quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts MyTradingSystem.cs, 1.2, 1.3

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

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

Modified Files:
	MyTradingSystem.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: MyTradingSystem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/MyTradingSystem.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** MyTradingSystem.cs	29 Nov 2004 16:13:55 -0000	1.2
--- MyTradingSystem.cs	29 Sep 2008 21:16:12 -0000	1.3
***************
*** 3,7 ****
  
  MyTradingSystem.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  MyTradingSystem.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,26 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
  using System.Collections;
  using QuantProject.ADT;
  using QuantProject.ADT.Histories;
--- 19,27 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
  using System.Collections;
+ 
  using QuantProject.ADT;
  using QuantProject.ADT.Histories;
***************
*** 30,33 ****
--- 31,35 ----
  using QuantProject.Business.Strategies;
  using QuantProject.Business.Timing;
+ using QuantProject.Data.DataProviders.Quotes;
  
  namespace QuantProject.Scripts
***************
*** 38,87 ****
  	public class MyTradingSystem : TradingSystem
  	{
!     private History microsoftOpenHistory;
!     private History microsoftOpenHistorySMA;
  
!     public MyTradingSystem()
!     {
!     }
  
!     public override void InitializeData()
!     {
!       Parameter parameter = (Parameter) this.Parameters[ "SMAdays" ];
!       microsoftOpenHistory = QuoteCache.GetOpenHistory( "MSFT" );
!       microsoftOpenHistorySMA = microsoftOpenHistory.GetSimpleMovingAverage( (int) parameter.Value );
!     }
  
!     public override Signals GetSignals( ExtendedDateTime extendedDateTime )
!     {
!       Signals signals = new Signals();
!       Signal signal = new Signal();
!       if ( microsoftOpenHistory.Cross( microsoftOpenHistorySMA ,
!         extendedDateTime.DateTime ) && 
!           ( Convert.ToDouble(microsoftOpenHistorySMA.GetValue( extendedDateTime.DateTime )) >
!           ( Convert.ToDouble(microsoftOpenHistory.GetValue( extendedDateTime.DateTime )) *
!           ( 100 + Convert.ToInt32(
!           ((Parameter)this.Parameters[ "CrossPercentage" ]).Value ) ) / 100 ) ) )
!       {
!         signal.Add( new Order( OrderType.MarketBuy , new Instrument( "MSFT" ) , 1 ,
!           new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
!           EndOfDaySpecificTime.MarketOpen ) ) );
!         signals.Add( signal );
!       }
!       else
!       {
!         if ( microsoftOpenHistorySMA.Cross( microsoftOpenHistory ,
!           extendedDateTime.DateTime ) && 
!           ( Convert.ToDouble(microsoftOpenHistorySMA.GetValue( extendedDateTime.DateTime )) >
!           ( Convert.ToDouble(microsoftOpenHistory.GetValue( extendedDateTime.DateTime )) *
!           ( 100 + Convert.ToInt32( ((Parameter)this.Parameters[ "CrossPercentage" ]).Value ) ) / 100 ) ) ) 
!         {
!           signal.Add( new Order( OrderType.MarketSell , new Instrument( "MSFT" ) , 1 ,
!             new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( extendedDateTime.DateTime ) ,
!             EndOfDaySpecificTime.MarketOpen ) ) );
!           signals.Add( signal );
!         }
!       }
!       return signals;
!     }
!   }
  }
--- 40,99 ----
  	public class MyTradingSystem : TradingSystem
  	{
! 		private History microsoftOpenHistory;
! 		private History microsoftOpenHistorySMA;
  
! 		public MyTradingSystem()
! 		{
! 		}
  
! 		public override void InitializeData()
! 		{
! 			Parameter parameter = (Parameter) this.Parameters[ "SMAdays" ];
! 			microsoftOpenHistory = HistoricalQuotesProvider.GetOpenHistory( "MSFT" );
! 			microsoftOpenHistorySMA = microsoftOpenHistory.GetSimpleMovingAverage( (int) parameter.Value );
! 		}
  
! 		public override Signals GetSignals( DateTime dateTime )
! 		{
! 			Signals signals = new Signals();
! 			Signal signal = new Signal();
! 			if ( microsoftOpenHistory.Cross( microsoftOpenHistorySMA ,
! 			                                dateTime ) &&
! 			    ( Convert.ToDouble(microsoftOpenHistorySMA.GetValue( dateTime )) >
! 			     ( Convert.ToDouble(microsoftOpenHistory.GetValue( dateTime )) *
! 			      ( 100 + Convert.ToInt32(
! 			      	((Parameter)this.Parameters[ "CrossPercentage" ]).Value ) ) / 100 ) ) )
! 			{
! 				signal.Add( new Order(
! 					OrderType.MarketBuy ,
! 					new Instrument( "MSFT" ) ,
! 					1 ,
! 					HistoricalEndOfDayTimer.GetMarketOpen(
! 						new Instrument( "MSFT" ).GetNextMarketDay( dateTime ) ) ) );
! 				//          new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( dateTime.DateTime ) ,
! 				//          EndOfDaySpecificTime.MarketOpen ) ) );
! 				signals.Add( signal );
! 			}
! 			else
! 			{
! 				if ( microsoftOpenHistorySMA.Cross( microsoftOpenHistory ,
! 				                                   dateTime ) &&
! 				    ( Convert.ToDouble(microsoftOpenHistorySMA.GetValue( dateTime )) >
! 				     ( Convert.ToDouble(microsoftOpenHistory.GetValue( dateTime )) *
! 				      ( 100 + Convert.ToInt32( ((Parameter)this.Parameters[ "CrossPercentage" ]).Value ) ) / 100 ) ) )
! 				{
! 					signal.Add( new Order(
! 						OrderType.MarketSell ,
! 						new Instrument( "MSFT" ) ,
! 						1 ,
! 						HistoricalEndOfDayTimer.GetMarketOpen(
! 							new Instrument( "MSFT" ).GetNextMarketDay( dateTime ) ) ) );
! //					                      new EndOfDayDateTime( new Instrument( "MSFT" ).GetNextMarketDay( dateTime.DateTime ) ,
! //					                                           EndOfDaySpecificTime.MarketOpen ) ) );
! 					signals.Add( signal );
! 				}
! 			}
! 			return signals;
! 		}
! 	}
  }

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm Report.cs, 1.20, 1.21 ReportGrid.cs, 1.2, 1.3 ReportShower.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14863/Reporting/WindowsForm

Modified Files:
	Report.cs ReportGrid.cs ReportShower.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: ReportGrid.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/ReportGrid.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ReportGrid.cs	6 Feb 2008 23:13:48 -0000	1.2
--- ReportGrid.cs	29 Sep 2008 21:15:57 -0000	1.3
***************
*** 3,7 ****
  
  ReportTabControl.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  ReportTabControl.cs
! Copyright (C) 2003
  Glauco Siliprandi
  
***************
*** 19,25 ****
  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.Windows.Forms;
  using QuantProject.Business.Financial.Accounting.Reporting;
  
--- 19,27 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  using System;
+ using System.Data;
  using System.Windows.Forms;
+ 
  using QuantProject.Business.Financial.Accounting.Reporting;
  
***************
*** 32,39 ****
--- 34,110 ----
  	public class ReportGrid : DataGrid
  	{
+ 		private ReportTable reportTable;
+ 		private DataGridTableStyle dataGridStyle;
+ 		
  		public ReportGrid( ReportTable reportTable )
  		{
+ 			this.reportTable = reportTable;
  			this.DataSource = reportTable.DataTable;
+ 			this.setFormat();
+ 		}
+ 		
+ 		#region setFormat
+ 		
+ 		private void setDataGridTableStyle()
+ 		{
+ 			this.dataGridStyle = new DataGridTableStyle();
+ 			dataGridStyle.MappingName = this.reportTable.DataTable.TableName;
+ 			this.TableStyles.Add( dataGridStyle );
  		}
+ 		
+ 		#region addDataGridColumnStyles
+ 		
+ 		#region setFormatForDateTimeColumn
+ 		
+ 		#region setFormatForDateTimeColumn_actually
+ //		private DataGridTextBoxColumn getDataGridTextBoxColumn(
+ //			int columnIndex )
+ //		{
+ //			DataGridTableStyle dataGridTableStyle =
+ //				this.TableStyles[ 0 ];
+ //			DataGridTextBoxColumn dataGridTextBoxColumn =
+ //				( DataGridTextBoxColumn )dataGridTableStyle.GridColumnStyles[
+ //					columnIndex ];
+ ////			dataGridTableStyle.GridColumnStyles.a
+ //			return dataGridTextBoxColumn;
+ //		}
+ 		private DataGridTextBoxColumn addDataGridTextBoxColumn( int columnIndex )
+ 		{
+ 			DataGridTextBoxColumn dataGridTextBoxColumn =
+ 				new DataGridTextBoxColumn();
+ 			dataGridTextBoxColumn.MappingName =
+ 				this.reportTable.DataTable.Columns[ columnIndex ].ColumnName;
+ 			dataGridTextBoxColumn.HeaderText =
+ 				this.reportTable.DataTable.Columns[ columnIndex ].ColumnName;
+ 			this.TableStyles[ 0 ].GridColumnStyles.Add( dataGridTextBoxColumn );
+ 			return dataGridTextBoxColumn;
+ 		}
+ 		#endregion setFormatForDateTimeColumn_actually
+ 		
+ 		private void addDataGridColumnStyle( int columnIndex )
+ 		{
+ 			DataGridTextBoxColumn dataGridTextBoxColumn =
+ 				this.addDataGridTextBoxColumn( columnIndex );
+ 			if ( this.reportTable.DataTable.Columns[ columnIndex ].DataType ==
+ 			    System.Type.GetType("System.DateTime") )
+ 				dataGridTextBoxColumn.Format = "u";
+ 		}
+ 		#endregion setFormatForDateTimeColumn
+ 		
+ 		private void addDataGridColumnStyles()
+ 		{
+ 			for( int columnIndex = 0 ;
+ 			    columnIndex < this.reportTable.DataTable.Columns.Count ;
+ 			    columnIndex++ )
+ 				this.addDataGridColumnStyle( columnIndex );
+ 		}
+ 		#endregion addDataGridColumnStyles
+ 		
+ 		private void setFormat()
+ 		{
+ 			this.setDataGridTableStyle();
+ 			this.addDataGridColumnStyles();
+ 		}
+ 		#endregion setFormat
  	}
  }

Index: ReportShower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/ReportShower.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** ReportShower.cs	19 Feb 2006 17:54:36 -0000	1.3
--- ReportShower.cs	29 Sep 2008 21:15:57 -0000	1.4
***************
*** 3,7 ****
  
  ReportShower.cs
! Copyright (C) 2003 
  Marco Milletti
  
--- 3,7 ----
  
  ReportShower.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;
***************
*** 35,48 ****
  	public class ReportShower : System.Windows.Forms.Form
  	{
!     private System.Windows.Forms.Button buttonShowReport;
!     private System.Windows.Forms.Label label1;
!     private System.Windows.Forms.Label label2;
!     private System.Windows.Forms.Label label3;
!     private System.Windows.Forms.NumericUpDown numDaysForEquityLine;
!     private System.Windows.Forms.DateTimePicker endingDate;
!     private System.Windows.Forms.TextBox reportName;
!     private Report report;
!     private System.Windows.Forms.Label label4;
!     private System.Windows.Forms.TextBox benchmark;
  
  		/// <summary>
--- 35,48 ----
  	public class ReportShower : System.Windows.Forms.Form
  	{
! 		private System.Windows.Forms.Button buttonShowReport;
! 		private System.Windows.Forms.Label label1;
! 		private System.Windows.Forms.Label label2;
! 		private System.Windows.Forms.Label label3;
! 		private System.Windows.Forms.NumericUpDown numDaysForEquityLine;
! 		private System.Windows.Forms.DateTimePicker endingDate;
! 		private System.Windows.Forms.TextBox reportName;
! 		private Report report;
! 		private System.Windows.Forms.Label label4;
! 		private System.Windows.Forms.TextBox benchmark;
  
  		/// <summary>
***************
*** 59,64 ****
  
  			//
! 			  this.report = report;
!         this.endingDate.Value = this.report.GetLastTradeDate();
  			//
  		}
--- 59,64 ----
  
  			//
! 			this.report = report;
! 			this.endingDate.Value = this.report.GetLastTradeDate();
  			//
  		}
***************
*** 86,224 ****
  		private void InitializeComponent()
  		{
!       this.numDaysForEquityLine = new System.Windows.Forms.NumericUpDown();
!       this.endingDate = new System.Windows.Forms.DateTimePicker();
!       this.reportName = new System.Windows.Forms.TextBox();
!       this.buttonShowReport = new System.Windows.Forms.Button();
!       this.label1 = new System.Windows.Forms.Label();
!       this.label2 = new System.Windows.Forms.Label();
!       this.label3 = new System.Windows.Forms.Label();
!       this.label4 = new System.Windows.Forms.Label();
!       this.benchmark = new System.Windows.Forms.TextBox();
!       ((System.ComponentModel.ISupportInitialize)(this.numDaysForEquityLine)).BeginInit();
!       this.SuspendLayout();
!       // 
!       // numDaysForEquityLine
!       // 
!       this.numDaysForEquityLine.Location = new System.Drawing.Point(144, 64);
!       this.numDaysForEquityLine.Minimum = new System.Decimal(new int[] {
!                                                                          1,
!                                                                          0,
!                                                                          0,
!                                                                          0});
!       this.numDaysForEquityLine.Name = "numDaysForEquityLine";
!       this.numDaysForEquityLine.Size = new System.Drawing.Size(64, 20);
!       this.numDaysForEquityLine.TabIndex = 0;
!       this.numDaysForEquityLine.Value = new System.Decimal(new int[] {
!                                                                        1,
!                                                                        0,
!                                                                        0,
!                                                                        0});
!       // 
!       // endingDate
!       // 
!       this.endingDate.Location = new System.Drawing.Point(112, 112);
!       this.endingDate.Name = "endingDate";
!       this.endingDate.Size = new System.Drawing.Size(136, 20);
!       this.endingDate.TabIndex = 1;
!       // 
!       // reportName
!       // 
!       this.reportName.Location = new System.Drawing.Point(104, 16);
!       this.reportName.Name = "reportName";
!       this.reportName.Size = new System.Drawing.Size(176, 20);
!       this.reportName.TabIndex = 2;
!       this.reportName.Text = "My report";
!       // 
!       // buttonShowReport
!       // 
!       this.buttonShowReport.Location = new System.Drawing.Point(80, 208);
!       this.buttonShowReport.Name = "buttonShowReport";
!       this.buttonShowReport.Size = new System.Drawing.Size(128, 40);
!       this.buttonShowReport.TabIndex = 3;
!       this.buttonShowReport.Text = "Show";
!       this.buttonShowReport.Click += new System.EventHandler(this.buttonShowReport_Click);
!       // 
!       // label1
!       // 
!       this.label1.Location = new System.Drawing.Point(8, 16);
!       this.label1.Name = "label1";
!       this.label1.Size = new System.Drawing.Size(96, 16);
!       this.label1.TabIndex = 4;
!       this.label1.Text = "Report Name";
!       // 
!       // label2
!       // 
!       this.label2.Location = new System.Drawing.Point(8, 64);
!       this.label2.Name = "label2";
!       this.label2.Size = new System.Drawing.Size(128, 32);
!       this.label2.TabIndex = 5;
!       this.label2.Text = "Num Days for equity line";
!       // 
!       // label3
!       // 
!       this.label3.Location = new System.Drawing.Point(8, 112);
!       this.label3.Name = "label3";
!       this.label3.Size = new System.Drawing.Size(96, 16);
!       this.label3.TabIndex = 6;
!       this.label3.Text = "Ending Date";
!       // 
!       // label4
!       // 
!       this.label4.Location = new System.Drawing.Point(10, 160);
!       this.label4.Name = "label4";
!       this.label4.Size = new System.Drawing.Size(96, 16);
!       this.label4.TabIndex = 8;
!       this.label4.Text = "Benchmark";
!       // 
!       // benchmark
!       // 
!       this.benchmark.Location = new System.Drawing.Point(106, 160);
!       this.benchmark.Name = "benchmark";
!       this.benchmark.Size = new System.Drawing.Size(176, 20);
!       this.benchmark.TabIndex = 7;
!       this.benchmark.Text = "";
!       // 
!       // ReportShower
!       // 
!       this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
!       this.ClientSize = new System.Drawing.Size(292, 266);
!       this.Controls.AddRange(new System.Windows.Forms.Control[] {
!                                                                   this.label4,
!                                                                   this.benchmark,
!                                                                   this.label3,
!                                                                   this.label2,
!                                                                   this.label1,
!                                                                   this.buttonShowReport,
!                                                                   this.reportName,
!                                                                   this.endingDate,
!                                                                   this.numDaysForEquityLine});
!       this.Name = "ReportShower";
!       this.Text = "ReportShower";
!       ((System.ComponentModel.ISupportInitialize)(this.numDaysForEquityLine)).EndInit();
!       this.ResumeLayout(false);
  
!     }
  		#endregion
  
!     private void buttonShowReport_Click(object sender, System.EventArgs e)
!     {
!       try
!       {
!         if(this.benchmark.Text == "")
!           throw new Exception("Benchmark symbol is requested!");
!         this.report.Clear();
  				System.Console.WriteLine( DateTime.Now );
!         this.report.Show(this.reportName.Text, (int)this.numDaysForEquityLine.Value,
!                           new EndOfDayDateTime(this.endingDate.Value,
!                                               EndOfDaySpecificTime.MarketClose),
!                         this.benchmark.Text);
  				System.Console.WriteLine( DateTime.Now );
  			}
!       
!       catch(Exception ex)
!       {
!         MessageBox.Show(ex.ToString());
!       }                  
!     }
  	}
  }
--- 86,227 ----
  		private void InitializeComponent()
  		{
! 			this.numDaysForEquityLine = new System.Windows.Forms.NumericUpDown();
! 			this.endingDate = new System.Windows.Forms.DateTimePicker();
! 			this.reportName = new System.Windows.Forms.TextBox();
! 			this.buttonShowReport = new System.Windows.Forms.Button();
! 			this.label1 = new System.Windows.Forms.Label();
! 			this.label2 = new System.Windows.Forms.Label();
! 			this.label3 = new System.Windows.Forms.Label();
! 			this.label4 = new System.Windows.Forms.Label();
! 			this.benchmark = new System.Windows.Forms.TextBox();
! 			((System.ComponentModel.ISupportInitialize)(this.numDaysForEquityLine)).BeginInit();
! 			this.SuspendLayout();
! 			// 
! 			// numDaysForEquityLine
! 			// 
! 			this.numDaysForEquityLine.Location = new System.Drawing.Point(144, 64);
! 			this.numDaysForEquityLine.Minimum = new System.Decimal(new int[] {
! 			                                                       	1,
! 			                                                       	0,
! 			                                                       	0,
! 			                                                       	0});
! 			this.numDaysForEquityLine.Name = "numDaysForEquityLine";
! 			this.numDaysForEquityLine.Size = new System.Drawing.Size(64, 20);
! 			this.numDaysForEquityLine.TabIndex = 0;
! 			this.numDaysForEquityLine.Value = new System.Decimal(new int[] {
! 			                                                     	1,
! 			                                                     	0,
! 			                                                     	0,
! 			                                                     	0});
! 			// 
! 			// endingDate
! 			// 
! 			this.endingDate.Location = new System.Drawing.Point(112, 112);
! 			this.endingDate.Name = "endingDate";
! 			this.endingDate.Size = new System.Drawing.Size(136, 20);
! 			this.endingDate.TabIndex = 1;
! 			// 
! 			// reportName
! 			// 
! 			this.reportName.Location = new System.Drawing.Point(104, 16);
! 			this.reportName.Name = "reportName";
! 			this.reportName.Size = new System.Drawing.Size(176, 20);
! 			this.reportName.TabIndex = 2;
! 			this.reportName.Text = "My report";
! 			// 
! 			// buttonShowReport
! 			// 
! 			this.buttonShowReport.Location = new System.Drawing.Point(80, 208);
! 			this.buttonShowReport.Name = "buttonShowReport";
! 			this.buttonShowReport.Size = new System.Drawing.Size(128, 40);
! 			this.buttonShowReport.TabIndex = 3;
! 			this.buttonShowReport.Text = "Show";
! 			this.buttonShowReport.Click += new System.EventHandler(this.buttonShowReport_Click);
! 			// 
! 			// label1
! 			// 
! 			this.label1.Location = new System.Drawing.Point(8, 16);
! 			this.label1.Name = "label1";
! 			this.label1.Size = new System.Drawing.Size(96, 16);
! 			this.label1.TabIndex = 4;
! 			this.label1.Text = "Report Name";
! 			// 
! 			// label2
! 			// 
! 			this.label2.Location = new System.Drawing.Point(8, 64);
! 			this.label2.Name = "label2";
! 			this.label2.Size = new System.Drawing.Size(128, 32);
! 			this.label2.TabIndex = 5;
! 			this.label2.Text = "Num Days for equity line";
! 			// 
! 			// label3
! 			// 
! 			this.label3.Location = new System.Drawing.Point(8, 112);
! 			this.label3.Name = "label3";
! 			this.label3.Size = new System.Drawing.Size(96, 16);
! 			this.label3.TabIndex = 6;
! 			this.label3.Text = "Ending Date";
! 			// 
! 			// label4
! 			// 
! 			this.label4.Location = new System.Drawing.Point(10, 160);
! 			this.label4.Name = "label4";
! 			this.label4.Size = new System.Drawing.Size(96, 16);
! 			this.label4.TabIndex = 8;
! 			this.label4.Text = "Benchmark";
! 			// 
! 			// benchmark
! 			// 
! 			this.benchmark.Location = new System.Drawing.Point(106, 160);
! 			this.benchmark.Name = "benchmark";
! 			this.benchmark.Size = new System.Drawing.Size(176, 20);
! 			this.benchmark.TabIndex = 7;
! 			this.benchmark.Text = "";
! 			// 
! 			// ReportShower
! 			// 
! 			this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
! 			this.ClientSize = new System.Drawing.Size(292, 266);
! 			this.Controls.AddRange(new System.Windows.Forms.Control[] {
! 			                       	this.label4,
! 			                       	this.benchmark,
! 			                       	this.label3,
! 			                       	this.label2,
! 			                       	this.label1,
! 			                       	this.buttonShowReport,
! 			                       	this.reportName,
! 			                       	this.endingDate,
! 			                       	this.numDaysForEquityLine});
! 			this.Name = "ReportShower";
! 			this.Text = "ReportShower";
! 			((System.ComponentModel.ISupportInitialize)(this.numDaysForEquityLine)).EndInit();
! 			this.ResumeLayout(false);
  
