quantproject-developers

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv25708/a2_Strategies/Eligibles

Modified Files:
	EligibleTickers.cs 
Log Message:
Added Tickers property, for getting an array of string containing the eligible tickers

Index: EligibleTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/EligibleTickers.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** EligibleTickers.cs	19 Jan 2008 17:40:15 -0000	1.1
--- EligibleTickers.cs	6 Feb 2008 23:01:28 -0000	1.2
***************
*** 31,34 ****
--- 31,49 ----
  	public class EligibleTickers : System.Collections.CollectionBase
  	{
+ 		private string[] tickers;
+ 		public string[] Tickers
+ 		{
+ 			get  
+ 			{
+ 				if(this.tickers == null)
+ 				{
+ 					this.tickers = new string[this.Count];
+ 					for(int i = 0;i<this.Count; i++)
+ 						this.tickers[i] = this[i];
+ 				}
+ 				return this.tickers;
+ 			}
+ 		}
+ 		
  		/// <summary>
  		/// 
***************
*** 56,60 ****
  			this.checkParameter( dataRow );
  			this.addTicker_actually( (string)dataRow[ 0 ] );
! 		}		private void addTickers( DataTable dtTickers )
  		{
  			foreach ( DataRow dataRow in dtTickers.Rows )
--- 71,76 ----
  			this.checkParameter( dataRow );
  			this.addTicker_actually( (string)dataRow[ 0 ] );
! 		}		
! 		private void addTickers( DataTable dtTickers )
  		{
  			foreach ( DataRow dataRow in dtTickers.Rows )

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24777/a2_Strategies/Eligibles

Added Files:
	ByPriceMostLiquidAlwaysQuoted.cs 
Log Message:
Added new IEligiblesSelector class "ByPriceMostLiquidAlwaysQuoted"
for a selections on tickers to be used before in sample optimization process.
The implementation for the Description property has to be done ...

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

ByPriceMostLiquidAlwaysQuoted.cs
Copyright (C) 2008
Marco Milletti

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.Data;

using QuantProject.ADT.Messaging;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Timing;
using QuantProject.Data.Selectors;

namespace QuantProject.Business.Strategies.Eligibles
{
	/// <summary>
	/// Implements IEligiblesSelector for selecting a given max number of tickers through
	/// the following step-by-step selecting process:
	/// -step 1: all tickers belonging to a given group
	/// are selected (the group can be "temporized": that is tickers
	/// are returned depending on the time the selection is requested:
	/// the group SP 500 should be like that);
	/// -step 2: from tickers selected by step 1, the most liquid
	///  are selected (not more than a given max number);
	/// -step 3: from tickers selected by step 2, the ones that are
	/// always quoted at all market days are selected (not more than a given max number);
	/// </summary>
	public class ByPriceMostLiquidAlwaysQuoted : IEligiblesSelector
	{
		public event NewMessageHandler NewMessage;
		
		private bool temporizedGroup;
		private string tickersGroupID;
		private int maxNumberOfEligibleTickersToBeChosen;
		private int numOfDaysForAverageOpenRawPriceComputation;
		private double minPrice;
		private double maxPrice;
		
		private string description;
		public string Description
		{
			get{
				return "Change me!";
			}
		}
				
		public ByPriceMostLiquidAlwaysQuoted(
			string tickersGroupID , bool temporizedGroup, 
			int maxNumberOfEligibleTickersToBeChosen,
		 	int numOfDaysForAverageOpenRawPriceComputation, double minPrice, double maxPrice)
		{
			this.temporizedGroup = temporizedGroup;
			this.tickersGroupID = tickersGroupID;
			this.maxNumberOfEligibleTickersToBeChosen =
				maxNumberOfEligibleTickersToBeChosen;
			this.numOfDaysForAverageOpenRawPriceComputation =
				numOfDaysForAverageOpenRawPriceComputation;
			this.minPrice = minPrice;
			this.maxPrice = maxPrice;
		}

		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, 0.0001,100);
      SelectorByLiquidity mostLiquidSelector =
      	new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
        false, endOfDayHistory.FirstEndOfDayDateTime.DateTime, currentDate,
        this.maxNumberOfEligibleTickersToBeChosen);
      SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection = 
        new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
        false, endOfDayHistory.History,
        this.maxNumberOfEligibleTickersToBeChosen);
			
      return
				new EligibleTickers( quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers() );
		}
		
		private void getEligibleTickers_sendNewMessage(
			EligibleTickers eligibleTickers )
		{
			string message = "Number of Eligible tickers: " +
				eligibleTickers.Count;
			NewMessageEventArgs newMessageEventArgs =
				new NewMessageEventArgs( message );
			if(this.NewMessage != null)
				this.NewMessage( this , newMessageEventArgs );
		}
		
		/// <summary>
		/// Returns the eligible tickers
		/// </summary>
		/// <returns></returns>
		public EligibleTickers GetEligibleTickers(
			EndOfDayHistory endOfDayHistory )
		{
			EligibleTickers eligibleTickers =
				this.getEligibleTickers_actually( endOfDayHistory );
			this.getEligibleTickers_sendNewMessage( eligibleTickers );
			return eligibleTickers;
		}
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23339/a2_Strategies/Eligibles

Modified Files:
	MostLiquidAndLessVolatile.cs 
Log Message:
Added Description property to the IEligiblesSelector interface.
The implementation for the Description property has to be done ...

