(
! 				EndOfDayTimerHandler.MarketCloseEventHandler );
! 			this.account.EndOfDayTimer.Start();
! 			Report report = new Report( this.account , this.historicalQuoteProvider );
! 			report.Show( "WFT One Rank" , 1 ,
! 				new EndOfDayDateTime( this.endDateTime , EndOfDaySpecificTime.MarketClose ) ,
  				"MSFT" );
  		}
--- 65,87 ----
  			//				new IBCommissionManager() );
  			this.account = new Account( "MSFT" , historicalEndOfDayTimer ,
! 			                           new HistoricalEndOfDayDataStreamer( historicalEndOfDayTimer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( historicalEndOfDayTimer ,
! 			                                                               this.historicalMarketValueProvider ) );
! 			EndOfDayTimerHandler endOfDayTimerHandler =
  				new EndOfDayTimerHandler( this.account , endDateTime );
! 			historicalEndOfDayTimer.NewDateTime +=
! 				new NewDateTimeEventHandler( endOfDayTimerHandler.NewDateTimeEventHandler );
! 
! //			historicalEndOfDayTimer.MarketOpen += new MarketOpenEventHandler(
! //				endOfDayTimerHandler.MarketOpenEventHandler );
! //			historicalEndOfDayTimer.MarketClose += new MarketCloseEventHandler(
! //				endOfDayTimerHandler.MarketCloseEventHandler );
! 			this.account.Timer.Start();
! 			Report report = new Report( this.account , this.historicalMarketValueProvider );
! 			report.Show(
! 				"WFT One Rank" , 1 ,
! 				HistoricalEndOfDayTimer.GetMarketClose(	this.endDateTime ) ,
! //					new EndOfDayDateTime( this.endDateTime , EndOfDaySpecificTime.MarketClose ) ,
  				"MSFT" );
  		}

Index: EndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/SimpleTesting/ShortTest/EndOfDayTimerHandler.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandler.cs	20 Feb 2005 00:05:11 -0000	1.1
--- EndOfDayTimerHandler.cs	29 Sep 2008 21:17:08 -0000	1.2
***************
*** 3,7 ****
  
  EndOfDayTimerHandler.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  EndOfDayTimerHandler.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;
***************
*** 36,40 ****
  	/// Short Test core strategy
  	/// </summary>
! 	public class EndOfDayTimerHandler
  	{
  
--- 36,41 ----
  	/// Short Test core strategy
  	/// </summary>
! 	public class EndOfDayTimerHandler :
! 		QuantProject.Business.Strategies.EndOfDayTimerHandler
  	{
  
***************
*** 58,62 ****
  		/// best performing ticker calculation</param>
  		public EndOfDayTimerHandler( Account account ,
! 			DateTime endDateTime )
  		{
  			this.account = account;
--- 59,63 ----
  		/// best performing ticker calculation</param>
  		public EndOfDayTimerHandler( Account account ,
! 		                            DateTime endDateTime )
  		{
  			this.account = account;
***************
*** 68,86 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.account.AddOrder( new Order( OrderType.MarketSellShort ,
! 				new Instrument( "MSFT" ) , 100 ) );
  		}
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.account.ClosePosition( "MSFT" );
! 			if ( this.account.EndOfDayTimer.GetCurrentTime().DateTime >
! 				this.endDateTime )
! 				this.account.EndOfDayTimer.Stop();
  
  		}
  	}
  }
--- 69,95 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.account.AddOrder( new Order( OrderType.MarketSellShort ,
! 			                                 new Instrument( "MSFT" ) , 100 ) );
  		}
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.account.ClosePosition( "MSFT" );
! 			if ( this.account.Timer.GetCurrentDateTime() >
! 			    this.endDateTime )
! 				this.account.Timer.Stop();
  
  		}
+ 		protected override void oneHourAfterMarketCloseEventHandler(
+ 			Object sender , DateTime dateTime )
+ 		{
+ 			this.account.ClosePosition( "MSFT" );
+ 			if ( this.account.Timer.GetCurrentDateTime() >
+ 			    this.endDateTime )
+ 				this.account.Timer.Stop();
+ 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading EndOfDayTimerHandlerSimplePT.cs, 1.1, 1.2 RunSimplePairTrading.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15453/PairTrading/SimplePairTrading

Modified Files:
	EndOfDayTimerHandlerSimplePT.cs RunSimplePairTrading.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: EndOfDayTimerHandlerSimplePT.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/EndOfDayTimerHandlerSimplePT.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerSimplePT.cs	14 May 2006 15:25:30 -0000	1.1
--- EndOfDayTimerHandlerSimplePT.cs	29 Sep 2008 21:16:41 -0000	1.2
***************
*** 3,7 ****
  
  EndOfDayTimerHandlerSimplePT.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  EndOfDayTimerHandlerSimplePT.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.Data;
--- 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.Data;
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Instruments;
  using QuantProject.Business.Financial.Ordering;
+ using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
  using QuantProject.Business.DataProviders;
***************
*** 40,365 ****
  {
  	
!   /// <summary>
!   /// Implements MarketOpenEventHandler,
!   /// MarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
!   /// for the implementation of the simple pair trading strategy
!   /// </summary>
!   [Serializable]
!   public class EndOfDayTimerHandlerSimplePT
!   {
!     private string tickerGroupID;
!     protected string[] chosenTickers = new string[10];
!     //this array is designed for containing 
!     //five couples of eligible tickers for 
!     //the pair trading strategy
!     protected double[] averageGapsOfChosenTickers = new double[10];
!     protected double[] stdDevGapsOfChosenTickers = new double[10];
!     protected string[] lastOrderedTickers = new string[2];
!     protected int addedTickersCounter = 0;
!     protected float currentPair_firstTickerGain = 0.0F;
!     protected float currentPair_secondTickerGain = 0.0F;
!     
!     private int numberOfEligibleTickers;
!     private int numDaysForOptimizationPeriod;
!     private int generationNumberForGeneticOptimizer;
!     private int populationSizeForGeneticOptimizer;
!     protected string benchmark;
!     protected DateTime startDate;
!     protected DateTime endDate;
!     protected double maxNumOfStdDevForNormalGap;
!     private double maxLevelForNormalGap;
!     private int minNumOfDaysForGapComputation;
!     private int maxNumOfDaysForGapComputation;
!     private int numDaysBetweenEachOptimization;
!     private int numDaysElapsedSinceLastOptimization;
!     private double maxRunningHours;
!     protected Account account;
!     private int seedForRandomGenerator;
!     protected double minimumGainForClosingPositions;
!     protected double maximumToleratedLoss;
!     protected double initialAccountValue = 0.0;
!     protected int counterForDaysWithPositions = 0;
!     protected int currentNumDaysForGapComputation;
!     //it stores the value for the new account
!     protected HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
!     private OptimizationOutput optimizationOutput;
!     
!     public OptimizationOutput OptimizationOutput
!     {
!       get{return this.optimizationOutput;}
!     }
  
!     public EndOfDayTimerHandlerSimplePT(string tickerGroupID, int numberOfEligibleTickers, 
!                                 int numDaysForOptimizationPeriod,
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer,
!                                 string benchmark,
!                                 DateTime startDate, DateTime endDate, 
!                                 double maxNumOfStdDevForNormalGap, int minNumOfDaysForGapComputation,
!                                 int maxNumOfDaysForGapComputation, int numDaysBetweenEachOptimization,
!                                 double maxRunningHours,
!                                 Account account)
!     {
!     	this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
!       this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
!       this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
!       this.benchmark = benchmark;
!       this.startDate = startDate;
!       this.endDate = endDate;
!       this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
!       this.minNumOfDaysForGapComputation = minNumOfDaysForGapComputation;
!       this.maxNumOfDaysForGapComputation = maxNumOfDaysForGapComputation;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!       this.maxRunningHours = maxRunningHours;
!       this.account = account;
!       this.numDaysElapsedSinceLastOptimization = 0;
!       this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
!       this.historicalAdjustedQuoteProvider = new HistoricalAdjustedQuoteProvider();
!       this.minimumGainForClosingPositions = 0.002;
!       this.maximumToleratedLoss = 0.02;
!       this.optimizationOutput = new OptimizationOutput();
!     }
  
!         
!     public void MarketOpenEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       
!     }
!        
!     #region MarketCloseEventHandler
!     
!     public void marketCloseEventHandler_closePositions()
!     {
!       if(this.account.Portfolio[ this.lastOrderedTickers[0] ] != null)
!         this.account.ClosePosition( this.lastOrderedTickers[0] );
  
!       if(this.account.Portfolio[ this.lastOrderedTickers[1] ] != null)
!         this.account.ClosePosition( this.lastOrderedTickers[1] );
!     }
!     
!     private bool marketCloseEventHandler_isCurrentGainGoodEnoughOrStopLossConditionReached(EndOfDayDateTime currentEndOfDayDateTime)
!     {
!       bool returnValue = false;
!       double currentGain = 
!         (this.account.GetMarketValue() - this.initialAccountValue)/
!         this.initialAccountValue;
!       if(currentGain >= this.minimumGainForClosingPositions ||
!         -currentGain >= this.maximumToleratedLoss)
!         //gain is good enough or loss is too high ...  
!         returnValue = true;
  
!       return returnValue;
!     }
!     
!     private float marketCloseEventHandler_openPositions_getGap(int indexForPair,
!                                                                 DateTime firstDate,
!                                                                 DateTime lastDate)
!     {
!       Quotes firstTickerQuotes = new Quotes(this.chosenTickers[indexForPair], firstDate, lastDate); 
!       Quotes secondTickerQuotes = new Quotes(this.chosenTickers[indexForPair+1], firstDate, lastDate);
!       this.currentPair_firstTickerGain = 
!         (float)firstTickerQuotes.Rows[1]["quClose"]/(float)firstTickerQuotes.Rows[0]["quClose"];
!       this.currentPair_secondTickerGain = 
!         (float)secondTickerQuotes.Rows[1]["quClose"]/(float)secondTickerQuotes.Rows[0]["quClose"];
!       return  (this.currentPair_firstTickerGain - this.currentPair_secondTickerGain);
!     }
!     
!     private void marketCloseEventHandler_openPositions_open(int indexForPair)
!                                                             
!     {
!       double cashForSinglePosition = this.account.CashAmount/2;
!       long quantityForFirstTicker =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( this.chosenTickers[indexForPair] ) ) );
!       long quantityForSecondTicker =
!         Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( this.chosenTickers[indexForPair+1] ) ) );
!       OrderType orderTypeForFirstTicker = OrderType.MarketBuy;
!       OrderType orderTypeForSecondTicker = OrderType.MarketSellShort;
!       if(this.currentPair_firstTickerGain > this.currentPair_secondTickerGain)
!       {
!         orderTypeForFirstTicker = OrderType.MarketSellShort;
!         orderTypeForSecondTicker = OrderType.MarketBuy;
!       }
!       this.account.AddOrder(new Order( orderTypeForFirstTicker,
!                             new Instrument( this.chosenTickers[indexForPair] ) ,
!                             quantityForFirstTicker ));
!       this.account.AddOrder(new Order( orderTypeForSecondTicker,
!                             new Instrument( this.chosenTickers[indexForPair+1] ) ,
!                             quantityForSecondTicker ));
!       this.lastOrderedTickers[0] = this.chosenTickers[indexForPair];
!       this.lastOrderedTickers[1] = this.chosenTickers[indexForPair+1];
!     }
!     
!     private void marketCloseEventHandler_openPositions_setMaxLevelForNormalGap(int indexForPair)
!                                                             
!     {
!       this.maxLevelForNormalGap = this.averageGapsOfChosenTickers[indexForPair] +
!                                     this.maxNumOfStdDevForNormalGap * 
!                                     this.stdDevGapsOfChosenTickers[indexForPair];
!     }
!     
!     private void marketCloseEventHandler_openPositions(EndOfDayDateTime currentEndOfDayDateTime,
!                                                        IndexBasedEndOfDayTimer timer)
!     {
!       if(this.chosenTickers[0] != null)
!       //potential tickers for pair trading have been set
!       {
!         for(int i = 0; i<this.chosenTickers.Length - 1 && 
!           this.account.Portfolio.Count == 0; i++)
!         {
!           this.marketCloseEventHandler_openPositions_setMaxLevelForNormalGap(i);
!           if(Math.Abs(this.marketCloseEventHandler_openPositions_getGap(i, timer.GetPreviousDateTime(),
!             timer.GetCurrentTime().DateTime)) >= (float)this.maxLevelForNormalGap)
!           //currentGap is too high for being considered rational
!           //so there is an arbitrage opportunity
!             this.marketCloseEventHandler_openPositions_open(i);
!         }
!       	this.initialAccountValue = this.account.GetMarketValue();
!           //this.account.Portfolio.GetMarketValue(currentEndOfDayDateTime,this.historicalAdjustedQuoteProvider);
!       }
!     }
!         
!     public virtual void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!       if(this.account.Portfolio.Count == 0)
!       //portfolio is empty
!       {
!         if(this.account.Transactions.Count == 0)
!             this.account.AddCash(30000);    
!         this.marketCloseEventHandler_openPositions(endOfDayTimingEventArgs.EndOfDayDateTime,
!                                                    (IndexBasedEndOfDayTimer)sender);
!       }
!       else // portfolio is not empty
!       {
!         this.counterForDaysWithPositions++;
!         if(this.counterForDaysWithPositions == this.currentNumDaysForGapComputation ||
!            this.marketCloseEventHandler_isCurrentGainGoodEnoughOrStopLossConditionReached(endOfDayTimingEventArgs.EndOfDayDateTime))
!         //a number of days equal to the number of days
!         //used for gap computation has elapsed or 
!         //the current gain is good enough or
!         //loss is too high
!         {
!           this.marketCloseEventHandler_closePositions();
!           this.counterForDaysWithPositions = 0;
!         }
!                  
!       }
!     }
!     #endregion
  
! 		#region OneHourAfterMarketCloseEventHandler
!       
!     protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
!     {
!      	SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible = 
!         new SelectorByQuotationAtEachMarketDay( temporizedGroup.GetTableOfSelectedTickers(),
!                                                 false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                                 currentDate, this.numberOfEligibleTickers, this.benchmark);
!       return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
!     }
!     
!     private void setTickers_setChosenTickers_addGenomeForOptimizationOutput(Genome genome, DateTime currentDate)
!     {
!       this.optimizationOutput.Add(new GenomeRepresentation(this.maxNumOfStdDevForNormalGap,
!                                                            genome,
!                                                            currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!                                                            currentDate));
!     }
  
!     private void setTickers_setChosenTickers_addTickers(Genome genome)
!     {
!       this.chosenTickers[this.addedTickersCounter] = 
!             ((GenomeMeaningSimplePT)genome.Meaning).FirstTicker;
!       this.chosenTickers[this.addedTickersCounter+1] = 
!         ((GenomeMeaningSimplePT)genome.Meaning).SecondTicker;
!       
!       this.averageGapsOfChosenTickers[this.addedTickersCounter] = 
!             ((GenomeMeaningSimplePT)genome.Meaning).AverageGap;
!       this.stdDevGapsOfChosenTickers[this.addedTickersCounter] =
!             ((GenomeMeaningSimplePT)genome.Meaning).StdDevGap;
  
!       this.currentNumDaysForGapComputation = ((GenomeMeaningSimplePT)genome.Meaning).NumOfDaysForGap;
!       
!       this.addedTickersCounter += 2;
!     }
!     
!     private bool setTickers_setChosenTickers_isAnyTickerOfGenomeInChosenTickers(Genome genome)
!     {
!       bool returnValue = false;
!       foreach(string ticker in this.chosenTickers)
!       {
!         if(ticker == ((GenomeMeaningSimplePT)genome.Meaning).FirstTicker ||
!            ticker == ((GenomeMeaningSimplePT)genome.Meaning).SecondTicker)
!           returnValue = true;
!       }
!       return returnValue;
!     }
!     
!     private void setTickers_setChosenTickers(GeneticOptimizer GO, DateTime currentDate)
!     {
!       this.addedTickersCounter = 0;
!       for(int i = 0;
!           i<GO.CurrentGeneration.Count -1 &&
!             addedTickersCounter<this.chosenTickers.Length;
!           i++)
!       {
!         Genome currentGenome = (Genome)GO.CurrentGeneration[GO.CurrentGeneration.Count-i-1];
!         if(!this.setTickers_setChosenTickers_isAnyTickerOfGenomeInChosenTickers(currentGenome))
!         {
!           this.setTickers_setChosenTickers_addTickers(currentGenome);
!           this.setTickers_setChosenTickers_addGenomeForOptimizationOutput(currentGenome,
!                                                                           currentDate);
!         }
!       }
!     }
  
!     private void setTickers(DateTime currentDate)
!     {
!       
!       DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
!       IGenomeManager genManForSimplePT = 
!         new GenomeManagerForSimplePT(setOfTickersToBeOptimized,
!         	                            currentDate.AddDays(-this.numDaysForOptimizationPeriod),
!         	                            currentDate,
!         	                            this.minNumOfDaysForGapComputation,
!         	                            this.maxNumOfDaysForGapComputation,
!                                       this.maxNumOfStdDevForNormalGap);
!       
!       GeneticOptimizer GO = new GeneticOptimizer(genManForSimplePT,
!                                                 this.populationSizeForGeneticOptimizer,
!                                                 this.generationNumberForGeneticOptimizer,
!                                                 this.seedForRandomGenerator);
!       GO.Run(false);
!       this.setTickers_setChosenTickers(GO, currentDate);
!     }
  