! 		}
  		#endregion
  
! 		private void buttonShowReport_Click(object sender, System.EventArgs e)
! 		{
! 			try
! 			{
! 				if(this.benchmark.Text == "")
! 					throw new Exception("Benchmark symbol is requested!");
! 				this.report.Clear();
  				System.Console.WriteLine( DateTime.Now );
! 				this.report.Show(
! 					this.reportName.Text,
! 					(int)this.numDaysForEquityLine.Value,
! 					HistoricalEndOfDayTimer.GetMarketClose( this.endingDate.Value ) ,
! //					new EndOfDayDateTime(this.endingDate.Value,
! //					                     EndOfDaySpecificTime.MarketClose),
! 					this.benchmark.Text);
  				System.Console.WriteLine( DateTime.Now );
  			}
! 			
! 			catch(Exception ex)
! 			{
! 				MessageBox.Show(ex.ToString());
! 			}
! 		}
  	}
  }

Index: Report.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/Report.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** Report.cs	19 Aug 2008 17:13:01 -0000	1.20
--- Report.cs	29 Sep 2008 21:15:56 -0000	1.21
***************
*** 41,45 ****
  	{
  		private Account account;
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
  		private AccountReport accountReport;
  		private ReportTabControl reportTabControl;
--- 41,45 ----
  	{
  		private Account account;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
  		private AccountReport accountReport;
  		private ReportTabControl reportTabControl;
***************
*** 68,75 ****
  		}
  
! 		public Report( Account account , IHistoricalQuoteProvider historicalQuoteProvider )
  		{
  			this.account = account;
! 			this.historicalQuoteProvider = historicalQuoteProvider;
  			this.initializeComponent();
  		}
--- 68,76 ----
  		}
  
! 		public Report(
! 			Account account , HistoricalMarketValueProvider historicalMarketValueProvider )
  		{
  			this.account = account;
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
  			this.initializeComponent();
  		}
***************
*** 122,131 ****
  		/// </summary>
  		private void create_set_accountReport( string reportName ,
! 			int numDaysForInterval , EndOfDayDateTime endDateTime , string buyAndHoldTicker )
  		{
  			if ( this.accountReport == null )
  				this.accountReport = this.account.CreateReport( reportName ,
  					numDaysForInterval , endDateTime , buyAndHoldTicker ,
! 					this.historicalQuoteProvider );
  		}
  		private void create_populateForm( bool showBenchmark )
--- 123,132 ----
  		/// </summary>
  		private void create_set_accountReport( string reportName ,
! 			int numDaysForInterval , DateTime endDateTime , string buyAndHoldTicker )
  		{
  			if ( this.accountReport == null )
  				this.accountReport = this.account.CreateReport( reportName ,
  					numDaysForInterval , endDateTime , buyAndHoldTicker ,
! 					this.historicalMarketValueProvider );
  		}
  		private void create_populateForm( bool showBenchmark )
***************
*** 148,152 ****
  		/// <param name="benchmark"></param>
  		public void Create( string reportName ,	int numDaysForInterval ,
! 			EndOfDayDateTime endDateTime , string benchmark )
  		{
  			this.Create( reportName , numDaysForInterval , endDateTime ,
--- 149,153 ----
  		/// <param name="benchmark"></param>
  		public void Create( string reportName ,	int numDaysForInterval ,
! 			DateTime endDateTime , string benchmark )
  		{
  			this.Create( reportName , numDaysForInterval , endDateTime ,
***************
*** 160,164 ****
  		}
  		public void Create( string reportName ,	int numDaysForInterval ,
! 			EndOfDayDateTime endDateTime , string benchmark , bool showBenchmark )
  		{
  			this.checkAlreadyCreated();
--- 161,165 ----
  		}
  		public void Create( string reportName ,	int numDaysForInterval ,
! 			DateTime endDateTime , string benchmark , bool showBenchmark )
  		{
  			this.checkAlreadyCreated();
***************
*** 168,172 ****
  		}
  		public void Show( string reportName ,
! 			int numDaysForInterval , EndOfDayDateTime endDateTime , string benchmark )
  		{
  			if ( this.accountReport == null )
--- 169,173 ----
  		}
  		public void Show( string reportName ,
! 			int numDaysForInterval , DateTime endDateTime , string benchmark )
  		{
  			if ( this.accountReport == null )

[Quantproject-developers] QuantProject/b5_Presentation MessageManager.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14863

Modified Files:
	MessageManager.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: MessageManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/MessageManager.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** MessageManager.cs	7 Feb 2008 18:45:57 -0000	1.2
--- MessageManager.cs	29 Sep 2008 21:15:56 -0000	1.3
***************
*** 31,34 ****
--- 31,35 ----
  	/// Manages text messages
  	/// </summary>
+ 	[Serializable]
  	public class MessageManager
  	{

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/TickersRelationships CloseToCloseCorrelationProvider.cs, 1.2, 1.3 CloseToOpenCorrelationProvider.cs, 1.1, 1.2 CorrelationProvider.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14586/TickersRelationships

Modified Files:
	CloseToCloseCorrelationProvider.cs 
	CloseToOpenCorrelationProvider.cs CorrelationProvider.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: CloseToCloseCorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/CloseToCloseCorrelationProvider.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** CloseToCloseCorrelationProvider.cs	12 Mar 2008 21:56:07 -0000	1.2
--- CloseToCloseCorrelationProvider.cs	29 Sep 2008 21:15:12 -0000	1.3
***************
*** 89,98 ****
  		}
  		
! 		protected override void setEndOfDayDatesTime(DateTime startDate, DateTime endDate)
  		{
! 			this.firstEndOfDayDateTime =
! 				new EndOfDayDateTime(startDate, EndOfDaySpecificTime.MarketClose);
! 			this.lastEndOfDayDateTime = 
! 				new EndOfDayDateTime(endDate, EndOfDaySpecificTime.MarketClose);
  		}
  		
--- 89,101 ----
  		}
  		
! 		protected override void setEndOfDayDatesTime(
! 			DateTime firstDate , DateTime lastDate )
  		{
! 			this.firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( firstDate );
! //				new EndOfDayDateTime(firstDateTime, EndOfDaySpecificTime.MarketClose);
! 			this.lastDateTime = 
! 				HistoricalEndOfDayTimer.GetMarketClose( lastDate );
! //				new EndOfDayDateTime(lastDateTime, EndOfDaySpecificTime.MarketClose);
  		}
  		
***************
*** 100,104 ****
  		{
  			CloseToCloseIntervals closeToCloseIntervals = 
! 				new CloseToCloseIntervals(this.firstEndOfDayDateTime, this.lastEndOfDayDateTime,
  				                          this.benchmark, this.closeToCloseIntervalLength);
  			this.returnsManager = 
--- 103,107 ----
  		{
  			CloseToCloseIntervals closeToCloseIntervals = 
! 				new CloseToCloseIntervals(this.firstDateTime, this.lastDateTime,
  				                          this.benchmark, this.closeToCloseIntervalLength);
  			this.returnsManager = 

Index: CloseToOpenCorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/CloseToOpenCorrelationProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** CloseToOpenCorrelationProvider.cs	14 Aug 2008 23:36:56 -0000	1.1
--- CloseToOpenCorrelationProvider.cs	29 Sep 2008 21:15:12 -0000	1.2
***************
*** 86,95 ****
  		}
  
! 		protected override void setEndOfDayDatesTime(DateTime startDate, DateTime endDate)
  		{
! 			this.firstEndOfDayDateTime =
! 				new EndOfDayDateTime(startDate, EndOfDaySpecificTime.MarketClose);
! 			this.lastEndOfDayDateTime = 
! 				new EndOfDayDateTime(endDate, EndOfDaySpecificTime.MarketOpen);
  		}
  		
--- 86,98 ----
  		}
  
! 		protected override void setEndOfDayDatesTime(
! 			DateTime firstDate, DateTime lastDate )
  		{
! 			this.firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( firstDate );
! //				new EndOfDayDateTime(startDate, EndOfDaySpecificTime.MarketClose);
! 			this.lastDateTime = 
! 				HistoricalEndOfDayTimer.GetMarketOpen( lastDate );
! //				new EndOfDayDateTime(endDate, EndOfDaySpecificTime.MarketOpen);
  		}
  		
***************
*** 97,101 ****
  		{
  			CloseToOpenIntervals closeToOpenIntervals = 
! 				new CloseToOpenIntervals(this.firstEndOfDayDateTime, this.lastEndOfDayDateTime,
  				                         this.benchmark);
  			this.returnsManager = 
--- 100,104 ----
  		{
  			CloseToOpenIntervals closeToOpenIntervals = 
! 				new CloseToOpenIntervals(this.firstDateTime, this.lastDateTime,
  				                         this.benchmark);
  			this.returnsManager = 

Index: CorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/CorrelationProvider.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** CorrelationProvider.cs	18 Aug 2008 21:13:19 -0000	1.5
--- CorrelationProvider.cs	29 Sep 2008 21:15:12 -0000	1.6
***************
*** 47,52 ****
  		protected int numOfCombinationTwoByTwo;
  		protected TickersPearsonCorrelation[] pearsonCorrelations;
! 		protected EndOfDayDateTime firstEndOfDayDateTime;
! 		protected EndOfDayDateTime lastEndOfDayDateTime;
  		protected int returnIntervalLength;
  		protected string benchmark;
--- 47,52 ----
  		protected int numOfCombinationTwoByTwo;
  		protected TickersPearsonCorrelation[] pearsonCorrelations;
! 		protected DateTime firstDateTime;
! 		protected DateTime lastDateTime;
  		protected int returnIntervalLength;
  		protected string benchmark;

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/MicrosoftExcel ExcelManager.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/MicrosoftExcel
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14789/Reporting/MicrosoftExcel

Modified Files:
	ExcelManager.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: ExcelManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/MicrosoftExcel/ExcelManager.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** ExcelManager.cs	19 Aug 2008 17:11:28 -0000	1.3
--- ExcelManager.cs	29 Sep 2008 21:15:41 -0000	1.4
***************
*** 110,114 ****
            excelBook.Worksheets.get_Item( excelBook.Worksheets.Count ),1,Missing.Value);       
        excelSheet.Name = reportTable.Name;
!       ((_Worksheet)excelSheet).Activate();
        drawHeaders( reportTable , excelSheet );
        drawRows( reportTable , excelSheet );
--- 110,114 ----
            excelBook.Worksheets.get_Item( excelBook.Worksheets.Count ),1,Missing.Value);       
        excelSheet.Name = reportTable.Name;
!       ((Excel._Worksheet)excelSheet).Activate();
        drawHeaders( reportTable , excelSheet );
        drawRows( reportTable , excelSheet );

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time CloseToCloseIntervals.cs, 1.4, 1.5 CloseToOpenIntervals.cs, 1.2, 1.3 DailyOpenToCloseIntervals.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14586/returnsManagement/time

Modified Files:
	CloseToCloseIntervals.cs CloseToOpenIntervals.cs 
	DailyOpenToCloseIntervals.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: CloseToOpenIntervals.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/CloseToOpenIntervals.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** CloseToOpenIntervals.cs	25 Sep 2007 21:48:14 -0000	1.2
--- CloseToOpenIntervals.cs	29 Sep 2008 21:15:13 -0000	1.3
***************
*** 34,45 ****
  		/// <summary>
  		/// Creates the close to open intervals for the given benchmark, from
! 		/// the first EndOfDayDateTime to the last EndOfDayDateTime
  		/// </summary>
  		/// <param name="firstEndOfDayDateTime"></param>
  		/// <param name="lastEndOfDayDateTime"></param>
  		/// <param name="benchmark"></param>
! 		public CloseToOpenIntervals( EndOfDayDateTime firstEndOfDayDateTime ,
! 			EndOfDayDateTime lastEndOfDayDateTime , string benchmark ) :
! 			base( firstEndOfDayDateTime , lastEndOfDayDateTime , benchmark )
  		{
  		}
--- 34,45 ----
  		/// <summary>
  		/// Creates the close to open intervals for the given benchmark, from
! 		/// the first DateTime to the last DateTime
  		/// </summary>
  		/// <param name="firstEndOfDayDateTime"></param>
  		/// <param name="lastEndOfDayDateTime"></param>
  		/// <param name="benchmark"></param>
! 		public CloseToOpenIntervals( DateTime firstDateTime ,
! 			DateTime lastDateTime , string benchmark ) :
! 			base( firstDateTime , lastDateTime , benchmark )
  		{
  		}
***************
*** 48,59 ****
  		{
  			DateTime dateTimeForIntervalBegin =
! 				(DateTime)this.marketDaysForBenchmark.GetKey( i );
  			DateTime dateTimeForIntervalEnd = 
! 				(DateTime)this.marketDaysForBenchmark.GetKey( i + 1 );
  			ReturnInterval returnInterval = new ReturnInterval(
! 				new EndOfDayDateTime( dateTimeForIntervalBegin ,
! 				EndOfDaySpecificTime.MarketClose ) ,
! 				new EndOfDayDateTime( dateTimeForIntervalEnd ,
! 				EndOfDaySpecificTime.MarketOpen ) );
  			this.Add( returnInterval );
  		}
--- 48,62 ----
  		{
  			DateTime dateTimeForIntervalBegin =
! 				HistoricalEndOfDayTimer.GetMarketOpen(
! 					(DateTime)this.marketDaysForBenchmark.GetKey( i ) );
  			DateTime dateTimeForIntervalEnd = 
! 				HistoricalEndOfDayTimer.GetMarketClose(
! 					(DateTime)this.marketDaysForBenchmark.GetKey( i + 1 ) );
  			ReturnInterval returnInterval = new ReturnInterval(
! 				dateTimeForIntervalBegin , dateTimeForIntervalEnd );
! //				new EndOfDayDateTime( dateTimeForIntervalBegin ,
! //				EndOfDaySpecificTime.MarketClose ) ,
! //				new EndOfDayDateTime( dateTimeForIntervalEnd ,
! //				EndOfDaySpecificTime.MarketOpen ) );
  			this.Add( returnInterval );
  		}

Index: DailyOpenToCloseIntervals.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/DailyOpenToCloseIntervals.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** DailyOpenToCloseIntervals.cs	25 Sep 2007 21:48:14 -0000	1.3
--- DailyOpenToCloseIntervals.cs	29 Sep 2008 21:15:14 -0000	1.4
***************
*** 34,45 ****
  		/// <summary>
  		/// Creates the open to close intervals for the given benchmark, from
! 		/// the first EndOfDayDateTime to the last EndOfDayDateTime
  		/// </summary>
  		/// <param name="firstEndOfDayDateTime"></param>
  		/// <param name="lastEndOfDayDateTime"></param>
  		/// <param name="benchmark"></param>
! 		public DailyOpenToCloseIntervals( EndOfDayDateTime firstEndOfDayDateTime ,
! 			EndOfDayDateTime lastEndOfDayDateTime , string benchmark ) :
! 			base( firstEndOfDayDateTime , lastEndOfDayDateTime , benchmark )
  		{
  		}
--- 34,45 ----
  		/// <summary>
  		/// Creates the open to close intervals for the given benchmark, from
! 		/// the first DateTime to the last DateTime
  		/// </summary>
  		/// <param name="firstEndOfDayDateTime"></param>
  		/// <param name="lastEndOfDayDateTime"></param>
  		/// <param name="benchmark"></param>
! 		public DailyOpenToCloseIntervals( DateTime firstDateTime ,
! 			DateTime lastDateTime , string benchmark ) :
! 			base( firstDateTime , lastDateTime , benchmark )
  		{
  		}
***************
*** 49,59 ****
  		{
  			DateTime dateTimeForIntervalBegin =
! 				(DateTime)this.marketDaysForBenchmark.GetKey( i );
! 			DateTime dateTimeForIntervalEnd = dateTimeForIntervalBegin;
  			ReturnInterval returnInterval = new ReturnInterval(
! 				new EndOfDayDateTime( dateTimeForIntervalBegin ,
! 				EndOfDaySpecificTime.MarketOpen ) ,
! 				new EndOfDayDateTime( dateTimeForIntervalEnd ,
! 				EndOfDaySpecificTime.MarketClose ) );
  			this.Add( returnInterval );
  		}
--- 49,63 ----
  		{
  			DateTime dateTimeForIntervalBegin =
! 				HistoricalEndOfDayTimer.GetMarketOpen(
! 					(DateTime)this.marketDaysForBenchmark.GetKey( i ) );
! 			DateTime dateTimeForIntervalEnd =
! 				HistoricalEndOfDayTimer.GetMarketClose(
! 					dateTimeForIntervalBegin );
  			ReturnInterval returnInterval = new ReturnInterval(
! 				dateTimeForIntervalBegin , dateTimeForIntervalEnd );
! //				new EndOfDayDateTime( dateTimeForIntervalBegin ,
! //				EndOfDaySpecificTime.MarketOpen ) ,
! //				new EndOfDayDateTime( dateTimeForIntervalEnd ,
! //				EndOfDaySpecificTime.MarketClose ) );
  			this.Add( returnInterval );
  		}

Index: CloseToCloseIntervals.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time/CloseToCloseIntervals.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** CloseToCloseIntervals.cs	2 Oct 2007 14:40:05 -0000	1.4
--- CloseToCloseIntervals.cs	29 Sep 2008 21:15:13 -0000	1.5
***************
*** 34,45 ****
  		/// <summary>
  		/// Creates the close to close intervals for the given benchmark, from
! 		/// the first EndOfDayDateTime to the last EndOfDayDateTime
  		/// </summary>
! 		/// <param name="firstEndOfDayDateTime"></param>
! 		/// <param name="lastEndOfDayDateTime"></param>
  		/// <param name="benchmark"></param>
! 		public CloseToCloseIntervals( EndOfDayDateTime firstEndOfDayDateTime ,
! 			EndOfDayDateTime lastEndOfDayDateTime , string benchmark ) :
! 			base( firstEndOfDayDateTime , lastEndOfDayDateTime , benchmark )
  		{
  			
--- 34,45 ----
  		/// <summary>
  		/// Creates the close to close intervals for the given benchmark, from
! 		/// the first DateTime to the last DateTime
  		/// </summary>
! 		/// <param name="firstDateTime"></param>
! 		/// <param name="lastDateTime"></param>
  		/// <param name="benchmark"></param>
! 		public CloseToCloseIntervals( DateTime firstDateTime ,
! 			DateTime lastDateTime , string benchmark ) :
! 			base( firstDateTime , lastDateTime , benchmark )
  		{
  			
***************
*** 47,51 ****
  		/// <summary>
  		/// Creates the close to close intervals for the given benchmark, from
! 		/// the first EndOfDayDateTime to the last EndOfDayDateTime:
  		/// each interval begins at a given market day "i" and ends at
  		/// market day "i + intervalLength"
--- 47,51 ----
  		/// <summary>
  		/// Creates the close to close intervals for the given benchmark, from
! 		/// the first DateTime to the last DateTime:
  		/// each interval begins at a given market day "i" and ends at
  		/// market day "i + intervalLength"
***************
*** 55,62 ****
  		/// <param name="benchmark"></param>
  		/// <param name="intervalLength"></param> 
! 		public CloseToCloseIntervals( EndOfDayDateTime firstEndOfDayDateTime ,
! 			EndOfDayDateTime lastEndOfDayDateTime , 
  			string benchmark , int intervalLength ) :
! 			base( firstEndOfDayDateTime , lastEndOfDayDateTime , benchmark ,
  			      intervalLength)
  		{
--- 55,62 ----
  		/// <param name="benchmark"></param>
  		/// <param name="intervalLength"></param> 
! 		public CloseToCloseIntervals( DateTime firstDateTime ,
! 			DateTime lastDateTime , 
  			string benchmark , int intervalLength ) :
! 			base( firstDateTime , lastDateTime , benchmark ,
  			      intervalLength)
  		{
***************
*** 68,79 ****
  		{
  			DateTime dateTimeForIntervalBegin =
! 				(DateTime)this.marketDaysForBenchmark.GetKey( i );
  			DateTime dateTimeForIntervalEnd =
! 				(DateTime)this.marketDaysForBenchmark.GetKey( i + this.intervalLength );
  			ReturnInterval returnInterval = new ReturnInterval(
! 				new EndOfDayDateTime( dateTimeForIntervalBegin ,
! 				EndOfDaySpecificTime.MarketClose ) ,
! 				new EndOfDayDateTime( dateTimeForIntervalEnd ,
! 				EndOfDaySpecificTime.MarketClose ) );
  			this.Add( returnInterval );
  		}
--- 68,82 ----
  		{
  			DateTime dateTimeForIntervalBegin =
! 				HistoricalEndOfDayTimer.GetMarketClose(
! 					(DateTime)this.marketDaysForBenchmark.GetKey( i ) );
  			DateTime dateTimeForIntervalEnd =
! 				HistoricalEndOfDayTimer.GetMarketClose(
! 					(DateTime)this.marketDaysForBenchmark.GetKey( i + this.intervalLength ) );
  			ReturnInterval returnInterval = new ReturnInterval(
! 				dateTimeForIntervalBegin , dateTimeForIntervalEnd );
! //				new EndOfDayDateTime( dateTimeForIntervalBegin ,
! //				EndOfDaySpecificTime.MarketClose ) ,
! //				new EndOfDayDateTime( dateTimeForIntervalEnd ,
! //				EndOfDaySpecificTime.MarketClose ) );
  			this.Add( returnInterval );
  		}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding DecoderForTestingPositionsWithBalancedWeights.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14586/Optimizing/Decoding

