quantproject-developers

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18686/b4_Business/a07_DataProviders

Modified Files:
	IHistoricalQuoteProvider.cs 
Log Message:
The following method has been added to the interface:
EndOfDayHistory GetEndOfDayQuotes( string ticker , EndOfDayHistory endOfDayHistory );
An implementation of such method returns the historical market values for the given instrument: a quote is returned for every EndOfDayDateTime in endOfDayHistory


Index: IHistoricalQuoteProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a07_DataProviders/IHistoricalQuoteProvider.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IHistoricalQuoteProvider.cs	9 Jan 2005 23:29:41 -0000	1.1
--- IHistoricalQuoteProvider.cs	16 Sep 2007 21:49:27 -0000	1.2
***************
*** 41,45 ****
  		/// <param name="endOfDayDateTime">end of day date time for the market evaluation</param>
  		/// <returns></returns>
!     double GetMarketValue( string instrumentKey , EndOfDayDateTime endOfDayDateTime );
  	}
  }
--- 41,53 ----
  		/// <param name="endOfDayDateTime">end of day date time for the market evaluation</param>
  		/// <returns></returns>
!     double GetMarketValue( string instrumentKey ,
! 			EndOfDayDateTime endOfDayDateTime );
! 		/// <summary>
! 		/// Returns the historical market values for the given instrument:
! 		/// a quote is returned for every EndOfDayDateTime in
! 		/// endOfDayHistory
! 		/// </summary>
! 		EndOfDayHistory GetEndOfDayQuotes( string ticker ,
! 			EndOfDayHistory endOfDayHistory );
  	}
  }

[Quantproject-developers] QuantProject/b7_Scripts b7_Scripts.csproj, 1.76, 1.77

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17332/b7_Scripts

Modified Files:
	b7_Scripts.csproj 
Log Message:
VSNet automatic change

Index: b7_Scripts.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/b7_Scripts.csproj,v
retrieving revision 1.76
retrieving revision 1.77
diff -C2 -d -r1.76 -r1.77
*** b7_Scripts.csproj	29 Aug 2007 10:14:43 -0000	1.76
--- b7_Scripts.csproj	16 Sep 2007 21:46:25 -0000	1.77
***************
*** 2,6 ****
      <CSHARP
          ProjectType = "Local"
!         ProductVersion = "7.0.9955"
          SchemaVersion = "1.0"
          ProjectGuid = "{451DB77D-D4C7-44D1-8047-2920D864A4CD}"
--- 2,6 ----
      <CSHARP
          ProjectType = "Local"
!         ProductVersion = "7.0.9466"
          SchemaVersion = "1.0"
          ProjectGuid = "{451DB77D-D4C7-44D1-8047-2920D864A4CD}"

[Quantproject-developers] QuantProject/b4_Business b4_Business.csproj, 1.46, 1.47

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16839/b4_Business

Modified Files:
	b4_Business.csproj 
Log Message:
- a05_Timing\EndOfDayHistory.cs has been added
- a07_DataProviders\HistoricalQuoteProvider.cs has been added
- a2_Strategies\returnsManagement\CloseToCloseReturnsManager.cs has been removed
- a2_Strategies\returnsManagement\time\CloseToCloseIntervals.cs has been added
- a2_Strategies\returnsManagement\time\ReturnInterval.cs has been added
- a2_Strategies\returnsManagement\time\ReturnIntervals.cs has been added