Index: MostLiquidAndLessVolatile.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/MostLiquidAndLessVolatile.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** MostLiquidAndLessVolatile.cs	19 Jan 2008 17:43:04 -0000	1.1
--- MostLiquidAndLessVolatile.cs	6 Feb 2008 22:56:37 -0000	1.2
***************
*** 42,45 ****
--- 42,53 ----
  		private int maxNumberOfEligibleTickersToBeChosen;
  
+ 		private string description;
+ 		public string Description
+ 		{
+ 			get{
+ 				return "Change me!";
+ 			}
+ 		}
+ 		
  		/// <summary>
  		/// Selects the most liquid and less volatile within the given

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22908/a2_Strategies/Eligibles

Modified Files:
	IEligiblesSelector.cs 
Log Message:
Added Description property to the IEligiblesSelector interface

Index: IEligiblesSelector.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles/IEligiblesSelector.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IEligiblesSelector.cs	19 Jan 2008 17:41:11 -0000	1.1
--- IEligiblesSelector.cs	6 Feb 2008 22:55:35 -0000	1.2
***************
*** 47,50 ****
--- 47,56 ----
  		EligibleTickers GetEligibleTickers(
  			EndOfDayHistory endOfDayHistory );
+ 		
+ 		/// <summary>
+ 		/// short text description for the eligiblesSelector
+ 		/// (it might be used for saving logs for strategies)
+ 		/// </summary>
+ 		string Description { get; }
  	}
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22045/a2_Strategies

Modified Files:
	Benchmark.cs 
Log Message:
Added GetEndOfDayHistory method.

Index: Benchmark.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Benchmark.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** Benchmark.cs	19 Jan 2008 17:33:45 -0000	1.1
--- Benchmark.cs	6 Feb 2008 22:53:54 -0000	1.2
***************
*** 99,102 ****
--- 99,133 ----
  		}
  
+ 		/// <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();
+ 				}
+ 				else
+ 				{
+ 					endOfDayDateTimeToAddToHistory =
+ 						endOfDayDateTimeToAddToHistory.GetNextMarketStatusSwitch();
+ 				}
+ 			}
+ 			return endOfDayHistory;
+ 		}
+ 		
  	}
  }

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies AccountManager.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv21099/a2_Strategies

Modified Files:
	AccountManager.cs 
Log Message:
Improved description for one parameter in OpenPositions method

Index: AccountManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/AccountManager.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** AccountManager.cs	6 Feb 2008 20:42:12 -0000	1.5
--- AccountManager.cs	6 Feb 2008 22:51:22 -0000	1.6
***************
*** 86,94 ****
  		/// opening positions provided by the given weightedPositions
  		/// </summary>
  		static public void OpenPositions(WeightedPositions weightedPositions,
! 																		 Account account, double cashToAdd)
  		{
! 			if(account.CashAmount == 0.0 && account.Transactions.Count == 0)
! 				account.AddCash(cashToAdd);
  			if(weightedPositions == null || account == null)
  				throw new Exception("Both parameters have to be set to valid objects!");
--- 86,98 ----
  		/// opening positions provided by the given weightedPositions
  		/// </summary>
+ 		/// <param name="weightedPositions"></param>
+ 		/// <param name="account"></param>
+ 		/// <param name="initialCashForTheAccount">The initial cash for the account
+ 		/// with no transactions at all (totally empty account)</param>
  		static public void OpenPositions(WeightedPositions weightedPositions,
! 																		 Account account, double initialCashIfTheAccountIsEmpty)
  		{
! 			if(account.Transactions.Count == 0)
! 				account.AddCash(initialCashIfTheAccountIsEmpty);
  			if(weightedPositions == null || account == null)
  				throw new Exception("Both parameters have to be set to valid objects!");

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies AccountManager.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv28657/a2_Strategies

Modified Files:
	AccountManager.cs 
Log Message:
Added a new Overloaded method for OpenPositions: it is now possible to add cash.

Index: AccountManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/AccountManager.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** AccountManager.cs	14 Jan 2008 23:23:05 -0000	1.4
--- AccountManager.cs	6 Feb 2008 20:42:12 -0000	1.5
***************
*** 83,103 ****
      }
      /// <summary>
!   	/// Modifies the state for the given account,
!   	/// opening positions provided by the given weightedPositions
!   	/// </summary>
!     static public void OpenPositions(WeightedPositions weightedPositions,
!                                      Account account)
!     {
  			if(account.CashAmount == 0.0 && account.Transactions.Count == 0)
! 				account.AddCash(15000);
  			if(weightedPositions == null || account == null)
  				throw new Exception("Both parameters have to be set to valid objects!");
  			orders.Clear();
  			double valueToInvestInPositions = account.CashAmount;
!     	foreach(WeightedPosition weightedPosition in weightedPositions.Values)
!       	addWeightedPositionToOrderList( weightedPosition, account, valueToInvestInPositions );
!       foreach(object item in orders)
!       	account.AddOrder( (Order)item );
!     }
      #endregion
  