Modified Files:
	DecoderForTestingPositionsWithBalancedWeights.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: DecoderForTestingPositionsWithBalancedWeights.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding/DecoderForTestingPositionsWithBalancedWeights.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** DecoderForTestingPositionsWithBalancedWeights.cs	20 Apr 2008 16:38:47 -0000	1.5
--- DecoderForTestingPositionsWithBalancedWeights.cs	29 Sep 2008 21:15:14 -0000	1.6
***************
*** 19,23 ****
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
! */
  
  using System;
--- 19,23 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
***************
*** 28,40 ****
  {
  	/// <summary>
! 	/// Decodes optimization candidates to a 
  	/// TestingPositions
  	/// In this implementation, weights are balanced on volatility base
  	/// </summary>
  	public abstract class DecoderForTestingPositionsWithBalancedWeights :
! 								BasicDecoderForTestingPositions
  	{
  		
! 		public DecoderForTestingPositionsWithBalancedWeights() 
  		{
  			
--- 28,41 ----
  {
  	/// <summary>
! 	/// Decodes optimization candidates to a
  	/// TestingPositions
  	/// In this implementation, weights are balanced on volatility base
  	/// </summary>
+ 	[Serializable]
  	public abstract class DecoderForTestingPositionsWithBalancedWeights :
! 		BasicDecoderForTestingPositions
  	{
  		
! 		public DecoderForTestingPositionsWithBalancedWeights()
  		{
  			
***************
*** 45,50 ****
  		protected override double[] getWeights(SignedTickers signedTickers)
  		{
! 			return WeightedPositions.GetBalancedWeights( 
! 			        signedTickers,	this.returnsManager );
  		}
  
--- 46,51 ----
  		protected override double[] getWeights(SignedTickers signedTickers)
  		{
! 			return WeightedPositions.GetBalancedWeights(
! 				signedTickers,	this.returnsManager );
  		}
  

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14586/Eligibles

Modified Files:
	DummyEligibleSelector.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: DummyEligibleSelector.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/DummyEligibleSelector.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** DummyEligibleSelector.cs	7 Feb 2008 18:08:15 -0000	1.1
--- DummyEligibleSelector.cs	29 Sep 2008 21:15:14 -0000	1.2
***************
*** 24,31 ****
  using System.Data;
  
  using QuantProject.ADT.Messaging;
- using QuantProject.Business.Strategies.ReturnsManagement.Time;
- using QuantProject.Business.Timing;
- using QuantProject.Data.Selectors;
  
  namespace QuantProject.Business.Strategies.Eligibles
--- 24,29 ----
  using System.Data;
  
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Messaging;
  
  namespace QuantProject.Business.Strategies.Eligibles
***************
*** 35,38 ****
--- 33,37 ----
  	/// debugging
  	/// </summary>
+ 	[Serializable]
  	public class DummyEligibleSelector : IEligiblesSelector
  	{
***************
*** 55,59 ****
  		}
  		public EligibleTickers GetEligibleTickers(
! 			EndOfDayHistory endOfDayHistory )
  		{
  			if ( this.NewMessage != null )
--- 54,58 ----
  		}
  		public EligibleTickers GetEligibleTickers(
! 			History history )
  		{
  			if ( this.NewMessage != null )

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Logging DummyLogItem.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14586/Logging

Modified Files:
	DummyLogItem.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: DummyLogItem.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Logging/DummyLogItem.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** DummyLogItem.cs	30 Mar 2008 15:23:10 -0000	1.1
--- DummyLogItem.cs	29 Sep 2008 21:15:14 -0000	1.2
***************
*** 36,42 ****
  		/// To be used for testing objects using a LogItem
  		/// </summary>
! 		/// <param name="simulatedCreationTime"></param>
! 		public DummyLogItem( EndOfDayDateTime simulatedCreationTime ) :
! 			base( simulatedCreationTime )
  		{
  			//
--- 36,42 ----
  		/// To be used for testing objects using a LogItem
  		/// </summary>
! 		/// <param name="simulatedCreationDateTime"></param>
! 		public DummyLogItem( DateTime simulatedCreationDateTime ) :
! 			base( simulatedCreationDateTime )
  		{
  			//

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a3_Ordering Order.cs, 1.3, 1.4 OrderFilledEventArgs.cs, 1.1, 1.2 OrderManager.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14390/a3_Ordering

Modified Files:
	Order.cs OrderFilledEventArgs.cs OrderManager.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: Order.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering/Order.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** Order.cs	30 Jan 2005 19:57:38 -0000	1.3
--- Order.cs	29 Sep 2008 21:15:06 -0000	1.4
***************
*** 39,43 ****
      private Instrument instrument;
      private long quantity;
!     private EndOfDayDateTime endOfDayDateTime;
  
      public OrderType Type
--- 39,43 ----
      private Instrument instrument;
      private long quantity;
!     private DateTime dateTime;
  
      public OrderType Type
***************
*** 59,66 ****
      }
  
!     public EndOfDayDateTime EndOfDayDateTime
      {
!       get { return endOfDayDateTime; }
!       set { endOfDayDateTime=value;  }
      }
  
--- 59,66 ----
      }
  
!     public DateTime DateTime
      {
!       get { return this.dateTime; }
!       set { this.dateTime = value;  }
      }
  
***************
*** 83,90 ****
  		}
  		public Order( OrderType orderType , Instrument instrument ,
! 			long quantity , EndOfDayDateTime endOfDayDateTime )
  		{
  			this.order( orderType , instrument , quantity );
! 			this.endOfDayDateTime = endOfDayDateTime;
  		}
  	}
--- 83,90 ----
  		}
  		public Order( OrderType orderType , Instrument instrument ,
! 			long quantity , DateTime dateTime )
  		{
  			this.order( orderType , instrument , quantity );
! 			this.dateTime = dateTime;
  		}
  	}

Index: OrderFilledEventArgs.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering/OrderFilledEventArgs.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** OrderFilledEventArgs.cs	29 Nov 2004 15:06:29 -0000	1.1
--- OrderFilledEventArgs.cs	29 Sep 2008 21:15:06 -0000	1.2
***************
*** 3,7 ****
  
  NewTransactionEventArgs.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  NewTransactionEventArgs.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.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;
***************
*** 36,40 ****
  	{
  		private Order order;
! 		private EndOfDayTransaction endOfDayTransaction;
  
  		public Order Order
--- 36,40 ----
  	{
  		private Order order;
! 		private TimedTransaction timedTransaction;
  
  		public Order Order
***************
*** 44,58 ****
  		}
  
! 		public EndOfDayTransaction EndOfDayTransaction
  		{
! 			get { return this.endOfDayTransaction; }
! 			set { this.endOfDayTransaction = value; }
  		}
  
!     public OrderFilledEventArgs( Order order , EndOfDayTransaction endOfDayTransaction )
!     {
!       this.order = order;
! 			this.endOfDayTransaction = endOfDayTransaction;
!     }
!   }
  }
--- 44,59 ----
  		}
  
! 		public TimedTransaction TimedTransaction
  		{
! 			get { return this.timedTransaction; }
! 			set { this.timedTransaction = value; }
  		}
  
! 		public OrderFilledEventArgs(
! 			Order order , TimedTransaction timedTransaction )
! 		{
! 			this.order = order;
! 			this.timedTransaction = timedTransaction;
! 		}
! 	}
  }

Index: OrderManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering/OrderManager.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** OrderManager.cs	6 Feb 2005 18:20:22 -0000	1.5
--- OrderManager.cs	29 Sep 2008 21:15:06 -0000	1.6
***************
*** 75,88 ****
      }
  
!     public EndOfDayTransaction GetTransaction( Order order ,
  			IDataStreamer dataStreamer )
      {
        double instrumentPrice = dataStreamer.GetCurrentBid(
  				order.Instrument.Key );
!       EndOfDayTransaction transaction = new EndOfDayTransaction(
!         getTransactionType( order ) , order.Instrument ,
!         order.Quantity , instrumentPrice ,
!         order.EndOfDayDateTime );
!       return transaction;
      }
      #endregion
--- 75,90 ----
      }
  
!     public TimedTransaction GetTimedTransaction( Order order ,
  			IDataStreamer dataStreamer )
      {
        double instrumentPrice = dataStreamer.GetCurrentBid(
  				order.Instrument.Key );
!       TimedTransaction timedTransaction = new TimedTransaction(
!         getTransactionType( order ) ,
!         order.Instrument ,
!         order.Quantity ,
!         instrumentPrice ,
!         order.DateTime );
!       return timedTransaction;
      }
      #endregion
***************
*** 93,97 ****
        TransactionHistory transactionHistory = new TransactionHistory();
        foreach (Order order in orders)
!         transactionHistory.Add( this.GetTransaction( order ,
  					dataStreamer ) );
        return transactionHistory;
--- 95,99 ----
        TransactionHistory transactionHistory = new TransactionHistory();
        foreach (Order order in orders)
!         transactionHistory.Add( this.GetTimedTransaction( order ,
  					dataStreamer ) );
        return transactionHistory;

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Eligibles ByPriceLessVolatileOTCAlwaysQuoted.cs, 1.1, 1.2 ByPriceMostLiquidAlwaysQuoted.cs, 1.5, 1.6 ByPriceMostLiquidLessVolatileCTCAlwaysQuoted.cs, 1.1, 1.2 ByPriceMostLiquidLessVolatileCTOAlwaysQuoted.cs, 1.1, 1.2 ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.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-serv14104/Eligibles

Modified Files:
	ByPriceLessVolatileOTCAlwaysQuoted.cs 
	ByPriceMostLiquidAlwaysQuoted.cs 
	ByPriceMostLiquidLessVolatileCTCAlwaysQuoted.cs 
	ByPriceMostLiquidLessVolatileCTOAlwaysQuoted.cs 
	ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.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: ByPriceMostLiquidAlwaysQuoted.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByPriceMostLiquidAlwaysQuoted.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** ByPriceMostLiquidAlwaysQuoted.cs	8 Apr 2008 21:37:51 -0000	1.5
--- ByPriceMostLiquidAlwaysQuoted.cs	29 Sep 2008 21:14:49 -0000	1.6
***************
*** 24,30 ****
  using System.Data;
  
  using QuantProject.ADT.Messaging;
- using QuantProject.Business.Strategies.ReturnsManagement.Time;
- using QuantProject.Business.Timing;
  using QuantProject.Data.Selectors;
  
--- 24,29 ----
  using System.Data;
  
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Messaging;
  using QuantProject.Data.Selectors;
  
***************
*** 43,46 ****
--- 42,46 ----
  	/// always quoted at all market days are selected (not more than a given max number);
  	/// </summary>
+ 	[Serializable]
  	public class ByPriceMostLiquidAlwaysQuoted : IEligiblesSelector
  	{
***************
*** 83,89 ****
  
  		private EligibleTickers getEligibleTickers_actually(
! 			EndOfDayHistory endOfDayHistory )
  		{
! 			DateTime currentDate = endOfDayHistory.LastEndOfDayDateTime.DateTime; 
  
  			SelectorByGroup group;
--- 83,89 ----
  
  		private EligibleTickers getEligibleTickers_actually(
! 			History history )
  		{
! 			DateTime currentDate = history.LastDateTime; 
  
  			SelectorByGroup group;
***************
*** 109,113 ****
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity( dataTableByPrice ,
!         false, endOfDayHistory.FirstEndOfDayDateTime.DateTime, currentDate,
          this.maxNumberOfEligibleTickersToBeChosen);
        DataTable dataTableMostLiquid =
--- 109,113 ----
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity( dataTableByPrice ,
!         false, history.FirstDateTime, currentDate,
          this.maxNumberOfEligibleTickersToBeChosen);
        DataTable dataTableMostLiquid =
***************
*** 120,124 ****
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
          new SelectorByQuotationAtEachMarketDay( dataTableMostLiquid ,
!         false, endOfDayHistory.History,
          this.maxNumberOfEligibleTickersToBeChosen);
        DataTable dataTableToBeReturned =
--- 120,124 ----
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
          new SelectorByQuotationAtEachMarketDay( dataTableMostLiquid ,
!         false, history,
          this.maxNumberOfEligibleTickersToBeChosen);
        DataTable dataTableToBeReturned =
***************
*** 145,152 ****
  		/// <returns></returns>
  		public EligibleTickers GetEligibleTickers(
! 			EndOfDayHistory endOfDayHistory )
  		{
  			EligibleTickers eligibleTickers =
! 				this.getEligibleTickers_actually( endOfDayHistory );
  			this.getEligibleTickers_sendNewMessage( eligibleTickers );
  			return eligibleTickers;
--- 145,152 ----
  		/// <returns></returns>
  		public EligibleTickers GetEligibleTickers(
! 			History history )
  		{
  			EligibleTickers eligibleTickers =
! 				this.getEligibleTickers_actually( history );
  			this.getEligibleTickers_sendNewMessage( eligibleTickers );
  			return eligibleTickers;

Index: ByPriceMostLiquidLessVolatileCTCAlwaysQuoted.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByPriceMostLiquidLessVolatileCTCAlwaysQuoted.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ByPriceMostLiquidLessVolatileCTCAlwaysQuoted.cs	14 Aug 2008 23:36:25 -0000	1.1
--- ByPriceMostLiquidLessVolatileCTCAlwaysQuoted.cs	29 Sep 2008 21:14:49 -0000	1.2
***************
*** 19,30 ****
  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;
  
  using QuantProject.ADT.Messaging;
- using QuantProject.Business.Strategies.ReturnsManagement.Time;
- using QuantProject.Business.Timing;
  using QuantProject.Data.Selectors;
  
--- 19,29 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
  using System.Data;
  
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Messaging;
  using QuantProject.Data.Selectors;
  
***************
*** 43,55 ****
  	/// -step 2: from tickers selected by step 1, the most liquid
  	///  are selected (not more than maxNumberOfMostLiquidTickersToBeChosen);
! 	/// -step 3: from tickers selected by step 2, the ones that are 
  	/// less volatile (CTC returns in the last
  	/// numOfDaysForVolatilityComputation days
! 	/// are analyzed) are selected 
  	/// (not more than maxNumberOfEligibleTickersToBeChosen);
  	/// -step 4: from tickers selected by step 3, the ones that are
! 	/// always quoted at all market days are selected 
  	/// (not more than maxNumberOfEligibleTickersToBeChosen);
  	/// </summary>
  	public class ByPriceMostLiquidLessVolatileCTCAlwaysQuoted : IEligiblesSelector
  	{
--- 42,55 ----
  	/// -step 2: from tickers selected by step 1, the most liquid
  	///  are selected (not more than maxNumberOfMostLiquidTickersToBeChosen);
! 	/// -step 3: from tickers selected by step 2, the ones that are
  	/// less volatile (CTC returns in the last
  	/// numOfDaysForVolatilityComputation days
! 	/// are analyzed) are selected
  	/// (not more than maxNumberOfEligibleTickersToBeChosen);
  	/// -step 4: from tickers selected by step 3, the ones that are
! 	/// always quoted at all market days are selected
  	/// (not more than maxNumberOfEligibleTickersToBeChosen);
  	/// </summary>
+ 	[Serializable]
  	public class ByPriceMostLiquidLessVolatileCTCAlwaysQuoted : IEligiblesSelector
  	{
***************
*** 74,78 ****
  		private void byPriceMostLiquidLessVolatileCTCAlwaysQuoted_checkParameters()
  		{
! 			if(this.maxNumberOfMostLiquidTickersToBeChosen <= 
  			   this.maxNumberOfEligibleTickersToBeChosen)
  				throw new Exception("The set of the most liquid tickers has to " +
--- 74,78 ----
  		private void byPriceMostLiquidLessVolatileCTCAlwaysQuoted_checkParameters()
  		{
! 			if(this.maxNumberOfMostLiquidTickersToBeChosen <=
  			   this.maxNumberOfEligibleTickersToBeChosen)
  				throw new Exception("The set of the most liquid tickers has to " +
***************
*** 81,90 ****
  		
  		public ByPriceMostLiquidLessVolatileCTCAlwaysQuoted(
! 			string tickersGroupID , bool temporizedGroup, 
  			int maxNumberOfEligibleTickersToBeChosen,
  			int maxNumberOfMostLiquidTickersToBeChosen,
! 		 	int numOfDaysForAverageOpenRawPriceComputation,
  			int numOfDaysForVolatilityComputation,
! 		 	double minPrice, double maxPrice)
  		{
  			this.temporizedGroup = temporizedGroup;
--- 81,90 ----
  		
  		public ByPriceMostLiquidLessVolatileCTCAlwaysQuoted(
! 			string tickersGroupID , bool temporizedGroup,
  			int maxNumberOfEligibleTickersToBeChosen,
  			int maxNumberOfMostLiquidTickersToBeChosen,
! 			int numOfDaysForAverageOpenRawPriceComputation,
  			int numOfDaysForVolatilityComputation,
! 			double minPrice, double maxPrice)
  		{
  			this.temporizedGroup = temporizedGroup;
***************
*** 92,100 ****
  			this.maxNumberOfEligibleTickersToBeChosen =
  				maxNumberOfEligibleTickersToBeChosen;
! 			this.maxNumberOfMostLiquidTickersToBeChosen = 
  				maxNumberOfMostLiquidTickersToBeChosen;
  			this.numOfDaysForAverageOpenRawPriceComputation =
  				numOfDaysForAverageOpenRawPriceComputation;
! 			this.numOfDaysForVolatilityComputation = 
  				numOfDaysForVolatilityComputation;
  			this.minPrice = minPrice;
--- 92,100 ----
  			this.maxNumberOfEligibleTickersToBeChosen =
  				maxNumberOfEligibleTickersToBeChosen;
! 			this.maxNumberOfMostLiquidTickersToBeChosen =
  				maxNumberOfMostLiquidTickersToBeChosen;
  			this.numOfDaysForAverageOpenRawPriceComputation =
  				numOfDaysForAverageOpenRawPriceComputation;
! 			this.numOfDaysForVolatilityComputation =
  				numOfDaysForVolatilityComputation;
  			this.minPrice = minPrice;
***************
*** 104,144 ****
  
  		private EligibleTickers getEligibleTickers_actually(
! 			EndOfDayHistory endOfDayHistory )
  		{
! 			DateTime currentDate = endOfDayHistory.LastEndOfDayDateTime.DateTime; 
  
  			SelectorByGroup group;
  			if(this.temporizedGroup)
! 			//the group is "temporized": returned set of tickers
! 			// depends on time
  				group = new SelectorByGroup(this.tickersGroupID,
  				                            currentDate);
!       else//the group is not temporized
!       	group = new SelectorByGroup(this.tickersGroupID);
!       DataTable tickersFromGroup = group.GetTableOfSelectedTickers();
  
!       int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
!       SelectorByAverageRawOpenPrice byPrice =
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,
!       	                                  currentDate.AddDays(-this.numOfDaysForAverageOpenRawPriceComputation),
!       	                                  currentDate,
!       	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  this.minPrice,this.maxPrice, 0.00001, double.MaxValue);
!      	DataTable dataTableByPrice =
  				byPrice.GetTableOfSelectedTickers();
  
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity( dataTableByPrice ,
!         false, endOfDayHistory.FirstEndOfDayDateTime.DateTime, currentDate,
!         this.maxNumberOfMostLiquidTickersToBeChosen);
!       DataTable dataTableMostLiquid =
  				mostLiquidSelector.GetTableOfSelectedTickers();
  			
!       SelectorByCloseToCloseVolatility lessVolatileSelector =
  				new SelectorByCloseToCloseVolatility( dataTableMostLiquid ,
!         true, currentDate.AddDays(-this.numOfDaysForVolatilityComputation), currentDate,
!         this.maxNumberOfEligibleTickersToBeChosen);
!       
!       DataTable dataTableLessVolatile =
  				lessVolatileSelector.GetTableOfSelectedTickers();
  //			DataSet dataSet = new DataSet();
--- 104,144 ----
  
  		private EligibleTickers getEligibleTickers_actually(
! 			History history )
  		{
! 			DateTime currentDate = history.LastDateTime;
  
  			SelectorByGroup group;
  			if(this.temporizedGroup)
! 				//the group is "temporized": returned set of tickers
! 				// depends on time
  				group = new SelectorByGroup(this.tickersGroupID,
  				                            currentDate);
! 			else//the group is not temporized
! 				group = new SelectorByGroup(this.tickersGroupID);
! 			DataTable tickersFromGroup = group.GetTableOfSelectedTickers();
  