Index: b4_Business.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/b4_Business.csproj,v
retrieving revision 1.46
retrieving revision 1.47
diff -C2 -d -r1.46 -r1.47
*** b4_Business.csproj	29 Aug 2007 10:10:30 -0000	1.46
--- b4_Business.csproj	16 Sep 2007 21:45:21 -0000	1.47
***************
*** 2,6 ****
      <CSHARP
          ProjectType = "Local"
!         ProductVersion = "7.0.9955"
          SchemaVersion = "1.0"
          ProjectGuid = "{6EE31501-376E-491B-869E-F06D5B7C9C30}"
--- 2,6 ----
      <CSHARP
          ProjectType = "Local"
!         ProductVersion = "7.0.9466"
          SchemaVersion = "1.0"
          ProjectGuid = "{6EE31501-376E-491B-869E-F06D5B7C9C30}"
***************
*** 198,201 ****
--- 198,206 ----
                  />
                  <File
+                     RelPath = "a05_Timing\EndOfDayHistory.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a05_Timing\EndOfDaySpecificTime.cs"
                      SubType = "Code"
***************
*** 233,236 ****
--- 238,246 ----
                  />
                  <File
+                     RelPath = "a07_DataProviders\HistoricalQuoteProvider.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "a07_DataProviders\HistoricalRawQuoteProvider.cs"
                      SubType = "Code"
***************
*** 668,677 ****
                  />
                  <File
!                     RelPath = "a2_Strategies\returnsManagement\CloseToCloseReturnsManager.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "a2_Strategies\returnsManagement\ReturnsManager.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
--- 678,697 ----
                  />
                  <File
!                     RelPath = "a2_Strategies\returnsManagement\ReturnsManager.cs"
                      SubType = "Code"
                      BuildAction = "Compile"
                  />
                  <File
!                     RelPath = "a2_Strategies\returnsManagement\time\CloseToCloseIntervals.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "a2_Strategies\returnsManagement\time\ReturnInterval.cs"
!                     SubType = "Code"
!                     BuildAction = "Compile"
!                 />
!                 <File
!                     RelPath = "a2_Strategies\returnsManagement\time\ReturnIntervals.cs"
                      SubType = "Code"
                      BuildAction = "Compile"

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time ReturnIntervals.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv15551

Added Files:
	ReturnIntervals.cs 
Log Message:
End of day intervals in a timed sequence, i.e. the (n+1)th interval
never begins before the (n)th interval ends. These intervals will
be used to compute the strategy's returns

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

ReturnIntervals.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 System.Collections;

using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies.ReturnsManagement.Time
{
	/// <summary>
	/// End of day intervals in a timed sequence, i.e. the (n+1)th interval
	/// never begins before the (n)th interval ends
	/// </summary>
	public abstract class ReturnIntervals : CollectionBase
	{
		protected EndOfDayDateTime firstEndOfDayDateTime;
		protected EndOfDayDateTime lastEndOfDayDateTime;
		protected string benchmark;

		private EndOfDayHistory bordersHistory;

		public ReturnInterval this[ int index ]  
		{
			get  
			{
				return( (ReturnInterval) this.List[ index ] );
			}
			set  
			{
				this.List[ index ] = value;
			}
		}

