quantproject-developers

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a1_Instruments Instrument.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a1_Instruments
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13218/a1_Instruments

Modified Files:
	Instrument.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: Instrument.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a1_Instruments/Instrument.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** Instrument.cs	9 Jan 2005 23:25:26 -0000	1.5
--- Instrument.cs	29 Sep 2008 21:13:09 -0000	1.6
***************
*** 25,28 ****
--- 25,29 ----
  using QuantProject.ADT.Histories;
  using QuantProject.Data.DataProviders;
+ using QuantProject.Data.DataProviders.Quotes;
  using QuantProject.Business.Timing;
  
***************
*** 57,61 ****
      public DateTime GetNextMarketDay( DateTime dateTime )
      {
!       History history = HistoricalDataProvider.GetOpenHistory( this.Key );
        return history.GetNextDay( dateTime );
      }
--- 58,62 ----
      public DateTime GetNextMarketDay( DateTime dateTime )
      {
!       History history = HistoricalQuotesProvider.GetOpenHistory( this.Key );
        return history.GetNextDay( dateTime );
      }
***************
*** 63,67 ****
  	public DateTime GetMarketDay( DateTime initialDateTime, int numberOfDaysAhead )
  	{
! 		History history = HistoricalDataProvider.GetOpenHistory( this.Key );
  		return history.GetDay(initialDateTime, numberOfDaysAhead );
  	}
--- 64,68 ----
  	public DateTime GetMarketDay( DateTime initialDateTime, int numberOfDaysAhead )
  	{
! 		History history = HistoricalQuotesProvider.GetOpenHistory( this.Key );
  		return history.GetDay(initialDateTime, numberOfDaysAhead );
  	}

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Caching Cache.cs, 1.4, 1.5 ICache.cs, 1.1, 1.2 SimpleCache.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Caching
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12746/DataProviders/Caching

Modified Files:
	Cache.cs ICache.cs SimpleCache.cs 
Log Message:
no message

Index: ICache.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Caching/ICache.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** ICache.cs	11 Jan 2006 18:41:55 -0000	1.1
--- ICache.cs	29 Sep 2008 21:12:47 -0000	1.2
***************
*** 33,38 ****
  	public interface ICache
  	{
! 		double GetQuote( string ticker , DateTime dateTime , QuoteField quoteField );
! 		bool WasExchanged( string ticker , ExtendedDateTime extendedDateTime );
  	}
  }
--- 33,39 ----
  	public interface ICache
  	{
! 		double GetQuote(
! 			string ticker , DateTime dateTime , QuoteField quoteField );
! 		bool WasExchanged( string ticker , DateTime dateTime );
  	}
  }

Index: Cache.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Caching/Cache.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** Cache.cs	31 May 2006 14:40:28 -0000	1.4
--- Cache.cs	29 Sep 2008 21:12:47 -0000	1.5
***************
*** 98,101 ****
--- 98,102 ----
  			return this.getCachePage( ticker , dateTime.Year , quoteField );
  		}
+ 		
  		#region removeUnusedPages
  		private long removeUnusedPages_getMinPageRankToKeep()
***************
*** 130,165 ****
  				this.Remove( key );
  		}
! 		#endregion
! //		private void getQuote_checkEarlyDateException( DateTime dateTime )
! //		{
! //			if ( dateTime < ConstantsProvider.MinQuoteDateTime )
! //				throw new EarlyDateException( dateTime );
! //		}
  		#region addPage
- //		private void addTicker( string ticker )
- //		{
- //			if ( !this.ContainsKey( ticker ) )
- //			{
- //				this.Add( ticker , new Hashtable() );
- //			}
- //		}
- //		private void addYear( string ticker , int year )
- //		{
- //			Hashtable quotesForTicker = this.getQuotes( ticker );
- //			if ( !quotesForTicker.ContainsKey( year ) )
- //			{
- //				quotesForTicker.Add( year , new Hashtable() );
- //			}
- //		}
- //		private void addCachePage( string ticker , int year , QuoteField quoteField )
- //		{
- //			Hashtable quotesForTickerAndYear = this.getQuotes( ticker , year );
- //			if ( !quotesForTickerAndYear.ContainsKey( quoteField ) )
- //			{
- //				CachePage cachePage = new CachePage( ticker , year , quoteField );
- //				cachePage.LoadData();
- //				quotesForTickerAndYear.Add( quoteField , cachePage );
- //			}
- //		}
  		private void addPage_actually( string ticker , int year , QuoteField quoteField )
  		{
--- 131,137 ----
  				this.Remove( key );
  		}
! 		#endregion removeUnusedPages
! 
  		#region addPage
  		private void addPage_actually( string ticker , int year , QuoteField quoteField )
  		{
***************
*** 183,187 ****
  		}
  		#endregion
! 		public double GetQuote( string ticker , DateTime dateTime , QuoteField quoteField )
  		{
  			double returnValue;
--- 155,161 ----
  		}
  		#endregion
! 		
! 		public double GetQuote(
! 			string ticker , DateTime dateTime , QuoteField quoteField )
  		{
  			double returnValue;
***************
*** 219,236 ****
  			return returnValue;
  		}
! 		public bool WasExchanged( string ticker , ExtendedDateTime extendedDateTime )
  		{
- 			bool returnValue;
  			// forces quote caching
! 			this.GetQuote( ticker , extendedDateTime.DateTime , QuoteField.Open );
! 			if ( !((CachePage)this[ this.getKey( ticker , extendedDateTime.DateTime.Year ,
! 				QuoteField.Open ) ] ).Quotes.ContainsKey( extendedDateTime.DateTime ) )
! 				// the ticker was not exchanged at the given date
! 				returnValue = false;
! 			else
! 				// the ticker was exchanged at the given date
! 				returnValue = true;
! 			return returnValue;
  		}
  	}
  }
--- 193,223 ----
  			return returnValue;
  		}
! 		
! 		#region WasExchanged
! 		private bool wasExchanged_withCachingAlreadyForced(
! 			string ticker , DateTime dateTime )
! 		{
! 			CachePage cachePage = this.getCachePage(
! 				ticker , dateTime , QuoteField.Open );
! 			DateTime date = ExtendedDateTime.GetDate( dateTime );
! 			bool wasExchanged = cachePage.Quotes.ContainsKey( date );
! //			if ( !cachePage.Quotes.ContainsKey( date ) )
! //				// the ticker was not exchanged at the given date
! //				returnValue = false;
! //			else
! //				// the ticker was exchanged at the given date
! //				returnValue = true;
! 			return wasExchanged;
! 		}
! 		public bool WasExchanged(
! 			string ticker , DateTime dateTime )
  		{
  			// forces quote caching
! 			this.GetQuote( ticker , dateTime , QuoteField.Open );
! 			bool wasExchanged = this.wasExchanged_withCachingAlreadyForced(
! 				ticker , dateTime );
! 			return wasExchanged;
  		}
+ 		#endregion WasExchanged
  	}
  }