! 			int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
! 			SelectorByAverageRawOpenPrice byPrice =
! 				new SelectorByAverageRawOpenPrice(tickersFromGroup,false,
! 				                                  currentDate.AddDays(-this.numOfDaysForAverageOpenRawPriceComputation),
! 				                                  currentDate,
! 				                                  numOfTickersInGroupAtCurrentDate,
! 				                                  this.minPrice,this.maxPrice, 0.00001, double.MaxValue);
! 			DataTable dataTableByPrice =
  				byPrice.GetTableOfSelectedTickers();
  
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity( dataTableByPrice ,
! 				                        false, history.FirstDateTime, currentDate,
! 				                        this.maxNumberOfMostLiquidTickersToBeChosen);
! 			DataTable dataTableMostLiquid =
  				mostLiquidSelector.GetTableOfSelectedTickers();
  			
! 			SelectorByCloseToCloseVolatility lessVolatileSelector =
  				new SelectorByCloseToCloseVolatility( dataTableMostLiquid ,
! 				                                     true, currentDate.AddDays(-this.numOfDaysForVolatilityComputation), currentDate,
! 				                                     this.maxNumberOfEligibleTickersToBeChosen);
! 			
! 			DataTable dataTableLessVolatile =
  				lessVolatileSelector.GetTableOfSelectedTickers();
  //			DataSet dataSet = new DataSet();
***************
*** 146,157 ****
  //			dataSet.WriteXml( "c:\\qpReports\\pairsTrading\\eligiblesCon_ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.xml" );
  
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
!         new SelectorByQuotationAtEachMarketDay( dataTableLessVolatile ,
!         false, endOfDayHistory.History,
!         this.maxNumberOfEligibleTickersToBeChosen);
!       DataTable dataTableToBeReturned =
  				quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
  			
!       return
  				new EligibleTickers( dataTableToBeReturned );
  		}
--- 146,157 ----
  //			dataSet.WriteXml( "c:\\qpReports\\pairsTrading\\eligiblesCon_ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.xml" );
  
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection =
! 				new SelectorByQuotationAtEachMarketDay( dataTableLessVolatile ,
! 				                                       false, history,
! 				                                       this.maxNumberOfEligibleTickersToBeChosen);
! 			DataTable dataTableToBeReturned =
  				quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
  			
! 			return
  				new EligibleTickers( dataTableToBeReturned );
  		}
***************
*** 173,180 ****
  		/// <returns></returns>
  		public EligibleTickers GetEligibleTickers(
! 			EndOfDayHistory endOfDayHistory )
  		{
  			EligibleTickers eligibleTickers =
! 				this.getEligibleTickers_actually( endOfDayHistory );
  			this.getEligibleTickers_sendNewMessage( eligibleTickers );
  			return eligibleTickers;
--- 173,180 ----
  		/// <returns></returns>
  		public EligibleTickers GetEligibleTickers(
! 			History history )
  		{
  			EligibleTickers eligibleTickers =
! 				this.getEligibleTickers_actually( history );
  			this.getEligibleTickers_sendNewMessage( eligibleTickers );
  			return eligibleTickers;

Index: ByPriceMostLiquidLessVolatileCTOAlwaysQuoted.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByPriceMostLiquidLessVolatileCTOAlwaysQuoted.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ByPriceMostLiquidLessVolatileCTOAlwaysQuoted.cs	14 Aug 2008 23:36:25 -0000	1.1
--- ByPriceMostLiquidLessVolatileCTOAlwaysQuoted.cs	29 Sep 2008 21:14:49 -0000	1.2
***************
*** 24,30 ****
  using System.Data;
  
  using QuantProject.ADT.Messaging;
- using QuantProject.Business.Strategies.ReturnsManagement.Time;
- using QuantProject.Business.Timing;
  using QuantProject.Data.Selectors;
  
--- 24,29 ----
  using System.Data;
  
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Messaging;
  using QuantProject.Data.Selectors;
  
***************
*** 52,55 ****
--- 51,55 ----
  	/// (not more than maxNumberOfEligibleTickersToBeChosen);
  	/// </summary>
+ 	[Serializable]
  	public class ByPriceMostLiquidLessVolatileCTOAlwaysQuoted : IEligiblesSelector
  	{
***************
*** 104,110 ****
  
  		private EligibleTickers getEligibleTickers_actually(
! 			EndOfDayHistory endOfDayHistory )
  		{
! 			DateTime currentDate = endOfDayHistory.LastEndOfDayDateTime.DateTime; 
  
  			SelectorByGroup group;
--- 104,110 ----
  
  		private EligibleTickers getEligibleTickers_actually(
! 			History history )
  		{
! 			DateTime currentDate = history.LastDateTime; 
  
  			SelectorByGroup group;
***************
*** 130,134 ****
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity( dataTableByPrice ,
!         false, endOfDayHistory.FirstEndOfDayDateTime.DateTime, currentDate,
          this.maxNumberOfMostLiquidTickersToBeChosen);
        DataTable dataTableMostLiquid =
--- 130,134 ----
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity( dataTableByPrice ,
!         false, history.FirstDateTime, currentDate,
          this.maxNumberOfMostLiquidTickersToBeChosen);
        DataTable dataTableMostLiquid =
***************
*** 148,152 ****
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
          new SelectorByQuotationAtEachMarketDay( dataTableLessVolatile ,
!         false, endOfDayHistory.History,
          this.maxNumberOfEligibleTickersToBeChosen);
        DataTable dataTableToBeReturned =
--- 148,152 ----
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
          new SelectorByQuotationAtEachMarketDay( dataTableLessVolatile ,
!         false, history,
          this.maxNumberOfEligibleTickersToBeChosen);
        DataTable dataTableToBeReturned =
***************
*** 173,180 ****
  		/// <returns></returns>
  		public EligibleTickers GetEligibleTickers(
! 			EndOfDayHistory endOfDayHistory )
  		{
  			EligibleTickers eligibleTickers =
! 				this.getEligibleTickers_actually( endOfDayHistory );
  			this.getEligibleTickers_sendNewMessage( eligibleTickers );
  			return eligibleTickers;
--- 173,180 ----
  		/// <returns></returns>
  		public EligibleTickers GetEligibleTickers(
! 			History history )
  		{
  			EligibleTickers eligibleTickers =
! 				this.getEligibleTickers_actually( history );
  			this.getEligibleTickers_sendNewMessage( eligibleTickers );
  			return eligibleTickers;

Index: ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.cs	4 May 2008 22:46:33 -0000	1.2
--- ByPriceMostLiquidLessVolatileOTCAlwaysQuoted.cs	29 Sep 2008 21:14:49 -0000	1.3
***************
*** 24,30 ****
  using System.Data;
  
  using QuantProject.ADT.Messaging;
- using QuantProject.Business.Strategies.ReturnsManagement.Time;
- using QuantProject.Business.Timing;
  using QuantProject.Data.Selectors;
  
--- 24,29 ----
  using System.Data;
  
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Messaging;
  using QuantProject.Data.Selectors;
  
***************
*** 52,55 ****
--- 51,55 ----
  	/// (not more than maxNumberOfEligibleTickersToBeChosen);
  	/// </summary>
+ 	[Serializable]
  	public class ByPriceMostLiquidLessVolatileOTCAlwaysQuoted : IEligiblesSelector
  	{
***************
*** 104,110 ****
  
  		private EligibleTickers getEligibleTickers_actually(
! 			EndOfDayHistory endOfDayHistory )
  		{
! 			DateTime currentDate = endOfDayHistory.LastEndOfDayDateTime.DateTime; 
  
  			SelectorByGroup group;
--- 104,110 ----
  
  		private EligibleTickers getEligibleTickers_actually(
! 			History history )
  		{
! 			DateTime currentDate = history.LastDateTime; 
  
  			SelectorByGroup group;
***************
*** 130,134 ****
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity( dataTableByPrice ,
!         false, endOfDayHistory.FirstEndOfDayDateTime.DateTime, currentDate,
          this.maxNumberOfMostLiquidTickersToBeChosen);
        DataTable dataTableMostLiquid =
--- 130,134 ----
  			SelectorByLiquidity mostLiquidSelector =
  				new SelectorByLiquidity( dataTableByPrice ,
!         false, history.FirstDateTime, currentDate,
          this.maxNumberOfMostLiquidTickersToBeChosen);
        DataTable dataTableMostLiquid =
***************
*** 148,152 ****
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
          new SelectorByQuotationAtEachMarketDay( dataTableLessVolatile ,
!         false, endOfDayHistory.History,
          this.maxNumberOfEligibleTickersToBeChosen);
        DataTable dataTableToBeReturned =
--- 148,152 ----
        SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
          new SelectorByQuotationAtEachMarketDay( dataTableLessVolatile ,
!         false, history,
          this.maxNumberOfEligibleTickersToBeChosen);
        DataTable dataTableToBeReturned =
***************
*** 173,180 ****
  		/// <returns></returns>
  		public EligibleTickers GetEligibleTickers(
! 			EndOfDayHistory endOfDayHistory )
  		{
  			EligibleTickers eligibleTickers =
! 				this.getEligibleTickers_actually( endOfDayHistory );
  			this.getEligibleTickers_sendNewMessage( eligibleTickers );
  			return eligibleTickers;
--- 173,180 ----
  		/// <returns></returns>
  		public EligibleTickers GetEligibleTickers(
! 			History history )
  		{
  			EligibleTickers eligibleTickers =
! 				this.getEligibleTickers_actually( history );
  			this.getEligibleTickers_sendNewMessage( eligibleTickers );
  			return eligibleTickers;

Index: ByPriceLessVolatileOTCAlwaysQuoted.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/ByPriceLessVolatileOTCAlwaysQuoted.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ByPriceLessVolatileOTCAlwaysQuoted.cs	25 Apr 2008 17:22:11 -0000	1.1
--- ByPriceLessVolatileOTCAlwaysQuoted.cs	29 Sep 2008 21:14:49 -0000	1.2
***************
*** 19,30 ****
  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;
  
  using QuantProject.ADT.Messaging;
- using QuantProject.Business.Strategies.ReturnsManagement.Time;
- using QuantProject.Business.Timing;
  using QuantProject.Data.Selectors;
  
--- 19,29 ----
  along with this program; if not, write to the Free Software
  Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
!  */
  
  using System;
  using System.Data;
  
+ using QuantProject.ADT.Histories;
  using QuantProject.ADT.Messaging;
  using QuantProject.Data.Selectors;
  
***************
*** 43,46 ****
--- 42,46 ----
  	/// always quoted at all market days are selected (not more than a given max number);
  	/// </summary>
+ 	[Serializable]
  	public class ByPriceLessVolatileOTCAlwaysQuoted : IEligiblesSelector
  	{
***************
*** 60,64 ****
  					this.temporizedGroup.ToString() + ")\n" +
  					"MaxNumOfEligibles_" + this.maxNumberOfEligibleTickersToBeChosen.ToString() + "\n" +
! 					"AverageRawOpenPriceRange(computed for the last " + 
  					this.numOfDaysForAverageOpenRawPriceComputation.ToString() + "):\n" +
  					"From_" + this.minPrice + "_to_" + this.maxPrice + "\n" +
--- 60,64 ----
  					this.temporizedGroup.ToString() + ")\n" +
  					"MaxNumOfEligibles_" + this.maxNumberOfEligibleTickersToBeChosen.ToString() + "\n" +
! 					"AverageRawOpenPriceRange(computed for the last " +
  					this.numOfDaysForAverageOpenRawPriceComputation.ToString() + "):\n" +
  					"From_" + this.minPrice + "_to_" + this.maxPrice + "\n" +
***************
*** 66,74 ****
  			}
  		}
! 				
  		public ByPriceLessVolatileOTCAlwaysQuoted(
! 			string tickersGroupID , bool temporizedGroup, 
  			int maxNumberOfEligibleTickersToBeChosen,
! 		 	int numOfDaysForAverageOpenRawPriceComputation, double minPrice, double maxPrice)
  		{
  			this.temporizedGroup = temporizedGroup;
--- 66,74 ----
  			}
  		}
! 		
  		public ByPriceLessVolatileOTCAlwaysQuoted(
! 			string tickersGroupID , bool temporizedGroup,
  			int maxNumberOfEligibleTickersToBeChosen,
! 			int numOfDaysForAverageOpenRawPriceComputation, double minPrice, double maxPrice)
  		{
  			this.temporizedGroup = temporizedGroup;
***************
*** 83,115 ****
  
  		private EligibleTickers getEligibleTickers_actually(
! 			EndOfDayHistory endOfDayHistory )
  		{
! 			DateTime currentDate = endOfDayHistory.LastEndOfDayDateTime.DateTime; 
  
  			SelectorByGroup group;
  			if(this.temporizedGroup)
! 			//the group is "temporized": returned set of tickers
! 			// depend on time
  				group = new SelectorByGroup(this.tickersGroupID,
  				                            currentDate);
!       else//the group is not temporized
!       	group = new SelectorByGroup(this.tickersGroupID);
!       DataTable tickersFromGroup = group.GetTableOfSelectedTickers();
  
!       int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
!       SelectorByAverageRawOpenPrice byPrice =
!       		new SelectorByAverageRawOpenPrice(tickersFromGroup,false,
!       	                                  currentDate.AddDays(-this.numOfDaysForAverageOpenRawPriceComputation),
!       	                                  currentDate,
!       	                                  numOfTickersInGroupAtCurrentDate,
!       	                                  this.minPrice,this.maxPrice, 0.00001, double.MaxValue);
!      	DataTable dataTableByPrice =
  				byPrice.GetTableOfSelectedTickers();
  
  			SelectorByOpenToCloseVolatility lessVolatileSelector =
  				new SelectorByOpenToCloseVolatility( dataTableByPrice ,
!         true, endOfDayHistory.FirstEndOfDayDateTime.DateTime, currentDate,
!         this.maxNumberOfEligibleTickersToBeChosen);
!       DataTable dataTableLessVolatile =
  				lessVolatileSelector.GetTableOfSelectedTickers();
  
--- 83,115 ----
  
  		private EligibleTickers getEligibleTickers_actually(
! 			History history )
  		{
! 			DateTime currentDate = history.LastDateTime;
  
  			SelectorByGroup group;
  			if(this.temporizedGroup)
! 				//the group is "temporized": returned set of tickers
! 				// depend on time
  				group = new SelectorByGroup(this.tickersGroupID,
  				                            currentDate);
! 			else//the group is not temporized
! 				group = new SelectorByGroup(this.tickersGroupID);
! 			DataTable tickersFromGroup = group.GetTableOfSelectedTickers();
  
! 			int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
! 			SelectorByAverageRawOpenPrice byPrice =
! 				new SelectorByAverageRawOpenPrice(tickersFromGroup,false,
! 				                                  currentDate.AddDays(-this.numOfDaysForAverageOpenRawPriceComputation),
! 				                                  currentDate,
! 				                                  numOfTickersInGroupAtCurrentDate,
! 				                                  this.minPrice,this.maxPrice, 0.00001, double.MaxValue);
! 			DataTable dataTableByPrice =
  				byPrice.GetTableOfSelectedTickers();
  
  			SelectorByOpenToCloseVolatility lessVolatileSelector =
  				new SelectorByOpenToCloseVolatility( dataTableByPrice ,
! 				                                    true, history.FirstDateTime, currentDate,
! 				                                    this.maxNumberOfEligibleTickersToBeChosen);
! 			DataTable dataTableLessVolatile =
  				lessVolatileSelector.GetTableOfSelectedTickers();
  
***************
*** 118,129 ****
  //			dataSet.WriteXml( "c:\\qpReports\\pairsTrading\\eligiblesCon_ByPriceLessVolatileOTCAlwaysQuoted.xml" );
  
!       SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
!         new SelectorByQuotationAtEachMarketDay( dataTableLessVolatile ,
!         false, endOfDayHistory.History,
!         this.maxNumberOfEligibleTickersToBeChosen);
!       DataTable dataTableToBeReturned =
  				quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
  			
!       return
  				new EligibleTickers( dataTableToBeReturned );
  		}
--- 118,131 ----
  //			dataSet.WriteXml( "c:\\qpReports\\pairsTrading\\eligiblesCon_ByPriceLessVolatileOTCAlwaysQuoted.xml" );
  
! 			SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection =
! 				new SelectorByQuotationAtEachMarketDay(
! 					dataTableLessVolatile ,
! 					false ,
! 					history ,
! 					this.maxNumberOfEligibleTickersToBeChosen );
! 			DataTable dataTableToBeReturned =
  				quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers();
  			
! 			return
  				new EligibleTickers( dataTableToBeReturned );
  		}
***************
*** 145,152 ****
  		/// <returns></returns>
  		public EligibleTickers GetEligibleTickers(
! 			EndOfDayHistory endOfDayHistory )
  		{
  			EligibleTickers eligibleTickers =
! 				this.getEligibleTickers_actually( endOfDayHistory );
  			this.getEligibleTickers_sendNewMessage( eligibleTickers );
  			return eligibleTickers;
--- 147,154 ----
  		/// <returns></returns>
  		public EligibleTickers GetEligibleTickers(
! 			History history )
  		{
  			EligibleTickers eligibleTickers =
! 				this.getEligibleTickers_actually( history );
  			this.getEligibleTickers_sendNewMessage( eligibleTickers );
  			return eligibleTickers;

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/InSample BruteForceChooser.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14104/InSample

Modified Files:
	BruteForceChooser.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: BruteForceChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample/BruteForceChooser.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** BruteForceChooser.cs	1 Apr 2008 21:28:18 -0000	1.3
--- BruteForceChooser.cs	29 Sep 2008 21:14:49 -0000	1.4
***************
*** 41,44 ****
--- 41,45 ----
  	/// in sample optimization
  	/// </summary>
+ 	[Serializable]
  	public abstract class BruteForceChooser : IInSampleChooser
  	{

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a3_Ordering HistoricalEndOfDayOrderExecutor.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14039/a3_Ordering

Modified Files:
	HistoricalEndOfDayOrderExecutor.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: HistoricalEndOfDayOrderExecutor.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a3_Ordering/HistoricalEndOfDayOrderExecutor.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** HistoricalEndOfDayOrderExecutor.cs	20 Dec 2005 19:37:57 -0000	1.6
--- HistoricalEndOfDayOrderExecutor.cs	29 Sep 2008 21:14:44 -0000	1.7
***************
*** 3,7 ****
  
  HistoricalEndOfDayOrderExecutor.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  HistoricalEndOfDayOrderExecutor.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;
***************
*** 40,62 ****
  	public class HistoricalEndOfDayOrderExecutor : IOrderExecutor
  	{
! 		private IEndOfDayTimer timer;
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
!     private ISlippageManager slippageManager;
  
! 		public HistoricalEndOfDayOrderExecutor( IEndOfDayTimer timer ,
! 			IHistoricalQuoteProvider historicalQuoteProvider )
  		{
  			this.timer = timer;
! 			this.historicalQuoteProvider = historicalQuoteProvider;
!       this.slippageManager = new ZeroSlippageManager();
  		}
!     public HistoricalEndOfDayOrderExecutor( IEndOfDayTimer timer ,
!       IHistoricalQuoteProvider historicalQuoteProvider, ISlippageManager slippageManager )
!     {
!       this.timer = timer;
!       this.historicalQuoteProvider = historicalQuoteProvider;
!       this.slippageManager = slippageManager;
!     }
!     [field:NonSerialized]
  		public event OrderFilledEventHandler OrderFilled;
  
--- 40,64 ----
  	public class HistoricalEndOfDayOrderExecutor : IOrderExecutor
  	{
! 		private Timer timer;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private ISlippageManager slippageManager;
  
! 		public HistoricalEndOfDayOrderExecutor(
! 			Timer timer , HistoricalMarketValueProvider historicalMarketValueProvider )
  		{
  			this.timer = timer;
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
! 			this.slippageManager = new ZeroSlippageManager();
  		}
! 		public HistoricalEndOfDayOrderExecutor(
! 			Timer timer ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ,
! 			ISlippageManager slippageManager )
! 		{
! 			this.timer = timer;
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
! 			this.slippageManager = slippageManager;
! 		}
! 		[field:NonSerialized]
  		public event OrderFilledEventHandler OrderFilled;
  
***************
*** 64,78 ****
  		public void Execute( Order order )
  		{
! 			double instrumentMarketPrice = 
!           this.historicalQuoteProvider.GetMarketValue(order.Instrument.Key ,
! 				                                          this.timer.GetCurrentTime());
!       double instrumentPriceWithSlippage = instrumentMarketPrice + 
!                                            this.slippageManager.GetSlippage(order);
!       EndOfDayTransaction endOfDayTransaction = new EndOfDayTransaction(
! 				TimedTransaction.GetTransactionType( order.Type ) , order.Instrument ,
! 				order.Quantity , instrumentPriceWithSlippage ,
! 				new EndOfDayDateTime( this.timer.GetCurrentTime().DateTime ,
! 				this.timer.GetCurrentTime().EndOfDaySpecificTime ) );
! 			OrderFilled( this , new OrderFilledEventArgs( order , endOfDayTransaction ) );
  		}
  	}
--- 66,83 ----
  		public void Execute( Order order )
  		{
! 			double instrumentMarketPrice =
! 				this.historicalMarketValueProvider.GetMarketValue(order.Instrument.Key ,
! 				                                            this.timer.GetCurrentDateTime());
! 			double instrumentPriceWithSlippage = instrumentMarketPrice +
! 				this.slippageManager.GetSlippage(order);
! 			TimedTransaction timedTransaction = new TimedTransaction(
! 				TimedTransaction.GetTransactionType( order.Type ) ,
! 				order.Instrument ,
! 				order.Quantity ,
! 				instrumentPriceWithSlippage ,
! 				this.timer.GetCurrentDateTime() );
! //				new EndOfDayDateTime( this.timer.GetCurrentTime().DateTime ,
! //				                     this.timer.GetCurrentTime().EndOfDaySpecificTime ) );
! 			OrderFilled( this , new OrderFilledEventArgs( order , timedTransaction ) );
  		}
  	}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions TransactionHistory.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14039/a2_Accounting/Transactions