		/// <summary>
		/// The end border for the last interval
		/// </summary>
		public EndOfDayDateTime LastEndOfDayDateTime
		{
			get
			{
				return this[ this.Count - 1 ].End;
			}
		}
		/// <summary>
		/// The EndOfDayHistory made up by queuing all
		/// interval's borders
		/// </summary>
		public EndOfDayHistory BordersHistory
		{
			get
			{
				if ( this.bordersHistory == null )
					// the border's history has not been set yet
					this.setBordersHistory();
				return this.bordersHistory;
			}
		}
		/// <summary>
		/// Creates the proper intervals, for the given benchmark, from
		/// the first EndOfDayDateTime to the last EndOfDayDateTime
		/// </summary>
		/// <param name="firstEndOfDayDateTime"></param>
		/// <param name="lastEndOfDayDateTime"></param>
		/// <param name="benchmark"></param>
		public ReturnIntervals( EndOfDayDateTime firstEndOfDayDateTime ,
			EndOfDayDateTime lastEndOfDayDateTime , string benchmark )
		{
			this.firstEndOfDayDateTime = firstEndOfDayDateTime;
			this.lastEndOfDayDateTime = lastEndOfDayDateTime;
			this.benchmark = benchmark;
			this.setIntervals();
		}
		protected abstract void setIntervals();
		/// <summary>
		/// True iff for each interval border, there is an EndOfDayDateTime
		/// value in the history's eod date times that is exactly the same
		/// EndOfDayDateTime as the border value
		/// </summary>
		/// <param name="endOfDayHistory"></param>
		/// <returns></returns>
		public bool AreIntervalBordersAllCoveredBy(
			EndOfDayHistory endOfDayHistory )
		{
			bool areAllCovered = true;
			foreach ( ReturnInterval returnInterval in this  )
				if ( !returnInterval.AreBordersCoveredBy( endOfDayHistory ) )
					areAllCovered = false;
			return areAllCovered;
		}
		#region setBordersHistory
		private bool beginsBeforeTheLastAdded( ReturnInterval
			returnInterval )
		{
			bool beginsBefore =
				( ( this.bordersHistory != null ) &&
				( this.bordersHistory.Count > 0 ) &&
				( returnInterval.BeginsBefore(
				this.bordersHistory.LastEndOfDayDateTime ) ) );
			return beginsBefore;
		}
		private void checkIfTheIntervalIsWellOrdered(
			ReturnInterval returnInterval )
		{
			if ( this.beginsBeforeTheLastAdded( returnInterval ) )
				throw new Exception( "The first border of the given interval " +
					"begins before the last EndOfDayDateTime added to the history" );
		}
		private bool beginsOnTheLastAddedTime( ReturnInterval returnInterval )
		{
			bool returnValue =
        ( ( this.bordersHistory != null ) &&
				( this.bordersHistory.Count > 0 ) &&
				( this.bordersHistory.LastEndOfDayDateTime.CompareTo(
				returnInterval.Begin ) == 0 ) );
			return returnValue;
		}
		private void setEndOfDayHistoryForCurrentInterval(
			ReturnInterval returnInterval )
		{
			this.checkIfTheIntervalIsWellOrdered( returnInterval );
			if ( this.beginsOnTheLastAddedTime( returnInterval ) )
				// the current return interval begins exactly where the
				// previous interval ended (for instance, it happens for
				// CloseToClose intervals)
				this.bordersHistory.Add( returnInterval.End , returnInterval.End );
			else
			{
				// the current return interval begins after the
				// previous interval ended (for instance, it happens for the
				// OpenToClose intervals)
				this.bordersHistory.Add( returnInterval.Begin , returnInterval.Begin );
				this.bordersHistory.Add( returnInterval.End , returnInterval.End );
			}
		}
		private void setBordersHistory()
		{
			this.bordersHistory = new EndOfDayHistory();
			for( int i = 0 ; i < this.Count ; i++ )
				this.setEndOfDayHistoryForCurrentInterval( this[ i ] );
		}
		#endregion setBordersHistory
		public void Add( ReturnInterval returnInterval )
		{
			this.List.Add( returnInterval );
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time ReturnInterval.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv14115

Added Files:
	ReturnInterval.cs 
Log Message:
End of day interval: to be used to compute a strategy return
on the interval. The interval's end must be later than the
interval's begin

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

ReturnInterval.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 System.Collections;

using QuantProject.Business.Timing;

namespace QuantProject.Business.Strategies.ReturnsManagement.Time
{
	/// <summary>
	/// End of day interval: to be used to compute a strategy return
	/// on the interval. The interval's end must be later than the
	/// interval's begin
	/// </summary>
	public class ReturnInterval
	{
		private EndOfDayDateTime begin;
		private EndOfDayDateTime end;

		public EndOfDayDateTime Begin
		{
			get { return this.begin; }
		}
		public EndOfDayDateTime End
		{
			get { return this.end; }
		}

		/// <summary>
		/// End of day interval: the end must be later than the begin
		/// </summary>
		/// <param name="begin">first interval border</param>
		/// <param name="end">last interval border</param>
		public ReturnInterval( EndOfDayDateTime begin ,
			EndOfDayDateTime end )
		{
			this.checkParameters( begin , end );
			this.begin = begin;
			this.end = end;
		}
		private void checkParameters( EndOfDayDateTime begin ,
			EndOfDayDateTime end )
		{
			if ( begin.CompareTo( end ) >= 0 )
				// begin is equal or greater greater or equal to end
				throw new Exception( "begin must be smaller than end!" ); 
		}
		/// <summary>
		/// True iff for each interval border, there is an EndOfDayDateTime
		/// value in the EndOfDayHistory that is exactly the same
		/// EndOfDayDateTime as the border value
		/// </summary>
		/// <param name="endOfDayHistory"></param>
		/// <returns></returns>
		public bool AreBordersCoveredBy( EndOfDayHistory endOfDayHistory )
		{
			bool areCovered =
				endOfDayHistory.ContainsKey( this.Begin ) &&
				endOfDayHistory.ContainsKey( this.End );
			return areCovered;
		}
		/// <summary>
		/// True iif this Interval begins before endOfDayDateTime
		/// </summary>
		/// <param name="endOfDayDateTime"></param>
		/// <returns></returns>
		public bool BeginsBefore( EndOfDayDateTime endOfDayDateTime )
		{
			bool beginsBefore =
				( this.Begin.CompareTo( endOfDayDateTime ) < 0 );
			return beginsBefore;
		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time CloseToCloseIntervals.cs, NONE, 1.1