Index: SimpleCache.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Caching/SimpleCache.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** SimpleCache.cs	11 Jan 2006 18:44:23 -0000	1.1
--- SimpleCache.cs	29 Sep 2008 21:12:47 -0000	1.2
***************
*** 54,60 ****
  		}
  		public bool WasExchanged( string ticker ,
! 			ExtendedDateTime extendedDateTime )
  		{
! 			return DataBase.WasExchanged( ticker , extendedDateTime );
  		}
  	}
--- 54,60 ----
  		}
  		public bool WasExchanged( string ticker ,
! 			DateTime dateTime )
  		{
! 			return DataBase.WasExchanged( ticker , dateTime );
  		}
  	}

[Quantproject-developers] QuantProject/b3_Data/DataProviders Quote.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12746/DataProviders

Modified Files:
	Quote.cs 
Log Message:
no message

Index: Quote.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Quote.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Quote.cs	29 Nov 2004 16:19:16 -0000	1.2
--- Quote.cs	29 Sep 2008 21:12:48 -0000	1.3
***************
*** 33,37 ****
  		private string ticker;
  		private double value;
! 		private ExtendedDateTime extendedDateTime;
  
  		public string Ticker
--- 33,37 ----
  		private string ticker;
  		private double value;
! 		private DateTime dateTime;
  
  		public string Ticker
***************
*** 47,54 ****
  		}
  
! 		public ExtendedDateTime ExtendedDateTime
  		{
! 			get	{	return this.extendedDateTime;	}
! 			set	{	this.extendedDateTime = value;	}
  		}
  
--- 47,54 ----
  		}
  
! 		public DateTime DateTime
  		{
! 			get	{	return this.dateTime;	}
! 			set	{	this.dateTime = value;	}
  		}
  

[Quantproject-developers] QuantProject/b2_DataAccess DataBase.cs, 1.8, 1.9 QuoteField.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12699

Modified Files:
	DataBase.cs QuoteField.cs 
Log Message:
no message

Index: QuoteField.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/QuoteField.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** QuoteField.cs	9 Jan 2005 23:33:29 -0000	1.1
--- QuoteField.cs	29 Sep 2008 21:12:37 -0000	1.2
***************
*** 3,7 ****
  
  QuoteField.cs
! Copyright (C) 2003 
  Glauco Siliprandi
  
--- 3,7 ----
  
  QuoteField.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;
***************
*** 31,40 ****
  	{
  		Open,
!     High,
!     Low,
!     Close,
  		Volume,
  		AdjustedClose,
!     AdjustedCloseToCloseRatio
  	}
  }
--- 31,40 ----
  	{
  		Open,
! 		High,
! 		Low,
! 		Close,
  		Volume,
  		AdjustedClose,
! 		AdjustedCloseToCloseRatio
  	}
  }

Index: DataBase.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/DataBase.cs,v
retrieving revision 1.8
retrieving revision 1.9
diff -C2 -d -r1.8 -r1.9
*** DataBase.cs	15 Jan 2006 23:35:09 -0000	1.8
--- DataBase.cs	29 Sep 2008 21:12:37 -0000	1.9
***************
*** 164,168 ****
  		}
  		public static bool WasExchanged( string ticker ,
! 			ExtendedDateTime extendedDateTime )
  		{
  			string sqlQuery =
--- 164,168 ----
  		}
  		public static bool WasExchanged( string ticker ,
! 			DateTime dateTime )
  		{
  			string sqlQuery =
***************
*** 170,174 ****
  				"from quotes where (quTicker='" + ticker + "') " +
  				"and (quDate=" +
! 				SQLBuilder.GetDateConstant( extendedDateTime.DateTime ) + ")";
  			DataTable quotes = new DataTable();
  			try
--- 170,174 ----
  				"from quotes where (quTicker='" + ticker + "') " +
  				"and (quDate=" +
! 				SQLBuilder.GetDateConstant( dateTime ) + ")";
  			DataTable quotes = new DataTable();
  			try

[Quantproject-developers] QuantProject/b1_ADT/Histories History.cs, 1.13, 1.14

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Histories
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12624/Histories

Modified Files:
	History.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: History.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Histories/History.cs,v
retrieving revision 1.13
retrieving revision 1.14
diff -C2 -d -r1.13 -r1.14
*** History.cs	19 Jan 2008 19:03:05 -0000	1.13
--- History.cs	29 Sep 2008 21:12:26 -0000	1.14
***************
*** 121,125 ****
  			bool returnValue = true;
  			foreach ( DateTime dateTime in comparingHistory.Keys )
! 				if ( ! this.ContainsKey( dateTime ) )
  					returnValue = false;
  			return returnValue;
--- 121,125 ----
  			bool returnValue = true;
  			foreach ( DateTime dateTime in comparingHistory.Keys )
! 				if ( ! this.ContainsKey( ExtendedDateTime.GetDate( dateTime ) ) )
  					returnValue = false;
  			return returnValue;

[Quantproject-developers] QuantProject/b1_ADT/Collections Set.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Collections
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv12624/Collections

Modified Files:
	Set.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: Set.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Collections/Set.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Set.cs	20 Jul 2008 20:40:22 -0000	1.2
--- Set.cs	29 Sep 2008 21:12:26 -0000	1.3
***************
*** 29,32 ****
--- 29,33 ----
  	/// A mathematical set
  	/// </summary>
+ 	[Serializable]
  	public class Set
  	{

[Quantproject-developers] QuantProject/b5_Presentation Presentation_SD.csproj, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11276

Modified Files:
	Presentation_SD.csproj 
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: Presentation_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Presentation_SD.csproj,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** Presentation_SD.csproj	19 Aug 2008 17:12:59 -0000	1.6
--- Presentation_SD.csproj	29 Sep 2008 21:10:20 -0000	1.7
***************
*** 38,41 ****
--- 38,53 ----
    </PropertyGroup>
    <ItemGroup>
+     <Reference Include="Interop.Excel">
+       <HintPath>..\..\Interop.Excel.dll</HintPath>
+       <SpecificVersion>False</SpecificVersion>
+     </Reference>
+     <Reference Include="Interop.Office">
+       <HintPath>..\..\Interop.Office.dll</HintPath>
+       <SpecificVersion>False</SpecificVersion>
+     </Reference>
+     <Reference Include="Interop.VBIDE">
+       <HintPath>..\..\Interop.VBIDE.dll</HintPath>
+       <SpecificVersion>False</SpecificVersion>
+     </Reference>
      <Reference Include="System" />
      <Reference Include="System.Configuration" />
***************
*** 48,63 ****
        <Private>True</Private>
      </Reference>
-     <Reference Include="Interop.VBIDE">
-       <HintPath>..\..\Interop.VBIDE.dll</HintPath>
-       <Private>True</Private>
-     </Reference>
-     <Reference Include="Interop.Excel">
-       <HintPath>..\..\Interop.Excel.dll</HintPath>
-       <Private>True</Private>
-     </Reference>
-     <Reference Include="Interop.Office">
-       <HintPath>..\..\Interop.Office.dll</HintPath>
-       <Private>True</Private>
-     </Reference>
    </ItemGroup>
    <ItemGroup>
--- 60,63 ----
***************
*** 99,102 ****
--- 99,103 ----
        <Name>b4_Business</Name>
      </ProjectReference>
+     <Folder Include="Reporting\MicrosoftExcel" />
    </ItemGroup>
    <Import Project="$(MSBuildBinPath)\Microsoft.CSharp.Targets" />