--- 83,113 ----
      }
      /// <summary>
! 		/// Modifies the state for the given account,
! 		/// opening positions provided by the given weightedPositions
! 		/// </summary>
! 		static public void OpenPositions(WeightedPositions weightedPositions,
! 																		 Account account, double cashToAdd)
! 		{
  			if(account.CashAmount == 0.0 && account.Transactions.Count == 0)
! 				account.AddCash(cashToAdd);
  			if(weightedPositions == null || account == null)
  				throw new Exception("Both parameters have to be set to valid objects!");
  			orders.Clear();
  			double valueToInvestInPositions = account.CashAmount;
! 			foreach(WeightedPosition weightedPosition in weightedPositions.Values)
! 				addWeightedPositionToOrderList( weightedPosition, account, valueToInvestInPositions );
! 			foreach(object item in orders)
! 				account.AddOrder( (Order)item );
! 		}
! 
! 		/// <summary>
! 		/// Modifies the state for the given account,
! 		/// opening positions provided by the given weightedPositions
! 		/// </summary>
! 		static public void OpenPositions(WeightedPositions weightedPositions,
! 																		 Account account)
! 		{
! 			OpenPositions(weightedPositions, account, 15000);
! 		}
      #endregion
  

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables StatisticsSummary.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27773/a1_Financial/a2_Accounting/h5_Reporting/Tables

Added Files:
	StatisticsSummary.cs 
Log Message:
Added new tab page to Report: StatisticsSummary and the skeleton file for 
a new row for this Tab Page (AverageReturnOnMonday, that has not been implemented yet) 

--- NEW FILE: StatisticsSummary.cs ---
using System;
using System.Data;
using System.Reflection;
using System.Runtime.Serialization;

using QuantProject.ADT;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Instruments;
using QuantProject.Business.Financial.Accounting.Reporting;
using QuantProject.Business.Financial.Accounting.Reporting.StatisticsSummaryRows;

namespace QuantProject.Business.Financial.Accounting.Reporting.Tables
{
	/// <summary>
	/// Summary description for StatisticsSummary.
	/// </summary>
  [Serializable]
  public class StatisticsSummary : ReportTable, ISerializable
  {
    private AccountReport accountReport;
		private IHistoricalQuoteProvider historicalQuoteProvider;
    
		private AverageReturnOnMonday averageReturnOnMonday;

		public AccountReport AccountReport
    {
      get { return accountReport; }
    }
    
		public AverageReturnOnMonday AverageReturnOnMonday
		{
			get { return this.averageReturnOnMonday; }
		}

		private void statisticsSummary( AccountReport accountReport )
		{
			this.accountReport = accountReport;
			this.getStatisticsSummary();
		}
		
		public StatisticsSummary( AccountReport accountReport ) :
			base( accountReport.Name + " - StatisticsSummary" )
		{
			this.statisticsSummary( accountReport );
		}
		public StatisticsSummary( AccountReport accountReport ,
			IHistoricalQuoteProvider historicalDataProvider ) :
			base( accountReport.Name + " - StatisticsSummary" )
		{
			this.historicalQuoteProvider = historicalDataProvider;
			this.statisticsSummary( accountReport );
		}

		#region Serialization

		/// <summary>
		/// This constructor allows custom deserialization (see the ISerializable
		/// interface documentation)
		/// </summary>
		/// <param name="info"></param>
		/// <param name="context"></param>
		protected StatisticsSummary( SerializationInfo info , StreamingContext context ) :
							base( "Summary" )
		{
			// get the set of serializable members for this class and its base classes
			Type thisType = this.GetType();
			MemberInfo[] mi = FormatterServices.GetSerializableMembers(
				thisType , context);

			// deserialize the fields from the info object
			for (Int32 i = 0 ; i < mi.Length; i++) 
			{
				FieldInfo fieldInfo = (FieldInfo) mi[i];

				// set the field to the deserialized value
				try
				{
					fieldInfo.SetValue( this ,
						info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
				}
				catch(Exception ex)
				{ex = ex;}
			}
		}
		
		/// <summary>
		/// serialize the set of serializable members for this class and base classes
		/// </summary>
		/// <param name="info"></param>
		/// <param name="context"></param>
		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));
			}
		}
		#endregion

    #region "getStatisticsSummary"

    private void getStatisticsSummary()
    {
			if ( this.accountReport.Equity.DataTable.Rows.Count == 0 )
				throw new Exception( "A StatisticsSummary computation has been requested, but the equity line is empty" );
      
			this.averageReturnOnMonday = new AverageReturnOnMonday(this);
    }

    #endregion

	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows AverageReturnOnMonday.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27773/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows

Added Files:
	AverageReturnOnMonday.cs 
Log Message:
Added new tab page to Report: StatisticsSummary and the skeleton file for 
a new row for this Tab Page (AverageReturnOnMonday, that has not been implemented yet) 