!     /// <summary>
!     /// Handles a "One hour after market close" event.
!     /// </summary>
!     /// <param name="sender"></param>
!     /// <param name="eventArgs"></param>
!     public virtual void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
!     {
!     	this.seedForRandomGenerator++;
!       if(this.numDaysElapsedSinceLastOptimization == 
!     	   this.numDaysBetweenEachOptimization - 1)
!     	{
!     		this.setTickers(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime);
!       	//sets tickers to be chosen at next Market Open event
!       	this.numDaysElapsedSinceLastOptimization = 0;
!     	}
!       else
!       {
!         this.numDaysElapsedSinceLastOptimization++;
!       }
!     }
! 		   
!     #endregion
  		
!   }
  }
--- 41,368 ----
  {
  	
! 	/// <summary>
! 	/// Implements MarketOpenEventHandler,
! 	/// MarketCloseEventHandler and OneHourAfterMarketCloseEventHandler
! 	/// for the implementation of the simple pair trading strategy
! 	/// </summary>
! 	[Serializable]
! 	public class EndOfDayTimerHandlerSimplePT : EndOfDayStrategy
! 	{
! 		private string tickerGroupID;
! 		protected string[] chosenTickers = new string[10];
! 		//this array is designed for containing
! 		//five couples of eligible tickers for
! 		//the pair trading strategy
! 		protected double[] averageGapsOfChosenTickers = new double[10];
! 		protected double[] stdDevGapsOfChosenTickers = new double[10];
! 		protected string[] lastOrderedTickers = new string[2];
! 		protected int addedTickersCounter = 0;
! 		protected float currentPair_firstTickerGain = 0.0F;
! 		protected float currentPair_secondTickerGain = 0.0F;
! 		
! 		private int numberOfEligibleTickers;
! 		private int numDaysForOptimizationPeriod;
! 		private int generationNumberForGeneticOptimizer;
! 		private int populationSizeForGeneticOptimizer;
! 		protected string benchmark;
! 		protected DateTime startDate;
! 		protected DateTime endDate;
! 		protected double maxNumOfStdDevForNormalGap;
! 		private double maxLevelForNormalGap;
! 		private int minNumOfDaysForGapComputation;
! 		private int maxNumOfDaysForGapComputation;
! 		private int numDaysBetweenEachOptimization;
! 		private int numDaysElapsedSinceLastOptimization;
! 		private double maxRunningHours;
! //		protected Account account;
! 		private int seedForRandomGenerator;
! 		protected double minimumGainForClosingPositions;
! 		protected double maximumToleratedLoss;
! 		protected double initialAccountValue = 0.0;
! 		protected int counterForDaysWithPositions = 0;
! 		protected int currentNumDaysForGapComputation;
! 		//it stores the value for the new account
! 		protected HistoricalAdjustedQuoteProvider historicalAdjustedQuoteProvider;
! 		private OptimizationOutput optimizationOutput;
! 		
! 		public OptimizationOutput OptimizationOutput
! 		{
! 			get{return this.optimizationOutput;}
! 		}
  
! 		public EndOfDayTimerHandlerSimplePT(string tickerGroupID, int numberOfEligibleTickers,
! 		                                    int numDaysForOptimizationPeriod,
! 		                                    int generationNumberForGeneticOptimizer,
! 		                                    int populationSizeForGeneticOptimizer,
! 		                                    string benchmark,
! 		                                    DateTime startDate, DateTime endDate,
! 		                                    double maxNumOfStdDevForNormalGap, int minNumOfDaysForGapComputation,
! 		                                    int maxNumOfDaysForGapComputation, int numDaysBetweenEachOptimization,
! 		                                    double maxRunningHours,
! 		                                    Account account)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
! 			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
! 			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
! 			this.benchmark = benchmark;
! 			this.startDate = startDate;
! 			this.endDate = endDate;
! 			this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
! 			this.minNumOfDaysForGapComputation = minNumOfDaysForGapComputation;
! 			this.maxNumOfDaysForGapComputation = maxNumOfDaysForGapComputation;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.maxRunningHours = maxRunningHours;
! 			this.account = account;
! 			this.numDaysElapsedSinceLastOptimization = 0;
! 			this.seedForRandomGenerator = ConstantsProvider.SeedForRandomGenerator;
! 			this.historicalAdjustedQuoteProvider = new HistoricalAdjustedQuoteProvider();
! 			this.minimumGainForClosingPositions = 0.002;
! 			this.maximumToleratedLoss = 0.02;
! 			this.optimizationOutput = new OptimizationOutput();
! 		}
  
! 		
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			
! 		}
! 		
! 		#region marketCloseEventHandler
! 		
! 		public void marketCloseEventHandler_closePositions()
! 		{
! 			if(this.account.Portfolio[ this.lastOrderedTickers[0] ] != null)
! 				this.account.ClosePosition( this.lastOrderedTickers[0] );
  
! 			if(this.account.Portfolio[ this.lastOrderedTickers[1] ] != null)
! 				this.account.ClosePosition( this.lastOrderedTickers[1] );
! 		}
! 		
! 		private bool marketCloseEventHandler_isCurrentGainGoodEnoughOrStopLossConditionReached(
! 			DateTime currentDateTime )
! 		{
! 			bool returnValue = false;
! 			double currentGain =
! 				(this.account.GetMarketValue() - this.initialAccountValue)/
! 				this.initialAccountValue;
! 			if(currentGain >= this.minimumGainForClosingPositions ||
! 			   -currentGain >= this.maximumToleratedLoss)
! 				//gain is good enough or loss is too high ...
! 				returnValue = true;
  
! 			return returnValue;
! 		}
! 		
! 		private float marketCloseEventHandler_openPositions_getGap(int indexForPair,
! 		                                                           DateTime firstDate,
! 		                                                           DateTime lastDate)
! 		{
! 			Quotes firstTickerQuotes = new Quotes(this.chosenTickers[indexForPair], firstDate, lastDate);
! 			Quotes secondTickerQuotes = new Quotes(this.chosenTickers[indexForPair+1], firstDate, lastDate);
! 			this.currentPair_firstTickerGain =
! 				(float)firstTickerQuotes.Rows[1]["quClose"]/(float)firstTickerQuotes.Rows[0]["quClose"];
! 			this.currentPair_secondTickerGain =
! 				(float)secondTickerQuotes.Rows[1]["quClose"]/(float)secondTickerQuotes.Rows[0]["quClose"];
! 			return  (this.currentPair_firstTickerGain - this.currentPair_secondTickerGain);
! 		}
! 		
! 		private void marketCloseEventHandler_openPositions_open(int indexForPair)
! 			
! 		{
! 			double cashForSinglePosition = this.account.CashAmount/2;
! 			long quantityForFirstTicker =
! 				Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( this.chosenTickers[indexForPair] ) ) );
! 			long quantityForSecondTicker =
! 				Convert.ToInt64( Math.Floor( cashForSinglePosition / this.account.DataStreamer.GetCurrentBid( this.chosenTickers[indexForPair+1] ) ) );
! 			OrderType orderTypeForFirstTicker = OrderType.MarketBuy;
! 			OrderType orderTypeForSecondTicker = OrderType.MarketSellShort;
! 			if(this.currentPair_firstTickerGain > this.currentPair_secondTickerGain)
! 			{
! 				orderTypeForFirstTicker = OrderType.MarketSellShort;
! 				orderTypeForSecondTicker = OrderType.MarketBuy;
! 			}
! 			this.account.AddOrder(new Order( orderTypeForFirstTicker,
! 			                                new Instrument( this.chosenTickers[indexForPair] ) ,
! 			                                quantityForFirstTicker ));
! 			this.account.AddOrder(new Order( orderTypeForSecondTicker,
! 			                                new Instrument( this.chosenTickers[indexForPair+1] ) ,
! 			                                quantityForSecondTicker ));
! 			this.lastOrderedTickers[0] = this.chosenTickers[indexForPair];
! 			this.lastOrderedTickers[1] = this.chosenTickers[indexForPair+1];
! 		}
! 		
! 		private void marketCloseEventHandler_openPositions_setMaxLevelForNormalGap(int indexForPair)
! 			
! 		{
! 			this.maxLevelForNormalGap = this.averageGapsOfChosenTickers[indexForPair] +
! 				this.maxNumOfStdDevForNormalGap * 
! 				this.stdDevGapsOfChosenTickers[indexForPair];
! 		}
! 		
! 		private void marketCloseEventHandler_openPositions(
! 			DateTime currentDateTime , IndexBasedEndOfDayTimer timer )
! 		{
! 			if(this.chosenTickers[0] != null)
! 				//potential tickers for pair trading have been set
! 			{
! 				for(int i = 0; i<this.chosenTickers.Length - 1 &&
! 				    this.account.Portfolio.Count == 0; i++)
! 				{
! 					this.marketCloseEventHandler_openPositions_setMaxLevelForNormalGap(i);
! 					if(Math.Abs(this.marketCloseEventHandler_openPositions_getGap(
! 						i, timer.GetPreviousDateTime(),
! 						timer.GetCurrentDateTime())) >= (float)this.maxLevelForNormalGap)
! 						//currentGap is too high for being considered rational
! 						//so there is an arbitrage opportunity
! 						this.marketCloseEventHandler_openPositions_open(i);
! 				}
! 				this.initialAccountValue = this.account.GetMarketValue();
! 				//this.account.Portfolio.GetMarketValue(currentEndOfDayDateTime,this.historicalAdjustedQuoteProvider);
! 			}
! 		}
! 		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			if(this.account.Portfolio.Count == 0)
! 				//portfolio is empty
! 			{
! 				if(this.account.Transactions.Count == 0)
! 					this.account.AddCash(30000);
! 				this.marketCloseEventHandler_openPositions(dateTime,
! 				                                           (IndexBasedEndOfDayTimer)sender);
! 			}
! 			else // portfolio is not empty
! 			{
! 				this.counterForDaysWithPositions++;
! 				if(this.counterForDaysWithPositions == this.currentNumDaysForGapComputation ||
! 				   this.marketCloseEventHandler_isCurrentGainGoodEnoughOrStopLossConditionReached(dateTime))
! 					//a number of days equal to the number of days
! 					//used for gap computation has elapsed or
! 					//the current gain is good enough or
! 					//loss is too high
! 				{
! 					this.marketCloseEventHandler_closePositions();
! 					this.counterForDaysWithPositions = 0;
! 				}
! 				
! 			}
! 		}
! 		#endregion
  
! 		#region oneHourAfterMarketCloseEventHandler
! 		
! 		protected DataTable getSetOfTickersToBeOptimized(DateTime currentDate)
! 		{
! 			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID, currentDate);
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromEligible =
! 				new SelectorByQuotationAtEachMarketDay( temporizedGroup.GetTableOfSelectedTickers(),
! 				                                       false, currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 				                                       currentDate, this.numberOfEligibleTickers, this.benchmark);
! 			return quotedAtEachMarketDayFromEligible.GetTableOfSelectedTickers();
! 		}
! 		
! 		private void setTickers_setChosenTickers_addGenomeForOptimizationOutput(Genome genome, DateTime currentDate)
! 		{
! 			this.optimizationOutput.Add(new GenomeRepresentation(this.maxNumOfStdDevForNormalGap,
! 			                                                     genome,
! 			                                                     currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 			                                                     currentDate));
! 		}
  
! 		private void setTickers_setChosenTickers_addTickers(Genome genome)
! 		{
! 			this.chosenTickers[this.addedTickersCounter] =
! 				((GenomeMeaningSimplePT)genome.Meaning).FirstTicker;
! 			this.chosenTickers[this.addedTickersCounter+1] =
! 				((GenomeMeaningSimplePT)genome.Meaning).SecondTicker;
! 			
! 			this.averageGapsOfChosenTickers[this.addedTickersCounter] =
! 				((GenomeMeaningSimplePT)genome.Meaning).AverageGap;
! 			this.stdDevGapsOfChosenTickers[this.addedTickersCounter] =
! 				((GenomeMeaningSimplePT)genome.Meaning).StdDevGap;
  
! 			this.currentNumDaysForGapComputation = ((GenomeMeaningSimplePT)genome.Meaning).NumOfDaysForGap;
! 			
! 			this.addedTickersCounter += 2;
! 		}
! 		
! 		private bool setTickers_setChosenTickers_isAnyTickerOfGenomeInChosenTickers(Genome genome)
! 		{
! 			bool returnValue = false;
! 			foreach(string ticker in this.chosenTickers)
! 			{
! 				if(ticker == ((GenomeMeaningSimplePT)genome.Meaning).FirstTicker ||
! 				   ticker == ((GenomeMeaningSimplePT)genome.Meaning).SecondTicker)
! 					returnValue = true;
! 			}
! 			return returnValue;
! 		}
! 		
! 		private void setTickers_setChosenTickers(GeneticOptimizer GO, DateTime currentDate)
! 		{
! 			this.addedTickersCounter = 0;
! 			for(int i = 0;
! 			    i<GO.CurrentGeneration.Count -1 &&
! 			    addedTickersCounter<this.chosenTickers.Length;
! 			    i++)
! 			{
! 				Genome currentGenome = (Genome)GO.CurrentGeneration[GO.CurrentGeneration.Count-i-1];
! 				if(!this.setTickers_setChosenTickers_isAnyTickerOfGenomeInChosenTickers(currentGenome))
! 				{
! 					this.setTickers_setChosenTickers_addTickers(currentGenome);
! 					this.setTickers_setChosenTickers_addGenomeForOptimizationOutput(currentGenome,
! 					                                                                currentDate);
! 				}
! 			}
! 		}
  
! 		private void setTickers(DateTime currentDate)
! 		{
! 			
! 			DataTable setOfTickersToBeOptimized = this.getSetOfTickersToBeOptimized(currentDate);
! 			IGenomeManager genManForSimplePT =
! 				new GenomeManagerForSimplePT(setOfTickersToBeOptimized,
! 				                             currentDate.AddDays(-this.numDaysForOptimizationPeriod),
! 				                             currentDate,
! 				                             this.minNumOfDaysForGapComputation,
! 				                             this.maxNumOfDaysForGapComputation,
! 				                             this.maxNumOfStdDevForNormalGap);
! 			
! 			GeneticOptimizer GO = new GeneticOptimizer(genManForSimplePT,
! 			                                           this.populationSizeForGeneticOptimizer,
! 			                                           this.generationNumberForGeneticOptimizer,
! 			                                           this.seedForRandomGenerator);
! 			GO.Run(false);
! 			this.setTickers_setChosenTickers(GO, currentDate);
! 		}
  
! 		/// <summary>
! 		/// Handles a "One hour after market close" event.
! 		/// </summary>
! 		/// <param name="sender"></param>
! 		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
! 		{
! 			this.seedForRandomGenerator++;
! 			if(this.numDaysElapsedSinceLastOptimization ==
! 			   this.numDaysBetweenEachOptimization - 1)
! 			{
! 				this.setTickers( dateTime );
! 				//sets tickers to be chosen at next Market Open event
! 				this.numDaysElapsedSinceLastOptimization = 0;
! 			}
! 			else
! 			{
! 				this.numDaysElapsedSinceLastOptimization++;
! 			}
! 		}
  		
! 		#endregion
! 		
! 	}
  }

Index: RunSimplePairTrading.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/RunSimplePairTrading.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunSimplePairTrading.cs	19 Aug 2008 17:13:09 -0000	1.2
--- RunSimplePairTrading.cs	29 Sep 2008 21:16:41 -0000	1.3
***************
*** 3,7 ****
  
  RunSimplePairTrading.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunSimplePairTrading.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;
--- 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;
***************
*** 36,147 ****
  {
  	
!   /// <summary>
  	/// Script to test the pair trading strategy on two single tickers
  	/// </summary>
!   [Serializable]
!   public class RunSimplePairTrading : RunPairTrading
!   {
!     private EndOfDayTimerHandlerSimplePT endOfDayTimerHandler;
!     public RunSimplePairTrading(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numDaysForOptimizationPeriod, 
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer, string benchmark,
!                                 DateTime startDate, DateTime endDate, 
!                                 double maxNumOfStdDevForNormalGap, int minNumOfDaysForGapComputation,
!                                 int maxNumOfDaysForGapComputation, int numDaysBetweenEachOptimization,
!                                 double maxRunningHours):
!                                 base(tickerGroupID, numberOfEligibleTickers,
!                                 numDaysForOptimizationPeriod, 
!                                 generationNumberForGeneticOptimizer,
!                                 populationSizeForGeneticOptimizer, benchmark,
!                                 startDate, endDate, 
!                                 minNumOfDaysForGapComputation, maxNumOfDaysForGapComputation,
!                                 maxNumOfStdDevForNormalGap, numDaysBetweenEachOptimization,
!                                 maxRunningHours)
!     {
  
!     }
!     
!     #region auxiliary overriden methods for Run
!         
!     
!     
!     protected override void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerSimplePT(this.tickerGroupID,
!         this.numberOfEligibleTickers,
!         this.numDaysForOptimizationPeriod,
!         this.generationNumberForGeneticOptimizer, 
!         this.populationSizeForGeneticOptimizer,
!         this.benchmark, this.startDateTime.DateTime, this.endDateTime.DateTime,
!         this.maxNumOfStdDevForNormalGap, this.minNumOfDaysForGapComputation,
!         this.maxNumOfDaysForGapComputation,
!         this.numDaysBetweenEachOptimization, this.maxRunningHours, this.account);
!     }
!     
!     
!     protected override void run_addEventHandlers()
!     {
!       this.endOfDayTimer.MarketOpen +=
!         new MarketOpenEventHandler(
!         this.endOfDayTimerHandler.MarketOpenEventHandler);  
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       this.endOfDayTimer.OneHourAfterMarketClose +=
!         new OneHourAfterMarketCloseEventHandler(
!         this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!     }
!     #endregion 
!     
!     //necessary far calling RunPairTrading.Run()
!     //in classes that inherit from this class
!     public override void Run()
!     {
!       base.Run();
!     }
!     public override void SaveScriptResults()
!     {
!       string fileName = "From"+this.numberOfEligibleTickers +
!         "OptDays" + this.numDaysForOptimizationPeriod + "GenNum" + 
!         this.generationNumberForGeneticOptimizer +
!         "PopSize" + this.populationSizeForGeneticOptimizer;
!       string dirNameWhereToSaveAccounts =
!       	System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
!         "\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
!         "\\" + this.ScriptName + "\\";
! //      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
! //        "\\" + this.ScriptName + "\\";
!       
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveAccounts);
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! //      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!     
!       ObjectArchiver.Archive(this.account,
!         dirNameWhereToSaveAccounts +
!         fileName + ".qPa");
!       ObjectArchiver.Archive(this.account.Transactions,
!         dirNameWhereToSaveTransactions +
!         fileName + ".qPt");
!     
! //      OptimizationOutput optimizationOutput = new OptimizationOutput();
! //      foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! //        optimizationOutput.Add(genomeRepresentation);
! //      ObjectArchiver.Archive(optimizationOutput,
! //                              dirNameWhereToSaveBestGenomes + 
! //                              fileName + ".bgn");
!       this.endOfDayTimer.Stop();
!       new OutputDisplayer(this.startDateTime.DateTime, this.endDateTime.DateTime,
!                           this.endOfDayTimerHandler.OptimizationOutput).Show();
!       
!     }
  	}
  }
--- 36,152 ----
  {
  	