[Quantproject-developers] QuantProject/b3_Data Data_SD.csproj, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10765

Modified Files:
	Data_SD.csproj 
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: Data_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Data_SD.csproj,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** Data_SD.csproj	29 Aug 2007 10:34:58 -0000	1.2
--- Data_SD.csproj	29 Sep 2008 21:09:27 -0000	1.3
***************
*** 46,57 ****
    <ItemGroup>
      <Compile Include="AssemblyInfo.cs" />
      <Compile Include="ExtendedDataTable.cs" />
      <Compile Include="FilterBuilder.cs" />
-     <Compile Include="DataProviders\HistoricalDataProvider.cs" />
      <Compile Include="DataProviders\IDataStreamer.cs" />
-     <Compile Include="DataProviders\NewExtendedDateTimeEventArgs.cs" />
      <Compile Include="DataProviders\NewQuoteEventArgs.cs" />
      <Compile Include="DataProviders\Quote.cs" />
-     <Compile Include="DataProviders\Timer.cs" />
      <Compile Include="DataProviders\Caching\Cache.cs" />
      <Compile Include="DataTables\GroupQuotes.cs" />
--- 46,56 ----
    <ItemGroup>
      <Compile Include="AssemblyInfo.cs" />
+     <Compile Include="DataProviders\Quotes\HistoricalQuotesProvider.cs" />
+     <Compile Include="DataProviders\Quotes\MarketStatusSwitch.cs" />
      <Compile Include="ExtendedDataTable.cs" />
      <Compile Include="FilterBuilder.cs" />
      <Compile Include="DataProviders\IDataStreamer.cs" />
      <Compile Include="DataProviders\NewQuoteEventArgs.cs" />
      <Compile Include="DataProviders\Quote.cs" />
      <Compile Include="DataProviders\Caching\Cache.cs" />
      <Compile Include="DataTables\GroupQuotes.cs" />
***************
*** 101,104 ****
--- 100,104 ----
        <Name>b1_ADT</Name>
      </ProjectReference>
+     <Folder Include="DataProviders\Quotes" />
      <Folder Include="Selectors\ByLinearIndipendence" />
    </ItemGroup>

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Quotes HistoricalQuotesProvider.cs, NONE, 1.1 MarketStatusSwitch.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Quotes
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10258/DataProviders/Quotes

Added Files:
	HistoricalQuotesProvider.cs MarketStatusSwitch.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.

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

MarketStatusSwitch.cs
Copyright (C) 2003
Glauco Siliprandi

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

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

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

using System;

namespace QuantProject.Data.DataProviders.Quotes
{
	/// <summary>
	/// Relevant time for the Quotes table
	/// </summary>
	public enum MarketStatusSwitch
	{
		Open,
		Close
	}
}

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

HistoricalQuotesProvider.cs
Copyright (C) 2003
Glauco Siliprandi

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

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

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

using System;
using System.Collections;
using System.Data;

using QuantProject.ADT;
using QuantProject.ADT.Histories;
using QuantProject.Data.DataProviders.Caching;
using QuantProject.DataAccess;
using QuantProject.DataAccess.Tables;

namespace QuantProject.Data.DataProviders.Quotes
{
	// TO DO : rename this class HistoricalQuotesProvider, then
	// add a class HistoricalBarsProvider and introduce a
	// IHistoricalDataProvider to be implemented by the two classes
	
	/// <summary>
	/// Static methods to access the historical data
	/// </summary>
	public class HistoricalQuotesProvider
	{
		private static Hashtable cachedHistories = new Hashtable();

//		private static Cache privateCache = new Cache();
		private static ICache privateCache = new Cache();


		private static DateTime minDate = DateTime.MinValue;
		private static DateTime maxDate = DateTime.MaxValue;
		
		private static DateTime timeForOpen =
			new DateTime( 1900 , 1 , 1 , 9 , 30 , 0 );
		private static DateTime timeForClose =
			new DateTime( 1900 , 1 , 1 , 16 , 0 , 0 );
		private static DateTime timeForOneHourAfterMarketClose =
			timeForClose.AddHours( 1 );

		/// <summary>
		/// When defined, sets the minimum DateTime to be cached
		/// </summary>
		public static DateTime MinDate
		{
			get { return minDate; }
			set { minDate = value; }
		}

		/// <summary>
		/// When defined, sets the maximum DateTime to be cached
		/// </summary>
		public static DateTime MaxDate
		{
			get { return maxDate; }
			set { maxDate = value; }
		}

		/// <summary>
		/// Caching class
		/// </summary>
		public static ICache Cache
		{
			get { return privateCache; }
			set { privateCache = value; }
		}

		/// <summary>
		/// Provides historical data
		/// </summary>
		public HistoricalQuotesProvider()
		{
			//
			// TODO: Add constructor logic here
			//
		}
		
		
		
		
		
		
		private static void checkIfIsDate(
			DateTime dateTime )
		{
			if ( !ExtendedDateTime.IsDate( dateTime ) )
				throw new Exception(
					"The given dateTime contains time also. It must be a just date." );
		}

		// to be deleted
		public static void Add( string instrumentKey )
		{
			Hashtable barComponentHistories = new Hashtable();
			cachedHistories.Add( instrumentKey , barComponentHistories );
		}

		/// <summary>
		/// Adds a new instrument quote history to be cached in memory
		/// </summary>
		/// <param name="instrument">Instrument to be monitored</param>
		/// <param name="barComponent">Bar component to be monitored (Open, High, Low, Close or Volume)</param>
		public static void Add( string instrumentKey , QuoteField quoteField )
		{
			if ( !cachedHistories.ContainsKey( instrumentKey ) )
				cachedHistories.Add( instrumentKey , new Hashtable() );
			((Hashtable) cachedHistories[ instrumentKey ]).Add(
				quoteField , quoteField );
		}