Modified Files:
	TransactionHistory.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: TransactionHistory.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions/TransactionHistory.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** TransactionHistory.cs	6 Feb 2005 18:23:30 -0000	1.2
--- TransactionHistory.cs	29 Sep 2008 21:14:43 -0000	1.3
***************
*** 71,77 ****
  //		}
  
! 		public void Add( EndOfDayTransaction transaction )
  		{
! 			base.MultiAdd( transaction.EndOfDayDateTime.DateTime , transaction );
  		}
  
--- 71,77 ----
  //		}
  
! 		public void Add( TimedTransaction transaction )
  		{
! 			base.MultiAdd( transaction.DateTime , transaction );
  		}
  

[Quantproject-developers] QuantProject/b4_Business/a3_Testing Tester.cs, 1.8, 1.9

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14019

Modified Files:
	Tester.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: Tester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a3_Testing/Tester.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** Tester.cs	6 Feb 2005 18:23:30 -0000	1.8
--- Tester.cs	29 Sep 2008 21:14:36 -0000	1.9
***************
*** 3,7 ****
  
  Tester.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  Tester.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;
***************
*** 42,125 ****
  	public class Tester : BackTester
  	{
!     private TestWindow testWindow;
!     private OrderManager orderManager = new OrderManager();
!     private double initialCash = 0.0;
  		private IDataStreamer dataStreamer;
!     //private TestResults testResults;
  
!     public OrderManager OrderManager
!     {
!       get { return orderManager; }
!       set { orderManager = value; }
!     }
  
!     public Tester(TestWindow testWindow , TradingSystems tradingSystems , double initialCash ,
! 			IDataStreamer dataStreamer )
  		{
  			this.testWindow = testWindow;
  			this.dataStreamer = dataStreamer;
  			this.TradingSystems = tradingSystems;
!       this.initialCash = initialCash;
!       this.Account.AddCash( new EndOfDayDateTime( testWindow.StartDateTime , EndOfDaySpecificTime.MarketOpen ) ,
!         initialCash );
  		}
  
!     public override double Objective()
!     {
!       this.Account.Clear();
!       this.Account.AddCash( new EndOfDayDateTime( testWindow.StartDateTime , EndOfDaySpecificTime.MarketOpen ) ,
!         initialCash );
!       this.Test();
!       return - this.Account.GetFitnessValue();
!     }
  
!     #region "Test"
!     private void initializeTradingSystems()
!     {
!       foreach (TradingSystem tradingSystem in this.TradingSystems)
!       {
!         tradingSystem.Parameters = this.Parameters;
!         tradingSystem.TestStartDateTime = this.testWindow.StartDateTime;
!         tradingSystem.InitializeData();
!       }
!     }
!     private void handleCurrentSignal( Signal signal , IDataStreamer dataStreamer )
!     {
!       Orders orders = this.Account.AccountStrategy.GetOrders( signal , dataStreamer );
!       foreach (Order order in orders )
!       {
!         EndOfDayTransaction transaction = this.OrderManager.GetTransaction( order ,
! 					dataStreamer );
!         this.Account.Add( transaction );
!         //Debug.WriteLine( account.ToString( dateTime ) );
!       }
!     }
!     private void testCurrentDateForTradingSystem( TradingSystem tradingSystem ,
!       ExtendedDateTime extendedDateTime , IDataStreamer dataStreamer )
!     {
!       Signals signals = tradingSystem.GetSignals( extendedDateTime );
!       foreach (Signal signal in signals)
!         handleCurrentSignal( signal , dataStreamer );
!     }
!     private void testCurrentExtendedDateTime( ExtendedDateTime extendedDateTime ,
! 			IDataStreamer dataStreamer )
!     {
!       foreach (TradingSystem tradingSystem in this.TradingSystems)
!         testCurrentDateForTradingSystem( tradingSystem , extendedDateTime ,dataStreamer );
!     }
!     public override void Test()
!     {
!       DateTime dateTime = this.testWindow.StartDateTime;
!       initializeTradingSystems();
!       while (dateTime <= this.testWindow.EndDateTime)
!       {
!         testCurrentExtendedDateTime( new ExtendedDateTime( dateTime , BarComponent.Open ) ,
! 					dataStreamer );
!         testCurrentExtendedDateTime( new ExtendedDateTime( dateTime , BarComponent.Close ) ,
! 					dataStreamer );
!         dateTime = dateTime.AddDays( 1 );
!       }
!     }
!     #endregion
  	}
  }
--- 42,138 ----
  	public class Tester : BackTester
  	{
! 		private TestWindow testWindow;
! 		private OrderManager orderManager = new OrderManager();
! 		private double initialCash = 0.0;
  		private IDataStreamer dataStreamer;
! 		//private TestResults testResults;
  
! 		public OrderManager OrderManager
! 		{
! 			get { return orderManager; }
! 			set { orderManager = value; }
! 		}
  
! 		public Tester(TestWindow testWindow , TradingSystems tradingSystems , double initialCash ,
! 		              IDataStreamer dataStreamer )
  		{
  			this.testWindow = testWindow;
  			this.dataStreamer = dataStreamer;
  			this.TradingSystems = tradingSystems;
! 			this.initialCash = initialCash;
! 			this.Account.AddCash(
! 				HistoricalEndOfDayTimer.GetMarketOpen( this.testWindow.StartDateTime ) ,
! 				this.initialCash );
! 			//      this.Account.AddCash( new EndOfDayDateTime( testWindow.StartDateTime , EndOfDaySpecificTime.MarketOpen ) ,
! 			//        initialCash );
  		}
  
! 		public override double Objective()
! 		{
! 			this.Account.Clear();
! 			this.Account.AddCash(
! 				HistoricalEndOfDayTimer.GetMarketOpen( this.testWindow.StartDateTime ) ,
! 				this.initialCash );
! //				new EndOfDayDateTime( testWindow.StartDateTime , EndOfDaySpecificTime.MarketOpen ) ,
! //			                     initialCash );
! //			this.Account.AddCash( new EndOfDayDateTime( testWindow.StartDateTime , EndOfDaySpecificTime.MarketOpen ) ,
! //			                     initialCash );
! 			this.Test();
! 			return - this.Account.GetFitnessValue();
! 		}
  
! 		#region "Test"
! 		private void initializeTradingSystems()
! 		{
! 			foreach (TradingSystem tradingSystem in this.TradingSystems)
! 			{
! 				tradingSystem.Parameters = this.Parameters;
! 				tradingSystem.TestStartDateTime = this.testWindow.StartDateTime;
! 				tradingSystem.InitializeData();
! 			}
! 		}
! 		private void handleCurrentSignal( Signal signal , IDataStreamer dataStreamer )
! 		{
! 			Orders orders = this.Account.AccountStrategy.GetOrders( signal , dataStreamer );
! 			foreach (Order order in orders )
! 			{
! 				TimedTransaction timedTransaction =
! 					this.OrderManager.GetTimedTransaction(
! 						order , dataStreamer );
! 				this.Account.Add( timedTransaction );
! 				//Debug.WriteLine( account.ToString( dateTime ) );
! 			}
! 		}
! 		private void testCurrentDateForTradingSystem( TradingSystem tradingSystem ,
! 		                                             DateTime dateTime , IDataStreamer dataStreamer )
! 		{
! 			Signals signals = tradingSystem.GetSignals( dateTime );
! 			foreach (Signal signal in signals)
! 				handleCurrentSignal( signal , dataStreamer );
! 		}
! 		private void testCurrentDateTime( DateTime dateTime ,
! 		                                         IDataStreamer dataStreamer )
! 		{
! 			foreach (TradingSystem tradingSystem in this.TradingSystems)
! 				testCurrentDateForTradingSystem( tradingSystem , dateTime ,dataStreamer );
! 		}
! 		public override void Test()
! 		{
! 			DateTime dateTime = this.testWindow.StartDateTime;
! 			initializeTradingSystems();
! 			while ( dateTime <= this.testWindow.EndDateTime )
! 			{
! 				this.testCurrentDateTime(
! 					HistoricalEndOfDayTimer.GetMarketOpen( dateTime ) , this.dataStreamer );
! 				this.testCurrentDateTime(
! 					HistoricalEndOfDayTimer.GetMarketClose( dateTime ) , this.dataStreamer );
! //				testCurrentDateTime( new ExtendedDateTime( dateTime , BarComponent.Open ) ,
! //				                            dataStreamer );
! //				testCurrentDateTime( new ExtendedDateTime( dateTime , BarComponent.Close ) ,
! //				                            dataStreamer );
! 				dateTime = dateTime.AddDays( 1 );
! 			}
! 		}
! 		#endregion
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies BasicEndOfDayStrategyForBacktester.cs, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13959/EndOfDayStrategies

Modified Files:
	BasicEndOfDayStrategyForBacktester.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: BasicEndOfDayStrategyForBacktester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies/BasicEndOfDayStrategyForBacktester.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** BasicEndOfDayStrategyForBacktester.cs	16 Aug 2008 19:28:02 -0000	1.7
--- BasicEndOfDayStrategyForBacktester.cs	29 Sep 2008 21:14:23 -0000	1.8
***************
*** 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;
***************
*** 43,48 ****
  	/// that should be inherited by specific strategies
  	/// </summary>
  	public abstract class BasicEndOfDayStrategyForBacktester :
! 		IEndOfDayStrategyForBacktester
  	{
  		public event NewLogItemEventHandler NewLogItem;
--- 43,49 ----
  	/// that should be inherited by specific strategies
  	/// </summary>
+ 	[Serializable]
  	public abstract class BasicEndOfDayStrategyForBacktester :
! 		IStrategyForBacktester
  	{
  		public event NewLogItemEventHandler NewLogItem;
***************
*** 55,59 ****
  		protected IEligiblesSelector eligiblesSelector;
  		protected IInSampleChooser inSampleChooser;
! 		protected IHistoricalQuoteProvider historicalQuoteProviderForInSample;
  
  		protected DateTime lastOptimizationDateTime;
--- 56,60 ----
  		protected IEligiblesSelector eligiblesSelector;
  		protected IInSampleChooser inSampleChooser;
! 		protected HistoricalMarketValueProvider historicalMarketValueProviderForInSample;
  
  		protected DateTime lastOptimizationDateTime;
***************
*** 71,79 ****
  		}
  
! 		public bool StopBacktestIfMaxRunningHoursHasBeenReached
  		{
  			get
  			{
! 				return this.optimalWeightedPositionsAreToBeUpdated();
  			}
  		}
--- 72,80 ----
  		}
  
! 		public virtual bool StopBacktestIfMaxRunningHoursHasBeenReached
  		{
  			get
  			{
! 				return this.areOptimalWeightedPositionsToBeUpdated();
  			}
  		}
***************
*** 113,118 ****
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			IHistoricalQuoteProvider historicalQuoteProviderForInSample
! 			)
  		{
  			this.numDaysBeetweenEachOtpimization = numDaysBeetweenEachOtpimization;
--- 114,119 ----
  			IEligiblesSelector eligiblesSelector ,
  			IInSampleChooser inSampleChooser ,
! 			HistoricalMarketValueProvider historicalMarketValueProviderForInSample
! 		)
  		{
  			this.numDaysBeetweenEachOtpimization = numDaysBeetweenEachOtpimization;
***************
*** 122,127 ****
  			this.eligiblesSelector = eligiblesSelector;
  			this.inSampleChooser = inSampleChooser;
! 			this.historicalQuoteProviderForInSample =
! 				historicalQuoteProviderForInSample;
  			
  			this.returnIntervals =
--- 123,128 ----
  			this.eligiblesSelector = eligiblesSelector;
  			this.inSampleChooser = inSampleChooser;
! 			this.historicalMarketValueProviderForInSample =
! 				historicalMarketValueProviderForInSample;
  			
  			this.returnIntervals =
***************
*** 129,133 ****
  		}
  
! 		#region MarketOpenEventHandler
  
  		protected abstract bool marketOpenEventHandler_arePositionsToBeClosed();
--- 130,134 ----
  		}
  
! 		#region marketOpenEventHandler
  
  		protected abstract bool marketOpenEventHandler_arePositionsToBeClosed();
***************
*** 136,141 ****
  			WeightedPositions marketOpenEventHandler_getPositionsToBeOpened();
  		
! 		public void MarketOpenEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.updateReturnIntervals();
--- 137,141 ----
  			WeightedPositions marketOpenEventHandler_getPositionsToBeOpened();
  		
! 		private void marketOpenEventHandler()
  		{
  			this.updateReturnIntervals();
***************
*** 153,164 ****
  			}
  		}
! 		#endregion MarketOpenEventHandler
  
! 		public void FiveMinutesBeforeMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! 		{
! 		}
  
! 		#region MarketCloseEventHandler
  
  		protected abstract bool marketCloseEventHandler_arePositionsToBeClosed();
--- 153,164 ----
  			}
  		}
! 		#endregion marketOpenEventHandler
  
! //		public void FiveMinutesBeforeMarketCloseEventHandler(
! //			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
! //		{
! //		}
  
! 		#region marketCloseEventHandler
  
  		protected abstract bool marketCloseEventHandler_arePositionsToBeClosed();
***************
*** 167,172 ****
  			WeightedPositions marketCloseEventHandler_getPositionsToBeOpened();
  		
! 		public void MarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
  			this.updateReturnIntervals();
--- 167,171 ----
  			WeightedPositions marketCloseEventHandler_getPositionsToBeOpened();
  		
! 		private void marketCloseEventHandler()
  		{
  			this.updateReturnIntervals();
***************
*** 184,240 ****
  			}
  		}
! 		#endregion MarketCloseEventHandler
  
  
! 		#region OneHourAfterMarketCloseEventHandler
! 		private bool optimalWeightedPositionsAreToBeUpdated()
  		{
- //			TimeSpan timeSpanSinceLastOptimization =
- //				this.now().DateTime - this.lastOptimizationDateTime;
- //			bool areToBeUpdated =	( timeSpanSinceLastOptimization.Days >=
- //				this.numDaysBeetweenEachOtpimization );
- //			return areToBeUpdated;
  			DateTime dateTimeForNextOptimization =
  				this.lastOptimizationDateTime.AddDays(
! 				this.numDaysBeetweenEachOtpimization );
  			bool areToBeUpdated =
  				( ( ( this.account.Portfolio.Count == 0 )
! 				&& ( ( this.lastOptimizationDateTime == DateTime.MinValue ) ) ) ||
! 				( this.now().DateTime >= dateTimeForNextOptimization ) );
  			return areToBeUpdated;
  		}
  		#region getInSampleReturnIntervals
! 		private EndOfDayDateTime getInSampleReturnIntervals_getFirstDate()
  		{
! 			DateTime firstDateTime = this.now().DateTime.AddDays(
  				-this.numDaysForInSampleOptimization );
! 			EndOfDayDateTime firstDate = new EndOfDayDateTime(
! 				firstDateTime , EndOfDaySpecificTime.MarketOpen );
! 			return firstDate;
  		}
  		private ReturnIntervals getInSampleReturnIntervals()
  		{
! 			EndOfDayDateTime firstDate =
! 				this.getInSampleReturnIntervals_getFirstDate();
! 			EndOfDayDateTime lastDate =
! 				new EndOfDayDateTime( this.now().DateTime ,
! 				EndOfDaySpecificTime.MarketClose );
  			ReturnIntervals inSampleReturnIntervals =
  				new ReturnIntervals( this.intervalsSelectorForInSample );
! 			inSampleReturnIntervals.AppendFirstInterval( firstDate );
! 			if ( inSampleReturnIntervals.LastEndOfDayDateTime.IsLessThan(
! 				lastDate ) )
  				inSampleReturnIntervals.AppendIntervalsButDontGoBeyondLastDate(
! 					lastDate );
  			return inSampleReturnIntervals;
  		}
  		#endregion getInSampleReturnIntervals
  		private void checkQualityFor_bestTestingPositionsInSample()
  		{
  			for( int i = 0 ; i < this.bestTestingPositionsInSample.Length ; i++ )
  				if ( this.bestTestingPositionsInSample[ i ] == null )
! 					throw new Exception(
! 						"The IInSampleChooser should have returned an array " +
! 						"of non null bestTestingPositionsInSample!" );
  		}
  		private void notifyMessage( EligibleTickers eligibleTickers )
--- 183,254 ----
  			}
  		}
! 		#endregion marketCloseEventHandler
  
  
! 		#region oneHourAfterMarketCloseEventHandler
! 		
! 		#region areOptimalWeightedPositionsToBeUpdated
! 		private bool areOptimalWeightedPositionsToBeUpdated_actually()
  		{
  			DateTime dateTimeForNextOptimization =
  				this.lastOptimizationDateTime.AddDays(
! 					this.numDaysBeetweenEachOtpimization );
! 			DateTime currentSimulatedDateTime = this.now();
  			bool areToBeUpdated =
  				( ( ( this.account.Portfolio.Count == 0 )
! 				   && ( ( this.lastOptimizationDateTime == DateTime.MinValue ) ) ) ||
! 				 ( currentSimulatedDateTime >= dateTimeForNextOptimization ) );
  			return areToBeUpdated;
  		}
+ 		private bool areOptimalWeightedPositionsToBeUpdated()
+ 		{
+ 			bool areToBeUpdated;
+ //			if ( !this.account.Timer.IsActive )
+ //				// the backtester has stopped the timer because the
+ //				// backtest has gone beyond max running hours
+ //				areToBeUpdated = false;
+ //			else
+ 				areToBeUpdated =
+ 					this.areOptimalWeightedPositionsToBeUpdated_actually();
+ 			return areToBeUpdated;
+ 		}
+ 		#endregion areOptimalWeightedPositionsToBeUpdated
+ 		
  		#region getInSampleReturnIntervals
! 		private DateTime getInSampleReturnIntervals_getFirstDateTime()
  		{
! 			DateTime someDaysBefore = this.now().AddDays(
  				-this.numDaysForInSampleOptimization );
! 			DateTime firstDateTime =
! 				HistoricalEndOfDayTimer.GetMarketOpen( someDaysBefore );
! //			EndOfDayDateTime firstDate = new EndOfDayDateTime(
! //				someDaysBefore , EndOfDaySpecificTime.MarketOpen );
! 			return firstDateTime;
  		}
  		private ReturnIntervals getInSampleReturnIntervals()
  		{
! 			DateTime firstDateTime =
! 				this.getInSampleReturnIntervals_getFirstDateTime();
! 			DateTime lastDateTime =
! 				HistoricalEndOfDayTimer.GetMarketClose( this.now() );
! //				new EndOfDayDateTime( this.now().DateTime ,
! //				                     EndOfDaySpecificTime.MarketClose );
  			ReturnIntervals inSampleReturnIntervals =
  				new ReturnIntervals( this.intervalsSelectorForInSample );
! 			inSampleReturnIntervals.AppendFirstInterval( firstDateTime );
! 			if ( inSampleReturnIntervals.LastDateTime < lastDateTime )
  				inSampleReturnIntervals.AppendIntervalsButDontGoBeyondLastDate(
! 					lastDateTime );
  			return inSampleReturnIntervals;
  		}
  		#endregion getInSampleReturnIntervals
+ 		
  		private void checkQualityFor_bestTestingPositionsInSample()
  		{
  			for( int i = 0 ; i < this.bestTestingPositionsInSample.Length ; i++ )
  				if ( this.bestTestingPositionsInSample[ i ] == null )
! 				throw new Exception(
! 					"The IInSampleChooser should have returned an array " +
! 					"of non null bestTestingPositionsInSample!" );
  		}
  		private void notifyMessage( EligibleTickers eligibleTickers )
***************
*** 249,262 ****
  				this.NewMessage( this , newMessageEventArgs );
  		}
- 		#region logOptimizationInfo
- //		private void outputMessage( string message )
- //		{
- //			string dateStamp =
- //				ExtendedDateTime.GetShortDescriptionForFileName( DateTime.Now );
- //			MessageManager.DisplayMessage( message ,
- //				"NotificationMessagesForCurrentStrategy_" +
- //				dateStamp + ".Txt" );
- //		}
  		
  		protected abstract LogItem getLogItem( EligibleTickers eligibleTickers );
  
--- 263,268 ----
  				this.NewMessage( this , newMessageEventArgs );
  		}
  		
+ 		#region logOptimizationInfo
  		protected abstract LogItem getLogItem( EligibleTickers eligibleTickers );
  
***************
*** 274,277 ****
--- 280,284 ----
  		}
  		#endregion logOptimizationInfo
+ 		
  		private void updateOptimalTestingPositions_actually()
  		{
***************
*** 280,290 ****
  			EligibleTickers eligibleTickers =
  				this.eligiblesSelector.GetEligibleTickers(
! 				inSampleReturnIntervals.BordersHistory );
  			this.inSampleReturnsManager = new ReturnsManager(
  				inSampleReturnIntervals ,
! 				this.historicalQuoteProviderForInSample );
  			this.bestTestingPositionsInSample =
  				(TestingPositions[])this.inSampleChooser.AnalyzeInSample(
! 				eligibleTickers , this.inSampleReturnsManager );
  			this.checkQualityFor_bestTestingPositionsInSample();
  