! 	/// <summary>
  	/// Script to test the pair trading strategy on two single tickers
  	/// </summary>
! 	[Serializable]
! 	public class RunSimplePairTrading : RunPairTrading
! 	{
! 		private EndOfDayTimerHandlerSimplePT endOfDayTimerHandler;
! 		public RunSimplePairTrading(string tickerGroupID, int numberOfEligibleTickers,
! 		                            int numDaysForOptimizationPeriod,
! 		                            int generationNumberForGeneticOptimizer,
! 		                            int populationSizeForGeneticOptimizer, string benchmark,
! 		                            DateTime startDate, DateTime endDate,
! 		                            double maxNumOfStdDevForNormalGap, int minNumOfDaysForGapComputation,
! 		                            int maxNumOfDaysForGapComputation, int numDaysBetweenEachOptimization,
! 		                            double maxRunningHours):
! 			base(tickerGroupID, numberOfEligibleTickers,
! 			     numDaysForOptimizationPeriod,
! 			     generationNumberForGeneticOptimizer,
! 			     populationSizeForGeneticOptimizer, benchmark,
! 			     startDate, endDate,
! 			     minNumOfDaysForGapComputation, maxNumOfDaysForGapComputation,
! 			     maxNumOfStdDevForNormalGap, numDaysBetweenEachOptimization,
! 			     maxRunningHours)
! 		{
  
! 		}
! 		
! 		#region auxiliary overriden methods for Run
! 		
! 		
! 		
! 		protected override void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerSimplePT(this.tickerGroupID,
! 			                                                             this.numberOfEligibleTickers,
! 			                                                             this.numDaysForOptimizationPeriod,
! 			                                                             this.generationNumberForGeneticOptimizer,
! 			                                                             this.populationSizeForGeneticOptimizer,
! 			                                                             this.benchmark, this.startDateTime, this.endDateTime,
! 			                                                             this.maxNumOfStdDevForNormalGap, this.minNumOfDaysForGapComputation,
! 			                                                             this.maxNumOfDaysForGapComputation,
! 			                                                             this.numDaysBetweenEachOptimization, this.maxRunningHours, this.account);
! 		}
! 		
! 		
! 		protected override void run_addEventHandlers()
! 		{
! 			this.timer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.timer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
! 
! //			this.timer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //					this.endOfDayTimerHandler.MarketOpenEventHandler);
! //			
! //			this.timer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.endOfDayTimerHandler.MarketCloseEventHandler);
! //			
! //			this.timer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! //			
! //			this.timer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 		}
! 		#endregion
! 		
! 		//necessary far calling RunPairTrading.Run()
! 		//in classes that inherit from this class
! 		public override void Run()
! 		{
! 			base.Run();
! 		}
! 		public override void SaveScriptResults()
! 		{
! 			string fileName = "From"+this.numberOfEligibleTickers +
! 				"OptDays" + this.numDaysForOptimizationPeriod + "GenNum" +
! 				this.generationNumberForGeneticOptimizer +
! 				"PopSize" + this.populationSizeForGeneticOptimizer;
! 			string dirNameWhereToSaveAccounts =
! 				System.Configuration.ConfigurationManager.AppSettings["AccountsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			//      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
! 			//        "\\" + this.ScriptName + "\\";
! 			
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveAccounts);
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! 			//      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			
! 			ObjectArchiver.Archive(this.account,
! 			                       dirNameWhereToSaveAccounts +
! 			                       fileName + ".qPa");
! 			ObjectArchiver.Archive(this.account.Transactions,
! 			                       dirNameWhereToSaveTransactions +
! 			                       fileName + ".qPt");
! 			
! 			//      OptimizationOutput optimizationOutput = new OptimizationOutput();
! 			//      foreach(GenomeRepresentation genomeRepresentation in this.endOfDayTimerHandler.BestGenomes)
! 			//        optimizationOutput.Add(genomeRepresentation);
! 			//      ObjectArchiver.Archive(optimizationOutput,
! 			//                              dirNameWhereToSaveBestGenomes +
! 			//                              fileName + ".bgn");
! 			this.timer.Stop();
! 			new OutputDisplayer(this.startDateTime, this.endDateTime,
! 			                    this.endOfDayTimerHandler.OptimizationOutput).Show();
! 			
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/General/Strategies SimpleStrategy.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/General/Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15598/Strategies

Modified Files:
	SimpleStrategy.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: SimpleStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/General/Strategies/SimpleStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** SimpleStrategy.cs	16 Aug 2008 19:06:12 -0000	1.1
--- SimpleStrategy.cs	29 Sep 2008 21:17:04 -0000	1.2
***************
*** 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;
***************
*** 44,52 ****
  			WeightedPositions weightedPositions ,
  			IIntervalsSelector intervalsSelector ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ) :
  			base(	999 ,	1 ,	intervalsSelector , intervalsSelector ,
! 			new DummyEligibleSelector() ,
! 			new DummyInSampleChooser() ,
! 			historicalQuoteProvider )
  		{
  			this.weightedPositions = weightedPositions;
--- 44,52 ----
  			WeightedPositions weightedPositions ,
  			IIntervalsSelector intervalsSelector ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ) :
  			base(	999 ,	1 ,	intervalsSelector , intervalsSelector ,
! 			     new DummyEligibleSelector() ,
! 			     new DummyInSampleChooser() ,
! 			     historicalMarketValueProvider )
  		{
  			this.weightedPositions = weightedPositions;
***************
*** 57,67 ****
  			// true iif the current EndOfDayDateTime falls on the end of either the last
  			// interval or the second last interval
! 			bool arePositionsToBeClosed = ( ( this.Account.Portfolio.Count > 0 ) &&
! 				( this.returnIntervals[ this.returnIntervals.Count - 1 ].End.IsEqualTo(
! 				this.now() )
! 				||
! 				( ( this.returnIntervals.Count > 1 ) &&
! 				( this.returnIntervals[ this.returnIntervals.Count - 2 ].End.IsEqualTo(
! 				this.now() ) ) ) ) );
  			return arePositionsToBeClosed;
  		}
--- 57,68 ----
  			// true iif the current EndOfDayDateTime falls on the end of either the last
  			// interval or the second last interval
! 			bool arePositionsToBeClosed =
! 				( ( this.Account.Portfolio.Count > 0 ) &&
! 				 ( ( this.returnIntervals[ this.returnIntervals.Count - 1 ].End ==
! 				    this.now() )
! 				  ||
! 				  ( ( this.returnIntervals.Count > 1 ) &&
! 				   ( this.returnIntervals[ this.returnIntervals.Count - 2 ].End ==
! 				   	this.now() ) ) ) );
  			return arePositionsToBeClosed;
  		}
***************
*** 76,81 ****
  			bool arePositionsToBeOpened =
  				( ( this.Account.Portfolio.Count == 0 ) &&
! 				this.returnIntervals[ this.returnIntervals.Count - 1 ].Begin.IsEqualTo(
! 				this.now() ) );
  			return arePositionsToBeOpened;
  		}
--- 77,82 ----
  			bool arePositionsToBeOpened =
  				( ( this.Account.Portfolio.Count == 0 ) &&
! 				 this.returnIntervals[ this.returnIntervals.Count - 1 ].Begin ==
! 				 this.now() );
  			return arePositionsToBeOpened;
  		}

[Quantproject-developers] QuantProject/b7_Scripts/General/Logging DummyTesterForTestingPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/General/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15598/Logging

Modified Files:
	DummyTesterForTestingPositions.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: DummyTesterForTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/General/Logging/DummyTesterForTestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** DummyTesterForTestingPositions.cs	8 Apr 2008 21:34:31 -0000	1.1
--- DummyTesterForTestingPositions.cs	29 Sep 2008 21:17:03 -0000	1.2
***************
*** 42,46 ****
  		private TestingPositions testingPositions;
  		private int numberOfInSampleDays;
! 		private EndOfDayDateTime endOfDayDateTimeWhenThisObjectWasLogged;
  		
  		/// <summary>
--- 42,46 ----
  		private TestingPositions testingPositions;
  		private int numberOfInSampleDays;
! 		private DateTime dateTimeWhenThisObjectWasLogged;
  		
  		/// <summary>
***************
*** 70,79 ****
  			TestingPositions testingPositions ,
  			int numberOfInSampleDays ,
! 			EndOfDayDateTime endOfDayDateTimeWhenThisObjectWasLogged )
  		{
  			this.testingPositions = testingPositions;
  			this.numberOfInSampleDays = numberOfInSampleDays;
! 			this.endOfDayDateTimeWhenThisObjectWasLogged =
! 				endOfDayDateTimeWhenThisObjectWasLogged;
  		}
  						
--- 70,79 ----
  			TestingPositions testingPositions ,
  			int numberOfInSampleDays ,
! 			DateTime dateTimeWhenThisObjectWasLogged )
  		{
  			this.testingPositions = testingPositions;
  			this.numberOfInSampleDays = numberOfInSampleDays;
! 			this.dateTimeWhenThisObjectWasLogged =
! 				dateTimeWhenThisObjectWasLogged;
  		}
  						

[Quantproject-developers] QuantProject/b7_Scripts/General BasicScriptForBacktesting.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/General
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15598

Modified Files:
	BasicScriptForBacktesting.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: BasicScriptForBacktesting.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/General/BasicScriptForBacktesting.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** BasicScriptForBacktesting.cs	13 Apr 2008 16:27:20 -0000	1.3
--- BasicScriptForBacktesting.cs	29 Sep 2008 21:17:03 -0000	1.4
***************
*** 48,52 ****
  		protected IEligiblesSelector eligiblesSelector;
  		protected IInSampleChooser inSampleChooser;
! 		protected IEndOfDayStrategyForBacktester endOfDayStrategy;
  		protected EndOfDayStrategyBackTester endOfDayStrategyBackTester;
  
--- 48,52 ----
  		protected IEligiblesSelector eligiblesSelector;
  		protected IInSampleChooser inSampleChooser;
! 		protected IStrategyForBacktester strategyForBacktester;
  		protected EndOfDayStrategyBackTester endOfDayStrategyBackTester;
  
***************
*** 102,106 ****
  		protected abstract IInSampleChooser getInSampleChooser();
  
! 		protected abstract IEndOfDayStrategyForBacktester getEndOfDayStrategy();
  
  		protected abstract EndOfDayStrategyBackTester getEndOfDayStrategyBackTester();
--- 102,106 ----
  		protected abstract IInSampleChooser getInSampleChooser();
  
! 		protected abstract IStrategyForBacktester getStrategyForBacktester();
  
  		protected abstract EndOfDayStrategyBackTester getEndOfDayStrategyBackTester();
***************
*** 189,193 ****
  			this.eligiblesSelector = this.getEligiblesSelector();
  			this.inSampleChooser = this.getInSampleChooser();
! 			this.endOfDayStrategy = this.getEndOfDayStrategy();
  			this.endOfDayStrategyBackTester =	this.getEndOfDayStrategyBackTester();
  		}
--- 189,193 ----
  			this.eligiblesSelector = this.getEligiblesSelector();
  			this.inSampleChooser = this.getInSampleChooser();
! 			this.strategyForBacktester = this.getStrategyForBacktester();
  			this.endOfDayStrategyBackTester =	this.getEndOfDayStrategyBackTester();
  		}
***************
*** 216,220 ****
  			this.messageManager.Monitor( this.eligiblesSelector );
  			this.messageManager.Monitor( this.inSampleChooser );
! 			this.messageManager.Monitor( this.endOfDayStrategy );
  			this.messageManager.Monitor( this.endOfDayStrategyBackTester );
  		}
--- 216,220 ----
  			this.messageManager.Monitor( this.eligiblesSelector );
  			this.messageManager.Monitor( this.inSampleChooser );
! 			this.messageManager.Monitor( this.strategyForBacktester );
  			this.messageManager.Monitor( this.endOfDayStrategyBackTester );
  		}

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample EndOfDayTimerHandlerSimplePTIS.cs, 1.1, 1.2 RunSimplePairTradingIS.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15453/PairTrading/SimplePairTrading/InSample

Modified Files:
	EndOfDayTimerHandlerSimplePTIS.cs RunSimplePairTradingIS.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: EndOfDayTimerHandlerSimplePTIS.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample/EndOfDayTimerHandlerSimplePTIS.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EndOfDayTimerHandlerSimplePTIS.cs	14 May 2006 15:25:30 -0000	1.1
--- EndOfDayTimerHandlerSimplePTIS.cs	29 Sep 2008 21:16:41 -0000	1.2
***************
*** 94,105 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void MarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	if(((IndexBasedEndOfDayTimer)sender).GetPreviousDateTime() !=
!           endOfDayTimingEventArgs.EndOfDayDateTime.DateTime)
        //it is not the first date fired by the timer, so the
        // gap can be computed
!           base.MarketCloseEventHandler(sender, endOfDayTimingEventArgs);
      }
  
--- 94,105 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void marketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
      	if(((IndexBasedEndOfDayTimer)sender).GetPreviousDateTime() !=
!           dateTime)
        //it is not the first date fired by the timer, so the
        // gap can be computed
!           base.marketCloseEventHandler(sender, dateTime);
      }
  
***************
*** 109,114 ****
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     public override void OneHourAfterMarketCloseEventHandler(
!       Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
      {
      	
--- 109,114 ----
      /// <param name="sender"></param>
      /// <param name="eventArgs"></param>
!     protected override void oneHourAfterMarketCloseEventHandler(
!       Object sender , DateTime dateTime )
      {
      	

Index: RunSimplePairTradingIS.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/SimplePairTrading/InSample/RunSimplePairTradingIS.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** RunSimplePairTradingIS.cs	14 May 2006 15:25:30 -0000	1.1
--- RunSimplePairTradingIS.cs	29 Sep 2008 21:16:41 -0000	1.2
***************
*** 3,7 ****
  
  RunSimplePairTradingIS.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunSimplePairTradingIS.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;
--- 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;
***************
*** 39,180 ****
  {
  	
!   /// <summary>
  	/// Script to test the pair trading strategy for
  	/// two tickers for a given time period
  	/// </summary>
!   [Serializable]
!   public class RunSimplePairTradingIS
!   {
!     private double maxNumOfStdDevForNormalGap;
!     private int numDaysForGap;
!     private double averageGap;
!     private double stdDevGap;
!     private EndOfDayTimerHandlerSimplePT endOfDayTimerHandler;
!     private string firstTicker;
!     private string secondTicker;
!     private DateTime startDateTime;
!     private DateTime endDateTime;
!     private IHistoricalQuoteProvider historicalQuoteProvider;
!     private Account account;
!     private IEndOfDayTimer endOfDayTimer;
!     private string benchmark;
!     private string scriptName;
  
!     public RunSimplePairTradingIS(double maxNumOfStdDevForNormalGap,
!                                   int numDaysForGap,
!                                   double averageGap,
!                                   double stdDevGap,
!                                   string firstTicker, string secondTicker,
!                                   DateTime startDate, DateTime endDate)
!                                   
!     {
!       this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
!       this.numDaysForGap = numDaysForGap;
!       this.averageGap = averageGap;
!       this.stdDevGap = stdDevGap;
!       this.firstTicker = firstTicker;
!       this.secondTicker = secondTicker;
!       this.startDateTime = startDate;
!       this.endDateTime = endDate;
!       this.benchmark = "^GSPC";
!       this.scriptName = "SimplePairTradingForGivenTickers";
!     }
!     
!     #region Run
!         
!     private void run_initializeEndOfDayTimer()
!     {
!       //default endOfDayTimer
!       this.endOfDayTimer =
!         new IndexBasedEndOfDayTimer( new EndOfDayDateTime(this.startDateTime,
!                                                           EndOfDaySpecificTime.MarketOpen),
!                                      this.benchmark );
!     	
!     }
!     
!     protected void run_initializeAccount()
!     {
!       //default account with no commissions and no slippage calculation
!       this.account = new Account( this.scriptName , this.endOfDayTimer ,
!         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
!         this.historicalQuoteProvider ) ,
!         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
!         this.historicalQuoteProvider ));
!      
!     }
!         
!     private void run_initializeHistoricalQuoteProvider()
!     {
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!         
!     private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime)
!         //last date is reached by the timer
!         this.showReport();
!     }
!     
!     private void showReport()
!     {
!       AccountReport accountReport = this.account.CreateReport(this.scriptName, 1,
!                                         this.endOfDayTimer.GetCurrentTime(),
!                                         this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       Report report = new Report(accountReport);
!       report.Show();
!       this.endOfDayTimer.Stop();
!        
!     }
!     
!     private void run_initialize()
!     {
!       run_initializeHistoricalQuoteProvider();
!       run_initializeEndOfDayTimer();
!       run_initializeAccount();
!       run_initializeEndOfDayTimerHandler();
!     }
!     
!     
!     public void Run()
!     {
!       this.run_initialize();
!       this.run_addEventHandlers();
!       this.endOfDayTimer.Start();
!     }
!     
!     private void run_initializeEndOfDayTimerHandler()
!     {
!       this.endOfDayTimerHandler = new EndOfDayTimerHandlerSimplePTIS(this.maxNumOfStdDevForNormalGap,
!                                                                      this.numDaysForGap,
!                                                                      this.averageGap,
!                                                                      this.stdDevGap,
!                                                                      this.firstTicker, this.secondTicker,
!                                                                      this.startDateTime, this.endDateTime,
!                                                                      this.account);
!     }
!     
!     
!     private void run_addEventHandlers()
!     {
!       this.endOfDayTimer.MarketOpen +=
!         new MarketOpenEventHandler(
!         this.endOfDayTimerHandler.MarketOpenEventHandler);  
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.endOfDayTimerHandler.MarketCloseEventHandler);
!       
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       this.endOfDayTimer.OneHourAfterMarketClose +=
!         new OneHourAfterMarketCloseEventHandler(
!         this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!     }
!     #endregion 
!     
  	}
  }
--- 39,187 ----
  {
  	