		//    //public static void
//
		//    public static void SetCachedHistories(
		//      DateTime startDateTime , DateTime endDateTime )
		//    {
		//      ArrayList keyArray = new ArrayList();
		//      foreach (string instrumentKey in cachedHistories.Keys)
		//        keyArray.Add( instrumentKey );
		//      foreach (string instrumentKey in keyArray )
		//      {
		//        Hashtable barComponents = new Hashtable();
		//        foreach (BarComponent barComponent in
		//          (( Hashtable )cachedHistories[ instrumentKey ]).Keys )
		//          barComponents.Add( barComponent , barComponent );
		//        Hashtable histories = DataBase.GetHistories(
		//          instrumentKey , barComponents , startDateTime , endDateTime );
		//        cachedHistories[ instrumentKey ] = histories;
		//      }
		//    }
//
		private static History getHistory( string instrumentKey , QuoteField quoteField )
		{
			if ( ( !cachedHistories.Contains( instrumentKey ) ) ||
			    ( !((Hashtable)cachedHistories[ instrumentKey ]).Contains( quoteField ) ) )
			{
				Add( instrumentKey , quoteField );
				((Hashtable)cachedHistories[ instrumentKey ])[ quoteField ] =
					DataBase.GetHistory( instrumentKey , quoteField );
			}
			return (History)((Hashtable)cachedHistories[ instrumentKey ])[ quoteField ];
		}

		private static History getHistory( string ticker , QuoteField quoteField ,
		                                  DateTime firstDate , DateTime lastDate )
		{
			History returnValue = new History();
			DateTime currentDate = firstDate;
			while ( currentDate <= lastDate )
			{
				returnValue.Add( currentDate , privateCache.GetQuote(
					ticker , currentDate , quoteField ) );
				currentDate = currentDate.AddDays( 1 );
			}
			return returnValue;
		}

		public static History GetOpenHistory( string instrumentKey )
		{
			return getHistory( instrumentKey , QuoteField.Open );
		}

		public static History GetCloseHistory( string instrumentKey )
		{
			return getHistory( instrumentKey , QuoteField.Close );
		}

		public static History GetHighHistory( string instrumentKey )
		{
			return getHistory( instrumentKey , QuoteField.High );
		}

		public static History GetLowHistory( string instrumentKey )
		{
			return getHistory( instrumentKey , QuoteField.Low );
		}

		public static History GetAdjustedCloseHistory( string instrumentKey )
		{
			return getHistory( instrumentKey , QuoteField.AdjustedClose );
		}

		public static History GetAdjustedCloseHistory( string ticker ,
		                                              DateTime firstDate , DateTime lastDate )
		{
			return getHistory( ticker , QuoteField.AdjustedClose ,
			                  firstDate , lastDate );
		}

		private static History cache_getHistory( string instrumentKey , QuoteField quoteField )
		{
			History returnValue;
			if ( ( MinDate != DateTime.MinValue ) &&
			    ( MaxDate != DateTime.MaxValue ) )
				// the script has set a min date value and a max date value for the historical quotes
				returnValue = DataBase.GetHistory( instrumentKey , quoteField ,
				                                  MinDate , MaxDate );
			else
				// the script has NOT set a min date value and a max date value for the historical quotes
				returnValue = DataBase.GetHistory( instrumentKey , quoteField );
			return returnValue;
		}

		private static void cache( string instrumentKey , QuoteField quoteField )
		{
			if ( !cachedHistories.ContainsKey( instrumentKey ) )
				// no component at all for the instrument instrumentKey has been cached yet
				cachedHistories.Add( instrumentKey , new Hashtable() );
			History quoteHistory = cache_getHistory( instrumentKey , quoteField );
			((Hashtable)cachedHistories[ instrumentKey ]).Add( quoteField ,
			                                                  quoteHistory );
		}
		
		#region GetAdjustedMarketValue
		private static double getAdjustedMarketValue_actually(
			string instrumentKey , DateTime date ,
			MarketStatusSwitch  marketStatusSwitch )
		{
			double adjustedMarketValue;
			double adjustedClose = privateCache.GetQuote(
				instrumentKey ,	date , QuoteField.AdjustedClose );
			if ( marketStatusSwitch == MarketStatusSwitch.Close )
				// the requested quote is at market close
				adjustedMarketValue = adjustedClose;
			else
			{
				// the requested quote is at market open
				double rawOpen = privateCache.GetQuote(
					instrumentKey , date , QuoteField.Open );
				double rawClose = privateCache.GetQuote(
					instrumentKey , date , QuoteField.Close );
				adjustedMarketValue = rawOpen * adjustedClose / rawClose;
			}
			return adjustedMarketValue;
			
			
//			double rawOpen = privateCache.GetQuote(
//				instrumentKey , date , QuoteField.Open );
//			double rawClose = privateCache.GetQuote( instrumentKey ,
//			                                        extendedDateTime.DateTime , QuoteField.Close );
//			double returnValue =
//				rawOpen * adjustedClose / rawClose;
			
//			if ( extendedDateTime.BarComponent == BarComponent.Close )
//				returnValue = adjustedClose;
//			else
//				// extendedDateTime.BarComponent is equal to BarComponent.Open
//			{
//				double open = privateCache.GetQuote( instrumentKey ,
//				                                    extendedDateTime.DateTime , QuoteField.Open );
//				double close = privateCache.GetQuote( instrumentKey ,
//				                                     extendedDateTime.DateTime , QuoteField.Close );
//				returnValue = open * adjustedClose / close;
//			}
		}
		/// <summary>
		/// Returns the adjusted market value for the given ticker,
		/// at the given DateTime
		/// </summary>
		/// <param name="instrumentKey">instrument identifier</param>
		/// <param name="dateTime"></param>
		/// <returns></returns>
		public static double GetAdjustedMarketValue(
			string instrumentKey , DateTime date ,
			MarketStatusSwitch marketStatusSwitch )
		{
			HistoricalQuotesProvider.checkIfIsDate( date );
			double returnValue =
				HistoricalQuotesProvider.getAdjustedMarketValue_actually(
					instrumentKey , date , marketStatusSwitch );
			return returnValue;
		}
		#endregion GetAdjustedMarketValue
		
		#region GetRawMarketValue
		private static double getRawMarketValue_actually(
			string ticker , DateTime date ,
			MarketStatusSwitch marketStatusSwitch )
		{
			double rawMarketValue;
			if ( marketStatusSwitch == MarketStatusSwitch.Open )
				// the requested quote is at market open
				rawMarketValue = privateCache.GetQuote(
					ticker , date , QuoteField.Open );
			else
				// the requested quote is at market close
				rawMarketValue = privateCache.GetQuote(
					ticker , date , QuoteField.Close );
			return rawMarketValue;
		}
		/// <summary>
		/// Returns the raw market value for the given ticker,
		/// at the given DateTime
		/// </summary>
		/// <param name="ticker">instrument identifier</param>
		/// <param name="dateTime"></param>
		/// <returns></returns>
		public static double GetRawMarketValue(
			string ticker , DateTime date ,
			MarketStatusSwitch marketStatusSwitch )
		{
			HistoricalQuotesProvider.checkIfIsDate( date );
			double rawMarketValue =
				HistoricalQuotesProvider.getRawMarketValue_actually(
					ticker , date , marketStatusSwitch );
			return rawMarketValue;
		}
		#endregion GetRawMarketValue
		