--- 287,297 ----
  			EligibleTickers eligibleTickers =
  				this.eligiblesSelector.GetEligibleTickers(
! 					inSampleReturnIntervals.BordersHistory );
  			this.inSampleReturnsManager = new ReturnsManager(
  				inSampleReturnIntervals ,
! 				this.historicalMarketValueProviderForInSample );
  			this.bestTestingPositionsInSample =
  				(TestingPositions[])this.inSampleChooser.AnalyzeInSample(
! 					eligibleTickers , this.inSampleReturnsManager );
  			this.checkQualityFor_bestTestingPositionsInSample();
  
***************
*** 295,310 ****
  		{
  			this.updateOptimalTestingPositions_actually();
! 			this.lastOptimizationDateTime = this.now().DateTime;
  //			FixedLengthTwoPhasesLogItem logItem =
  //				new FixedLengthTwoPhasesLogItem( this.now() );
  //			logItem.BestWeightedPositionsInSample = this.bestWeightedPositionsInSample;
  		}
! 		public void OneHourAfterMarketCloseEventHandler(
! 			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( this.optimalWeightedPositionsAreToBeUpdated() )
  				this.updateOptimalTestingPositions();
  		}
! 		#endregion OneHourAfterMarketCloseEventHandler
  
  //		protected bool isInsampleOptimizationNeeded()
--- 302,328 ----
  		{
  			this.updateOptimalTestingPositions_actually();
! 			this.lastOptimizationDateTime = this.now();
  //			FixedLengthTwoPhasesLogItem logItem =
  //				new FixedLengthTwoPhasesLogItem( this.now() );
  //			logItem.BestWeightedPositionsInSample = this.bestWeightedPositionsInSample;
  		}
! 		private void oneHourAfterMarketCloseEventHandler()
  		{
! 			if ( this.areOptimalWeightedPositionsToBeUpdated() )
  				this.updateOptimalTestingPositions();
  		}
! 		#endregion oneHourAfterMarketCloseEventHandler
! 		
! 		#region NewDateTimeEventHandler
! 		public void NewDateTimeEventHandler( Object sender , DateTime dateTime )
! 		{
! 			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
! 				this.marketOpenEventHandler();
! 			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
! 				this.marketCloseEventHandler();
! 			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
! 				this.oneHourAfterMarketCloseEventHandler();
! 		}
! 		#endregion NewDateTimeEventHandler
  
  //		protected bool isInsampleOptimizationNeeded()
***************
*** 320,340 ****
  //		}
  
! 		protected EndOfDayDateTime now()
  		{
! 			return this.account.EndOfDayTimer.GetCurrentTime();
  		}
  		private void updateReturnIntervals()
  		{
! 			EndOfDayDateTime currentEndOfDayDateTime = this.now();
  			if ( this.returnIntervals.Count == 0 )
  				// no interval has been added yet
  				this.returnIntervals.AppendFirstInterval(
! 					currentEndOfDayDateTime );
  			else
  				// at least one interval has already been added
! 				if ( this.returnIntervals.LastEndOfDayDateTime.IsLessThanOrEqualTo(
! 				currentEndOfDayDateTime ) )
  				this.returnIntervals.AppendIntervalsToGoJustBeyond(
! 					currentEndOfDayDateTime );
  		}
  		protected ReturnInterval lastIntervalAppended()
--- 338,359 ----
  //		}
  
! 		protected DateTime now()
  		{
! 			DateTime simulatedDateTime =
! 				this.account.Timer.GetCurrentDateTime();
! 			return simulatedDateTime;
  		}
  		private void updateReturnIntervals()
  		{
! 			DateTime currentDateTime = this.now();
  			if ( this.returnIntervals.Count == 0 )
  				// no interval has been added yet
  				this.returnIntervals.AppendFirstInterval(
! 					currentDateTime );
  			else
  				// at least one interval has already been added
! 				if ( this.returnIntervals.LastDateTime <= currentDateTime )
  				this.returnIntervals.AppendIntervalsToGoJustBeyond(
! 					currentDateTime );
  		}
  		protected ReturnInterval lastIntervalAppended()

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies AccountStrategy.cs, 1.3, 1.4 Benchmark.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13959

Modified Files:
	AccountStrategy.cs Benchmark.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: AccountStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/AccountStrategy.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** AccountStrategy.cs	9 Jan 2005 22:08:47 -0000	1.3
--- AccountStrategy.cs	29 Sep 2008 21:14:23 -0000	1.4
***************
*** 61,65 ****
                virtualOrder.Instrument ,
                (long) - ((Position)this.account.Portfolio[ virtualOrder.Instrument.Key ]).Quantity ,
!               virtualOrder.EndOfDayDateTime ) );
            if ( !this.account.Portfolio.IsLong( virtualOrder.Instrument ) )
              orders.Add( new Order( OrderType.MarketBuy ,
--- 61,65 ----
                virtualOrder.Instrument ,
                (long) - ((Position)this.account.Portfolio[ virtualOrder.Instrument.Key ]).Quantity ,
!               virtualOrder.DateTime ) );
            if ( !this.account.Portfolio.IsLong( virtualOrder.Instrument ) )
              orders.Add( new Order( OrderType.MarketBuy ,
***************
*** 68,72 ****
                  this.account.CashAmount +
                  this.account.Portfolio.GetMarketValue( this.account.DataStreamer ) ,
!                 this.account.DataStreamer ) , virtualOrder.EndOfDayDateTime ) );
            break;
          case OrderType.MarketSell:
--- 68,72 ----
                  this.account.CashAmount +
                  this.account.Portfolio.GetMarketValue( this.account.DataStreamer ) ,
!                 this.account.DataStreamer ) , virtualOrder.DateTime ) );
            break;
          case OrderType.MarketSell:
***************
*** 75,79 ****
                virtualOrder.Instrument ,
                (long) this.account.Portfolio.GetPosition( virtualOrder.Instrument ).Quantity ,
!               virtualOrder.EndOfDayDateTime ) );
            if ( !this.account.Portfolio.IsShort( virtualOrder.Instrument ) )
              orders.Add( new Order( OrderType.MarketSellShort ,
--- 75,79 ----
                virtualOrder.Instrument ,
                (long) this.account.Portfolio.GetPosition( virtualOrder.Instrument ).Quantity ,
!               virtualOrder.DateTime ) );
            if ( !this.account.Portfolio.IsShort( virtualOrder.Instrument ) )
              orders.Add( new Order( OrderType.MarketSellShort ,
***************
*** 83,87 ****
                this.account.Portfolio.GetMarketValue( dataStreamer ) ,
                dataStreamer ) ,
!               virtualOrder.EndOfDayDateTime ) );
            break;
          default:            
--- 83,87 ----
                this.account.Portfolio.GetMarketValue( dataStreamer ) ,
                dataStreamer ) ,
!               virtualOrder.DateTime ) );
            break;
          default:            

Index: Benchmark.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Benchmark.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** Benchmark.cs	7 Feb 2008 18:35:38 -0000	1.3
--- Benchmark.cs	29 Sep 2008 21:14:23 -0000	1.4
***************
*** 1,4 ****
--- 1,6 ----
  using System;
  
+ using QuantProject.ADT;
+ using QuantProject.ADT.Histories;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Strategies.ReturnsManagement.Time;
***************
*** 15,19 ****
  	{
  		private string ticker;
! 		private HistoricalQuoteProvider historicalQuoteProvider;
  		
  		public string Ticker
--- 17,21 ----
  	{
  		private string ticker;
! 		private HistoricalMarketValueProvider historicalQuoteProvider;
  		
  		public string Ticker
***************
*** 31,35 ****
  		#region GetTimeStep
  		private void getTimeStep_checkParameters(
! 			EndOfDayDateTime timeStepBegin )
  		{
  			if ( !this.historicalQuoteProvider.WasExchanged( this.ticker ,
--- 33,37 ----
  		#region GetTimeStep
  		private void getTimeStep_checkParameters(
! 			DateTime timeStepBegin )
  		{
  			if ( !this.historicalQuoteProvider.WasExchanged( this.ticker ,
***************
*** 40,46 ****
  		}
  		private void isExchanged_checkParameter(
! 			EndOfDayDateTime endOfDayDateTime )
  		{
! 			if ( endOfDayDateTime.DateTime.Year >
  				DateTime.Now.Year )
  				throw new Exception( "It looks like this is a loop! " +
--- 42,48 ----
  		}
  		private void isExchanged_checkParameter(
! 			DateTime dateTime )
  		{
! 			if ( dateTime.Year >
  				DateTime.Now.Year )
  				throw new Exception( "It looks like this is a loop! " +
***************
*** 49,69 ****
  					this.ticker + "'" );
  		}
! 		private bool isExchanged( EndOfDayDateTime endOfDayDateTime )
  		{
! 			this.isExchanged_checkParameter( endOfDayDateTime );
  			bool isTraded =	this.historicalQuoteProvider.WasExchanged(
! 				this.ticker , endOfDayDateTime );
  			return isTraded;
  		}
  		private ReturnInterval getTimeStep_actually(
! 			EndOfDayDateTime timeStepBegin )
  		{
! 			EndOfDayDateTime currentEndOfDayDateTime =
! 				timeStepBegin.GetNextMarketStatusSwitch();
! 			while ( !this.isExchanged( currentEndOfDayDateTime ) )
! 				currentEndOfDayDateTime =
! 				currentEndOfDayDateTime.GetNextMarketStatusSwitch();
  			ReturnInterval timeStep =
! 				new ReturnInterval( timeStepBegin , currentEndOfDayDateTime );
  			return timeStep;
  		}
--- 51,74 ----
  					this.ticker + "'" );
  		}
! 		private bool isExchanged( DateTime dateTime )
  		{
! 			this.isExchanged_checkParameter( dateTime );
  			bool isTraded =	this.historicalQuoteProvider.WasExchanged(
! 				this.ticker , dateTime );
  			return isTraded;
  		}
  		private ReturnInterval getTimeStep_actually(
! 			DateTime timeStepBegin )
  		{
! 			DateTime currentDateTime =
! 				HistoricalEndOfDayTimer.GetNextMarketStatusSwitch( timeStepBegin );
! //				timeStepBegin.GetNextMarketStatusSwitch();
! 			while ( !this.isExchanged( currentDateTime ) )
! 				currentDateTime =
! 					HistoricalEndOfDayTimer.GetNextMarketStatusSwitch( currentDateTime );
! //				currentEndOfDayDateTime =
! //				currentEndOfDayDateTime.GetNextMarketStatusSwitch();
  			ReturnInterval timeStep =
! 				new ReturnInterval( timeStepBegin , currentDateTime );
  			return timeStep;
  		}
***************
*** 73,80 ****
  		/// <param name="timeStepBegin"></param>
  		/// <returns></returns>
! 		public ReturnInterval GetTimeStep( EndOfDayDateTime timeStepBegin )
  		{
  			this.getTimeStep_checkParameters( timeStepBegin );
! 			ReturnInterval timeStep = this.getTimeStep_actually( timeStepBegin );
  			return timeStep;
  		}
--- 78,86 ----
  		/// <param name="timeStepBegin"></param>
  		/// <returns></returns>
! 		public ReturnInterval GetTimeStep( DateTime timeStepBegin )
  		{
  			this.getTimeStep_checkParameters( timeStepBegin );
! 			ReturnInterval timeStep =
! 				this.getTimeStep_actually( timeStepBegin );
  			return timeStep;
  		}
***************
*** 84,123 ****
  		/// Returns either the next market close or the next market open
  		/// (when the benchmark is exchanged), whichever is the nearest. 
! 		/// If endOfDayDateTime is either a market close or a market open
! 		/// when the benchmark is exchanged, then endOfDayDateTime itself
  		/// is returned
  		/// </summary>
! 		/// <param name="endOfDayDateTime"></param>
  		/// <returns></returns>
! 		public EndOfDayDateTime GetThisOrNextMarketStatusSwitch(
! 			EndOfDayDateTime endOfDayDateTime )
  		{
! 			EndOfDayDateTime currentEndOfDayDateTime = endOfDayDateTime;
! 			while ( !this.isExchanged( currentEndOfDayDateTime ) )
! 				currentEndOfDayDateTime =
! 					currentEndOfDayDateTime.GetNextMarketStatusSwitch();
! 			return currentEndOfDayDateTime;
  		}
  
  		/// <summary>
! 		/// Returns the EndOfDayHistory of the benchmark
  		/// between the two given EndOfDayDateTimes
  		/// </summary>
! 		public EndOfDayHistory GetEndOfDayHistory(
! 			EndOfDayDateTime firstEndOfDayDateTime,
! 			EndOfDayDateTime lastEndOfDayDateTime )
  		{
! 			if( lastEndOfDayDateTime.IsLessThanOrEqualTo(firstEndOfDayDateTime) )
! 				throw new Exception("lastEndOfDayDateTime has to be greater than " +
  					"firstEndOfDayDateTime !!");
! 			EndOfDayHistory endOfDayHistory = new EndOfDayHistory();
! 			EndOfDayDateTime endOfDayDateTimeToAddToHistory =
! 				firstEndOfDayDateTime.Copy();
! 			while( endOfDayDateTimeToAddToHistory.IsLessThanOrEqualTo(lastEndOfDayDateTime) )
  			{
! 				if( this.isExchanged( endOfDayDateTimeToAddToHistory ) )
! 					endOfDayHistory.Add( endOfDayDateTimeToAddToHistory, endOfDayDateTimeToAddToHistory );
! 				endOfDayDateTimeToAddToHistory =
! 					endOfDayDateTimeToAddToHistory.GetNextMarketStatusSwitch();
  			}
  			return endOfDayHistory;
--- 90,139 ----
  		/// Returns either the next market close or the next market open
  		/// (when the benchmark is exchanged), whichever is the nearest. 
! 		/// If dateTime is either a market close or a market open
! 		/// when the benchmark is exchanged, then dateTime itself
  		/// is returned
  		/// </summary>
! 		/// <param name="dateTime"></param>
  		/// <returns></returns>
! 		public DateTime GetThisOrNextMarketStatusSwitch(
! 			DateTime dateTime )
  		{
! 			DateTime currentDateTime = dateTime;
! 			if ( !HistoricalEndOfDayTimer.IsMarketStatusSwitch( currentDateTime ) )
! 				currentDateTime =
! 					HistoricalEndOfDayTimer.GetNextMarketStatusSwitch(
! 						currentDateTime );
! 			while ( !this.isExchanged( currentDateTime ) )
! 				currentDateTime =
! 					HistoricalEndOfDayTimer.GetNextMarketStatusSwitch(
! 						currentDateTime );
! //					currentEndOfDayDateTime.GetNextMarketStatusSwitch();
! 			return currentDateTime;
  		}
  
  		/// <summary>
! 		/// Returns the End of Day History of the benchmark
  		/// between the two given EndOfDayDateTimes
  		/// </summary>
! 		public History GetEndOfDayHistory(
! 			DateTime firstDateTime,
! 			DateTime lastDateTime )
  		{
! 			if( lastDateTime <=	firstDateTime )
! 				throw new Exception("lastDateTime has to be greater than " +
  					"firstEndOfDayDateTime !!");
! 			History endOfDayHistory = new History();
! 			DateTime dateTimeToAddToHistory =
! 				ExtendedDateTime.Copy( firstDateTime );
! //				firstDateTime.Copy();
! 			while( dateTimeToAddToHistory <= lastDateTime )
  			{
! 				if( this.isExchanged( dateTimeToAddToHistory ) )
! 					endOfDayHistory.Add(
! 						dateTimeToAddToHistory ,
! 						dateTimeToAddToHistory );
! 				dateTimeToAddToHistory =
! 					HistoricalEndOfDayTimer.GetNextMarketStatusSwitch(
! 						dateTimeToAddToHistory );
  			}
  			return endOfDayHistory;

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding BasicDecoderForTestingPositions.cs, 1.7, 1.8

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13959/Optimizing/Decoding

Modified Files:
	BasicDecoderForTestingPositions.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: BasicDecoderForTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Optimizing/Decoding/BasicDecoderForTestingPositions.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** BasicDecoderForTestingPositions.cs	20 Apr 2008 16:33:13 -0000	1.7
--- BasicDecoderForTestingPositions.cs	29 Sep 2008 21:14:23 -0000	1.8
***************
*** 37,40 ****
--- 37,41 ----
  	/// can be decoded only tickers
  	/// </summary>
+ 	[Serializable]
  	public abstract class BasicDecoderForTestingPositions :
  		IDecoderForTestingPositions

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/InSample BasicChooserFromSavedBackTestLog.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13959/InSample

Modified Files:
	BasicChooserFromSavedBackTestLog.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: BasicChooserFromSavedBackTestLog.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/InSample/BasicChooserFromSavedBackTestLog.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** BasicChooserFromSavedBackTestLog.cs	25 Apr 2008 17:17:19 -0000	1.3
--- BasicChooserFromSavedBackTestLog.cs	29 Sep 2008 21:14:23 -0000	1.4
***************
*** 89,93 ****
  				
  		protected abstract TestingPositions[] getTestingPositionsFromBackTestLog(
! 			EndOfDayDateTime lastInSampleDateOfOptimizedTestingPositions	);
  		
  		private void analyzeInSample_fireEvents()
--- 89,93 ----
  				
  		protected abstract TestingPositions[] getTestingPositionsFromBackTestLog(
! 			DateTime lastInSampleDateTimeOfOptimizedTestingPositions	);
  		
  		private void analyzeInSample_fireEvents()
***************
*** 113,117 ****
  			this.bestTestingPositionsInSample =
  				this.getTestingPositionsFromBackTestLog( 
! 				     returnsManager.ReturnIntervals.LastEndOfDayDateTime );
  			this.analyzeInSample_fireEvents();
  			return bestTestingPositionsInSample;
--- 113,117 ----
  			this.bestTestingPositionsInSample =
  				this.getTestingPositionsFromBackTestLog( 
! 				     returnsManager.ReturnIntervals.LastDateTime );
  			this.analyzeInSample_fireEvents();
  			return bestTestingPositionsInSample;

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs, 1.22, 1.23

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13426/a2_Accounting/h5_Reporting

Modified Files:
	AccountReport.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: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.22
retrieving revision 1.23
diff -C2 -d -r1.22 -r1.23
*** AccountReport.cs	18 Aug 2008 21:13:14 -0000	1.22
--- AccountReport.cs	29 Sep 2008 21:13:46 -0000	1.23
***************
*** 3,7 ****
  
  AccountReport.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  AccountReport.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;
***************
*** 36,39 ****
--- 36,40 ----
  using QuantProject.Business.Timing;
  using QuantProject.Data.DataProviders;
+ using QuantProject.Data.DataProviders.Quotes;
  
  namespace QuantProject.Business.Financial.Accounting.Reporting
***************
*** 45,73 ****
  	public class AccountReport : ISerializable
  	{
!     private Account account;
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
!     private Account accountCopy = new Account( "AccountCopy" );
!     private string reportName;
!     private EndOfDayDateTime endDateTime;
!     private string benchmark;
  		private History benchmarkEquityLine;
!     //private long numDaysForInterval;
!     private DataTable detailedDataTable;
!     private Tables.Transactions transactionTable;
!     private ReportTable roundTrades;
!     private ReportTable equity;
  		private EquityLine equityLine;
!     private Tables.Summary summary;
  		private Tables.StatisticsSummary statisticsSummary;
  
!     public string Name
!     {
  			get { return this.reportName; }
  			set { this.reportName = value; }
! 		}    
!     public EndOfDayDateTime EndDateTime
!     {
!       get { return endDateTime; }
!     }    
  		public string Benchmark
  		{
--- 46,76 ----
  	public class AccountReport : ISerializable
  	{
! 		private Account account;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
! 		private IDateTimeSelectorForEquityLine dateTimeSelectorForEquityLine;
! 		
! 		private Account accountCopy = new Account( "AccountCopy" );
! 		private string reportName;
! 		private DateTime endDateTime;
! 		private string benchmark;
  		private History benchmarkEquityLine;
! 		//private long numDaysForInterval;
! 		private DataTable detailedDataTable;
! 		private Tables.Transactions transactionTable;
! 		private ReportTable roundTrades;
! 		private ReportTable equity;
  		private EquityLine equityLine;
! 		private Tables.Summary summary;
  		private Tables.StatisticsSummary statisticsSummary;
  