! 	/// <summary>
  	/// Script to test the pair trading strategy for
  	/// two tickers for a given time period
  	/// </summary>
! 	[Serializable]
! 	public class RunSimplePairTradingIS
! 	{
! 		private double maxNumOfStdDevForNormalGap;
! 		private int numDaysForGap;
! 		private double averageGap;
! 		private double stdDevGap;
! 		private EndOfDayTimerHandlerSimplePT endOfDayTimerHandler;
! 		private string firstTicker;
! 		private string secondTicker;
! 		private DateTime startDateTime;
! 		private DateTime endDateTime;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private Account account;
! 		private Timer timer;
! 		private string benchmark;
! 		private string scriptName;
  
! 		public RunSimplePairTradingIS(double maxNumOfStdDevForNormalGap,
! 		                              int numDaysForGap,
! 		                              double averageGap,
! 		                              double stdDevGap,
! 		                              string firstTicker, string secondTicker,
! 		                              DateTime startDate, DateTime endDate)
! 			
! 		{
! 			this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
! 			this.numDaysForGap = numDaysForGap;
! 			this.averageGap = averageGap;
! 			this.stdDevGap = stdDevGap;
! 			this.firstTicker = firstTicker;
! 			this.secondTicker = secondTicker;
! 			this.startDateTime = startDate;
! 			this.endDateTime = endDate;
! 			this.benchmark = "^GSPC";
! 			this.scriptName = "SimplePairTradingForGivenTickers";
! 		}
! 		
! 		#region Run
! 		
! 		private void run_initializeEndOfDayTimer()
! 		{
! 			//default endOfDayTimer
! 			this.timer =
! 				new IndexBasedEndOfDayTimer(
! 					HistoricalEndOfDayTimer.GetMarketOpen( this.startDateTime ) ,
! 					//      		new EndOfDayDateTime(this.startDateTime,
! 					//                                                          EndOfDaySpecificTime.MarketOpen),
! 					this.benchmark );
! 			
! 		}
! 		
! 		protected void run_initializeAccount()
! 		{
! 			//default account with no commissions and no slippage calculation
! 			this.account = new Account( this.scriptName , this.timer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.timer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.timer ,
! 			                                                               this.historicalMarketValueProvider ));
! 			
! 		}
! 		
! 		private void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		
! 		private void checkDateForReport( Object sender , DateTime dateTime )
! 		{
! 			if(dateTime>=this.endDateTime)
! 				//last date is reached by the timer
! 				this.showReport();
! 		}
! 		
! 		private void showReport()
! 		{
! 			AccountReport accountReport = this.account.CreateReport(this.scriptName, 1,
! 			                                                        this.timer.GetCurrentDateTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			Report report = new Report(accountReport);
! 			report.Show();
! 			this.timer.Stop();
! 			
! 		}
! 		
! 		private void run_initialize()
! 		{
! 			run_initializeHistoricalQuoteProvider();
! 			run_initializeEndOfDayTimer();
! 			run_initializeAccount();
! 			run_initializeEndOfDayTimerHandler();
! 		}
! 		
! 		
! 		public void Run()
! 		{
! 			this.run_initialize();
! 			this.run_addEventHandlers();
! 			this.timer.Start();
! 		}
! 		
! 		private void run_initializeEndOfDayTimerHandler()
! 		{
! 			this.endOfDayTimerHandler = new EndOfDayTimerHandlerSimplePTIS(this.maxNumOfStdDevForNormalGap,
! 			                                                               this.numDaysForGap,
! 			                                                               this.averageGap,
! 			                                                               this.stdDevGap,
! 			                                                               this.firstTicker, this.secondTicker,
! 			                                                               this.startDateTime, this.endDateTime,
! 			                                                               this.account);
! 		}
! 		
! 		
! 		private void run_addEventHandlers()
! 		{
! 			this.timer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.endOfDayTimerHandler.NewDateTimeEventHandler );
! 			this.timer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
! 
! //			this.timer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //					this.endOfDayTimerHandler.MarketOpenEventHandler);
! //			
! //			this.timer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.endOfDayTimerHandler.MarketCloseEventHandler);
! //			
! //			this.timer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! //			
! //			this.timer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //					this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 		}
! 		#endregion
! 		
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce RunDOR_WeekEndBounce.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15453/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce

Modified Files:
	RunDOR_WeekEndBounce.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: RunDOR_WeekEndBounce.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce/RunDOR_WeekEndBounce.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunDOR_WeekEndBounce.cs	19 Aug 2008 17:13:04 -0000	1.2
--- RunDOR_WeekEndBounce.cs	29 Sep 2008 21:16:40 -0000	1.3
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
***************
*** 37,170 ****
  	/// Script that implements the Double OverReaction Week End Bounce strategy:
  	/// at each Monday open, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l tickers among the 
  	/// b best that more moves down (at open) and the s tickers among the w worst
  	/// that more moves up (at open).
! 	/// For chosing the b best and w worst tickers the 
  	/// given previous lengthInDays Performance is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...) 
  	/// that overreactions may be followed by opposite overreactions.
  	/// At each wednesday open, positions are closed.
  	/// </summary>
!   [Serializable]
!   public class RunDOR_WeekEndBounce
!   {
!     private string scriptName;
!     private string tickerGroupID;
!     private string benchmark;
!     private int numberOfEligibleTickers;
!     private int numOfBestTickers;
!     private int numOfWorstTickers;
  		private int lengthInDaysForPerformance;
!     private int numOfTickersForBuying;
!     private int numOfTickersForShortSelling;
!     private DateTime startDate;
!     private DateTime endDate;
!     private double maxRunningHours;
!     private DateTime startingTimeForScript;
!     private Account account;
!     private IHistoricalQuoteProvider historicalQuoteProvider;
!     private IEndOfDayTimer endOfDayTimer;
  
!     public RunDOR_WeekEndBounce(string tickerGroupID, string benchmark,
!       int numberOfEligibleTickers, int numOfBestTickers, 
!       int numOfWorstTickers, int numOfTickersForBuying,
!       int numOfTickersForShortSelling,
!       DateTime startDate, DateTime endDate, int  lengthInDaysForPerformance,
!       double maxRunningHours)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.benchmark = benchmark;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numOfBestTickers = numOfBestTickers;
!       this.numOfWorstTickers = numOfWorstTickers;
!       this.numOfTickersForBuying = numOfTickersForBuying;
!       this.numOfTickersForShortSelling = numOfTickersForShortSelling;
!       this.startDate = startDate;
!       this.endDate = endDate;
!       this.maxRunningHours = maxRunningHours;
!       this.scriptName = "DoubleOverReaction_WeekEndBounce";
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!       this.endOfDayTimer = new IndexBasedEndOfDayTimer(
!         new EndOfDayDateTime( this.startDate ,
!         EndOfDaySpecificTime.MarketOpen ) , this.benchmark );
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
!     }
  
  
!     public void Run()
!     {
!       this.startingTimeForScript = DateTime.Now;
!       this.account = new Account( "WeekEndBounce" , this.endOfDayTimer ,
!         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
!         this.historicalQuoteProvider ) ,
!         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
!         this.historicalQuoteProvider ) );
!       EndOfDayTimerHandlerDOR_WeekEndBounce endOfDayTimerHandler =
!         new EndOfDayTimerHandlerDOR_WeekEndBounce(this.tickerGroupID, this.numberOfEligibleTickers,
!         this.numOfBestTickers, this.numOfWorstTickers, this.lengthInDaysForPerformance,
!         this.numOfTickersForBuying, this.numOfTickersForShortSelling, 
!         this.account, this.benchmark);
!       this.endOfDayTimer.MarketOpen += new MarketOpenEventHandler(
!         endOfDayTimerHandler.MarketOpenEventHandler );
! 
!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         endOfDayTimerHandler.MarketCloseEventHandler );
  
!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         this.checkDateForReport);
  
!       this.endOfDayTimer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
!         endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!       
!       this.endOfDayTimer.Start();
!     }
  
!     private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDate ||
!         DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
!         //last date is reached by the timer or maxRunning hours
!         //are elapsed from the time script started
!         this.SaveScriptResults();
!     }
  
!     private void checkDateForReport_createDirIfNotPresent(string dirPath)
!     {
!       if(!Directory.Exists(dirPath))
!         Directory.CreateDirectory(dirPath);
!     }
  
!     public void SaveScriptResults()
!     {
!       TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName = 
! 				"SecondsElapsed_" + 
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
!         DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
!         this.scriptName +  "_From_" + this.tickerGroupID +
!         "_elig_" + this.numberOfEligibleTickers + 
!       	"_best_" + this.numOfBestTickers +
!       	"_worst_" + this.numOfWorstTickers +
!       	"_forLong_" + this.numOfTickersForBuying +
!       	"_forShort_" + this.numOfTickersForShortSelling;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
!         "\\" + this.scriptName + "\\";
!           
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport( fileName,1,
!         this.endOfDayTimer.GetCurrentTime(),
!         this.benchmark,
!         new HistoricalAdjustedQuoteProvider() );
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!         dirNameWhereToSaveReports + 
!         fileName + ".qPr");
!             
!       this.endOfDayTimer.Stop();
!     }
!   }   
  }
--- 37,178 ----
  	/// Script that implements the Double OverReaction Week End Bounce strategy:
  	/// at each Monday open, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l tickers among the
  	/// b best that more moves down (at open) and the s tickers among the w worst
  	/// that more moves up (at open).
! 	/// For chosing the b best and w worst tickers the
  	/// given previous lengthInDays Performance is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...)
  	/// that overreactions may be followed by opposite overreactions.
  	/// At each wednesday open, positions are closed.
  	/// </summary>
! 	[Serializable]
! 	public class RunDOR_WeekEndBounce
! 	{
! 		private string scriptName;
! 		private string tickerGroupID;
! 		private string benchmark;
! 		private int numberOfEligibleTickers;
! 		private int numOfBestTickers;
! 		private int numOfWorstTickers;
  		private int lengthInDaysForPerformance;
! 		private int numOfTickersForBuying;
! 		private int numOfTickersForShortSelling;
! 		private DateTime startDate;
! 		private DateTime endDate;
! 		private double maxRunningHours;
! 		private DateTime startingTimeForScript;
! 		private Account account;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private Timer timer;
  
! 		public RunDOR_WeekEndBounce(string tickerGroupID, string benchmark,
! 		                            int numberOfEligibleTickers, int numOfBestTickers,
! 		                            int numOfWorstTickers, int numOfTickersForBuying,
! 		                            int numOfTickersForShortSelling,
! 		                            DateTime startDate, DateTime endDate, int  lengthInDaysForPerformance,
! 		                            double maxRunningHours)
! 		{
! 			this.tickerGroupID = tickerGroupID;
! 			this.benchmark = benchmark;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numOfBestTickers = numOfBestTickers;
! 			this.numOfWorstTickers = numOfWorstTickers;
! 			this.numOfTickersForBuying = numOfTickersForBuying;
! 			this.numOfTickersForShortSelling = numOfTickersForShortSelling;
! 			this.startDate = startDate;
! 			this.endDate = endDate;
! 			this.maxRunningHours = maxRunningHours;
! 			this.scriptName = "DoubleOverReaction_WeekEndBounce";
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 			this.timer = new IndexBasedEndOfDayTimer(
! 				HistoricalEndOfDayTimer.GetMarketOpen( this.startDate ) , this.benchmark );
! //				new EndOfDayDateTime( this.startDate ,
! //				                     EndOfDaySpecificTime.MarketOpen ) , this.benchmark );
  			this.lengthInDaysForPerformance = lengthInDaysForPerformance;
! 		}
  
  
! 		public void Run()
! 		{
! 			this.startingTimeForScript = DateTime.Now;
! 			this.account = new Account( "WeekEndBounce" , this.timer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.timer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.timer ,
! 			                                                               this.historicalMarketValueProvider ) );
! 			EndOfDayTimerHandlerDOR_WeekEndBounce endOfDayTimerHandler =
! 				new EndOfDayTimerHandlerDOR_WeekEndBounce(this.tickerGroupID, this.numberOfEligibleTickers,
! 				                                          this.numOfBestTickers, this.numOfWorstTickers, this.lengthInDaysForPerformance,
! 				                                          this.numOfTickersForBuying, this.numOfTickersForShortSelling,
! 				                                          this.account, this.benchmark);
! 			this.timer.NewDateTime += new NewDateTimeEventHandler(
! 				endOfDayTimerHandler.NewDateTimeEventHandler );
! 			
! //			this.timer.MarketOpen += new MarketOpenEventHandler(
! //				endOfDayTimerHandler.MarketOpenEventHandler );
! //
! //			this.timer.MarketClose += new MarketCloseEventHandler(
! //				endOfDayTimerHandler.MarketCloseEventHandler );
  
! 			this.timer.NewDateTime += new NewDateTimeEventHandler(
! 				this.checkDateForReport);
  
! //			this.timer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
! //				endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 			
! 			this.timer.Start();
! 		}
  
! 		private void checkDateForReport(
! 			Object sender , DateTime dateTime)
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 			{
! 				if( dateTime >= this.endDate ||
! 				   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 					//last date is reached by the timer or maxRunning hours
! 					//are elapsed from the time script started
! 					this.SaveScriptResults();
! 			}
! 		}
  
! 		private void checkDateForReport_createDirIfNotPresent(string dirPath)
! 		{
! 			if(!Directory.Exists(dirPath))
! 				Directory.CreateDirectory(dirPath);
! 		}
  
! 		public void SaveScriptResults()
! 		{
! 			TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName =
! 				"SecondsElapsed_" +
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				this.scriptName +  "_From_" + this.tickerGroupID +
! 				"_elig_" + this.numberOfEligibleTickers +
! 				"_best_" + this.numOfBestTickers +
! 				"_worst_" + this.numOfWorstTickers +
! 				"_forLong_" + this.numOfTickersForBuying +
! 				"_forShort_" + this.numOfTickersForShortSelling;
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.scriptName + "\\";
! 			
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport( fileName,1,
! 			                                                        this.timer.GetCurrentDateTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider() );
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			
! 			this.timer.Stop();
! 		}
! 	}
  }

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/TickersRelationships OpenToCloseCloseToOpenCorrelationProvider.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15532/TickersRelationships

Modified Files:
	OpenToCloseCloseToOpenCorrelationProvider.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: OpenToCloseCloseToOpenCorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/OpenToCloseCloseToOpenCorrelationProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OpenToCloseCloseToOpenCorrelationProvider.cs	25 Apr 2008 17:28:05 -0000	1.1
--- OpenToCloseCloseToOpenCorrelationProvider.cs	29 Sep 2008 21:16:51 -0000	1.2
***************
*** 88,97 ****
  		}
  
! 		protected override void setEndOfDayDatesTime(DateTime startDate, DateTime endDate)
  		{
! 			this.firstEndOfDayDateTime =
! 				new EndOfDayDateTime(startDate, EndOfDaySpecificTime.MarketOpen);
! 			this.lastEndOfDayDateTime = 
! 				new EndOfDayDateTime(endDate, EndOfDaySpecificTime.MarketClose);
  		}
  		
--- 88,100 ----
  		}
  
! 		protected override void setEndOfDayDatesTime(
! 			DateTime firstDate, DateTime lastDate)
  		{
! 			this.firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( firstDate);
! //				new EndOfDayDateTime(firstDate, EndOfDaySpecificTime.MarketOpen);
! 			this.lastDateTime = 
! 				HistoricalEndOfDayTimer.GetMarketClose( lastDate );
! //				new EndOfDayDateTime(lastDate, EndOfDaySpecificTime.MarketClose);
  		}
  		
***************
*** 99,103 ****
  		{
  			OpenToCloseCloseToOpenIntervals openToCloseCloseToOpenIntervals = 
! 				new OpenToCloseCloseToOpenIntervals(this.firstEndOfDayDateTime, this.lastEndOfDayDateTime,
  				                          		this.benchmark);
  			this.returnsManager = 
--- 102,106 ----
  		{
  			OpenToCloseCloseToOpenIntervals openToCloseCloseToOpenIntervals = 
! 				new OpenToCloseCloseToOpenIntervals(this.firstDateTime, this.lastDateTime,
  				                          		this.benchmark);
  			this.returnsManager = 

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/PairTrading RunPairTrading.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15453/PairTrading