//		public static bool WasExchanged( string instrumentKey , ExtendedDateTime extendedDateTime )
//		{
//			ExtendedDateTime atClose = new ExtendedDateTime(
//				extendedDateTime.DateTime , BarComponent.Close );
//			double marketValue = GetRawMarketValue( instrumentKey ,
//				atClose ); // forces caching if needed
//			History instrumentQuotes =
//				(History)((Hashtable)cachedHistories[ instrumentKey ])[ QuoteField.Close ];
//			bool returnValue = instrumentQuotes.ContainsKey( extendedDateTime.DateTime );
//			return returnValue;
//		}
		public static bool WasExchanged(
			string ticker , DateTime dateTime )
		{
			return privateCache.WasExchanged( ticker , dateTime );
		}

		/// <summary>
		/// returns the quotes DataTable for the given ticker
		/// </summary>
		/// <param name="instrumentKey">ticker whose quotes are to be returned</param>
		/// <returns></returns>
		public static DataTable GetTickerQuotes( string instrumentKey )
		{
			return QuantProject.DataAccess.Tables.Quotes.GetTickerQuotes(
				instrumentKey );
		}
		
		#region GetQuotes
		#region getQuotes_actually
		private static QuantProject.Data.DataTables.Quotes
			getQuotesDataTable(
				ICollection tickerCollection , DateTime dateTime )
		{
			DateTime date = ExtendedDateTime.GetDate( dateTime );
			QuantProject.Data.DataTables.Quotes dtQuotes =
				new QuantProject.Data.DataTables.Quotes(
					tickerCollection , date );
			return dtQuotes;
		}
		private static double getQuotes_getAdjustedQuote(
			DataRow dataRow ,
			DateTime date ,
			MarketStatusSwitch marketStatusSwitch )
		{
			double returnValue;
			/// TO DO: evaluate to use a Quote class, that derives from the DataRow class
			/// and use properties instead of dataRow accessing
			if ( marketStatusSwitch == MarketStatusSwitch.Close )
				// the requested quote is at market close
				returnValue = (double)dataRow[ QuantProject.Data.DataTables.Quotes.AdjustedClose ];
			else
				// the requested quote is at market open
				returnValue = (double)dataRow[ QuantProject.Data.DataTables.Quotes.Open ] *
					(double)dataRow[ QuantProject.Data.DataTables.Quotes.AdjustedClose ] /
					(double)dataRow[ QuantProject.Data.DataTables.Quotes.Close ];
			return returnValue;
		}
		private static Hashtable getAdjustedQuotes_actually(
			ICollection tickerCollection ,
			DateTime date ,
			MarketStatusSwitch marketStatusSwitch )
		{
			QuantProject.Data.DataTables.Quotes dtQuotes =
				HistoricalQuotesProvider.getQuotesDataTable(
					tickerCollection , date );
			Hashtable returnValue = new Hashtable();
			foreach (DataRow dataRow in dtQuotes.Rows)
				returnValue.Add(
					dataRow[
						QuantProject.Data.DataTables.Quotes.TickerFieldName ] ,
					HistoricalQuotesProvider.getQuotes_getAdjustedQuote(
						dataRow , date , marketStatusSwitch ) );
			return returnValue;
		}
		#endregion getQuotes_actually
		
		/// <summary>
		/// Returns the hashtable containing, for each ticker, the
		/// quote for the given extended date time
		/// </summary>
		/// <param name="tickerCollection">List of tickers whose quotes are to be fetched</param>
		/// <param name="extendedDateTime"></param>
		/// <returns></returns>
		public static Hashtable GetAdjustedQuotes(
			ICollection tickerCollection ,
			DateTime date ,
			MarketStatusSwitch marketStatusSwitch )
		{
			HistoricalQuotesProvider.checkIfIsDate( date );
			Hashtable htQuotes =
				HistoricalQuotesProvider.getAdjustedQuotes_actually(
					tickerCollection , date , marketStatusSwitch );
			return htQuotes;
		}
		#endregion GetQuotes
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Quotes
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9694/Quotes

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

[Quantproject-developers] QuantProject/b3_Data/DataProviders HistoricalDataProvider.cs, 1.11, NONE NewExtendedDateTimeEventArgs.cs, 1.1, NONE Timer.cs, 1.2, NONE

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9167/DataProviders

Removed Files:
	HistoricalDataProvider.cs NewExtendedDateTimeEventArgs.cs 
	Timer.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.