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

AverageReturnOnMonday.cs
Copyright (C) 2008 
Marco Milletti

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 QuantProject.ADT.Histories;
using QuantProject.ADT.Statistics;
using QuantProject.Data.DataTables;
using QuantProject.Business.Financial.Accounting.Reporting.Tables;
using QuantProject.Business.Financial.Accounting.Reporting.SummaryRows;

namespace QuantProject.Business.Financial.Accounting.Reporting.StatisticsSummaryRows
{
	/// <summary>
	/// Summary row containing the average return of the strategy on Monday
	/// </summary>
	[Serializable]
	public class AverageReturnOnMonday : DoubleSummaryRow
	{
		public AverageReturnOnMonday( StatisticsSummary statisticsSummary ) : base( 2 )
		{
			this.rowDescription = "Average return on Monday";
//			int totalNumberOfTransactions = statisticsSummary.AccountReport.TransactionTable.DataTable.Rows.Count;
			//it has to be implemented yet
//			History marketDays = Quotes.GetMarketDays(
//				statisticsSummary.AccountReport.Benchmark,
//				statisticsSummary.AccountReport.StartDateTime,
//				statisticsSummary.AccountReport.EndDateTime.DateTime);
//			DateTime date;
//			for(int i = 0; i<marketDays.Count; i++)
//			{
//				date = marketDays.GetDateTime(i);
//			}

//			this.rowValue = (double)totalNumberOfTransactions / (double)marketDays.Count;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs, 1.20, 1.21

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv26359/a1_Financial/a2_Accounting/h5_Reporting

Modified Files:
	AccountReport.cs 
Log Message:
Added code for deserialization.

Index: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.20
retrieving revision 1.21
diff -C2 -d -r1.20 -r1.21
*** AccountReport.cs	28 Jan 2008 21:30:58 -0000	1.20
--- AccountReport.cs	6 Feb 2008 20:37:19 -0000	1.21
***************
*** 26,30 ****
--- 26,32 ----
  using System.Collections;
  using System.Reflection;
+ using System.Runtime.Serialization;
  using System.Runtime.InteropServices;
+ 
  using QuantProject.ADT;
  using QuantProject.ADT.Histories;
***************
*** 41,45 ****
  	/// </summary>
  	[Serializable]
! 	public class AccountReport
  	{
      private Account account;
--- 43,47 ----
  	/// </summary>
  	[Serializable]
! 	public class AccountReport : ISerializable
  	{
      private Account account;
***************
*** 57,60 ****
--- 59,63 ----
  		private EquityLine equityLine;
      private Tables.Summary summary;
+ 		private Tables.StatisticsSummary statisticsSummary;
  
      public string Name
***************
*** 118,121 ****
--- 121,128 ----
        get { return summary; }
      }
+ 		public Tables.StatisticsSummary StatisticsSummary
+ 		{
+ 			get { return this.statisticsSummary; }
+ 		}
      public DateTime StartDateTime
      {
***************
*** 300,307 ****
--- 307,362 ----
        //this.summary = getSummary( reportName );
        this.summary = new Tables.Summary( this , historicalQuoteProvider );
+ 			this.statisticsSummary = new Tables.StatisticsSummary( this, historicalQuoteProvider );
        return this;
      }
  		#endregion
  
+ 		#region Serialization
+ 
+ 		/// <summary>
+ 		/// This constructor allows custom deserialization (see the ISerializable
+ 		/// interface documentation)
+ 		/// </summary>
+ 		/// <param name="info"></param>
+ 		/// <param name="context"></param>
+ 		protected AccountReport( SerializationInfo info , StreamingContext context ) :
+ 																base( )
+ 		{
+ 			// get the set of serializable members for this class and its base classes
+ 			Type thisType = this.GetType();
+ 			MemberInfo[] mi = FormatterServices.GetSerializableMembers(
+ 				thisType , context);
+ 
+ 			// deserialize the fields from the info object
+ 			for (Int32 i = 0 ; i < mi.Length; i++) 
+ 			{
+ 				FieldInfo fieldInfo = (FieldInfo) mi[i];
+ 				// set the field to the deserialized value
+ 				try
+ 				{
+ 					fieldInfo.SetValue( this ,
+ 					info.GetValue( fieldInfo.Name, fieldInfo.FieldType ) );
+ 				}
+ 				catch(Exception ex)
+ 					{ex = ex;}
+ 			}
+ 		}
+ 		
+ 		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));
+ 			}
+ 		}
+ 		#endregion
+ 
      public AccountReport Create( string reportName , long numDaysForInterval ,
        EndOfDayDateTime endDateTime )

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/OutOfSample - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/OutOfSample
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24728/OutOfSample

Log Message:
Directory /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/OutOfSample added to the repository

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/StatisticsSummaryRows
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24288/StatisticsSummaryRows

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

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv5267

Added Files:
	MissingCorrelationException.cs 
Log Message:
MissingCorrelationException has been added

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

MissingCorrelationException.cs
Copyright (C) 2008 
Marco Milletti

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.Business.Strategies.TickersRelationships
{
	/// <summary>
	/// Thrown when a correlation is requested for two given tickers,
	/// but it has not be computed by the CorrelationProvider
	/// </summary>
	public class MissingCorrelationException : Exception
	{
		private string firstTicker;
		private string secondTicker;
		public override string Message
		{
			get
			{
				return "Missing correlation for tickers: " +
					this.firstTicker + " , " + this.secondTicker;
			}
		}
		public MissingCorrelationException( string firstTicker , string secondTicker )
		{
			this.firstTicker = firstTicker;
			this.secondTicker = secondTicker;
		}
	}
}