Modified Files:
	RunPairTrading.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: RunPairTrading.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/PairTrading/RunPairTrading.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunPairTrading.cs	19 Aug 2008 17:13:09 -0000	1.2
--- RunPairTrading.cs	29 Sep 2008 21:16:40 -0000	1.3
***************
*** 3,7 ****
  
  RunPairTrading.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  RunPairTrading.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;
--- 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;
***************
*** 40,44 ****
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors; 
  using QuantProject.Presentation.Reporting.WindowsForm;
  using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
--- 40,44 ----
  using QuantProject.Business.Financial.Accounting.Commissions;
  using QuantProject.Data.DataProviders;
! using QuantProject.Data.Selectors;
  using QuantProject.Presentation.Reporting.WindowsForm;
  using QuantProject.Scripts.WalkForwardTesting.LinearCombination;
***************
*** 52,255 ****
  	/// </summary>
  	[Serializable]
!   public class RunPairTrading
  	{
!     protected string tickerGroupID;
!     protected int numberOfEligibleTickers;
!     protected int numDaysForOptimizationPeriod;
!     protected int generationNumberForGeneticOptimizer;
!     protected int populationSizeForGeneticOptimizer;
!     protected EndOfDayDateTime startDateTime;
!     protected EndOfDayDateTime endDateTime;
! 		protected IHistoricalQuoteProvider historicalQuoteProvider;
!     protected Account account;
  		
!     protected IEndOfDayTimer endOfDayTimer;
  
!     protected string benchmark;
!     
!     protected string scriptName;
!     
!     protected double maxNumOfStdDevForNormalGap;
!     protected int minNumOfDaysForGapComputation;
!     protected int maxNumOfDaysForGapComputation;
!     protected int numDaysBetweenEachOptimization;
!     protected DateTime startingTimeForScript;
!     protected double maxRunningHours;
!     //if MaxNumberOfHoursForScript has elapsed and the script
!     //is still running, it will be stopped.
!     
!     public virtual string ScriptName
!     {
!     	get{return this.scriptName;}
!     	set{this.scriptName = value;}
!     }
!     
!     public DateTime TimerLastDate
!     {
!     	get{return this.endOfDayTimer.GetCurrentTime().DateTime ;}
!     }	
! 	
  //		public RunPairTrading(string benchmark,
! //                          DateTime startDate, DateTime endDate,
! //                          double maxLevelForNormalGap,
! //                          double maxRunningHours)
  //		{
! //     
! //      this.startDateTime = new EndOfDayDateTime(
! //        startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! //      this.endDateTime = new EndOfDayDateTime(
! //        endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
! //      this.maxLevelForNormalGap = maxLevelForNormalGap;
! //      this.benchmark = benchmark;
! //     	this.ScriptName = "EfficientGeneric";
! //     	this.startingTimeForScript = DateTime.Now;
! //      this.maxRunningHours = maxRunningHours;
! //      //this.numIntervalDays = 3;
  //		}
!     
!     public RunPairTrading(string tickerGroupID, int numberOfEligibleTickers,
!                                 int numDaysForOptimizationPeriod, 
!                                 int generationNumberForGeneticOptimizer,
!                                 int populationSizeForGeneticOptimizer, string benchmark,
!                                 DateTime startDate, DateTime endDate, 
!                                 int minNumOfDaysForGapComputation, int maxNumOfDaysForGapComputation, 
!                                 double maxNumOfStdDevForNormalGap, int numDaysBetweenEachOptimization,
!                                 double maxRunningHours)
  		{
!       //this.progressBarForm = new ProgressBarForm();
!       this.tickerGroupID = tickerGroupID;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
!       this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
!       this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
!       this.startDateTime = new EndOfDayDateTime(
!         startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
!       this.endDateTime = new EndOfDayDateTime(
!         endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
!       this.benchmark = benchmark;
!      	this.ScriptName = "PairTradingGeneric";
!      	this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
!       this.minNumOfDaysForGapComputation = minNumOfDaysForGapComputation;
!       this.maxNumOfDaysForGapComputation = maxNumOfDaysForGapComputation;
!       this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
!      	this.startingTimeForScript = DateTime.Now;
!       this.maxRunningHours = maxRunningHours;
!       //this.numIntervalDays = 3;
  		}
!     
!    
!     #region Run
!  		
!     protected virtual void run_initializeEndOfDayTimer()
!     {
!       //default endOfDayTimer
!     	this.endOfDayTimer =
!         new IndexBasedEndOfDayTimer( this.startDateTime, this.benchmark );
!     	
!     }
!     
!     protected virtual void run_initializeAccount()
!     {
!       //default account with no commissions and no slippage calculation
!     	this.account = new Account( this.scriptName , this.endOfDayTimer ,
!         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ) ,
!         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
! 					this.historicalQuoteProvider ));
!      
!     }
!     protected virtual void run_initializeEndOfDayTimerHandler()
!     {
!      	//always needs specific implementation in inherited classes; 
!     }
!     
!     protected virtual void run_initializeHistoricalQuoteProvider()
!     {
!       this.historicalQuoteProvider = new HistoricalAdjustedQuoteProvider();
!     }
!     
!     protected void checkDateForReport_createDirIfNotPresent(string dirPath)
!     {
!     	if(!Directory.Exists(dirPath))
!     		Directory.CreateDirectory(dirPath);
!     }
!     
!     protected virtual void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDateTime.DateTime ||
!          DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
!       //last date is reached by the timer or maxRunning hours
!       //are elapsed from the time script started
!     		this.SaveScriptResults();
!     }
!     
!     public virtual void SaveScriptResults()
!     {
!       string fileName = "From"+this.numberOfEligibleTickers +
!                       "OptDays" + this.numDaysForOptimizationPeriod + "GenNum" + 
!                       this.generationNumberForGeneticOptimizer +
!                       "PopSize" + this.populationSizeForGeneticOptimizer;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
!                          								"\\" + this.ScriptName + "\\";
!       string dirNameWhereToSaveTransactions =
!       	System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
!                        									"\\" + this.ScriptName + "\\";
! //      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
! //                                        "\\" + this.ScriptName + "\\";
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!                                     		this.endOfDayTimer.GetCurrentTime(),
!                                     		this.benchmark,
!                                         new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!                              dirNameWhereToSaveReports + 
!                              fileName + ".qPr");
!       //
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
!       ObjectArchiver.Archive(this.account.Transactions,
!                              dirNameWhereToSaveTransactions +
!                              fileName + ".qPt");
!       //
! //      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
!       
!       this.endOfDayTimer.Stop();
!        
!     }
!     
!     protected virtual void run_initialize()
!     {
!       run_initializeHistoricalQuoteProvider();
!       run_initializeEndOfDayTimer();
!       run_initializeAccount();
!       run_initializeEndOfDayTimerHandler();
!       //run_initializeProgressHandlers();
!     }
!     protected virtual void run_addEventHandlers()
!     {
!       this.endOfDayTimer.MarketClose +=
!         new MarketCloseEventHandler(
!         this.checkDateForReport);
!       
!       //in inherited classes'override method: 
!       //add here TimerHandler's handlers to timer's events
!       //example
!       //this.endOfDayTimer.EVENT_NAME +=
!       //  new EVENT_NAMEEventHandler(
!       //  this.endOfDayTimerHandler.EVENT_NAMEEventHandler);
!     }
!     
!     
!     public virtual void Run()
!     {
!       this.run_initialize();
!       this.run_addEventHandlers();
!       //this.progressBarForm.Show();
!       this.endOfDayTimer.Start();
!     }
!     
!     #endregion 
!     
  	}
  }
--- 52,263 ----
  	/// </summary>
  	[Serializable]
! 	public class RunPairTrading
  	{
! 		protected string tickerGroupID;
! 		protected int numberOfEligibleTickers;
! 		protected int numDaysForOptimizationPeriod;
! 		protected int generationNumberForGeneticOptimizer;
! 		protected int populationSizeForGeneticOptimizer;
! 		protected DateTime startDateTime;
! 		protected DateTime endDateTime;
! 		protected HistoricalMarketValueProvider historicalMarketValueProvider;
! 		protected Account account;
  		
! 		protected QuantProject.Business.Timing.Timer timer;
  
! 		protected string benchmark;
! 		
! 		protected string scriptName;
! 		
! 		protected double maxNumOfStdDevForNormalGap;
! 		protected int minNumOfDaysForGapComputation;
! 		protected int maxNumOfDaysForGapComputation;
! 		protected int numDaysBetweenEachOptimization;
! 		protected DateTime startingTimeForScript;
! 		protected double maxRunningHours;
! 		//if MaxNumberOfHoursForScript has elapsed and the script
! 		//is still running, it will be stopped.
! 		
! 		public virtual string ScriptName
! 		{
! 			get{return this.scriptName;}
! 			set{this.scriptName = value;}
! 		}
! 		
! 		public DateTime TimerLastDate
! 		{
! 			get{return this.timer.GetCurrentDateTime() ;}
! 		}
! 		
  //		public RunPairTrading(string benchmark,
! 		//                          DateTime startDate, DateTime endDate,
! 		//                          double maxLevelForNormalGap,
! 		//                          double maxRunningHours)
  //		{
! //
! 		//      this.startDateTime = new EndOfDayDateTime(
! 		//        startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 		//      this.endDateTime = new EndOfDayDateTime(
! 		//        endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
! 		//      this.maxLevelForNormalGap = maxLevelForNormalGap;
! 		//      this.benchmark = benchmark;
! 		//     	this.ScriptName = "EfficientGeneric";
! 		//     	this.startingTimeForScript = DateTime.Now;
! 		//      this.maxRunningHours = maxRunningHours;
! 		//      //this.numIntervalDays = 3;
  //		}
! 		
! 		public RunPairTrading(string tickerGroupID, int numberOfEligibleTickers,
! 		                      int numDaysForOptimizationPeriod,
! 		                      int generationNumberForGeneticOptimizer,
! 		                      int populationSizeForGeneticOptimizer, string benchmark,
! 		                      DateTime startDate, DateTime endDate,
! 		                      int minNumOfDaysForGapComputation, int maxNumOfDaysForGapComputation,
! 		                      double maxNumOfStdDevForNormalGap, int numDaysBetweenEachOptimization,
! 		                      double maxRunningHours)
  		{
! 			//this.progressBarForm = new ProgressBarForm();
! 			this.tickerGroupID = tickerGroupID;
! 			this.numberOfEligibleTickers = numberOfEligibleTickers;
! 			this.numDaysForOptimizationPeriod = numDaysForOptimizationPeriod;
! 			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
! 			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
! 			this.startDateTime =
! 				HistoricalEndOfDayTimer.GetFiveMinutesBeforeMarketClose( startDate );
! //				new EndOfDayDateTime(
! //				startDate, EndOfDaySpecificTime.FiveMinutesBeforeMarketClose );
! 			this.endDateTime =
! 				HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( endDate );
! //				new EndOfDayDateTime(
! //				endDate, EndOfDaySpecificTime.OneHourAfterMarketClose );
! 			this.benchmark = benchmark;
! 			this.ScriptName = "PairTradingGeneric";
! 			this.maxNumOfStdDevForNormalGap = maxNumOfStdDevForNormalGap;
! 			this.minNumOfDaysForGapComputation = minNumOfDaysForGapComputation;
! 			this.maxNumOfDaysForGapComputation = maxNumOfDaysForGapComputation;
! 			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
! 			this.startingTimeForScript = DateTime.Now;
! 			this.maxRunningHours = maxRunningHours;
! 			//this.numIntervalDays = 3;
  		}
! 		
! 		
! 		#region Run
! 		
! 		protected virtual void run_initializeEndOfDayTimer()
! 		{
! 			//default endOfDayTimer
! 			this.timer =
! 				new IndexBasedEndOfDayTimer( this.startDateTime, this.benchmark );
! 			
! 		}
! 		
! 		protected virtual void run_initializeAccount()
! 		{
! 			//default account with no commissions and no slippage calculation
! 			this.account = new Account( this.scriptName , this.timer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.timer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.timer ,
! 			                                                               this.historicalMarketValueProvider ));
! 			
! 		}
! 		protected virtual void run_initializeEndOfDayTimerHandler()
! 		{
! 			//always needs specific implementation in inherited classes;
! 		}
! 		
! 		protected virtual void run_initializeHistoricalQuoteProvider()
! 		{
! 			this.historicalMarketValueProvider = new HistoricalAdjustedQuoteProvider();
! 		}
! 		
! 		protected void checkDateForReport_createDirIfNotPresent(string dirPath)
! 		{
! 			if(!Directory.Exists(dirPath))
! 				Directory.CreateDirectory(dirPath);
! 		}
! 		
! 		protected virtual void checkDateForReport(
! 			Object sender , DateTime dateTime )
! 		{
! 			if(dateTime>=this.endDateTime ||
! 			   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 				//last date is reached by the timer or maxRunning hours
! 				//are elapsed from the time script started
! 				this.SaveScriptResults();
! 		}
! 		
! 		public virtual void SaveScriptResults()
! 		{
! 			string fileName = "From"+this.numberOfEligibleTickers +
! 				"OptDays" + this.numDaysForOptimizationPeriod + "GenNum" +
! 				this.generationNumberForGeneticOptimizer +
! 				"PopSize" + this.populationSizeForGeneticOptimizer;
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			string dirNameWhereToSaveTransactions =
! 				System.Configuration.ConfigurationManager.AppSettings["TransactionsArchive"] +
! 				"\\" + this.ScriptName + "\\";
! 			//      string dirNameWhereToSaveBestGenomes = System.Configuration.ConfigurationSettings.AppSettings["GenomesArchive"] +
! 			//                                        "\\" + this.ScriptName + "\\";
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.timer.GetCurrentDateTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			//
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveTransactions);
! 			ObjectArchiver.Archive(this.account.Transactions,
! 			                       dirNameWhereToSaveTransactions +
! 			                       fileName + ".qPt");
! 			//
! 			//      this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveBestGenomes);
! 			
! 			this.timer.Stop();
! 			
! 		}
! 		
! 		protected virtual void run_initialize()
! 		{
! 			run_initializeHistoricalQuoteProvider();
! 			run_initializeEndOfDayTimer();
! 			run_initializeAccount();
! 			run_initializeEndOfDayTimerHandler();
! 			//run_initializeProgressHandlers();
! 		}
! 		protected virtual void run_addEventHandlers()
! 		{
! 			this.timer.NewDateTime +=
! 				new NewDateTimeEventHandler( this.checkDateForReport );
! 
! //			this.timer.MarketClose +=
! //				new MarketCloseEventHandler(
! //					this.checkDateForReport);
! 			
! 			//in inherited classes'override method:
! 			//add here TimerHandler's handlers to timer's events
! 			//example
! 			//this.endOfDayTimer.EVENT_NAME +=
! 			//  new EVENT_NAMEEventHandler(
! 			//  this.endOfDayTimerHandler.EVENT_NAMEEventHandler);
! 		}
! 		
! 		
! 		public virtual void Run()
! 		{
! 			this.run_initialize();
! 			this.run_addEventHandlers();
! 			//this.progressBarForm.Show();
! 			this.timer.Start();
! 		}
! 		
! 		#endregion
! 		
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers GenomeManagerWithDuplicateGenes.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15532/Optimizing/GenomeManagers

Modified Files:
	GenomeManagerWithDuplicateGenes.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: GenomeManagerWithDuplicateGenes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/GenomeManagers/GenomeManagerWithDuplicateGenes.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** GenomeManagerWithDuplicateGenes.cs	27 Feb 2008 21:39:46 -0000	1.1
--- GenomeManagerWithDuplicateGenes.cs	29 Sep 2008 21:16:51 -0000	1.2
***************
*** 35,38 ****
--- 35,39 ----
  	/// Genome manager with duplicate genes
  	/// </summary>
+ 	[Serializable]
  	public class GenomeManagerWithDuplicateGenes : BasicGenomeManager
  	{

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies EndOfDayStrategyBackTester.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15371

Modified Files:
	EndOfDayStrategyBackTester.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: EndOfDayStrategyBackTester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategyBackTester.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** EndOfDayStrategyBackTester.cs	19 Mar 2008 23:21:33 -0000	1.9
--- EndOfDayStrategyBackTester.cs	29 Sep 2008 21:16:18 -0000	1.10
***************
*** 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;
***************
*** 29,33 ****
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Accounting.Reporting;
! using	QuantProject.Business.Financial.Accounting.AccountProviding;
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Strategies.Logging;
--- 29,33 ----
  using QuantProject.Business.Financial.Accounting;
  using QuantProject.Business.Financial.Accounting.Reporting;
! using QuantProject.Business.Financial.Accounting.AccountProviding;
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Strategies.Logging;
***************
*** 39,49 ****
  	/// Performs a backtest for an end of day strategy
  	/// </summary>
  	public class EndOfDayStrategyBackTester : IMessageSender , ILogDescriptor
  	{
  		public event NewMessageEventHandler NewMessage;
  
  		private string backTestID;
! 		private IEndOfDayStrategyForBacktester endOfDayStrategy;
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
  		private DateTime firstDateTime;
  		private DateTime lastDateTime;
--- 39,57 ----
  	/// Performs a backtest for an end of day strategy
  	/// </summary>
+ 	[Serializable]
  	public class EndOfDayStrategyBackTester : IMessageSender , ILogDescriptor
  	{
  		public event NewMessageEventHandler NewMessage;
+ 		
+ 		// the following event is used to avoid the strategy receiving
+ 		// NewDateTime events directly from the timer: this way the
+ 		// strategy does not receive any new message once the backtester
+ 		// has been completed
+ 		private event NewDateTimeEventHandler newDateTime;
+ 
  
  		private string backTestID;
! 		private IStrategyForBacktester strategyForBacktester;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
  		private DateTime firstDateTime;
  		private DateTime lastDateTime;
***************
*** 53,57 ****
  		private IAccountProvider accountProvider;
  		private DateTime startingTimeForScript;
! 		private IEndOfDayTimer endOfDayTimer;
  		private DateTime actualLastDateTime;
  		private Account account;
--- 61,65 ----
  		private IAccountProvider accountProvider;
  		private DateTime startingTimeForScript;
! 		private Timer timer;
  		private DateTime actualLastDateTime;
  		private Account account;
***************
*** 60,66 ****
  		private DateTime realDateTimeWhenTheBackTestIsStopped;
  		