--- NewExtendedDateTimeEventArgs.cs DELETED ---

--- Timer.cs DELETED ---

--- HistoricalDataProvider.cs DELETED ---

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.28, 1.29

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv6264

Modified Files:
	Business_SD.csproj 
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: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.28
retrieving revision 1.29
diff -C2 -d -r1.28 -r1.29
*** Business_SD.csproj	14 Aug 2008 23:44:43 -0000	1.28
--- Business_SD.csproj	29 Sep 2008 21:03:22 -0000	1.29
***************
*** 38,45 ****
    </PropertyGroup>
    <ItemGroup>
-     <Reference Include="Interop.Excel">
-       <HintPath>..\..\Interop.Excel.dll</HintPath>
-       <SpecificVersion>False</SpecificVersion>
-     </Reference>
      <Reference Include="System" />
      <Reference Include="System.Data" />
--- 38,41 ----
***************
*** 47,67 ****
      <Reference Include="System.Windows.Forms" />
      <Reference Include="System.Xml" />
-     <Reference Include="Interop.VBIDE">
-       <HintPath>..\..\Interop.VBIDE.dll</HintPath>
-       <Private>True</Private>
-     </Reference>
-     <Reference Include="Interop.Office">
-       <HintPath>..\..\Interop.Office.dll</HintPath>
-       <Private>True</Private>
-     </Reference>
      <Reference Include="System.Runtime.Serialization.Formatters.Soap" />
    </ItemGroup>
    <ItemGroup>
!     <Compile Include="a05_Timing\EndOfDayHistory.cs" />
!     <Compile Include="a07_DataProviders\HistoricalQuoteProvider.cs" />
      <Compile Include="a07_DataProviders\TickerNotExchangedException.cs" />
      <Compile Include="a1_Financial\a2_Accounting\AccountProviding\IAccountProvider.cs" />
      <Compile Include="a1_Financial\a2_Accounting\AccountProviding\InteractiveBrokerAccountProvider.cs" />
      <Compile Include="a1_Financial\a2_Accounting\AccountProviding\SimpleAccountProvider.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\StatisticsSummaryRows\AverageReturnOnDayOfWeekWithOpenPositions.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\StatisticsSummaryRows\AverageReturnOnDayWithOpenPositions.cs" />
--- 43,57 ----
      <Reference Include="System.Windows.Forms" />
      <Reference Include="System.Xml" />
      <Reference Include="System.Runtime.Serialization.Formatters.Soap" />
    </ItemGroup>
    <ItemGroup>
!     <Compile Include="a05_Timing\Timer.cs" />
!     <Compile Include="a07_DataProviders\HistoricalMarketValueProvider.cs" />
      <Compile Include="a07_DataProviders\TickerNotExchangedException.cs" />
      <Compile Include="a1_Financial\a2_Accounting\AccountProviding\IAccountProvider.cs" />
      <Compile Include="a1_Financial\a2_Accounting\AccountProviding\InteractiveBrokerAccountProvider.cs" />
      <Compile Include="a1_Financial\a2_Accounting\AccountProviding\SimpleAccountProvider.cs" />
+     <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\DateTimeSelectorsForEquityLine\IDateTimeSelectorForEquityLine.cs" />
+     <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\DateTimeSelectorsForEquityLine\SelectorForMaketClose.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\StatisticsSummaryRows\AverageReturnOnDayOfWeekWithOpenPositions.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\StatisticsSummaryRows\AverageReturnOnDayWithOpenPositions.cs" />
***************
*** 73,76 ****
--- 63,67 ----
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\AverageNumberOfTransactionsPerDay.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\Tables\StatisticsSummary.cs" />
+     <Compile Include="a1_Financial\a2_Accounting\Transactions\TimedTransaction.cs" />
      <Compile Include="a2_Strategies\Benchmark.cs" />
      <Compile Include="a2_Strategies\Eligibles\ByPriceLessVolatileOTCAlwaysQuoted.cs" />
***************
*** 83,89 ****
      <Compile Include="a2_Strategies\Eligibles\IEligiblesSelector.cs" />
      <Compile Include="a2_Strategies\EndOfDayStrategies\BasicEndOfDayStrategyForBacktester.cs" />
      <Compile Include="a2_Strategies\EndOfDayStrategies\SymmetricEndOfDayStrategyForBacktester.cs" />
      <Compile Include="a2_Strategies\EndOfDayStrategyBackTester.cs" />
-     <Compile Include="a2_Strategies\IEndOfDayStrategyForBacktester.cs" />
      <Compile Include="a2_Strategies\InSample\BruteForceChooser.cs" />
      <Compile Include="a2_Strategies\InSample\ConstantWeightedPositionsChooser.cs" />
--- 74,81 ----
      <Compile Include="a2_Strategies\Eligibles\IEligiblesSelector.cs" />
      <Compile Include="a2_Strategies\EndOfDayStrategies\BasicEndOfDayStrategyForBacktester.cs" />
+     <Compile Include="a2_Strategies\EndOfDayStrategies\EndOfDayStrategy.cs" />
+     <Compile Include="a2_Strategies\EndOfDayStrategies\EndOfDayTimerHandler.cs" />
      <Compile Include="a2_Strategies\EndOfDayStrategies\SymmetricEndOfDayStrategyForBacktester.cs" />
      <Compile Include="a2_Strategies\EndOfDayStrategyBackTester.cs" />
      <Compile Include="a2_Strategies\InSample\BruteForceChooser.cs" />
      <Compile Include="a2_Strategies\InSample\ConstantWeightedPositionsChooser.cs" />
***************
*** 92,95 ****
--- 84,89 ----
      <Compile Include="a2_Strategies\InSample\GeneticChooser.cs" />
      <Compile Include="a2_Strategies\InSample\IInSampleChooser.cs" />
+     <Compile Include="a2_Strategies\IStrategy.cs" />
+     <Compile Include="a2_Strategies\IStrategyForBacktester.cs" />
      <Compile Include="a2_Strategies\Logging\BackTestLog.cs" />
      <Compile Include="a2_Strategies\Logging\DummyLogItem.cs" />
***************
*** 140,162 ****
      <Compile Include="a0_Validation\Validators\OHLCvalidator.cs" />
      <Compile Include="a0_Validation\Validators\RangeToRangeValidator.cs" />
-     <Compile Include="a05_Timing\EndOfDayDateTime.cs" />
-     <Compile Include="a05_Timing\EndOfDaySpecificTime.cs" />
-     <Compile Include="a05_Timing\EndOfDayTimingEventArgs.cs" />
      <Compile Include="a05_Timing\HistoricalEndOfDayTimer.cs" />
-     <Compile Include="a05_Timing\IEndOfDayTimer.cs" />
      <Compile Include="a05_Timing\IndexBasedEndOfDayTimer.cs" />
      <Compile Include="a07_DataProviders\HistoricalAdjustedQuoteProvider.cs" />
      <Compile Include="a07_DataProviders\HistoricalEndOfDayDataStreamer.cs" />
      <Compile Include="a07_DataProviders\HistoricalRawQuoteProvider.cs" />
-     <Compile Include="a07_DataProviders\IHistoricalQuoteProvider.cs" />
      <Compile Include="a1_Financial\a1_Instruments\Instrument.cs" />
      <Compile Include="a1_Financial\a1_Instruments\Instruments.cs" />
-     <Compile Include="a1_Financial\a1_Instruments\QuoteCache.cs" />
      <Compile Include="a1_Financial\a2_Accounting\Account.cs" />
-     <Compile Include="a1_Financial\a2_Accounting\AccountReportRecord.cs" />
      <Compile Include="a1_Financial\a2_Accounting\Accounts.cs" />
      <Compile Include="a1_Financial\a2_Accounting\Portfolio.cs" />
      <Compile Include="a1_Financial\a2_Accounting\Position.cs" />
-     <Compile Include="a1_Financial\a2_Accounting\TimedTransaction.cs" />
      <Compile Include="a1_Financial\a2_Accounting\Transaction.cs" />
      <Compile Include="a1_Financial\a2_Accounting\TransactionType.cs" />
--- 134,148 ----
***************
*** 190,194 ****
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\Tables\Summary.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\Tables\Transactions.cs" />
-     <Compile Include="a1_Financial\a2_Accounting\Transactions\EndOfDayTransaction.cs" />
      <Compile Include="a1_Financial\a2_Accounting\Transactions\TransactionHistory.cs" />
      <Compile Include="a1_Financial\a3_Ordering\HistoricalEndOfDayOrderExecutor.cs" />
--- 176,179 ----
***************
*** 219,223 ****
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\IntegerSummaryRow.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\PercentageSummaryRow.cs" />
-     <Compile Include="a2_Strategies\IEndOfDayStrategy.cs" />
      <Compile Include="a1_Financial\a2_Accounting\h5_Reporting\SummaryRows\SharpeRatio.cs" />
      <Compile Include="a1_Financial\a2_Accounting\EquityLine.cs" />
--- 204,207 ----
***************
*** 257,260 ****
--- 241,245 ----
      </ProjectReference>
      <Folder Include="a1_Financial\a2_Accounting\AccountProviding" />
+     <Folder Include="a1_Financial\a2_Accounting\h5_Reporting\DateTimeSelectorsForEquityLine" />
      <Folder Include="a1_Financial\a2_Accounting\h5_Reporting\StatisticsSummaryRows" />
      <Folder Include="a2_Strategies\EndOfDayStrategies" />

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5292/a2_Strategies

Added Files:
	IStrategy.cs IStrategyForBacktester.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.