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv4811/b4_Business/a2_Strategies/TickersRelationships

Modified Files:
	CorrelationProvider.cs 
Log Message:
GetPearsonCorrelation method has been improved (control and efficiency)

Index: CorrelationProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/TickersRelationships/CorrelationProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** CorrelationProvider.cs	14 Jan 2008 23:02:30 -0000	1.1
--- CorrelationProvider.cs	30 Jan 2008 23:11:32 -0000	1.2
***************
*** 178,182 ****
  		public double GetPearsonCorrelation(string firstTicker, string secondTicker)
  		{
!     	double returnValue = -2.0;
  			if( this.pearsonCorrelations == null )
  				this.getOrderedTickersPearsonCorrelations_setCorrelations();
--- 178,182 ----
  		public double GetPearsonCorrelation(string firstTicker, string secondTicker)
  		{
!     	double returnValue = double.NaN;
  			if( this.pearsonCorrelations == null )
  				this.getOrderedTickersPearsonCorrelations_setCorrelations();
***************
*** 188,195 ****
      		     (this.pearsonCorrelations[i].FirstTicker == secondTicker &&
      		      this.pearsonCorrelations[i].SecondTicker == firstTicker) )
!     			returnValue = this.pearsonCorrelations[i].CorrelationValue;
      	}
!     	
!     	return returnValue;
  		}
  
--- 188,200 ----
      		     (this.pearsonCorrelations[i].FirstTicker == secondTicker &&
      		      this.pearsonCorrelations[i].SecondTicker == firstTicker) )
!     		{
! 					returnValue = this.pearsonCorrelations[i].CorrelationValue;
! 					i = this.pearsonCorrelations.Length;//exit from for
! 				}
      	}
!     	if( double.IsNaN(returnValue) )
! 				throw new MissingCorrelationException(firstTicker, secondTicker);
! 			
! 			return returnValue;
  		}
  

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalRawQuoteProvider.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15622/b4_Business/a07_DataProviders

Modified Files:
	HistoricalRawQuoteProvider.cs 
Log Message:
The ShortDescription property is overridden and implemented

Index: HistoricalRawQuoteProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalRawQuoteProvider.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** HistoricalRawQuoteProvider.cs	16 Sep 2007 21:54:40 -0000	1.3
--- HistoricalRawQuoteProvider.cs	28 Jan 2008 21:50:56 -0000	1.4
***************
*** 34,37 ****
--- 34,45 ----
    public class HistoricalRawQuoteProvider : HistoricalQuoteProvider
  	{
+ 		public override string ShortDescription
+ 		{
+ 			get
+ 			{
+ 				return "raw";
+ 			}
+ 		}
+ 
  		public HistoricalRawQuoteProvider()
  		{

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalAdjustedQuoteProvider.cs, 1.4, 1.5

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15587/b4_Business/a07_DataProviders

Modified Files:
	HistoricalAdjustedQuoteProvider.cs 
Log Message:
The ShortDescription property is overridden and implemented

Index: HistoricalAdjustedQuoteProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalAdjustedQuoteProvider.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** HistoricalAdjustedQuoteProvider.cs	7 Oct 2007 13:13:52 -0000	1.4
--- HistoricalAdjustedQuoteProvider.cs	28 Jan 2008 21:50:40 -0000	1.5
***************
*** 34,37 ****
--- 34,45 ----
  	public class HistoricalAdjustedQuoteProvider : HistoricalQuoteProvider
  	{
+ 		public override string ShortDescription
+ 		{
+ 			get
+ 			{
+ 				return "adj";
+ 			}
+ 		}
+ 
  		public HistoricalAdjustedQuoteProvider()
  		{

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalQuoteProvider.cs, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15113/b4_Business/a07_DataProviders

Modified Files:
	HistoricalQuoteProvider.cs 
Log Message:
The read only ShortDescription property is now given as an abstract property

Index: HistoricalQuoteProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/HistoricalQuoteProvider.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** HistoricalQuoteProvider.cs	7 Oct 2007 13:14:19 -0000	1.3
--- HistoricalQuoteProvider.cs	28 Jan 2008 21:49:46 -0000	1.4
***************
*** 33,36 ****
--- 33,38 ----
  	public abstract class HistoricalQuoteProvider : IHistoricalQuoteProvider
  	{
+ 		public abstract string ShortDescription { get; }
+ 
  		public HistoricalQuoteProvider()
  		{

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders IHistoricalQuoteProvider.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14236/b4_Business/a07_DataProviders

Modified Files:
	IHistoricalQuoteProvider.cs 
Log Message:
The read only ShortDescription property is now requested by the interface

Index: IHistoricalQuoteProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/IHistoricalQuoteProvider.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** IHistoricalQuoteProvider.cs	16 Sep 2007 21:49:27 -0000	1.2
--- IHistoricalQuoteProvider.cs	28 Jan 2008 21:48:01 -0000	1.3
***************
*** 50,53 ****
--- 50,57 ----
  		EndOfDayHistory GetEndOfDayQuotes( string ticker ,
  			EndOfDayHistory endOfDayHistory );
+ 		/// <summary>
+ 		/// Short description: it might be used for file names
+ 		/// </summary>
+ 		string ShortDescription { get; }
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLengthTwoPhasesStrategy.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13900/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases

Modified Files:
	FixedLengthTwoPhasesStrategy.cs 
Log Message:
The property DescriptionForLogFileName has been improved

Index: FixedLengthTwoPhasesStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesStrategy.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** FixedLengthTwoPhasesStrategy.cs	19 Jan 2008 18:37:15 -0000	1.1
--- FixedLengthTwoPhasesStrategy.cs	28 Jan 2008 21:47:02 -0000	1.2
***************
*** 81,87 ****
  			{
  				string descriptionForLogFileName =
! 					"WFOTC_" +
! 					"oS_" + this.numDaysBeetweenEachOtpimization + "_" +
! 					this.inSampleChooser.Description;
  				return descriptionForLogFileName;
  			}
--- 81,88 ----
  			{
  				string descriptionForLogFileName =
! 					"WFFLPT_" +
! 					"nmDysBtwnOptmztns_" + this.numDaysBeetweenEachOtpimization +
! 					"_iS_" +	this.inSampleChooser.Description +
! 					"_oS_longOnly";
  				return descriptionForLogFileName;
  			}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases FixedLengthTwoPhasesMain.cs, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13305/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases

Modified Files:
	FixedLengthTwoPhasesMain.cs 
Log Message:
- the private method showReport() now uses the AccountReport created by the backtester
- a new tickers' group has been added, in order to perform really fast backtesting

Index: FixedLengthTwoPhasesMain.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/FixedLengthTwoPhasesMain.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** FixedLengthTwoPhasesMain.cs	27 Jan 2008 02:30:30 -0000	1.2
--- FixedLengthTwoPhasesMain.cs	28 Jan 2008 21:45:31 -0000	1.3
***************
*** 71,80 ****
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
  		{			
! 			DateTime lastReportDateTime = ExtendedDateTime.Min(
! 				lastDateTimeRequestedForTheScript ,
! 				endOfDayStrategyBackTester.EndOfDayTimer.GetCurrentTime().DateTime );
  			Report report = new Report(
! 				endOfDayStrategyBackTester.Account ,
! 				endOfDayStrategyBackTester.HistoricalQuoteProvider );
  			report.Create( endOfDayStrategyBackTester.DescriptionForLogFileName , 1 ,
  				new EndOfDayDateTime( lastReportDateTime ,
--- 71,82 ----
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester )
  		{			
! //			DateTime lastReportDateTime = ExtendedDateTime.Min(
! //				lastDateTimeRequestedForTheScript ,
! //				endOfDayStrategyBackTester.EndOfDayTimer.GetCurrentTime().DateTime );
! 			DateTime lastReportDateTime =
! 				endOfDayStrategyBackTester.ActualLastDateTime;
  			Report report = new Report(
! 				endOfDayStrategyBackTester.AccountReport ,
! 				true );
  			report.Create( endOfDayStrategyBackTester.DescriptionForLogFileName , 1 ,
  				new EndOfDayDateTime( lastReportDateTime ,
***************
*** 89,101 ****
  			double cashToStart = 30000;
  
! //			int numberOfPortfolioPositions = 4;
! //			int inSampleDays = 90;
! //			string tickersGroupId = "SP500";
  			
  			// uncomment the following three lines for faster scripts
! 			int numberOfPortfolioPositions = 2;
! 			int inSampleDays = 30;
! //			string tickersGroupId = "millo";
! 			string tickersGroupId = "fastTest";
  
        Benchmark benchmark = new Benchmark( "MSFT" );
--- 91,103 ----
  			double cashToStart = 30000;
  
! 			int numberOfPortfolioPositions = 2;
! 			int inSampleDays = 90;
! 			string tickersGroupId = "SP500";
  			
  			// uncomment the following three lines for faster scripts
! //			int numberOfPortfolioPositions = 2;
! //			int inSampleDays = 30;
! ////			string tickersGroupId = "millo";
! //			string tickersGroupId = "fastTest";
  
        Benchmark benchmark = new Benchmark( "MSFT" );
***************
*** 116,121 ****
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 3000;
! 			int generationNumberForGeneticOptimizer = 5;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
--- 118,123 ----
  			double mutationRate = 0.02;
  			double elitismRate = 0.001;
! 			int populationSizeForGeneticOptimizer = 30000;
! 			int generationNumberForGeneticOptimizer = 8;
  			int seedForRandomGenerator =
  				QuantProject.ADT.ConstantsProvider.SeedForRandomGenerator;
***************
*** 143,148 ****
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 2 );
! 			DateTime lastDateTime = new DateTime( 2001 , 1 , 7 );
! 			double maxRunningHours = 0.2;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(
--- 145,150 ----
  
  			DateTime firstDateTime = new DateTime( 2001 , 1 , 2 );
! 			DateTime lastDateTime = new DateTime( 2004 , 12 , 31 );
! 			double maxRunningHours = 7;
  			EndOfDayStrategyBackTester endOfDayStrategyBackTester =
  				new EndOfDayStrategyBackTester(

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic FixedLengthTwoPhasesGeneticChooser.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11624/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic

Modified Files:
	FixedLengthTwoPhasesGeneticChooser.cs 
Log Message:
The property Description has been improved

Index: FixedLengthTwoPhasesGeneticChooser.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/FixedLengthTwoPhases/InSampleChoosers/Genetic/FixedLengthTwoPhasesGeneticChooser.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** FixedLengthTwoPhasesGeneticChooser.cs	19 Jan 2008 18:41:03 -0000	1.1
--- FixedLengthTwoPhasesGeneticChooser.cs	28 Jan 2008 21:41:52 -0000	1.2
***************
*** 64,68 ****
  			get
  			{
! 				string description = "geneticOTCCTO";
  				return description;
  			}
--- 64,71 ----
  			get
  			{
! 				string description = "genetic_" +
! 					"longOnly_" +
! 					"gnrtnSz_" + this.populationSizeForGeneticOptimizer +
! 					"_gnrtnNmbr_" + this.generationNumberForGeneticOptimizer;
  				return description;
  			}

[Quantproject-developers] QuantProject/b1_ADT ExtendedDateTime.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11193/b1_ADT

Modified Files:
	ExtendedDateTime.cs 
Log Message:
The new method
public static string GetCompleteShortDescriptionForFileName( DateTime dateTime )
has been added


Index: ExtendedDateTime.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ExtendedDateTime.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** ExtendedDateTime.cs	27 Jan 2008 02:29:36 -0000	1.5
--- ExtendedDateTime.cs	28 Jan 2008 21:40:38 -0000	1.6
***************
*** 105,108 ****
--- 105,109 ----
  		/// <summary>
  		/// Returns a DateTime short description suitable for file names (no slashes)
+ 		/// hours, minutes and seconds are NOT displayed
  		/// </summary>
  		/// <returns></returns>
***************
*** 117,120 ****
--- 118,136 ----
  		}
  		/// <summary>
+ 		/// Returns a DateTime short description suitable for file names (no slashes)
+ 		/// hours, minutes and seconds are displayed also
+ 		/// </summary>
+ 		/// <returns></returns>
+ 		public static string GetCompleteShortDescriptionForFileName(
+ 			DateTime dateTime )
+ 		{
+ 			string stringForFileName =
+ 				GetShortDescriptionForFileName( dateTime ) + "_" +
+ 				dateTime.Hour.ToString() + "_" +
+ 				dateTime.Minute.ToString().PadLeft( 2 , '0' ) + "_" +
+ 				dateTime.Second.ToString().PadLeft( 2 , '0' );
+ 			return stringForFileName;
+ 		}
+ 		/// <summary>
  		/// Returns the earliest date
  		/// </summary>

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv10735/b4_Business/a2_Strategies

Modified Files:
	EndOfDayStrategyBackTester.cs 
Log Message:
- the ActualLastDateTime property has been added
- the property AccountReport has been added
- the property DescriptionForLogFileName has been improved
- an AccountReport is now created when the backtest is completed

Index: EndOfDayStrategyBackTester.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/EndOfDayStrategyBackTester.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** EndOfDayStrategyBackTester.cs	27 Jan 2008 02:27:46 -0000	1.2
--- EndOfDayStrategyBackTester.cs	28 Jan 2008 21:39:42 -0000	1.3
***************
*** 28,31 ****
--- 28,32 ----
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Accounting;
+ using QuantProject.Business.Financial.Accounting.Reporting;
  using QuantProject.Business.Financial.Ordering;
  using QuantProject.Business.Strategies.Logging;
***************
*** 52,57 ****
--- 53,61 ----
  		private DateTime startingTimeForScript;
  		private IEndOfDayTimer endOfDayTimer;
+ 		private DateTime actualLastDateTime;
  		private Account account;
+ 		private AccountReport accountReport;
  		private BackTestLog backTestLog;
+ 		private DateTime realDateTimeWhenTheBackTestIsStopped;
  
  		public IHistoricalQuoteProvider HistoricalQuoteProvider
***************
*** 63,69 ****
  			get { return this.benchmark; }
  		}
  		public Account Account
  		{
! 			get { return this.account; }
  		}
  		public BackTestLog Log
--- 67,100 ----
  			get { return this.benchmark; }
  		}
+ 		/// <summary>
+ 		/// Returns the dimulated DateTime when the backtest is stopped
+ 		/// (not the real time)
+ 		/// </summary>
+ 		public DateTime ActualLastDateTime
+ 		{
+ 			get
+ 			{
+ 				this.checkThisPropertyRequiresBacktestIsCompleted();
+ 				return this.actualLastDateTime;
+ 			}
+ 		}
  		public Account Account
  		{
! 			get
! 			{
! 				return this.account;
! 			}
! 		}
! 		/// <summary>
! 		/// Once the backtest is completed, this property returns the
! 		/// AccountReport for the internal Account
! 		/// </summary>
! 		public AccountReport AccountReport
! 		{
! 			get
! 			{
! 				this.checkThisPropertyRequiresBacktestIsCompleted();
! 				return this.accountReport;
! 			}
  		}
  		public BackTestLog Log
***************
*** 89,97 ****
  			{
  				string description =
! 					this.backTestID + "_" +
  					"from_" +
  					ExtendedDateTime.GetShortDescriptionForFileName( this.firstDateTime ) +
  					"_to_" +
! 					ExtendedDateTime.GetShortDescriptionForFileName( this.lastDateTime ) +
  					"_strtgy_" + this.endOfDayStrategy.DescriptionForLogFileName;
  				return description;
--- 120,132 ----
  			{
  				string description =
! 					ExtendedDateTime.GetCompleteShortDescriptionForFileName(
! 					this.realDateTimeWhenTheBackTestIsStopped ) + "_" +
  					"from_" +
  					ExtendedDateTime.GetShortDescriptionForFileName( this.firstDateTime ) +
  					"_to_" +
! 					ExtendedDateTime.GetShortDescriptionForFileName( this.actualLastDateTime ) +
! 					"_annlRtrn_" + this.AccountReport.Summary.AnnualSystemPercentageReturn.FormattedValue +
! 					"_maxDD_" + this.AccountReport.Summary.MaxEquityDrawDown.FormattedValue +
! 					"_qtPrvdr_" + this.historicalQuoteProvider.ShortDescription +
  					"_strtgy_" + this.endOfDayStrategy.DescriptionForLogFileName;
  				return description;
***************
*** 99,102 ****
--- 134,145 ----
  		}
  