! 		public IHistoricalQuoteProvider HistoricalQuoteProvider
  		{
! 			get { return this.historicalQuoteProvider; }
  		}
  		public Benchmark Benchmark
--- 68,74 ----
  		private DateTime realDateTimeWhenTheBackTestIsStopped;
  		
! 		public HistoricalMarketValueProvider HistoricalMarketValueProvider
  		{
! 			get { return this.historicalMarketValueProvider; }
  		}
  		public Benchmark Benchmark
***************
*** 117,125 ****
  		/// The timer used by the backtester, to simulate the time ticking
  		/// </summary>
! 		public IEndOfDayTimer EndOfDayTimer
  		{
  			get
  			{
! 				return this.endOfDayTimer;
  			}
  		}
--- 125,133 ----
  		/// The timer used by the backtester, to simulate the time ticking
  		/// </summary>
! 		public Timer Timer
  		{
  			get
  			{
! 				return this.timer;
  			}
  		}
***************
*** 130,134 ****
  				string description =
  					ExtendedDateTime.GetCompleteShortDescriptionForFileName(
! 					this.realDateTimeWhenTheBackTestIsStopped ) + "_" +
  					"from_" +
  					ExtendedDateTime.GetShortDescriptionForFileName( this.firstDateTime ) +
--- 138,142 ----
  				string description =
  					ExtendedDateTime.GetCompleteShortDescriptionForFileName(
! 						this.realDateTimeWhenTheBackTestIsStopped ) + "_" +
  					"from_" +
  					ExtendedDateTime.GetShortDescriptionForFileName( this.firstDateTime ) +
***************
*** 137,142 ****
  					"_annlRtrn_" + this.AccountReport.Summary.AnnualSystemPercentageReturn.FormattedValue +
  					"_maxDD_" + this.AccountReport.Summary.MaxEquityDrawDown.FormattedValue +
! 					"_" + this.historicalQuoteProvider.Description +
! 					"_" + this.endOfDayStrategy.Description;
  				return description.Substring( 0 , Math.Min( description.Length , 200 ) );
  			}
--- 145,150 ----
  					"_annlRtrn_" + this.AccountReport.Summary.AnnualSystemPercentageReturn.FormattedValue +
  					"_maxDD_" + this.AccountReport.Summary.MaxEquityDrawDown.FormattedValue +
! 					"_" + this.historicalMarketValueProvider.Description +
! 					"_" + this.strategyForBacktester.Description;
  				return description.Substring( 0 , Math.Min( description.Length , 200 ) );
  			}
***************
*** 148,166 ****
  				// the timer has not been stopped yet
  				throw new Exception( "This property cannot be invoked " +
! 					"while the backtest is still running!" );
  		}
  
  		public EndOfDayStrategyBackTester( string backTestID ,
! 			IEndOfDayStrategyForBacktester endOfDayStrategy ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ,
! 			IAccountProvider accountProvider,
! 			DateTime firstDateTime , DateTime lastDateTime ,
! 			Benchmark benchmark ,
! 			double cashToStart ,
! 			double maxRunningHours )
  		{
! 			this.endOfDayStrategyBackTester_checkParameters( 
! 				endOfDayStrategy ,
! 				historicalQuoteProvider ,
  				accountProvider,
  				firstDateTime , lastDateTime ,
--- 156,174 ----
  				// the timer has not been stopped yet
  				throw new Exception( "This property cannot be invoked " +
! 				                    "while the backtest is still running!" );
  		}
  
  		public EndOfDayStrategyBackTester( string backTestID ,
! 		                                  IStrategyForBacktester strategyForBacktester ,
! 		                                  HistoricalMarketValueProvider historicalMarketValueProvider ,
! 		                                  IAccountProvider accountProvider,
! 		                                  DateTime firstDateTime , DateTime lastDateTime ,
! 		                                  Benchmark benchmark ,
! 		                                  double cashToStart ,
! 		                                  double maxRunningHours )
  		{
! 			this.endOfDayStrategyBackTester_checkParameters(
! 				strategyForBacktester ,
! 				historicalMarketValueProvider ,
  				accountProvider,
  				firstDateTime , lastDateTime ,
***************
*** 169,174 ****
  				maxRunningHours );
  			this.backTestID = backTestID;
! 			this.endOfDayStrategy = endOfDayStrategy;
! 			this.historicalQuoteProvider = historicalQuoteProvider;
  			this.accountProvider = accountProvider;
  			this.firstDateTime = firstDateTime;
--- 177,182 ----
  				maxRunningHours );
  			this.backTestID = backTestID;
! 			this.strategyForBacktester = strategyForBacktester;
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
  			this.accountProvider = accountProvider;
  			this.firstDateTime = firstDateTime;
***************
*** 178,193 ****
  			this.maxRunningHours = maxRunningHours;
  
!       this.initialize_endOfDayTimer();
! 			this.account = this.accountProvider.GetAccount(this.endOfDayTimer,
! 											this.historicalQuoteProvider);
! 			this.endOfDayStrategy.Account = this.account;
  			this.backTestLog = new BackTestLog( backTestID , firstDateTime ,
! 				lastDateTime , benchmark );
  			this.actualLastDateTime = DateTime.MinValue;
  			this.realDateTimeWhenTheBackTestIsStopped = DateTime.MinValue;
  		}
  		private void endOfDayStrategyBackTester_checkParameters(
! 			IEndOfDayStrategyForBacktester endOfDayStrategy ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ,
  			IAccountProvider accountProvider,
  			DateTime firstDateTime , DateTime lastDateTime ,
--- 186,201 ----
  			this.maxRunningHours = maxRunningHours;
  
! 			this.initialize_endOfDayTimer();
! 			this.account = this.accountProvider.GetAccount(
! 				this.timer, this.historicalMarketValueProvider);
! 			this.strategyForBacktester.Account = this.account;
  			this.backTestLog = new BackTestLog( backTestID , firstDateTime ,
! 			                                   lastDateTime , benchmark );
  			this.actualLastDateTime = DateTime.MinValue;
  			this.realDateTimeWhenTheBackTestIsStopped = DateTime.MinValue;
  		}
  		private void endOfDayStrategyBackTester_checkParameters(
! 			IStrategyForBacktester strategyForBacktester ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ,
  			IAccountProvider accountProvider,
  			DateTime firstDateTime , DateTime lastDateTime ,
***************
*** 196,202 ****
  			double maxRunningHours )
  		{
! 			if ( endOfDayStrategy == null )
  				throw new Exception( "endOfDayStrategy cannot be null!" );
! 			if ( historicalQuoteProvider == null )
  				throw new Exception( "historicalQuoteProvider cannot be null!" );
  			if ( accountProvider == null )
--- 204,210 ----
  			double maxRunningHours )
  		{
! 			if ( strategyForBacktester == null )
  				throw new Exception( "endOfDayStrategy cannot be null!" );
! 			if ( historicalMarketValueProvider == null )
  				throw new Exception( "historicalQuoteProvider cannot be null!" );
  			if ( accountProvider == null )
***************
*** 212,221 ****
  		private void initialize_endOfDayTimer()
  		{
! 			EndOfDayDateTime endOfDayDateTime =
! 				new EndOfDayDateTime( this.firstDateTime ,
! 				EndOfDaySpecificTime.MarketOpen );
! 			this.endOfDayTimer =
! 				new IndexBasedEndOfDayTimer( endOfDayDateTime ,
! 				this.benchmark.Ticker );
  		}
  		
--- 220,229 ----
  		private void initialize_endOfDayTimer()
  		{
! 			DateTime startingDateTime = HistoricalEndOfDayTimer.GetMarketOpen(
! 				this.firstDateTime );
! //				new EndOfDayDateTime( this.firstDateTime ,
! //				EndOfDaySpecificTime.MarketOpen );
! 			this.timer = new IndexBasedEndOfDayTimer(
! 				startingDateTime , this.benchmark.Ticker );
  		}
  		
***************
*** 223,227 ****
  		#region run_addEventHandlers
  		private void handlerToAddCashToStart(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if ( this.account.Transactions.Count == 0 )
--- 231,235 ----
  		#region run_addEventHandlers
  		private void handlerToAddCashToStart(
! 			Object sender , DateTime dateTime )
  		{
  			if ( this.account.Transactions.Count == 0 )
***************
*** 231,272 ****
  		private void run_addEventHandlers_addHandlersToAddCashToStart()
  		{
! 			this.endOfDayTimer.MarketOpen +=
! 				new MarketOpenEventHandler(
! 				this.handlerToAddCashToStart );
! 			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! 				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.handlerToAddCashToStart );
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 				this.handlerToAddCashToStart );
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.handlerToAddCashToStart );
  		}
  		private void run_addEventHandlers_addStrategyHandlers()
  		{
! 			this.endOfDayTimer.MarketOpen +=
! 				new MarketOpenEventHandler(
! 				this.endOfDayStrategy.MarketOpenEventHandler );
! 			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! 				new FiveMinutesBeforeMarketCloseEventHandler(
! 				this.endOfDayStrategy.FiveMinutesBeforeMarketCloseEventHandler );
! 			this.endOfDayTimer.OneHourAfterMarketClose +=
! 				new OneHourAfterMarketCloseEventHandler(
! 				this.endOfDayStrategy.OneHourAfterMarketCloseEventHandler );
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 				this.endOfDayStrategy.MarketCloseEventHandler );
  		}
  		private void run_addEventHandlers()
  		{
  			this.run_addEventHandlers_addHandlersToAddCashToStart();
  			this.run_addEventHandlers_addStrategyHandlers();
! 			this.endOfDayTimer.MarketClose +=
! 				new MarketCloseEventHandler(
! 				this.marketCloseEventHandler );
! 			this.endOfDayStrategy.NewLogItem +=
  				new NewLogItemEventHandler(
! 				this.newLogItemEventHandler	);
  		}
  		#endregion run_addEventHandlers
--- 239,292 ----
  		private void run_addEventHandlers_addHandlersToAddCashToStart()
  		{
! 			this.newDateTime +=
! 				new NewDateTimeEventHandler(
! 					this.handlerToAddCashToStart );
! //			this.timer.NewDateTime +=
! //				new NewDateTimeEventHandler(
! //					this.handlerToAddCashToStart );
! 			
! //			this.endOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //				this.handlerToAddCashToStart );
! //			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! //				new FiveMinutesBeforeMarketCloseEventHandler(
! //				this.handlerToAddCashToStart );
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //				this.handlerToAddCashToStart );
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //				this.handlerToAddCashToStart );
  		}
  		private void run_addEventHandlers_addStrategyHandlers()
  		{
! 			this.newDateTime +=
! 				new NewDateTimeEventHandler(
! 					this.strategyForBacktester.NewDateTimeEventHandler );
! //			this.endOfDayTimer.MarketOpen +=
! //				new MarketOpenEventHandler(
! //				this.endOfDayStrategy.MarketOpenEventHandler );
! //			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
! //				new FiveMinutesBeforeMarketCloseEventHandler(
! //				this.endOfDayStrategy.FiveMinutesBeforeMarketCloseEventHandler );
! //			this.endOfDayTimer.OneHourAfterMarketClose +=
! //				new OneHourAfterMarketCloseEventHandler(
! //				this.endOfDayStrategy.OneHourAfterMarketCloseEventHandler );
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //				this.endOfDayStrategy.MarketCloseEventHandler );
  		}
  		private void run_addEventHandlers()
  		{
  			this.run_addEventHandlers_addHandlersToAddCashToStart();
+ 			this.timer.NewDateTime +=
+ 				new NewDateTimeEventHandler( this.newDateTimeEventHandler );
  			this.run_addEventHandlers_addStrategyHandlers();
! //			this.endOfDayTimer.MarketClose +=
! //				new MarketCloseEventHandler(
! //				this.marketCloseEventHandler );
! 			this.strategyForBacktester.NewLogItem +=
  				new NewLogItemEventHandler(
! 					this.newLogItemEventHandler	);
  		}
  		#endregion run_addEventHandlers
***************
*** 284,311 ****
  			run_addEventHandlers();
  			//			this.progressBarForm.Show();
! 			this.endOfDayTimer.Start();
  		}
  		#endregion Run
  
! 		#region marketCloseEventHandler
  		private bool isTimeToStop( DateTime currentTime )
  		{
  			DateTime maxEndingDateTimeForScript =
  				this.startingTimeForScript.AddHours( this.maxRunningHours );
! 			bool scriptTimeElapsed = ( DateTime.Now >= maxEndingDateTimeForScript );
  			bool stopBacktestIfMaxRunningHoursHasBeenReached =
! 				this.endOfDayStrategy.StopBacktestIfMaxRunningHoursHasBeenReached;
  			return
  				( ( currentTime > this.lastDateTime ) ||
! 				( scriptTimeElapsed &&
! 				stopBacktestIfMaxRunningHoursHasBeenReached ) );
  		}
! 		private void marketCloseEventHandler_notifyProgress(
! 			IEndOfDayTimer endOfDayTimer )
  		{
  			string progressMessage = "Current out of sample date:" +
! 				endOfDayTimer.GetCurrentTime().DateTime.ToString() + " - " +
  				"First date:" + this.firstDateTime.ToString() + " - " +
! 				"Last date:" + this.lastDateTime.ToString();
  			NewMessageEventArgs newMessageEventArgs =
  				new NewMessageEventArgs( progressMessage );
--- 304,373 ----
  			run_addEventHandlers();
  			//			this.progressBarForm.Show();
! 			this.timer.Start();
  		}
  		#endregion Run
  
! 		#region newDateTimeEventHandler
! 		
  		private bool isTimeToStop( DateTime currentTime )
  		{
  			DateTime maxEndingDateTimeForScript =
  				this.startingTimeForScript.AddHours( this.maxRunningHours );
! 			DateTime realTime = DateTime.Now;
! 			bool scriptTimeElapsed = ( realTime >= maxEndingDateTimeForScript );
  			bool stopBacktestIfMaxRunningHoursHasBeenReached =
! 				this.strategyForBacktester.StopBacktestIfMaxRunningHoursHasBeenReached;
  			return
  				( ( currentTime > this.lastDateTime ) ||
! 				 ( scriptTimeElapsed &&
! 				  stopBacktestIfMaxRunningHoursHasBeenReached ) );
  		}
! //		private void removeTimerEventHandlers()
! //		{
! //			foreach( NewDateTimeEventHandler newDateTimeEventHandler in
! //			        this.timer.NewDateTime.GetInvocationList())
! //			{
! //				this.timer.NewDateTime -= newDateTimeEventHandler;
! //			}
! //		}
! 		
! 		#region stopTheScript
! 		private void stopTheScript( DateTime currentDateTime )
! 		{
! 			this.actualLastDateTime =
! 				ExtendedDateTime.Min( this.lastDateTime , currentDateTime );
! 			this.timer.Stop();
! //			this.removeTimerEventHandlers();
! //			this.timer.NewDateTime -=
! //				new NewDateTimeEventHandler(
! //					this.strategyForBacktester.NewDateTimeEventHandler );
! 			this.realDateTimeWhenTheBackTestIsStopped = DateTime.Now;
! 			this.accountReport = this.account.CreateReport(
! 				"" ,
! 				1 , currentDateTime , this.benchmark.Ticker ,
! 				this.historicalMarketValueProvider );
! 			this.accountReport.Name = this.Description;
! 		}
! //		private void stopTheScriptIfTheCase( Object sender )
! //		{
! //			DateTime currentDateTime =
! //				( ( Timer )sender ).GetCurrentDateTime();
! //			if ( this.isTimeToStop( currentDateTime ) )
! //			{
! //				// either the simulation has reached the ending date or
! //				// too much time elapsed since the simulation started
! //				this.stopTheScript( currentDateTime );
! //			}
! //		}
! 		#endregion stopTheScript
! 		
! 		private void notifyProgress(
! 			Timer timer )
  		{
  			string progressMessage = "Current out of sample date:" +
! 				this.timer.GetCurrentDateTime().ToString() + " - " +
  				"First date:" + this.firstDateTime.ToString() + " - " +
! 				"Last date:" + this.lastDateTime.ToString() + " - " +
! 				"Real time:" + DateTime.Now;
  			NewMessageEventArgs newMessageEventArgs =
  				new NewMessageEventArgs( progressMessage );
***************
*** 313,357 ****
  				this.NewMessage( this , newMessageEventArgs );
  		}
! 		private void marketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			EndOfDayDateTime currentEndOfDayDateTime =
! 				( ( IEndOfDayTimer )sender ).GetCurrentTime();
! 			DateTime currentDateTime = currentEndOfDayDateTime.DateTime;
! 			if ( this.isTimeToStop( currentDateTime ) )
! 			{
! 				// either the simulation has reached the ending date or
! 				// too much time elapsed since the simulation started
! 				this.actualLastDateTime =
! 					ExtendedDateTime.Min( this.lastDateTime , currentDateTime );
! 				this.endOfDayTimer.Stop();
! 				this.realDateTimeWhenTheBackTestIsStopped = DateTime.Now;
! 				this.accountReport = this.account.CreateReport(
! 					"" ,
! 					1 , currentEndOfDayDateTime , this.benchmark.Ticker ,
! 					this.historicalQuoteProvider );
! 				this.accountReport.Name = this.Description;
! 
! 				//				this.progressBarForm.Close();
! 				//				ObjectArchiver.Archive( this.account ,
! 				//					@"C:\Documents and Settings\Glauco\Desktop\reports\final.qP" );
! 				//				this.saveLog( currentTime );
! 				//				this.showReport( sender );
! 				//				WFMultiOneRankReportDebugger wFMultiOneRankReportDebugger =
! 				//					new WFMultiOneRankReportDebugger( this.numberOfPortfolioPositions ,
! 				//					this.numberDaysForInSampleOptimization , this.benchmark );
! 				//				report.TransactionGrid.MouseUp +=
! 				//					new MouseEventHandler(
! 				//					wFMultiOneRankReportDebugger.MouseClickEventHandler );
! 			}
! 						else
! 							// the simulation has not reached the ending date, yet
! 							this.marketCloseEventHandler_notifyProgress(
! 								( IEndOfDayTimer )sender );
  		}
! 		#endregion marketCloseEventHandler
  
  		private void newLogItemEventHandler( object sender ,
! 			NewLogItemEventArgs eventArgs )
  		{
  			//			WFLagChosenPositions wFLagChosenPositions =
--- 375,395 ----
  				this.NewMessage( this , newMessageEventArgs );
  		}
! 		private void newDateTimeEventHandler(
! 			Object sender , DateTime dateTime )
  		{
! //			EndOfDayDateTime currentEndOfDayDateTime =
! //				( ( IEndOfDayTimer )sender ).GetCurrentTime();
! //			DateTime currentDateTime = currentEndOfDayDateTime.DateTime;
! 			if ( this.isTimeToStop( dateTime ) )
! 				this.stopTheScript( dateTime );
! 			else
! 				this.newDateTime( sender , dateTime );
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 				this.notifyProgress( ( Timer )sender );
  		}
! 		#endregion newDateTimeEventHandler
  
  		private void newLogItemEventHandler( object sender ,
! 		                                    NewLogItemEventArgs eventArgs )
  		{
  			//			WFLagChosenPositions wFLagChosenPositions =