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

IStrategyForBacktester.cs
Copyright (C) 2007
Glauco Siliprandi

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

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

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

using System;

using QuantProject.ADT.Messaging;
using QuantProject.Business.Strategies.Logging;

namespace QuantProject.Business.Strategies
{
	public delegate void NewLogItemEventHandler(
		Object sender , NewLogItemEventArgs eventArgs );

	/// <summary>
	/// Interface to be implemented by end of day strategies that are
	/// to be used by the EndOfDayStrategyBackTester
	/// </summary>
	public interface IStrategyForBacktester : IStrategy , ILogDescriptor ,
	IMessageSender
	{
		/// <summary>
		/// use this property to signal to the end of day backtester that at current time
		/// a long execution is expected, so that it will decide to stop the execution if
		/// maxRunningHours have already expired. If this property returns false, the
		/// end of day backtesters goes on with its work (that should be all out
		/// of sample and then pretty fast). If you want the backtester to stop
		/// whenever maxRunningHours have elapsed, then set this property
		/// to always return true
		/// </summary>
		bool StopBacktestIfMaxRunningHoursHasBeenReached{ get; }
		event NewLogItemEventHandler NewLogItem;
	}
}

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

IStrategy.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using System;

using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Accounting.Transactions;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Timing;


namespace QuantProject.Business.Strategies
{
	/// <summary>
	/// Interface to be implemented by end of day strategies
	/// </summary>
	public interface IStrategy
	{
		void NewDateTimeEventHandler( Object sender , DateTime dateTime );
		Account Account{get;set;}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies EndOfDayStrategy.cs, NONE, 1.1 EndOfDayTimerHandler.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5292/a2_Strategies/EndOfDayStrategies

Added Files:
	EndOfDayStrategy.cs EndOfDayTimerHandler.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.

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

EndOfDayStrategy.cs
Copyright (C) 2008
Glauco Siliprandi

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

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

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

using System;

using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies
{
	/// <summary>
	/// Abstract class to be extended by end of day timer handlers
	/// </summary>
	public abstract class EndOfDayTimerHandler
	{
		public EndOfDayTimerHandler()
		{
		}
		
		#region NewDateTimeEventHandler
		protected abstract void marketOpenEventHandler(
			Object sender , DateTime dateTime )
			;
		protected abstract void marketCloseEventHandler(
			Object sender , DateTime dateTime )
			;
		protected abstract void oneHourAfterMarketCloseEventHandler(
			Object sender , DateTime dateTime )
			;
		public virtual void NewDateTimeEventHandler(
			Object sender , DateTime dateTime )
		{
			if ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) )
				this.marketOpenEventHandler( sender , dateTime );
			if ( HistoricalEndOfDayTimer.IsMarketClose( dateTime ) )
				this.marketCloseEventHandler( sender , dateTime );
			if ( HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) )
				this.oneHourAfterMarketCloseEventHandler( sender , dateTime );
		}
		#endregion NewDateTimeEventHandler
	}
}

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

EndOfDayStrategy.cs
Copyright (C) 2008
Glauco Siliprandi

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

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

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

using System;

using QuantProject.Business.Financial.Accounting;

namespace QuantProject.Business.Strategies
{
	/// <summary>
	/// Abstract class to be implemented by an end of day strategy
	/// </summary>
	public abstract class EndOfDayStrategy : EndOfDayTimerHandler , IStrategy
	{
		protected Account account;
		
		public Account Account
		{
			get { return this.account; }
			set { this.account = value; }
		}
		
		public EndOfDayStrategy()
		{
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions TimedTransaction.cs, NONE, 1.1

[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-serv5292/a1_Financial/a2_Accounting/Transactions

Added Files:
	TimedTransaction.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.

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

TimedTransaction.cs
Copyright (C) 2003
Glauco Siliprandi

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

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

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

using System;
using QuantProject.ADT;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Timing;

namespace QuantProject.Business.Financial.Accounting.Transactions
{

	/// <summary>
	/// Transaction to be used with strategies
	/// </summary>
	[Serializable]
	public class TimedTransaction : Transaction
	{
		private DateTime dateTime;

		public DateTime DateTime
		{
			get
			{
				return this.dateTime;
			}
		}

		public TimedTransaction(
			TransactionType transactionType ,
			Double transactionAmount ,
			DateTime dateTime )
			: base( transactionType , transactionAmount )
		{
			//base( transactionType , transactionAmount );
			this.dateTime = dateTime;
		}

		public TimedTransaction(
			TransactionType transactionType ,
			Instrument instrument ,
			long quantity ,
			double instrumentPrice ,
			DateTime dateTime )
			: base(
				transactionType ,
				instrument ,
				quantity ,
				instrumentPrice )
		{
			this.dateTime = dateTime;
		}

		static public TransactionType GetTransactionType(
			OrderType orderType )
		{
			TransactionType returnValue;
			switch ( orderType )
			{
				case OrderType.LimitBuy:
					returnValue = TransactionType.BuyLong;
					break;
				case OrderType.MarketBuy:
					returnValue = TransactionType.BuyLong;
					break;
				case OrderType.LimitCover:
					returnValue = TransactionType.Cover;
					break;
				case OrderType.MarketCover:
					returnValue = TransactionType.Cover;
					break;
				case OrderType.LimitSell:
					returnValue = TransactionType.Sell;
					break;
				case OrderType.MarketSell:
					returnValue = TransactionType.Sell;
					break;
				case OrderType.LimitSellShort:
					returnValue = TransactionType.SellShort;
					break;
				case OrderType.MarketSellShort:
					returnValue = TransactionType.SellShort;
					break;
					//this line should never be reached!
				default:
					returnValue = TransactionType.AddCash;
					break;
			}
			return returnValue;
		}
		public override string ToString()
		{
			return
				base.ToString() +
				"\n   DateTime: " + this.dateTime.ToString();
		}
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5292/a07_DataProviders

Added Files:
	HistoricalMarketValueProvider.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.