! 		public string Name
! 		{
  			get { return this.reportName; }
  			set { this.reportName = value; }
! 		}
! 		public DateTime EndDateTime
! 		{
! 			get { return this.endDateTime; }
! 		}
  		public string Benchmark
  		{
***************
*** 83,101 ****
  		}
  		//    public long NumDaysForInterval
! //    {
! //      get { return numDaysForInterval; }
! //    }
!     public DataTable DetailedDataTable
!     {
!       get { return detailedDataTable; }
!     }
!     public ReportTable TransactionTable
!     {
!       get { return transactionTable; }
!     }
!     public ReportTable RoundTrades
!     {
!       get { return roundTrades; }
!     }
  		public ReportTable Equity
  		{
--- 86,104 ----
  		}
  		//    public long NumDaysForInterval
! 		//    {
! 		//      get { return numDaysForInterval; }
! 		//    }
! 		public DataTable DetailedDataTable
! 		{
! 			get { return detailedDataTable; }
! 		}
! 		public ReportTable TransactionTable
! 		{
! 			get { return transactionTable; }
! 		}
! 		public ReportTable RoundTrades
! 		{
! 			get { return roundTrades; }
! 		}
  		public ReportTable Equity
  		{
***************
*** 111,116 ****
  					this.equityLine = new EquityLine();
  					this.equityLine.Import( this.Equity.DataTable ,
! 						QuantProject.Business.Financial.Accounting.Reporting.Tables.Equity.Date ,
! 						QuantProject.Business.Financial.Accounting.Reporting.Tables.Equity.AccountValue );
  				}
  				return this.equityLine;
--- 114,119 ----
  					this.equityLine = new EquityLine();
  					this.equityLine.Import( this.Equity.DataTable ,
! 					                       QuantProject.Business.Financial.Accounting.Reporting.Tables.Equity.Date ,
! 					                       QuantProject.Business.Financial.Accounting.Reporting.Tables.Equity.AccountValue );
  				}
  				return this.equityLine;
***************
*** 118,135 ****
  		}
  		public Tables.Summary Summary
!     {
!       get { return summary; }
!     }
  		public Tables.StatisticsSummary StatisticsSummary
  		{
  			get { return this.statisticsSummary; }
  		}
!     public DateTime StartDateTime
!     {
!       get
!       {
!         return (DateTime) account.Transactions.GetKey( 0 );
!       }
!     }
  
  		/// <summary>
--- 121,138 ----
  		}
  		public Tables.Summary Summary
! 		{
! 			get { return summary; }
! 		}
  		public Tables.StatisticsSummary StatisticsSummary
  		{
  			get { return this.statisticsSummary; }
  		}
! 		public DateTime StartDateTime
! 		{
! 			get
! 			{
! 				return (DateTime) account.Transactions.GetKey( 0 );
! 			}
! 		}
  
  		/// <summary>
***************
*** 140,179 ****
  			get { return this.reportName; }
  		}
-     /// <summary>
-     /// Add the last account record to the AccountReport
-     /// </summary>
-     /// <param name="account"></param>
-     public AccountReport( Account account ,
- 			IHistoricalQuoteProvider historicalQuoteProvider )
-     {
-       this.account = account;
- 			this.historicalQuoteProvider = historicalQuoteProvider;
-     }
  
!     #region "Create"
  
!     #region "getDetailedDataTable"
!     private void setColumns( System.Data.DataTable transactions )
!     {
!       transactions.Columns.Add( "DateTime" , Type.GetType( "System.DateTime" ) );
!       transactions.Columns.Add( "BarComponent" , Type.GetType( "System.String" ) );
!       transactions.Columns.Add( "TransactionType"  , Type.GetType( "System.String" ) );
!       transactions.Columns.Add( "InstrumentKey"  , Type.GetType( "System.String" ) );
!       transactions.Columns.Add( "Quantity"  , Type.GetType( "System.Int32" ) );
!       transactions.Columns.Add( "Price"  , Type.GetType( "System.Double" ) );
! 			transactions.Columns.Add( "TransactionAmount"  , Type.GetType( "System.Double" ) );
! 			transactions.Columns.Add( "Commission"  , Type.GetType( "System.Double" ) );
! 			transactions.Columns.Add( "AccountCash"  , Type.GetType( "System.Double" ) );
!       transactions.Columns.Add( "PortfolioValue"  , Type.GetType( "System.Double" ) );
!       transactions.Columns.Add( "AccountValue"  , Type.GetType( "System.Double" ) );
!       transactions.Columns.Add( "PnL"  , Type.GetType( "System.Double" ) );
!     }
!     #region "setRows"
!     private void addBalanceItems ( EndOfDayDateTime endOfDayDateTime ,  DataRow dataRow )
!     {
  			dataRow[ "AccountCash" ] = this.accountCopy.CashAmount;
  
  			dataRow[ "PortfolioValue" ] = this.accountCopy.Portfolio.GetMarketValue(
! 				endOfDayDateTime , this.historicalQuoteProvider );
  
  			dataRow[ "AccountValue" ] = (double)dataRow[ "AccountCash" ] +
--- 143,194 ----
  			get { return this.reportName; }
  		}
  
! 		/// <summary>
! 		/// Creates report data for the given account
! 		/// </summary>
! 		/// <param name="account"></param>
! 		/// <param name="historicalMarketValueProvider">used to evaluate
! 		/// the market value for the given instruments at the given
! 		/// time</param>
! 		/// <param name="timerForEquityLine">used to decide the points
! 		/// in time when the equity line will be computed</param>
! 		public AccountReport(
! 			Account account ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider ,
! 			IDateTimeSelectorForEquityLine dateTimeSelectorForEquityLine )
! 		{
! 			this.account = account;
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
! 			this.dateTimeSelectorForEquityLine = dateTimeSelectorForEquityLine;
! 		}
  
! 		#region Create
! 		
! 		#region setDetailedDataTable
! 		
! 		#region getDetailedDataTable
! 		private void setColumns()
! 		{
! 			this.detailedDataTable.Columns.Add( "DateTime" , Type.GetType( "System.DateTime" ) );
! //			transactions.Columns.Add( "BarComponent" , Type.GetType( "System.String" ) );
! 			this.detailedDataTable.Columns.Add( "TransactionType"  , Type.GetType( "System.String" ) );
! 			this.detailedDataTable.Columns.Add( "InstrumentKey"  , Type.GetType( "System.String" ) );
! 			this.detailedDataTable.Columns.Add( "Quantity"  , Type.GetType( "System.Int32" ) );
! 			this.detailedDataTable.Columns.Add( "Price"  , Type.GetType( "System.Double" ) );
! 			this.detailedDataTable.Columns.Add( "TransactionAmount"  , Type.GetType( "System.Double" ) );
! 			this.detailedDataTable.Columns.Add( "Commission"  , Type.GetType( "System.Double" ) );
! 			this.detailedDataTable.Columns.Add( "AccountCash"  , Type.GetType( "System.Double" ) );
! 			this.detailedDataTable.Columns.Add( "PortfolioValue"  , Type.GetType( "System.Double" ) );
! 			this.detailedDataTable.Columns.Add( "AccountValue"  , Type.GetType( "System.Double" ) );
! 			this.detailedDataTable.Columns.Add( "PnL"  , Type.GetType( "System.Double" ) );
! 		}
! 		
! 		#region setRows
! 		private void addBalanceItems ( DateTime dateTime ,  DataRow dataRow )
! 		{
  			dataRow[ "AccountCash" ] = this.accountCopy.CashAmount;
  
  			dataRow[ "PortfolioValue" ] = this.accountCopy.Portfolio.GetMarketValue(
! 				dateTime , this.historicalMarketValueProvider );
  
  			dataRow[ "AccountValue" ] = (double)dataRow[ "AccountCash" ] +
***************
*** 183,268 ****
  				this.accountCopy.Transactions.TotalAddedCash;
  		}
!     private void addTransactionRow( EndOfDayTransaction transaction ,
!       System.Data.DataTable detailedDataTable )
!     {
!       DataRow dataRow = detailedDataTable.NewRow();
!       dataRow[ "DateTime" ] = transaction.EndOfDayDateTime.DateTime;
!       dataRow[ "BarComponent" ] = transaction.EndOfDayDateTime.EndOfDaySpecificTime.ToString();
!       dataRow[ "TransactionType" ] = transaction.Type.ToString();
!       if ( transaction.Instrument != null )
!         dataRow[ "InstrumentKey" ] = transaction.Instrument.Key;
!       else
!         dataRow[ "InstrumentKey" ] = "";
!       dataRow[ "Quantity" ] = transaction.Quantity;
!       dataRow[ "Price" ] = transaction.InstrumentPrice;
  			dataRow[ "TransactionAmount" ] = transaction.InstrumentPrice * transaction.Quantity;
  			if ( transaction.Commission != null )
  				dataRow[ "Commission" ] = transaction.Commission.Value;
! 			addBalanceItems( transaction.EndOfDayDateTime , dataRow );
! 			detailedDataTable.Rows.Add( dataRow );
!     }
!     private void addRowsForTransactions( DateTime currentDateTime ,
!       System.Data.DataTable detailedDataTable )
!     {
!       if ( this.account.Transactions.ContainsKey( currentDateTime ) )
!         foreach ( EndOfDayTransaction transaction in
!           (ArrayList)this.account.Transactions[ currentDateTime ] )
!         {
! 					this.accountCopy.Add( transaction );
!           addTransactionRow( transaction , detailedDataTable );
! 				}
!     }
!     private void addRowForPnl_actually( DateTime currentDate ,
!       System.Data.DataTable detailedDataTable )
!     {
!       DataRow dataRow = detailedDataTable.NewRow();
!       dataRow[ "DateTime" ] = currentDate;
!       addBalanceItems( new EndOfDayDateTime( currentDate , EndOfDaySpecificTime.MarketClose ) , dataRow );
!       detailedDataTable.Rows.Add( dataRow );
!     }
!     private void addRowForPnl( long numDaysForInterval , DateTime currentDate ,
!       System.Data.DataTable detailedDataTable )
!     {
!       if ( ( Convert.ToInt32(((TimeSpan)(currentDate.Date -
!         (DateTime) account.Transactions.GetKey( 0 ))).TotalDays )
!         % numDaysForInterval ) == 0 )
!         addRowForPnl_actually( currentDate , detailedDataTable );
!     }
!     private void setRows(  long numDaysForInterval , System.Data.DataTable detailedDataTable )
!     {
!       DateTime currentDate = (DateTime) account.Transactions.GetKey( 0 );
!       try
!       {
!         while ( currentDate < this.endDateTime.DateTime )
!         {
!           //addTransactionsToAccountCopy( currentDate );
!           addRowsForTransactions( currentDate , detailedDataTable );
!           addRowForPnl( numDaysForInterval , currentDate , detailedDataTable );
! 					currentDate = currentDate.AddDays( 1 );
!         }
! //        foreach ( ArrayList transactionList in account.Transactions.Values )
! //          foreach ( TimedTransaction transaction in transactionList )
! //            addRow( transaction , transactions );
!       }
!       catch (Exception ex)
!       {
!         MessageBox.Show( ex.ToString() );
!       }
!     }
!     #endregion
!     private System.Data.DataTable getDetailedDataTable( long numDaysForInterval )
!     {
!       System.Data.DataTable detailedDataTable = new System.Data.DataTable();
!       setColumns( detailedDataTable );
!       setRows( numDaysForInterval , detailedDataTable );
!       return detailedDataTable;
!     }
!     #endregion
!     #endregion
  
! 		#region Create
  		private void setBenchmarkEquityLine()
  		{
! 			History benchmarkQuotes = HistoricalDataProvider.GetAdjustedCloseHistory(
  				this.benchmark , (DateTime)this.EquityLine.GetKey( 0 ) ,
  				(DateTime)this.EquityLine.GetKey( this.EquityLine.Count - 1 ) );
--- 198,346 ----
  				this.accountCopy.Transactions.TotalAddedCash;
  		}
! 		
! 		#region setRows_addRowsForTransactionsBefore_nextDateTimeForEquityLine
! 		private bool isNextTransactionToBeAdded(
! 			int indexForTheNextTransactionToBeAdded ,
! 			DateTime nextDateTimeForEquityLine )
! 		{
! 			bool isToBeAdded = false;
! 			if ( indexForTheNextTransactionToBeAdded <
! 				 this.account.Transactions.Count )
! 				// not all transactions have been added, yet
! 			{
! 				DateTime dateTimeForTheNextTransactionToBeAdded =
! 				(DateTime)this.account.Transactions.GetKey(
! 					indexForTheNextTransactionToBeAdded );
! 				isToBeAdded = ( dateTimeForTheNextTransactionToBeAdded <=
! 				               nextDateTimeForEquityLine );
! 			}
! 			return isToBeAdded;
! 		}			
! 		
! 		#region addRowsForTransactionsAtTheGivenDateTime
! 		private void addTransactionRow( TimedTransaction transaction )
! 		{
! 			DataRow dataRow = detailedDataTable.NewRow();
! 			dataRow[ "DateTime" ] = transaction.DateTime;
! //			dataRow[ "BarComponent" ] = transaction.EndOfDayDateTime.EndOfDaySpecificTime.ToString();
! 			dataRow[ "TransactionType" ] = transaction.Type.ToString();
! 			if ( transaction.Instrument != null )
! 				dataRow[ "InstrumentKey" ] = transaction.Instrument.Key;
! 			else
! 				dataRow[ "InstrumentKey" ] = "";
! 			dataRow[ "Quantity" ] = transaction.Quantity;
! 			dataRow[ "Price" ] = transaction.InstrumentPrice;
  			dataRow[ "TransactionAmount" ] = transaction.InstrumentPrice * transaction.Quantity;
  			if ( transaction.Commission != null )
  				dataRow[ "Commission" ] = transaction.Commission.Value;
! 			addBalanceItems( transaction.DateTime , dataRow );
! 			this.detailedDataTable.Rows.Add( dataRow );
! 		}
! 		private void addRowsForTransactionsAtTheGivenDateTime(
! 			DateTime dateTimeForTheNextTransactionToBeAdded )
! 		{
! 			foreach ( TimedTransaction timedTransaction in
! 			         (ArrayList)this.account.Transactions[
! 			         	dateTimeForTheNextTransactionToBeAdded ] )
! 			{
! 				this.accountCopy.Add( timedTransaction );
! 				addTransactionRow( timedTransaction );
! 			}
! 		}
! 		#endregion addRowsForTransactionsAtTheGivenDateTime
! 		
! 		private int setRows_addRowsForTransactionsTill_nextDateTimeForEquityLine(
! 			int indexForTheNextTransactionToBeAdded ,
! 			DateTime nextDateTimeForEquityLine )
! 		{
! //			DateTime dateTimeForTheNextTransactionToBeAdded =
! //				(DateTime)this.account.Transactions.GetKey(
! //					indexForTheNextTransactionToBeAdded );
! 			while ( this.isNextTransactionToBeAdded(
! 				indexForTheNextTransactionToBeAdded , nextDateTimeForEquityLine ) )
! 			{
! 				DateTime dateTimeForTheNextTransactionToBeAdded =
! 					(DateTime)this.account.Transactions.GetKey(
! 						indexForTheNextTransactionToBeAdded );
! 				this.addRowsForTransactionsAtTheGivenDateTime(
! 					dateTimeForTheNextTransactionToBeAdded );
! 				indexForTheNextTransactionToBeAdded++;
! 			}
! 			return indexForTheNextTransactionToBeAdded;
! 		}
! 		#endregion setRows_addRowsForTransactionsBefore_nextDateTimeForEquityLine
! 		
! 		private void addRowForPnl_actually( DateTime nextDateTimeForEquityLine )
! 		{
! 			DataRow dataRow = detailedDataTable.NewRow();
! 			dataRow[ "DateTime" ] = nextDateTimeForEquityLine;
! 			this.addBalanceItems( nextDateTimeForEquityLine , dataRow );
! //			addBalanceItems( new EndOfDayDateTime( currentDate , EndOfDaySpecificTime.MarketClose ) , dataRow );
! 			this.detailedDataTable.Rows.Add( dataRow );
! 		}
! 		private void addRowForPnl( DateTime nextDateTimeForEquityLine )
! 		{
! //			if ( ( Convert.ToInt32(((TimeSpan)(currentDate.Date -
! //			                                   (DateTime) account.Transactions.GetKey( 0 ))).TotalDays )
! //			      % numDaysForInterval ) == 0 )
! 			addRowForPnl_actually( nextDateTimeForEquityLine );
! 		}
! 		private void setRows()
! 		{
! 			int indexForTheNextTransactionToBeAdded = 0;
! 			DateTime nextDateTimeForEquityLine =
! 				this.dateTimeSelectorForEquityLine.GetNextDateTime();
! 			while ( nextDateTimeForEquityLine <= this.endDateTime )
! 			{
! 				indexForTheNextTransactionToBeAdded =
! 					this.setRows_addRowsForTransactionsTill_nextDateTimeForEquityLine(
! 						indexForTheNextTransactionToBeAdded ,
! 						nextDateTimeForEquityLine );
! 				this.addRowForPnl( nextDateTimeForEquityLine );
! 				nextDateTimeForEquityLine =
! 					this.dateTimeSelectorForEquityLine.GetNextDateTime();
! 			}
! 			
! //			DateTime currentDateTime = (DateTime) account.Transactions.GetKey( 0 );
! //			try
! //			{
! //				while ( currentDateTime < this.endDateTime )
! //				{
! //					//addTransactionsToAccountCopy( currentDate );
! //					addRowsForTransactions( currentDateTime , detailedDataTable );
! //					addRowForPnl( numDaysForInterval , currentDateTime , detailedDataTable );
! //					currentDateTime = this.getNextDateTimeForDetailedDataTable(
! //						currentDateTime );
! 			////					currentDateTime = currentDate.AddDays( 1 );
! //				}
! //			}
! //			catch (Exception ex)
! //			{
! //				MessageBox.Show( ex.ToString() );
! //			}
! 		}
! 		#endregion setRows
! 		
! 		private void setDetailedDataTable_actually()
! 		{
! 			this.detailedDataTable = new System.Data.DataTable();
! 			this.setColumns();
! 			this.setRows();
! //			return detailedDataTable;
! 		}
! 		#endregion getDetailedDataTable
  
! 		private void setDetailedDataTable( long numDaysForInterval )
! 		{
! 			if ( this.detailedDataTable == null )
! 				// the detailedDataTable has not been computed yet
! 				this.setDetailedDataTable_actually();
! 		}
! 		#endregion setDetailedDataTable
! 		
! 		
  		private void setBenchmarkEquityLine()
  		{
! 			History benchmarkQuotes = HistoricalQuotesProvider.GetAdjustedCloseHistory(
  				this.benchmark , (DateTime)this.EquityLine.GetKey( 0 ) ,
  				(DateTime)this.EquityLine.GetKey( this.EquityLine.Count - 1 ) );
***************
*** 270,280 ****
  			this.benchmarkEquityLine.Interpolate( this.EquityLine.Keys , new PreviousInterpolator() );
  		}
! 		private void setDetailedDataTable( long numDaysForInterval )
  		{
! 			if ( this.detailedDataTable == null )
! 				// the detailedDataTable has not been computed yet
! 				this.detailedDataTable =
! 					this.getDetailedDataTable( numDaysForInterval );
  		}
  		/// <summary>
  		/// Creates the equity line in a faster way than if it is created
--- 348,374 ----
  			this.benchmarkEquityLine.Interpolate( this.EquityLine.Keys , new PreviousInterpolator() );
  		}
! 		
! 		public AccountReport Create(
! 			string reportName , long numDaysForInterval ,
! 			DateTime endDateTime , string benchmark )
  		{
! 			this.reportName = reportName;
! 			this.endDateTime = endDateTime;
! 			this.benchmark = benchmark;
! 			this.setDetailedDataTable( numDaysForInterval );
! 			this.transactionTable = new Tables.Transactions( reportName , detailedDataTable );
! 			//      this.transactionTable = getTransactionTable( reportName , detailedDataTable );
! 			this.roundTrades = new Tables.RoundTrades( reportName , this.transactionTable );
! 			this.equity = new Tables.Equity( reportName , detailedDataTable );
! 			if ( benchmark != "" )
! 				this.setBenchmarkEquityLine();
! 			//this.equity = getEquity( reportName , detailedDataTable );
! 			//this.summary = getSummary( reportName );
! 			this.summary = new Tables.Summary( this , historicalMarketValueProvider );
! 			this.statisticsSummary = new Tables.StatisticsSummary( this, historicalMarketValueProvider );
! 			return this;
  		}
+ 		#endregion Create
+ 
  		/// <summary>
  		/// Creates the equity line in a faster way than if it is created
***************
*** 284,289 ****
  		/// <param name="endDateTime"></param>
  		/// <returns></returns>
! 		public void SetEquityLine( long numDaysForInterval ,
! 			EndOfDayDateTime endDateTime )
  		{
  			this.endDateTime = endDateTime;
--- 378,383 ----
  		/// <param name="endDateTime"></param>
  		/// <returns></returns>
! 		public void SetEquityLine(
! 			long numDaysForInterval , DateTime endDateTime )
  		{
  			this.endDateTime = endDateTime;
***************
*** 291,315 ****
  			this.equity = new Tables.Equity( reportName , detailedDataTable );
  		}
! 		public AccountReport Create( string reportName , long numDaysForInterval ,
! 			EndOfDayDateTime endDateTime , string benchmark )
! 		{
! 			this.reportName = reportName;
! 			this.endDateTime = endDateTime;
!       this.benchmark = benchmark;
! 			this.setDetailedDataTable( numDaysForInterval );
!       this.transactionTable = new Tables.Transactions( reportName , detailedDataTable );
! //      this.transactionTable = getTransactionTable( reportName , detailedDataTable );
!       this.roundTrades = new Tables.RoundTrades( reportName , this.transactionTable );
!       this.equity = new Tables.Equity( reportName , detailedDataTable );
! 			if ( benchmark != "" )
! 				this.setBenchmarkEquityLine();
!       //this.equity = getEquity( reportName , detailedDataTable );
!       //this.summary = getSummary( reportName );
!       this.summary = new Tables.Summary( this , historicalQuoteProvider );
! 			this.statisticsSummary = new Tables.StatisticsSummary( this, historicalQuoteProvider );
!       return this;
!     }
! 		#endregion
! 
  		#region Serialization
  