[Quantproject-developers] QuantProject/b7_Scripts/CallingReportsForRunScripts ShowReportFromFile.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/CallingReportsForRunScripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15503

Modified Files:
	ShowReportFromFile.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: ShowReportFromFile.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/CallingReportsForRunScripts/ShowReportFromFile.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** ShowReportFromFile.cs	10 Jun 2005 18:45:44 -0000	1.5
--- ShowReportFromFile.cs	29 Sep 2008 21:16:45 -0000	1.6
***************
*** 90,96 ****
          foreach(Object key in transactions.Keys)
          {
!           foreach(EndOfDayTransaction transaction in (ArrayList)transactions[key])
            {
!             account.Add(transaction);
            }
          }
--- 90,96 ----
          foreach(Object key in transactions.Keys)
          {
!           foreach(TimedTransaction timedTransaction in (ArrayList)transactions[key])
            {
!             account.Add(timedTransaction);
            }
          }

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC EndOfDayTimerHandlerDOR_OTC.cs, 1.4, 1.5 RunDOR_OTC.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15309/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC

Modified Files:
	EndOfDayTimerHandlerDOR_OTC.cs RunDOR_OTC.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: RunDOR_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC/RunDOR_OTC.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunDOR_OTC.cs	19 Aug 2008 17:13:04 -0000	1.2
--- RunDOR_OTC.cs	29 Sep 2008 21:16:12 -0000	1.3
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
***************
*** 37,169 ****
  	/// Script that implements the Double OverReaction Open To Close strategy:
  	/// at each open, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l tickers among the 
  	/// b best that more moves down (at open) and the s tickers among the w worst
  	/// that more moves up (at open).
! 	/// For chosing the b best and w worst tickers just the 
  	/// previous close to close ratio is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...) 
  	/// that overreactions may be followed by opposite overreactions.
  	/// At each close, open positions are closed.
  	/// </summary>
!   [Serializable]
!   public class RunDOR_OTC
!   {
!     private string scriptName;
!     private string tickerGroupID;
!     private string benchmark;
!     private int numberOfEligibleTickers;
!     private int numOfBestTickers;
!     private int numOfWorstTickers;
!     private int numOfTickersForBuying;
!     private int numOfTickersForShortSelling;
!     private DateTime startDate;
!     private DateTime endDate;
!     private double maxRunningHours;
!     private DateTime startingTimeForScript;
!     private Account account;
!     private IHistoricalQuoteProvider historicalQuoteProvider;
!     private IEndOfDayTimer endOfDayTimer;
! 
!     public RunDOR_OTC(string tickerGroupID, string benchmark,
!       int numberOfEligibleTickers, int numOfBestTickers, 
!       int numOfWorstTickers, int numOfTickersForBuying,
!       int numOfTickersForShortSelling,
!       DateTime startDate, DateTime endDate,
!       double maxRunningHours)
!     {
!       this.tickerGroupID = tickerGroupID;
!       this.benchmark = benchmark;
!       this.numberOfEligibleTickers = numberOfEligibleTickers;
!       this.numOfBestTickers = numOfBestTickers;
!       this.numOfWorstTickers = numOfWorstTickers;
!       this.numOfTickersForBuying = numOfTickersForBuying;
!       this.numOfTickersForShortSelling = numOfTickersForShortSelling;
!       this.startDate = startDate;
!       this.endDate = endDate;
!       this.maxRunningHours = maxRunningHours;
!       this.scriptName = "DoubleOverReaction_OTC";
!       this.historicalQuoteProvider = new HistoricalRawQuoteProvider();
!       this.endOfDayTimer = new IndexBasedEndOfDayTimer(
!         new EndOfDayDateTime( this.startDate ,
!         EndOfDaySpecificTime.MarketOpen ) , this.benchmark );
!     }
  
  
-     public void Run()
-     {
-       this.startingTimeForScript = DateTime.Now;
-       this.account = new Account( "DoubleOverReaction_OTC" , this.endOfDayTimer ,
-         new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
-         this.historicalQuoteProvider ) ,
-         new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
-         this.historicalQuoteProvider ) );
-       EndOfDayTimerHandlerDOR_OTC endOfDayTimerHandler =
-         new EndOfDayTimerHandlerDOR_OTC(this.tickerGroupID, this.numberOfEligibleTickers,
-         this.numOfBestTickers, this.numOfWorstTickers,
-         this.numOfTickersForBuying, this.numOfTickersForShortSelling, 
-         this.account, this.benchmark);
-       this.endOfDayTimer.MarketOpen += new MarketOpenEventHandler(
-         endOfDayTimerHandler.MarketOpenEventHandler );
  
!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         endOfDayTimerHandler.MarketCloseEventHandler );
  
!       this.endOfDayTimer.MarketClose += new MarketCloseEventHandler(
!         this.checkDateForReport);
  
!       this.endOfDayTimer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
!         endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
!       
!       this.endOfDayTimer.Start();
!     }
  
!     private void checkDateForReport(Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs)
!     {
!       if(endOfDayTimingEventArgs.EndOfDayDateTime.DateTime>=this.endDate ||
!         DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
!         //last date is reached by the timer or maxRunning hours
!         //are elapsed from the time script started
!         this.SaveScriptResults();
!     }
  
!     private void checkDateForReport_createDirIfNotPresent(string dirPath)
!     {
!       if(!Directory.Exists(dirPath))
!         Directory.CreateDirectory(dirPath);
!     }
  
!     public void SaveScriptResults()
!     {
!       TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName = 
! 				"SecondsElapsed_" + 
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" + 
!         DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
!         this.scriptName +  "_From_" + this.tickerGroupID +
!         "_elig_" + this.numberOfEligibleTickers + 
!       	"_best_" + this.numOfBestTickers +
!       	"_worst_" + this.numOfWorstTickers +
!       	"_forLong_" + this.numOfTickersForBuying +
!       	"_forShort_" + this.numOfTickersForShortSelling;
!       string dirNameWhereToSaveReports =
!       	System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
!         "\\" + this.scriptName + "\\";
!           
!       //default report with numIntervalDays = 1
!       AccountReport accountReport = this.account.CreateReport(fileName,1,
!         this.endOfDayTimer.GetCurrentTime(),
!         this.benchmark,
!         new HistoricalRawQuoteProvider() );
! //        new HistoricalAdjustedQuoteProvider());
!       this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
!       ObjectArchiver.Archive(accountReport,
!         dirNameWhereToSaveReports + 
!         fileName + ".qPr");
!             
!       this.endOfDayTimer.Stop();
!     }
!   }   
  }
--- 37,178 ----
  	/// Script that implements the Double OverReaction Open To Close strategy:
  	/// at each open, l long positions and s short positions will be open,
! 	/// buying and shorting, accordingly, the l tickers among the
  	/// b best that more moves down (at open) and the s tickers among the w worst
  	/// that more moves up (at open).
! 	/// For chosing the b best and w worst tickers just the
  	/// previous close to close ratio is considered.
! 	/// The fundamental of the strategy should be the fact (to be verified ...)
  	/// that overreactions may be followed by opposite overreactions.
  	/// At each close, open positions are closed.
  	/// </summary>
! 	[Serializable]
! 	public class RunDOR_OTC
! 	{
! 		private string scriptName;
! 		private string tickerGroupID;
! 		private string benchmark;
! 		private int numberOfEligibleTickers;
! 		private int numOfBestTickers;
! 		private int numOfWorstTickers;
! 		private int numOfTickersForBuying;
! 		private int numOfTickersForShortSelling;
! 		private DateTime startDate;
! 		private DateTime endDate;
! 		private double maxRunningHours;
! 		private DateTime startingTimeForScript;
! 		private Account account;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private Timer timer;
  
+ 		public RunDOR_OTC(string tickerGroupID, string benchmark,
+ 		                  int numberOfEligibleTickers, int numOfBestTickers,
+ 		                  int numOfWorstTickers, int numOfTickersForBuying,
+ 		                  int numOfTickersForShortSelling,
+ 		                  DateTime startDate, DateTime endDate,
+ 		                  double maxRunningHours)
+ 		{
+ 			this.tickerGroupID = tickerGroupID;
+ 			this.benchmark = benchmark;
+ 			this.numberOfEligibleTickers = numberOfEligibleTickers;
+ 			this.numOfBestTickers = numOfBestTickers;
+ 			this.numOfWorstTickers = numOfWorstTickers;
+ 			this.numOfTickersForBuying = numOfTickersForBuying;
+ 			this.numOfTickersForShortSelling = numOfTickersForShortSelling;
+ 			this.startDate = startDate;
+ 			this.endDate = endDate;
+ 			this.maxRunningHours = maxRunningHours;
+ 			this.scriptName = "DoubleOverReaction_OTC";
+ 			this.historicalMarketValueProvider = new HistoricalRawQuoteProvider();
+ 			this.timer = new IndexBasedEndOfDayTimer(
+ 				HistoricalEndOfDayTimer.GetMarketOpen( this.startDate ) , this.benchmark );
+ //				new EndOfDayDateTime( this.startDate ,
+ //				                     EndOfDaySpecificTime.MarketOpen ) , this.benchmark );
+ 		}
  
  
! 		public void Run()
! 		{
! 			this.startingTimeForScript = DateTime.Now;
! 			this.account = new Account( "DoubleOverReaction_OTC" , this.timer ,
! 			                           new HistoricalEndOfDayDataStreamer( this.timer ,
! 			                                                              this.historicalMarketValueProvider ) ,
! 			                           new HistoricalEndOfDayOrderExecutor( this.timer ,
! 			                                                               this.historicalMarketValueProvider ) );
! 			EndOfDayTimerHandlerDOR_OTC endOfDayTimerHandler =
! 				new EndOfDayTimerHandlerDOR_OTC(this.tickerGroupID, this.numberOfEligibleTickers,
! 				                                this.numOfBestTickers, this.numOfWorstTickers,
! 				                                this.numOfTickersForBuying, this.numOfTickersForShortSelling,
! 				                                this.account, this.benchmark);
! 			
! 			this.timer.NewDateTime +=
! 				new NewDateTimeEventHandler( endOfDayTimerHandler.NewDateTimeEventHandler );
! 			
! //			this.timer.MarketOpen += new MarketOpenEventHandler(
! //				endOfDayTimerHandler.MarketOpenEventHandler );
! //
! //			this.timer.MarketClose += new MarketCloseEventHandler(
! //				endOfDayTimerHandler.MarketCloseEventHandler );
  
! 			this.timer.NewDateTime += new NewDateTimeEventHandler(
! 				this.checkDateForReport);
  
! //			this.timer.OneHourAfterMarketClose += new OneHourAfterMarketCloseEventHandler(
! //				endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
! 			
! 			this.timer.Start();
! 		}
  
! 		private void checkDateForReport(
! 			Object sender , DateTime dateTime)
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 			{
! 				if( dateTime >= this.endDate ||
! 				   DateTime.Now >= this.startingTimeForScript.AddHours(this.maxRunningHours))
! 					//last date is reached by the timer or maxRunning hours
! 					//are elapsed from the time script started
! 					this.SaveScriptResults();
! 			}
! 		}
  
! 		private void checkDateForReport_createDirIfNotPresent(string dirPath)
! 		{
! 			if(!Directory.Exists(dirPath))
! 				Directory.CreateDirectory(dirPath);
! 		}
  
! 		public void SaveScriptResults()
! 		{
! 			TimeSpan span;
  			span = DateTime.Now.Subtract(this.startingTimeForScript);
  			int secondsElapsed = span.Hours * 3600 + span.Minutes * 60 + span.Seconds;
! 			string fileName =
! 				"SecondsElapsed_" +
  				secondsElapsed.ToString() + "_" +
! 				DateTime.Now.Hour.ToString().PadLeft(2,'0') + "_" +
! 				DateTime.Now.Minute.ToString().PadLeft(2,'0') + "_" +
! 				this.scriptName +  "_From_" + this.tickerGroupID +
! 				"_elig_" + this.numberOfEligibleTickers +
! 				"_best_" + this.numOfBestTickers +
! 				"_worst_" + this.numOfWorstTickers +
! 				"_forLong_" + this.numOfTickersForBuying +
! 				"_forShort_" + this.numOfTickersForShortSelling;
! 			string dirNameWhereToSaveReports =
! 				System.Configuration.ConfigurationManager.AppSettings["ReportsArchive"] +
! 				"\\" + this.scriptName + "\\";
! 			
! 			//default report with numIntervalDays = 1
! 			AccountReport accountReport = this.account.CreateReport(fileName,1,
! 			                                                        this.timer.GetCurrentDateTime(),
! 			                                                        this.benchmark,
! 			                                                        new HistoricalRawQuoteProvider() );
! 			//        new HistoricalAdjustedQuoteProvider());
! 			this.checkDateForReport_createDirIfNotPresent(dirNameWhereToSaveReports);
! 			ObjectArchiver.Archive(accountReport,
! 			                       dirNameWhereToSaveReports +
! 			                       fileName + ".qPr");
! 			
! 			this.timer.Stop();
! 		}
! 	}
  }

Index: EndOfDayTimerHandlerDOR_OTC.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_OTC/EndOfDayTimerHandlerDOR_OTC.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** EndOfDayTimerHandlerDOR_OTC.cs	19 Aug 2008 17:11:27 -0000	1.4
--- EndOfDayTimerHandlerDOR_OTC.cs	29 Sep 2008 21:16:12 -0000	1.5
***************
*** 31,35 ****
  using QuantProject.Business.Strategies;
  using QuantProject.Data;
! using QuantProject.Data.DataProviders;
  using QuantProject.Data.Selectors;
  
--- 31,35 ----
  using QuantProject.Business.Strategies;
  using QuantProject.Data;
! using QuantProject.Data.DataProviders.Quotes;
  using QuantProject.Data.Selectors;
  
***************
*** 82,86 ****
  		}
  		
! 		#region MarketOpenEventHandler
  
  		private void addOrderForTicker(string[] tickers,
--- 82,86 ----
  		}
  		
! 		#region marketOpenEventHandler
  
  		private void addOrderForTicker(string[] tickers,
***************
*** 123,137 ****
  		private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
  		{
! 			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
! 			ExtendedDateTime nowAtOpen =
! 				new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
! 				                     BarComponent.Open);
! 			ExtendedDateTime previousClose =
! 				new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
! 				                     BarComponent.Close);
  			double currentValueAtOpen =
! 				HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), nowAtOpen);
  			double previousValueAtClose =
! 				HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), previousClose);
  			
  			return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose;
--- 123,143 ----
  		private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
  		{
! 			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.Timer;
! 			DateTime nowAtOpen =
! 				HistoricalEndOfDayTimer.GetMarketOpen( currentTimer.GetCurrentDateTime() );
! //				new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
! //				                     BarComponent.Open);
! 			DateTime previousClose =
! 				HistoricalEndOfDayTimer.GetMarketClose( currentTimer.GetPreviousDateTime() );
! //				new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
! //				                     BarComponent.Close);
  			double currentValueAtOpen =
! 				HistoricalQuotesProvider.GetAdjustedMarketValue(
! 					SignedTicker.GetTicker(signedTicker),
! 					nowAtOpen , MarketStatusSwitch.Open );
  			double previousValueAtClose =
! 				HistoricalQuotesProvider.GetAdjustedMarketValue(
! 					SignedTicker.GetTicker(signedTicker),
! 					previousClose , MarketStatusSwitch.Close );
  			
  			return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose;
***************
*** 201,206 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
--- 207,212 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		private void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
***************
*** 219,223 ****
  		#endregion
  
! 		#region MarketCloseEventHandler
  
  		private void closePosition( string ticker )
--- 225,229 ----
  		#endregion
  
! 		#region marketCloseEventHandler
  
  		private void closePosition( string ticker )
***************
*** 235,240 ****
  		}
  		
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.closePositions();
--- 241,246 ----
  		}
  		
! 		public void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.closePositions();
***************
*** 243,247 ****
  		#endregion
  
! 		#region OneHourAfterMarketCloseEventHandler
  		
  		private void oneHourAfterMarketCloseEventHandler_clear()
--- 249,253 ----
  		#endregion
  