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13365

Added Files:
	CloseToCloseIntervals.cs 
Log Message:
Close to close intervals to be used to compute close to close returns

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

CloseToCloseIntervals.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.Timing;

namespace QuantProject.Business.Strategies.ReturnsManagement.Time
{
	/// <summary>
	/// Close to close intervals to be used to compute close to close returns
	/// </summary>
	public class CloseToCloseIntervals : ReturnIntervals
	{
		/// <summary>
		/// Creates the close to close intervals for the given benchmark, from
		/// the first EndOfDayDateTime to the last EndOfDayDateTime
		/// </summary>
		/// <param name="firstEndOfDayDateTime"></param>
		/// <param name="lastEndOfDayDateTime"></param>
		/// <param name="benchmark"></param>
		public CloseToCloseIntervals( EndOfDayDateTime firstEndOfDayDateTime ,
			EndOfDayDateTime lastEndOfDayDateTime , string benchmark ) :
			base( firstEndOfDayDateTime , lastEndOfDayDateTime , benchmark )
		{
		}
		#region setIntervals
		private void addInterval( History marketDaysForBenchmark , int i )
		{
			DateTime dateTimeForIntervalBegin =
				(DateTime)marketDaysForBenchmark.GetKey( i );
			DateTime dateTimeForIntervalEnd =
				(DateTime)marketDaysForBenchmark.GetKey( i + 1 );
			ReturnInterval returnInterval = new ReturnInterval(
				new EndOfDayDateTime( dateTimeForIntervalBegin ,
				EndOfDaySpecificTime.MarketClose ) ,
				new EndOfDayDateTime( dateTimeForIntervalEnd ,
				EndOfDaySpecificTime.MarketClose ) );
			this.Add( returnInterval );
		}
		private void setIntervals( History marketDaysForBenchmark )
		{
			for( int i = 0 ; i < marketDaysForBenchmark.Count - 1 ; i++ )
				this.addInterval( marketDaysForBenchmark , i );
		}
		protected override void setIntervals()
		{
			History marketDaysForBenchmark =
				QuantProject.Data.DataTables.Quotes.GetMarketDays( this.benchmark ,
				firstEndOfDayDateTime.DateTime , lastEndOfDayDateTime.DateTime );
			this.setIntervals( marketDaysForBenchmark );
		}
		#endregion setIntervals
//		private History getTimeLineForOptimization( EndOfDayDateTime now )
//		{
//			DateTime firstInSampleDateForDrivingPositions =
//				now.DateTime.AddDays(
//				-( this.NumberDaysForInSampleOptimization - 1 ) );
//			DateTime lastInSampleOptimizationDate =
//				now.DateTime;
//			return Quotes.GetMarketDays( this.benchmark ,
//				firstInSampleDateForDrivingPositions , lastInSampleOptimizationDate );
//		}
	}
}

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement/time - New directory

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement/time
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv13119/time

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

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies/returnsManagement CloseToCloseReturnsManager.cs, 1.2, NONE

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/returnsManagement
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv11792/b4_Business/a2_Strategies/returnsManagement

Removed Files:
	CloseToCloseReturnsManager.cs 
Log Message:
The new solution has a single return manager: the end of date times on which returns will be computed, are given as constructor's parameters.