+ 		private void checkThisPropertyRequiresBacktestIsCompleted()
+ 		{
+ 			if ( this.actualLastDateTime == DateTime.MinValue )
+ 				// the timer has not been stopped yet
+ 				throw new Exception( "This property cannot be invoked " +
+ 					"while the backtest is still running!" );
+ 		}
+ 
  		public EndOfDayStrategyBackTester( string backTestID ,
  			IEndOfDayStrategyForBacktester endOfDayStrategy ,
***************
*** 120,123 ****
--- 163,168 ----
  			this.backTestLog = new BackTestLog( backTestID , firstDateTime ,
  				lastDateTime , benchmark );
+ 			this.actualLastDateTime = DateTime.MinValue;
+ 			this.realDateTimeWhenTheBackTestIsStopped = DateTime.MinValue;
  		}
  
***************
*** 237,247 ****
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			DateTime currentTime =
! 				( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime;
! 			if ( this.isTimeToStop( currentTime ) )
  			{
  				// either the simulation has reached the ending date or
  				// too much time elapsed since the simulation started
  				this.endOfDayTimer.Stop();
  				//				this.progressBarForm.Close();
  				//				ObjectArchiver.Archive( this.account ,
--- 282,302 ----
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			EndOfDayDateTime currentEndOfDayDateTime =
! 				( ( IEndOfDayTimer )sender ).GetCurrentTime();
! 			DateTime currentDateTime = currentEndOfDayDateTime.DateTime;
! 			if ( this.isTimeToStop( currentDateTime ) )
  			{
  				// either the simulation has reached the ending date or
  				// too much time elapsed since the simulation started
+ 				this.actualLastDateTime =
+ 					ExtendedDateTime.Min( this.lastDateTime , currentDateTime );
  				this.endOfDayTimer.Stop();
+ 				this.realDateTimeWhenTheBackTestIsStopped = DateTime.Now;
+ 				this.accountReport = this.account.CreateReport(
+ 					"" ,
+ 					1 , currentEndOfDayDateTime , this.benchmark.Ticker ,
+ 					this.historicalQuoteProvider );
+ 				this.accountReport.Name = this.DescriptionForLogFileName;
+ 
  				//				this.progressBarForm.Close();
  				//				ObjectArchiver.Archive( this.account ,

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs, 1.19, 1.20

[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-serv6910/b4_Business/a1_Financial/a2_Accounting/h5_Reporting

Modified Files:
	AccountReport.cs 
Log Message:
The Name property can also be written now

Index: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** AccountReport.cs	27 Jan 2008 02:25:43 -0000	1.19
--- AccountReport.cs	28 Jan 2008 21:30:58 -0000	1.20
***************
*** 60,65 ****
      public string Name
      {
!       get { return reportName; }
!     }    
      public EndOfDayDateTime EndDateTime
      {
--- 60,66 ----
      public string Name
      {
! 			get { return this.reportName; }
! 			set { this.reportName = value; }
! 		}    
      public EndOfDayDateTime EndDateTime
      {

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm Report.cs, 1.17, 1.18

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv23549/b5_Presentation/Reporting/WindowsForm

Modified Files:
	Report.cs 
Log Message:
Now the accountReport description is used for:
- the title of the report's form
- the default file name for the save dialogs

Index: Report.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/Report.cs,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** Report.cs	31 May 2006 14:31:32 -0000	1.17
--- Report.cs	27 Jan 2008 02:35:15 -0000	1.18
***************
*** 132,135 ****
--- 132,136 ----
  			this.Width = 700;
  			this.Height = 500;
+ 			this.Text = this.accountReport.Description;
  			this.reportTabControl = new ReportTabControl( this.accountReport ,
  				showBenchmark );
***************
*** 239,242 ****
--- 240,245 ----
        //menu item clicked by the user
        this.saveFileDialog.CheckPathExists = true;
+ 
+ 			this.saveFileDialog.FileName = this.Text;
     }