--- 385,389 ----
  			this.equity = new Tables.Equity( reportName , detailedDataTable );
  		}
! 		
  		#region Serialization
  
***************
*** 321,325 ****
  		/// <param name="context"></param>
  		protected AccountReport( SerializationInfo info , StreamingContext context ) :
! 																base( )
  		{
  			// get the set of serializable members for this class and its base classes
--- 395,399 ----
  		/// <param name="context"></param>
  		protected AccountReport( SerializationInfo info , StreamingContext context ) :
! 			base( )
  		{
  			// get the set of serializable members for this class and its base classes
***************
*** 329,333 ****
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++) 
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
--- 403,407 ----
  
  			// deserialize the fields from the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++)
  			{
  				FieldInfo fieldInfo = (FieldInfo) mi[i];
***************
*** 347,359 ****
  		
  		void ISerializable.GetObjectData(
! 			SerializationInfo info, StreamingContext context) 
  		{
  			// get the set of serializable members for this class and base classes
  			Type thisType = this.GetType();
! 			MemberInfo[] mi = 
  				FormatterServices.GetSerializableMembers( thisType , context);
  
  			// serialize the fields to the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++) 
  			{
  				info.AddValue(mi[i].Name, ((FieldInfo) mi[i]).GetValue(this));
--- 421,433 ----
  		
  		void ISerializable.GetObjectData(
! 			SerializationInfo info, StreamingContext context)
  		{
  			// get the set of serializable members for this class and base classes
  			Type thisType = this.GetType();
! 			MemberInfo[] mi =
  				FormatterServices.GetSerializableMembers( thisType , context);
  
  			// serialize the fields to the info object
! 			for (Int32 i = 0 ; i < mi.Length; i++)
  			{
  				info.AddValue(mi[i].Name, ((FieldInfo) mi[i]).GetValue(this));
***************
*** 362,370 ****
  		#endregion
  
!     public AccountReport Create( string reportName , long numDaysForInterval ,
!       EndOfDayDateTime endDateTime )
!     {
!       return Create( reportName , numDaysForInterval , endDateTime , "" );
!     }
  	}
  }
--- 436,444 ----
  		#endregion
  
! 		public AccountReport Create(
! 			string reportName , long numDaysForInterval , DateTime endDateTime )
! 		{
! 			return this.Create( reportName , numDaysForInterval , endDateTime , "" );
! 		}
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows AverageReturnOnDayOfWeekWithOpenPositions.cs, 1.3, 1.4 AverageReturnOnDayWithOpenPositions.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13426/a2_Accounting/h5_Reporting/StatisticsSummaryRows

Modified Files:
	AverageReturnOnDayOfWeekWithOpenPositions.cs 
	AverageReturnOnDayWithOpenPositions.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: AverageReturnOnDayOfWeekWithOpenPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows/AverageReturnOnDayOfWeekWithOpenPositions.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** AverageReturnOnDayOfWeekWithOpenPositions.cs	18 Aug 2008 21:13:16 -0000	1.3
--- AverageReturnOnDayOfWeekWithOpenPositions.cs	29 Sep 2008 21:13:46 -0000	1.4
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.Financial.Accounting.Reporting.Tables;
  using QuantProject.Business.Financial.Accounting.Reporting.SummaryRows;
+ using QuantProject.Business.Timing;
  
  namespace QuantProject.Business.Financial.Accounting.Reporting.StatisticsSummaryRows
***************
*** 41,48 ****
  		private double getReturnForDate(DateTime date, DateTime previousDate)
  		{
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(date);
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(previousDate);
  			
  			return (accountValueOnCloseForDate / accountValueOnCloseForPreviousDate) - 1.0;
--- 42,54 ----
  		private double getReturnForDate(DateTime date, DateTime previousDate)
  		{
+ 			// TODO: this method works only if the equity line is computed
+ 			// at market close; an exception is thrown otherwise; change the
+ 			// logic to be more general
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( date ) );
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( previousDate ) );
  			
  			return (accountValueOnCloseForDate / accountValueOnCloseForPreviousDate) - 1.0;
***************
*** 51,58 ****
  		private bool hasPositionsOnDate( DateTime date, DateTime previousDate )
  		{
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(date);
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(previousDate);
  			
  			return accountValueOnCloseForDate != accountValueOnCloseForPreviousDate;
--- 57,69 ----
  		private bool hasPositionsOnDate( DateTime date, DateTime previousDate )
  		{
+ 			// TODO: this method works only if the equity line is computed
+ 			// at market close; an exception is thrown otherwise; change the
+ 			// logic to be more general
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( date ) );
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( previousDate ) );
  			
  			return accountValueOnCloseForDate != accountValueOnCloseForPreviousDate;
***************
*** 80,87 ****
  			this.rowDescription = this.getRowDescription();
  			DayOfWeek specificDayOfWeek = this.getSpecificDayOfWeek();
! 			History marketDays = Quotes.GetMarketDays(
! 				statisticsSummary.AccountReport.Benchmark,
! 				statisticsSummary.AccountReport.StartDateTime,
! 				statisticsSummary.AccountReport.EndDateTime.DateTime);
  			DateTime date;
  			DateTime previousDate;
--- 91,100 ----
  			this.rowDescription = this.getRowDescription();
  			DayOfWeek specificDayOfWeek = this.getSpecificDayOfWeek();
! //			History marketDays = Quotes.GetMarketDays(
! //				statisticsSummary.AccountReport.Benchmark,
! //				statisticsSummary.AccountReport.StartDateTime,
! //				statisticsSummary.AccountReport.EndDateTime);
! 			History marketDays =
! 				this.statisticsSummary.AccountReport.EquityLine;
  			DateTime date;
  			DateTime previousDate;

Index: AverageReturnOnDayWithOpenPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows/AverageReturnOnDayWithOpenPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** AverageReturnOnDayWithOpenPositions.cs	25 Apr 2008 17:11:41 -0000	1.1
--- AverageReturnOnDayWithOpenPositions.cs	29 Sep 2008 21:13:46 -0000	1.2
***************
*** 30,33 ****
--- 30,34 ----
  using QuantProject.Business.Financial.Accounting.Reporting.Tables;
  using QuantProject.Business.Financial.Accounting.Reporting.SummaryRows;
+ using QuantProject.Business.Timing;
  
  namespace QuantProject.Business.Financial.Accounting.Reporting.StatisticsSummaryRows
***************
*** 56,63 ****
  		private double getReturnForDate(DateTime date, DateTime previousDate)
  		{
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(date);
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(previousDate);
  			
  			return (accountValueOnCloseForDate / accountValueOnCloseForPreviousDate) - 1.0;
--- 57,70 ----
  		private double getReturnForDate(DateTime date, DateTime previousDate)
  		{
+ 			// TODO: this method works only if the equity line is computed
+ 			// at market close; an exception is thrown otherwise; change the
+ 			// logic to be more general; furthermore, this code is duplicated
+ 			// and common to AverageReturnOnDayOfWeekWithOpenPositions.cs
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( date ) );
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( previousDate ) );
  			
  			return (accountValueOnCloseForDate / accountValueOnCloseForPreviousDate) - 1.0;
***************
*** 66,73 ****
  		private bool hasPositionsOnDate( DateTime date, DateTime previousDate )
  		{
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(date);
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(previousDate);
  			
  			return accountValueOnCloseForDate != accountValueOnCloseForPreviousDate;
--- 73,87 ----
  		private bool hasPositionsOnDate( DateTime date, DateTime previousDate )
  		{
+ 			// TODO: this method works only if the equity line is computed
+ 			// at market close; an exception is thrown otherwise; change the
+ 			// logic to be more general; furthermore, this code is duplicated
+ 			// and common to AverageReturnOnDayOfWeekWithOpenPositions.cs
  			double accountValueOnCloseForDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose( date ) );
  			double accountValueOnCloseForPreviousDate = 
! 				(double)this.statisticsSummary.AccountReport.EquityLine.GetValue(
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						previousDate ) );
  			
  			return accountValueOnCloseForDate != accountValueOnCloseForPreviousDate;
***************
*** 79,86 ****
  			this.statisticsSummary = statisticsSummary;
  			this.rowDescription = "Average % return on days with open positions ";
! 			History marketDays = Quotes.GetMarketDays(
! 				statisticsSummary.AccountReport.Benchmark,
! 				statisticsSummary.AccountReport.StartDateTime,
! 				statisticsSummary.AccountReport.EndDateTime.DateTime);
  			DateTime date;
  			DateTime previousDate;
--- 93,102 ----
  			this.statisticsSummary = statisticsSummary;
  			this.rowDescription = "Average % return on days with open positions ";
! //			History marketDays = Quotes.GetMarketDays(
! //				statisticsSummary.AccountReport.Benchmark,
! //				statisticsSummary.AccountReport.StartDateTime,
! //				statisticsSummary.AccountReport.EndDateTime);
! 			History marketDays =
! 				this.statisticsSummary.AccountReport.EquityLine;
  			DateTime date;
  			DateTime previousDate;

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables StatisticsSummary.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13426/a2_Accounting/h5_Reporting/Tables

Modified Files:
	StatisticsSummary.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: StatisticsSummary.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables/StatisticsSummary.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** StatisticsSummary.cs	18 Aug 2008 21:13:20 -0000	1.3
--- StatisticsSummary.cs	29 Sep 2008 21:13:47 -0000	1.4
***************
*** 19,23 ****
  	{
  		private AccountReport accountReport;
! 		private IHistoricalQuoteProvider historicalQuoteProvider;
  		
  		private AverageReturnOnMondayWithOpenPositions averageReturnOnMondayWithOpenPositions;
--- 19,23 ----
  	{
  		private AccountReport accountReport;
! 		private HistoricalMarketValueProvider historicalMarketValueProvider;
  		
  		private AverageReturnOnMondayWithOpenPositions averageReturnOnMondayWithOpenPositions;
***************
*** 75,82 ****
  		}
  		public StatisticsSummary( AccountReport accountReport ,
! 		                         IHistoricalQuoteProvider historicalDataProvider ) :
  			base( accountReport.Name + " - StatisticsSummary" )
  		{
! 			this.historicalQuoteProvider = historicalDataProvider;
  			this.statisticsSummary( accountReport );
  		}
--- 75,82 ----
  		}
  		public StatisticsSummary( AccountReport accountReport ,
! 		                         HistoricalMarketValueProvider historicalMarketValueProvider ) :
  			base( accountReport.Name + " - StatisticsSummary" )
  		{
! 			this.historicalMarketValueProvider = historicalMarketValueProvider;
  			this.statisticsSummary( accountReport );
  		}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding SimpleAccountProvider.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13426/a2_Accounting/AccountProviding

Modified Files:
	SimpleAccountProvider.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: SimpleAccountProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding/SimpleAccountProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** SimpleAccountProvider.cs	12 Mar 2008 21:54:42 -0000	1.1
--- SimpleAccountProvider.cs	29 Sep 2008 21:13:46 -0000	1.2
***************
*** 3,7 ****
  
  SimpleAccountProvider.cs
! Copyright (C) 2008 
  Marco Milletti
  
--- 3,7 ----
  
  SimpleAccountProvider.cs
! Copyright (C) 2008
  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;
***************
*** 35,38 ****
--- 35,39 ----
  	/// on orders
  	/// </summary>
+ 	[Serializable]
  	public class SimpleAccountProvider : IAccountProvider
  	{
***************
*** 41,53 ****
  		}
  		
! 		public Account GetAccount( IEndOfDayTimer timer ,
! 							IHistoricalQuoteProvider historicalQuoteProvider )
  		{
! 			Account account = 
! 				new Account( "SimpleAccount" , timer ,
! 										new HistoricalEndOfDayDataStreamer( timer ,
! 												historicalQuoteProvider ) ,
! 										new HistoricalEndOfDayOrderExecutor( timer ,
! 												historicalQuoteProvider ) );
  			return account;
  		}
--- 42,55 ----
  		}
  		
! 		public Account GetAccount(
! 			Timer timer , HistoricalMarketValueProvider historicalMarketValueProvider )
  		{
! 			Account account =
! 				new Account(
! 					"SimpleAccount" , timer ,
! 					new HistoricalEndOfDayDataStreamer(
! 						timer , historicalMarketValueProvider ) ,
! 					new HistoricalEndOfDayOrderExecutor(
! 						timer , historicalMarketValueProvider ) );
  			return account;
  		}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows AverageNumberOfTransactionsPerDay.cs, 1.3, 1.4 BenchmarkPercentageReturn.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13426/a2_Accounting/h5_Reporting/SummaryRows

Modified Files:
	AverageNumberOfTransactionsPerDay.cs 
	BenchmarkPercentageReturn.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: BenchmarkPercentageReturn.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/BenchmarkPercentageReturn.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** BenchmarkPercentageReturn.cs	19 Jun 2005 14:55:09 -0000	1.2
--- BenchmarkPercentageReturn.cs	29 Sep 2008 21:13:46 -0000	1.3
***************
*** 13,37 ****
  	/// </summary>
  	[Serializable]
!   public class BenchmarkPercentageReturn : PercentageSummaryRow
  	{
  		public BenchmarkPercentageReturn( Summary summary ,
! 			IHistoricalQuoteProvider historicalQuoteProvider )
  		{
!       if ( summary.AccountReport.Benchmark != "" )
!       {
!         // the report has to compare to a buy and hold benchmark
! 				double beginningMarketValue = historicalQuoteProvider.GetMarketValue(
  					summary.AccountReport.Benchmark ,
! 					new EndOfDayDateTime( summary.AccountReport.StartDateTime , EndOfDaySpecificTime.MarketOpen ) );
! 				double finalMarketValue = historicalQuoteProvider.GetMarketValue(
  					summary.AccountReport.Benchmark ,
! 					summary.AccountReport.EndDateTime );
  //				summary.BenchmarkPercentageReturn = ( finalMarketValue - beginningMarketValue ) /
  //					beginningMarketValue * 100;
!         this.rowDescription = "Buy & hold % return";
  				this.rowValue = ( finalMarketValue - beginningMarketValue ) /
  					beginningMarketValue * 100;
!       }
!     }
  	}
  }
--- 13,40 ----
  	/// </summary>
  	[Serializable]
! 	public class BenchmarkPercentageReturn : PercentageSummaryRow
  	{
  		public BenchmarkPercentageReturn( Summary summary ,
! 		                                 HistoricalMarketValueProvider historicalMarketValueProvider )
  		{
! 			if ( summary.AccountReport.Benchmark != "" )
! 			{
! 				// the report has to compare to a buy and hold benchmark
! 				double beginningMarketValue = historicalMarketValueProvider.GetMarketValue(
  					summary.AccountReport.Benchmark ,
! 					HistoricalEndOfDayTimer.GetMarketOpen(
! 						summary.AccountReport.StartDateTime ) );
! //					new EndOfDayDateTime( summary.AccountReport.StartDateTime , EndOfDaySpecificTime.MarketOpen ) );
! 				double finalMarketValue = historicalMarketValueProvider.GetMarketValue(
  					summary.AccountReport.Benchmark ,
! 					HistoricalEndOfDayTimer.GetMarketClose(
! 						summary.AccountReport.EndDateTime ) );
  //				summary.BenchmarkPercentageReturn = ( finalMarketValue - beginningMarketValue ) /
  //					beginningMarketValue * 100;
! 				this.rowDescription = "Buy & hold % return";
  				this.rowValue = ( finalMarketValue - beginningMarketValue ) /
  					beginningMarketValue * 100;
! 			}
! 		}
  	}
  }

Index: AverageNumberOfTransactionsPerDay.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/AverageNumberOfTransactionsPerDay.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** AverageNumberOfTransactionsPerDay.cs	7 Dec 2007 19:08:37 -0000	1.3
--- AverageNumberOfTransactionsPerDay.cs	29 Sep 2008 21:13:46 -0000	1.4
***************
*** 47,51 ****
  				summary.AccountReport.Benchmark,
  				summary.AccountReport.StartDateTime,
! 				summary.AccountReport.EndDateTime.DateTime);
  			this.rowValue = (double)totalNumberOfTransactions / (double)marketDays.Count;
  		}
--- 47,51 ----
  				summary.AccountReport.Benchmark,
  				summary.AccountReport.StartDateTime,
! 				summary.AccountReport.EndDateTime);
  			this.rowValue = (double)totalNumberOfTransactions / (double)marketDays.Count;
  		}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding IAccountProvider.cs, 1.1, 1.2 InteractiveBrokerAccountProvider.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13218/a2_Accounting/AccountProviding

Modified Files:
	IAccountProvider.cs InteractiveBrokerAccountProvider.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: InteractiveBrokerAccountProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding/InteractiveBrokerAccountProvider.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** InteractiveBrokerAccountProvider.cs	8 Apr 2008 21:49:14 -0000	1.2
--- InteractiveBrokerAccountProvider.cs	29 Sep 2008 21:13:10 -0000	1.3
***************
*** 3,7 ****
  
  InteractiveBrokerAccountProvider.cs
! Copyright (C) 2008 
  Marco Milletti
  
--- 3,7 ----
  
  InteractiveBrokerAccountProvider.cs
! Copyright (C) 2008
  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;
***************
*** 37,42 ****
  	/// with Interactive Broker for individual traders,
  	/// where commissions are managed and slippage can be simulated
! 	/// through a fixed percentage amount (on stock-price) 
! 	/// lost at each stock-transaction 
  	/// </summary>
  	public class InteractiveBrokerAccountProvider : IAccountProvider
--- 37,42 ----
  	/// with Interactive Broker for individual traders,
  	/// where commissions are managed and slippage can be simulated
! 	/// through a fixed percentage amount (on stock-price)
! 	/// lost at each stock-transaction
  	/// </summary>
  	public class InteractiveBrokerAccountProvider : IAccountProvider
***************
*** 52,56 ****
  		{
  			if( slippageFixedPercentage < 0.0 ||
! 			    slippageFixedPercentage > 100.0 )
  				throw new OutOfRangeException("slippageFixedPercentage", 0.0, 100.0);
  			
--- 52,56 ----
  		{
  			if( slippageFixedPercentage < 0.0 ||
! 			   slippageFixedPercentage > 100.0 )
  				throw new OutOfRangeException("slippageFixedPercentage", 0.0, 100.0);
  			
***************
*** 58,63 ****
  		}
  		
! 		private ISlippageManager getAccount_getSlippageManager(IEndOfDayTimer timer ,
! 							IHistoricalQuoteProvider historicalQuoteProvider)
  		{
  			ISlippageManager slippageManager;
--- 58,63 ----
  		}
  		
! 		private ISlippageManager getAccount_getSlippageManager(
! 			Timer timer , HistoricalMarketValueProvider historicalMarketValueProvider)
  		{
  			ISlippageManager slippageManager;
***************
*** 65,86 ****
  				slippageManager = new ZeroSlippageManager();
  			else//this.slippageFixedPercentage > 0.0
! 				slippageManager = new FixedPercentageSlippageManager( 
! 												    historicalQuoteProvider , timer ,
! 												    this.slippageFixedPercentage );
  			return slippageManager;
  		}
  		
! 		public Account GetAccount( IEndOfDayTimer timer ,
! 							IHistoricalQuoteProvider historicalQuoteProvider )
  		{
! 			Account account = 
! 				new Account( "IBAccount" , timer ,
! 										new HistoricalEndOfDayDataStreamer( timer ,
! 												historicalQuoteProvider ) ,
! 										new HistoricalEndOfDayOrderExecutor( timer ,
! 												historicalQuoteProvider , 
! 											  this.getAccount_getSlippageManager(
! 													timer , historicalQuoteProvider ) ),
! 				            new IBCommissionManager() );
  			return account;
  		}
--- 65,87 ----
  				slippageManager = new ZeroSlippageManager();
  			else//this.slippageFixedPercentage > 0.0
! 				slippageManager = new FixedPercentageSlippageManager(
! 					historicalMarketValueProvider , timer ,
! 					this.slippageFixedPercentage );
  			return slippageManager;
  		}
  		
! 		public Account GetAccount(
! 			Timer timer , HistoricalMarketValueProvider historicalMarketValueProvider )
  		{
! 			Account account =
! 				new Account(
! 					"IBAccount" , timer ,
! 					new HistoricalEndOfDayDataStreamer(
! 						timer , historicalMarketValueProvider ) ,
! 					new HistoricalEndOfDayOrderExecutor(
! 						timer , historicalMarketValueProvider ,
! 						this.getAccount_getSlippageManager(
! 							timer , historicalMarketValueProvider ) ),
! 					new IBCommissionManager() );
  			return account;
  		}

Index: IAccountProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/AccountProviding/IAccountProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IAccountProvider.cs	12 Mar 2008 21:54:41 -0000	1.1
--- IAccountProvider.cs	29 Sep 2008 21:13:10 -0000	1.2
***************
*** 3,7 ****
  
  IAccountProvider.cs
! Copyright (C) 2008 
  Marco Milletti
  
--- 3,7 ----
  
  IAccountProvider.cs
! Copyright (C) 2008
  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;
***************
*** 46,51 ****
  		/// <param name="endOfDayDateTime">end of day date time for the market evaluation</param>
  		/// <returns></returns>
!     Account GetAccount( IEndOfDayTimer timer ,
! 												IHistoricalQuoteProvider historicalQuoteProvider );
  	}
  }
--- 46,52 ----
  		/// <param name="endOfDayDateTime">end of day date time for the market evaluation</param>
  		/// <returns></returns>
! 		Account GetAccount(
! 			Timer timer ,
! 			HistoricalMarketValueProvider historicalMarketValueProvider );
  	}
  }