! 		#region oneHourAfterMarketCloseEventHandler
  		
  		private void oneHourAfterMarketCloseEventHandler_clear()
***************
*** 261,269 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.oneHourAfterMarketCloseEventHandler_clear();
! 			DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
  			                                                      currentDate);
--- 267,275 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.oneHourAfterMarketCloseEventHandler_clear();
! 			DateTime currentDate = dateTime;
  			SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
  			                                                      currentDate);
***************
*** 350,353 ****
--- 356,371 ----
  		}
  		#endregion
+ 		
+ 		public virtual 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 );
+ 		}
+ 
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors EvenIntervalsSelector.cs, 1.1, 1.2 FixedLengthTwoPhasesIntervalsSelector.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15371/returnsManagement/time/selectors

Modified Files:
	EvenIntervalsSelector.cs 
	FixedLengthTwoPhasesIntervalsSelector.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: EvenIntervalsSelector.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors/EvenIntervalsSelector.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EvenIntervalsSelector.cs	17 May 2008 18:02:24 -0000	1.1
--- EvenIntervalsSelector.cs	29 Sep 2008 21:16:19 -0000	1.2
***************
*** 39,42 ****
--- 39,43 ----
  	/// (first, third, ...) are skipped instead
  	/// </summary>
+ 	[Serializable]
  	public class EvenIntervalsSelector : OddIntervalsSelector
  	{
***************
*** 69,77 ****
  		
  		public override ReturnInterval GetFirstInterval(
! 			EndOfDayDateTime startingEndOfDayDateTime )
  		{
  			ReturnInterval firstInterval =
  				this.fixedLengthTwoPhasesIntervalsSelector.GetFirstInterval(
! 					startingEndOfDayDateTime );
  			ReturnIntervals returnIntervalsWithTheFirstIntervalOnly =
  				new ReturnIntervals( firstInterval );
--- 70,78 ----
  		
  		public override ReturnInterval GetFirstInterval(
! 			DateTime startingDateTime )
  		{
  			ReturnInterval firstInterval =
  				this.fixedLengthTwoPhasesIntervalsSelector.GetFirstInterval(
! 					startingDateTime );
  			ReturnIntervals returnIntervalsWithTheFirstIntervalOnly =
  				new ReturnIntervals( firstInterval );

Index: FixedLengthTwoPhasesIntervalsSelector.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/selectors/FixedLengthTwoPhasesIntervalsSelector.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** FixedLengthTwoPhasesIntervalsSelector.cs	27 Feb 2008 22:08:19 -0000	1.2
--- FixedLengthTwoPhasesIntervalsSelector.cs	29 Sep 2008 21:16:19 -0000	1.3
***************
*** 37,40 ****
--- 37,41 ----
  	/// exchanged)
  	/// </summary>
+ 	[Serializable]
  	public class FixedLengthTwoPhasesIntervalsSelector : IIntervalsSelector
  	{
***************
*** 78,101 ****
  			return benchmarkTimeStepsForCurrentPhase;
  		}
! 		private EndOfDayDateTime getNextReturnIntervalEnd(
! 			EndOfDayDateTime returnIntervalBegin ,
  			int benchmarkTimeStepsForCurrentPhase )
  		{
! 			EndOfDayDateTime currentEndOfDayDateTime =
  				returnIntervalBegin;
  			for ( int i = 0 ; i < benchmarkTimeStepsForCurrentPhase ; i++ )
  			{
! 				currentEndOfDayDateTime =
! 					this.benchmark.GetTimeStep( currentEndOfDayDateTime ).End;
  			}
! 			return currentEndOfDayDateTime;
  		}
! 		private EndOfDayDateTime getIntervalEnd(
! 			EndOfDayDateTime nextReturnIntervalBegin ,
  			int numIntervalsAlreadyDone )
  		{
  			int benchmarkTimeStepsForCurrentPhase =
  				this.getBenchmarkTimeStepsForCurrentPhase( numIntervalsAlreadyDone );
! 			EndOfDayDateTime nextReturnIntervalEnd =
  				this.getNextReturnIntervalEnd( nextReturnIntervalBegin ,
  				benchmarkTimeStepsForCurrentPhase );
--- 79,102 ----
  			return benchmarkTimeStepsForCurrentPhase;
  		}
! 		private DateTime getNextReturnIntervalEnd(
! 			DateTime returnIntervalBegin ,
  			int benchmarkTimeStepsForCurrentPhase )
  		{
! 			DateTime currentDateTime =
  				returnIntervalBegin;
  			for ( int i = 0 ; i < benchmarkTimeStepsForCurrentPhase ; i++ )
  			{
! 				currentDateTime =
! 					this.benchmark.GetTimeStep( currentDateTime ).End;
  			}
! 			return currentDateTime;
  		}
! 		private DateTime getIntervalEnd(
! 			DateTime nextReturnIntervalBegin ,
  			int numIntervalsAlreadyDone )
  		{
  			int benchmarkTimeStepsForCurrentPhase =
  				this.getBenchmarkTimeStepsForCurrentPhase( numIntervalsAlreadyDone );
! 			DateTime nextReturnIntervalEnd =
  				this.getNextReturnIntervalEnd( nextReturnIntervalBegin ,
  				benchmarkTimeStepsForCurrentPhase );
***************
*** 106,112 ****
  		public ReturnInterval GetNextInterval( ReturnIntervals returnIntervals )
  		{
! 			EndOfDayDateTime nextReturnIntervalBegin =
  				returnIntervals[ returnIntervals.Count - 1 ].End;
! 			EndOfDayDateTime nextReturnIntervalEnd =
  				this.getIntervalEnd( nextReturnIntervalBegin ,
  				                                        returnIntervals.Count );
--- 107,113 ----
  		public ReturnInterval GetNextInterval( ReturnIntervals returnIntervals )
  		{
! 			DateTime nextReturnIntervalBegin =
  				returnIntervals[ returnIntervals.Count - 1 ].End;
! 			DateTime nextReturnIntervalEnd =
  				this.getIntervalEnd( nextReturnIntervalBegin ,
  				                                        returnIntervals.Count );
***************
*** 116,121 ****
  		}
  		#region GetFirstInterval
! 		private EndOfDayDateTime getFirstIntervalBegin(
! 			EndOfDayDateTime startingEndOfDayDateTime )
  		{
  //			qui!!!! fai un ciclo while non exchanged (trova
--- 117,122 ----
  		}
  		#region GetFirstInterval
! 		private DateTime getFirstIntervalBegin(
! 			DateTime startingDateTime )
  		{
  //			qui!!!! fai un ciclo while non exchanged (trova
***************
*** 125,131 ****
  //			                                          benchmark e'
  //			                                          scambiato)
! 			EndOfDayDateTime firstIntervalBegin =
  				this.benchmark.GetThisOrNextMarketStatusSwitch(
! 				startingEndOfDayDateTime );
  //			EndOfDayDateTime firstIntervalBegin =
  //				startingEndOfDayDateTime;
--- 126,132 ----
  //			                                          benchmark e'
  //			                                          scambiato)
! 			DateTime firstIntervalBegin =
  				this.benchmark.GetThisOrNextMarketStatusSwitch(
! 				startingDateTime );
  //			EndOfDayDateTime firstIntervalBegin =
  //				startingEndOfDayDateTime;
***************
*** 141,149 ****
  		}
  		public ReturnInterval GetFirstInterval(
! 				EndOfDayDateTime startingEndOfDayDateTime )
  		{
! 			EndOfDayDateTime firstIntervalBegin =
! 				this.getFirstIntervalBegin( startingEndOfDayDateTime );
! 			EndOfDayDateTime firstIntervalEnd =
  				this.getIntervalEnd( firstIntervalBegin , 0 );
  			ReturnInterval nextInterval = new ReturnInterval(
--- 142,150 ----
  		}
  		public ReturnInterval GetFirstInterval(
! 				DateTime startingDateTime )
  		{
! 			DateTime firstIntervalBegin =
! 				this.getFirstIntervalBegin( startingDateTime );
! 			DateTime firstIntervalEnd =
  				this.getIntervalEnd( firstIntervalBegin , 0 );
  			ReturnInterval nextInterval = new ReturnInterval(

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/InSample GeneticChooser.cs, 1.9, 1.10

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15371/InSample

Modified Files:
	GeneticChooser.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: GeneticChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample/GeneticChooser.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** GeneticChooser.cs	9 Mar 2008 21:42:21 -0000	1.9
--- GeneticChooser.cs	29 Sep 2008 21:16:19 -0000	1.10
***************
*** 43,46 ****
--- 43,47 ----
  	/// in sample optimization
  	/// </summary>
+ 	[Serializable]
  	public abstract class GeneticChooser : IInSampleChooser
  	{
***************
*** 59,63 ****
  		protected IDecoderForTestingPositions decoderForTestingPositions;
  		protected IFitnessEvaluator fitnessEvaluator;
! 		protected IHistoricalQuoteProvider historicalQuoteProvider;
  		protected IGenomeManager genomeManager;
  		protected double crossoverRate;
--- 60,64 ----
  		protected IDecoderForTestingPositions decoderForTestingPositions;
  		protected IFitnessEvaluator fitnessEvaluator;
! 		protected HistoricalMarketValueProvider historicalMarketValueProvider;
  		protected IGenomeManager genomeManager;
  		protected double crossoverRate;
***************
*** 96,100 ****
  			IDecoderForTestingPositions decoderForTestingPositions ,
  			IFitnessEvaluator fitnessEvaluator ,
! 			IHistoricalQuoteProvider historicalQuoteProvider ,
  			double crossoverRate , double mutationRate , double elitismRate ,
  			int populationSizeForGeneticOptimizer ,
--- 97,101 ----
  			IDecoderForTestingPositions decoderForTestingPositions ,
  			IFitnessEvaluator fitnessEvaluator ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ,
  			double crossoverRate , double mutationRate , double elitismRate ,
  			int populationSizeForGeneticOptimizer ,
***************
*** 107,111 ****
  			this.decoderForTestingPositions = decoderForTestingPositions;
  			this.fitnessEvaluator =	fitnessEvaluator;
! 			this.historicalQuoteProvider = historicalQuoteProvider;
  			this.crossoverRate = crossoverRate;
  			this.mutationRate = mutationRate;
--- 108,112 ----
  			this.decoderForTestingPositions = decoderForTestingPositions;
  			this.fitnessEvaluator =	fitnessEvaluator;
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
  			this.crossoverRate = crossoverRate;
  			this.mutationRate = mutationRate;

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles EligibleTickers.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15371/Eligibles

Modified Files:
	EligibleTickers.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: EligibleTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/EligibleTickers.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EligibleTickers.cs	6 Feb 2008 23:01:28 -0000	1.2
--- EligibleTickers.cs	29 Sep 2008 21:16:18 -0000	1.3
***************
*** 29,32 ****
--- 29,33 ----
  	/// Strongly typed collection of tickers
  	/// </summary>
+ 	[Serializable]
  	public class EligibleTickers : System.Collections.CollectionBase
  	{

[Quantproject-developers] QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce EndOfDayTimerHandlerDOR_WeekEndBounce.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15309/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce

Modified Files:
	EndOfDayTimerHandlerDOR_WeekEndBounce.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: EndOfDayTimerHandlerDOR_WeekEndBounce.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/ArbitrageTesting/OverReactionHypothesis/DoubleOverReaction_WeekEndBounce/EndOfDayTimerHandlerDOR_WeekEndBounce.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayTimerHandlerDOR_WeekEndBounce.cs	19 Aug 2008 17:11:28 -0000	1.2
--- EndOfDayTimerHandlerDOR_WeekEndBounce.cs	29 Sep 2008 21:16:12 -0000	1.3
***************
*** 31,35 ****
  using QuantProject.Business.Strategies;
  using QuantProject.Data;
! using QuantProject.Data.DataProviders;
  using QuantProject.Data.Selectors;
  
--- 31,35 ----
  using QuantProject.Business.Strategies;
  using QuantProject.Data;
! using QuantProject.Data.DataProviders.Quotes;
  using QuantProject.Data.Selectors;
  
***************
*** 43,52 ****
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerDOR_WeekEndBounce
  	{
  		private string tickerGroupID;
  		private int numberOfEligibleTickers;
  		private string benchmark;
! 		private Account account;
  		private int numOfWorstTickers;
  		private int numOfBestTickers;
--- 43,52 ----
  	/// </summary>
  	[Serializable]
! 	public class EndOfDayTimerHandlerDOR_WeekEndBounce : EndOfDayStrategy
  	{
  		private string tickerGroupID;
  		private int numberOfEligibleTickers;
  		private string benchmark;
! //		private Account account;
  		private int numOfWorstTickers;
  		private int numOfBestTickers;
***************
*** 143,157 ****
  		private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
  		{
! 			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.EndOfDayTimer;
! 			ExtendedDateTime nowAtOpen =
! 				new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
! 				                     BarComponent.Open);
! 			ExtendedDateTime previousClose =
! 				new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
! 				                     BarComponent.Close);
  			double currentValueAtOpen =
! 				HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), nowAtOpen);
  			double previousValueAtClose =
! 				HistoricalDataProvider.GetAdjustedMarketValue(SignedTicker.GetTicker(signedTicker), previousClose);
  			
  			return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose;
--- 143,163 ----
  		private double setChosenTickers_getGainOrLossFromPreviousClose(string signedTicker)
  		{
! 			IndexBasedEndOfDayTimer currentTimer = (IndexBasedEndOfDayTimer)this.account.Timer;
! 			DateTime nowAtOpen =
! 				HistoricalEndOfDayTimer.GetMarketOpen( currentTimer.GetCurrentDateTime() );
! //				new ExtendedDateTime(currentTimer.GetCurrentTime().DateTime,
! //				                     BarComponent.Open);
! 			DateTime previousClose =
! 				HistoricalEndOfDayTimer.GetMarketClose( currentTimer.GetPreviousDateTime() );
! //				new ExtendedDateTime(currentTimer.GetPreviousDateTime(),
! //				                     BarComponent.Close);
  			double currentValueAtOpen =
! 				HistoricalQuotesProvider.GetAdjustedMarketValue(
! 					SignedTicker.GetTicker(signedTicker),
! 					nowAtOpen , MarketStatusSwitch.Open );
  			double previousValueAtClose =
! 				HistoricalQuotesProvider.GetAdjustedMarketValue(
! 					SignedTicker.GetTicker(signedTicker),
! 					previousClose , MarketStatusSwitch.Close );
  			
  			return (currentValueAtOpen - previousValueAtClose) / previousValueAtClose;
***************
*** 221,226 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
--- 227,232 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void marketOpenEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			if(this.orders.Count == 0 && this.account.Transactions.Count == 0)
***************
*** 228,235 ****
  			
  			if (  (this.account.Portfolio.Count == 0 &&
! 			       endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
  			       DayOfWeek.Monday) ||
  			    (this.account.Portfolio.Count == 0 &&
! 			     endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
  			     DayOfWeek.Tuesday)  )
  			{
--- 234,241 ----
  			
  			if (  (this.account.Portfolio.Count == 0 &&
! 			       dateTime.DayOfWeek ==
  			       DayOfWeek.Monday) ||
  			    (this.account.Portfolio.Count == 0 &&
! 			     dateTime.DayOfWeek ==
  			     DayOfWeek.Tuesday)  )
  			{
***************
*** 244,252 ****
  					this.openPositions(this.chosenTickers);
  			}
! 			else if (endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
  			         DayOfWeek.Wednesday ||
! 			         endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
  			         DayOfWeek.Thursday ||
! 			         endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
  			         DayOfWeek.Friday)
  				this.closePositions();
--- 250,258 ----
  					this.openPositions(this.chosenTickers);
  			}
! 			else if (dateTime.DayOfWeek ==
  			         DayOfWeek.Wednesday ||
! 			         dateTime.DayOfWeek ==
  			         DayOfWeek.Thursday ||
! 			         dateTime.DayOfWeek ==
  			         DayOfWeek.Friday)
  				this.closePositions();
***************
*** 255,265 ****
  		#endregion
  		
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			
  		}
  
! 		#region OneHourAfterMarketCloseEventHandler
  		
  		private void oneHourAfterMarketCloseEventHandler_clear()
--- 261,271 ----
  		#endregion
  		
! 		protected override void marketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			
  		}
  
! 		#region oneHourAfterMarketCloseEventHandler
  		
  		private void oneHourAfterMarketCloseEventHandler_clear()
***************
*** 279,292 ****
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.oneHourAfterMarketCloseEventHandler_clear();
  			
! 			if (	endOfDayTimingEventArgs.EndOfDayDateTime.DateTime.DayOfWeek ==
  			    DayOfWeek.Friday &&
  			    (	(IndexBasedEndOfDayTimer)sender ).CurrentDateArrayPosition >= this.lengthInDaysForPerformance 	 )
  			{
! 				DateTime currentDate = endOfDayTimingEventArgs.EndOfDayDateTime.DateTime;
  				int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
  				SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,
--- 285,298 ----
  		/// <param name="sender"></param>
  		/// <param name="eventArgs"></param>
! 		protected override void oneHourAfterMarketCloseEventHandler(
! 			Object sender , DateTime dateTime )
  		{
  			this.oneHourAfterMarketCloseEventHandler_clear();
  			
! 			if (	dateTime.DayOfWeek ==
  			    DayOfWeek.Friday &&
  			    (	(IndexBasedEndOfDayTimer)sender ).CurrentDateArrayPosition >= this.lengthInDaysForPerformance 	 )
  			{
! 				DateTime currentDate = dateTime;
  				int currentDateArrayPositionInTimer = ((IndexBasedEndOfDayTimer)sender).CurrentDateArrayPosition;
  				SelectorByGroup temporizedGroup = new SelectorByGroup(this.tickerGroupID,