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

HistoricalMarketValueProvider.cs
Copyright (C) 2007
Glauco Siliprandi

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

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

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

using System;

using QuantProject.ADT.Histories;
using QuantProject.Business.Strategies.Logging;
using QuantProject.Business.Timing;
using QuantProject.Data.DataProviders.Quotes;

namespace QuantProject.Business.DataProviders
{
	/// <summary>
	/// Abstract base class for historical market values providers
	/// </summary>
	[Serializable]
	public abstract class HistoricalMarketValueProvider : ILogDescriptor
	{
		public string Description
		{
			get
			{
				return "QtPrvdr_" + this.getDescription();
			}
		}

		public HistoricalMarketValueProvider()
		{
		}

		protected abstract string getDescription();

		public abstract double GetMarketValue(
			string ticker ,
			DateTime dateTime );

		/// <summary>
		/// True iif the given ticker was traded at the given DateTime
		/// </summary>
		/// <param name="ticker"></param>
		/// <param name="dateTime"></param>
		/// <returns></returns>
		public bool WasExchanged( string ticker ,
		                         DateTime dateTime )
		{
			bool wasExchanged =
				HistoricalQuotesProvider.WasExchanged( ticker , dateTime );
			return wasExchanged;
		}
		
		#region GetQuotes
		
		#region addQuoteActually
		private double getMarketValue( string ticker , DateTime dateTime )
		{
			double marketValue =
				this.GetMarketValue( ticker , dateTime );
			return marketValue;
		}
		private void addQuoteActually( string ticker ,
		                              DateTime dateTime ,
		                              History quotes )
		{
			double marketValue = this.getMarketValue( ticker , dateTime );
			quotes.Add( dateTime , marketValue );
		}
		#endregion addQuoteActually
		
		private void addMarketValue( string ticker , int historyIndex ,
		                      History	history , History quotes )
		{
			DateTime currentDateTime =
				(DateTime)history.GetByIndex( historyIndex );
			if ( this.WasExchanged( ticker , currentDateTime ) )
			{
				this.addQuoteActually( ticker , currentDateTime ,
				                      quotes );
			}
			else
				throw new TickerNotExchangedException(
					ticker , currentDateTime );
		}
		public History GetMarketValues( string ticker ,
		                         History history )
		{
			History quotes = new History();
			for ( int i = 0 ; i < history.Count ; i++ )
				this.addMarketValue( ticker , i , history , quotes );
			return quotes;
		}
		#endregion GetQuotes
	}
}

[Quantproject-developers] QuantProject/b4_Business/a05_Timing Timer.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5292/a05_Timing

Added Files:
	Timer.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.

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

Timer.cs
Copyright (C) 2008
Glauco Siliprandi

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

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

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

using System;

using QuantProject.ADT;

namespace QuantProject.Business.Timing
{
	public delegate void NewDateTimeEventHandler(
		Object sender , DateTime dateTime );

	/// <summary>
	/// Class to be extended by timers for simulations
	/// </summary>
	[Serializable]
	public abstract class Timer
	{
		public event NewDateTimeEventHandler NewDateTime;
		
		protected bool isActive;	// true iff the timer is started and not stopped
		protected DateTime currentDateTime;
		
		public bool IsActive
		{
			get { return this.isActive; }
		}
		
		public Timer()
		{
		}
		
		protected abstract void initializeTimer();
		protected abstract void moveNext();

		/// <summary>
		/// The last date time sent out
		/// </summary>
		/// <returns></returns>
		public virtual DateTime GetCurrentDateTime()
		{
			if ( !this.isActive )
				throw new Exception(
					"Either Start() has not been invoked yet, or " +
					"Stop() has already been invoked" );
			return this.currentDateTime;
		}

		#region Start
		
		#region activateTimer
		private void activateTimer()
		{
			this.initializeTimer();
			this.isActive = true;
		}
		#endregion activateTimer
		
		/// <summary>
		/// Starts the time walking simulation
		/// </summary>
		private void callEvents()
		{
			if ( this.NewDateTime != null )
				this.NewDateTime(
					this ,
					new DateTime(
						this.currentDateTime.Year ,
						this.currentDateTime.Month ,
						this.currentDateTime.Day ,
						this.currentDateTime.Hour ,
						this.currentDateTime.Minute ,
						this.currentDateTime.Second ) );
			
//			if ( ( this.MarketOpen != null ) && ( this.currentTime.EndOfDaySpecificTime ==
//			                                     EndOfDaySpecificTime.MarketOpen ) )
//				this.MarketOpen( this , new EndOfDayTimingEventArgs( this.currentTime ) );
//			if ( ( this.FiveMinutesBeforeMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
//			                                                       EndOfDaySpecificTime.FiveMinutesBeforeMarketClose ) )
//				this.FiveMinutesBeforeMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
//			if ( ( this.MarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
//			                                      EndOfDaySpecificTime.MarketClose ) )
//				this.MarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
//			if ( ( this.OneHourAfterMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime ==
//			                                                  EndOfDaySpecificTime.OneHourAfterMarketClose ) )
//				this.OneHourAfterMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) );
		}
		/// <summary>
		/// The timer is instructed to begin to fire timing events
		/// </summary>
		public virtual void Start()
		{
			this.activateTimer();
			while ( this.isActive )
			{
				this.callEvents();
				this.moveNext();
			}
		}
		#endregion Start
		
		/// <summary>
		/// The timer is instructed to stop to fire timing events
		/// </summary>
		public void Stop()
		{
			this.isActive = false;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/DateTimeSelectorsForEquityLine - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/DateTimeSelectorsForEquityLine
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv2077/DateTimeSelectorsForEquityLine

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/DateTimeSelectorsForEquityLine added to the repository

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies IEndOfDayStrategy.cs, 1.3, NONE

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30003/a2_Strategies

Removed Files:
	IEndOfDayStrategy.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.

--- IEndOfDayStrategy.cs DELETED ---

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a1_Instruments QuoteCache.cs, 1.3, NONE

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a1_Instruments
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30003/a1_Financial/a1_Instruments

Removed Files:
	QuoteCache.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.

--- QuoteCache.cs DELETED ---

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/Transactions EndOfDayTransaction.cs, 1.1, NONE

[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-serv30003/a1_Financial/a2_Accounting/Transactions

Removed Files:
	EndOfDayTransaction.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.

--- EndOfDayTransaction.cs DELETED ---

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting AccountReportRecord.cs, 1.1.1.1, NONE TimedTransaction.cs, 1.2, NONE

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30003/a1_Financial/a2_Accounting

Removed Files:
	AccountReportRecord.cs TimedTransaction.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.

--- TimedTransaction.cs DELETED ---

--- AccountReportRecord.cs DELETED ---

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders IHistoricalQuoteProvider.cs, 1.4, NONE

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30003/a07_DataProviders

Removed Files:
	IHistoricalQuoteProvider.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.

--- IHistoricalQuoteProvider.cs DELETED ---

[Quantproject-developers] QuantProject/b4_Business/a05_Timing EndOfDayTimingEventArgs.cs, 1.1, NONE IEndOfDayTimer.cs, 1.2, NONE

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv30003/a05_Timing

Removed Files:
	EndOfDayTimingEventArgs.cs IEndOfDayTimer.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.

--- IEndOfDayTimer.cs DELETED ---

--- EndOfDayTimingEventArgs.cs DELETED ---

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies IEndOfDayStrategyForBacktester.cs, 1.3, NONE

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24339/a2_Strategies

Removed Files:
	IEndOfDayStrategyForBacktester.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.

--- IEndOfDayStrategyForBacktester.cs DELETED ---