--- CloseToCloseReturnsManager.cs DELETED ---

[Quantproject-developers] QuantProject/b4_Business/a07_DataProviders HistoricalQuoteProvider.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-serv10894/b4_Business/a07_DataProviders

Added Files:
	HistoricalQuoteProvider.cs 
Log Message:
Abstract base class for historical quotes providers

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

HistoricalQuoteProvider.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.Business.Timing;

namespace QuantProject.Business.DataProviders
{
	/// <summary>
	/// Abstract base class for historical quotes providers
	/// </summary>
	public abstract class HistoricalQuoteProvider : IHistoricalQuoteProvider
	{
		public HistoricalQuoteProvider()
		{
		}
		public abstract double GetMarketValue( string ticker ,
			EndOfDayDateTime endOfDayDateTime );

		/// <summary>
		/// True iif the given ticker was traded at the given time
		/// </summary>
		/// <param name="ticker"></param>
		/// <param name="endOfDayDateTime"></param>
		/// <returns></returns>
		public bool WasExchanged( string ticker ,
			EndOfDayDateTime endOfDayDateTime )
		{
			return QuantProject.Data.DataProviders.HistoricalDataProvider.WasExchanged(
				ticker , endOfDayDateTime.GetNearestExtendedDateTime() );
		}
		#region GetEndOfDayQuotes
		private void addQuoteActually( string ticker ,
			EndOfDayDateTime endOfDayDateTime ,
			EndOfDayHistory endOfDayQuotes )
		{
			double quote = this.GetMarketValue( ticker ,
				endOfDayDateTime );
			endOfDayQuotes.Add( endOfDayDateTime , quote );
		}
		private void addQuote( string ticker , int historyIndex ,
			EndOfDayHistory	endOfDayHistory , EndOfDayHistory endOfDayQuotes )
		{
			EndOfDayDateTime currentEndOfDayDateTime =
				(EndOfDayDateTime)endOfDayHistory.GetByIndex( historyIndex );
			if ( this.WasExchanged( ticker , currentEndOfDayDateTime ) )
				this.addQuoteActually( ticker , currentEndOfDayDateTime ,
					endOfDayQuotes );
			else
				throw new Exception( "The ticker " + ticker + " is not " +
					"exchanged at the following end of day date time: " +
					currentEndOfDayDateTime.ToString() );
		}
		public EndOfDayHistory GetEndOfDayQuotes( string ticker ,
			EndOfDayHistory endOfDayHistory )
		{
			EndOfDayHistory endOfDayQuotes = new EndOfDayHistory();
			for ( int i = 0 ; i < endOfDayHistory.Count ; i++ )
				this.addQuote( ticker , i , endOfDayHistory , endOfDayQuotes );
			return endOfDayQuotes;
		}
		#endregion GetEndOfDayQuotes
	}
}

[Quantproject-developers] QuantProject/b4_Business/a05_Timing EndOfDayHistory.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-serv10002/b4_Business/a05_Timing

Added Files:
	EndOfDayHistory.cs 
Log Message:
History of end of day events

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

EndOfDayHistory.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.Statistics;


namespace QuantProject.Business.Timing
{
	/// <summary>
	/// History of end of day events
	/// </summary>
	[Serializable]
	public class EndOfDayHistory : AdvancedSortedList
	{
		public EndOfDayDateTime LastEndOfDayDateTime
		{
			get { return (EndOfDayDateTime)this.GetKey( this.Count - 1 ); }
		}
		/// <summary>
		/// Returns the ICollection of EndOfDayDateTimes on which the
		/// history is built
		/// </summary>
		public ICollection TimeLine
		{
			get { return this.Keys; }
		}
		public EndOfDayHistory() : base()
		{
		}
    
		public Object GetValue( EndOfDayDateTime endOfDayDateTime )
		{
			return this[ endOfDayDateTime ];
		}

		/// <summary>
		/// Returns the i-1_th element in the history timeline
		/// </summary>
		/// <param name="index"></param>
		/// <returns></returns>
		public EndOfDayDateTime GetEndOfDayDateTime( int index )
		{
			return (EndOfDayDateTime)this.GetKey( index );
		}
		/// <summary>
		/// Add an history item, if no collision (contemporary events) is expected
		/// </summary>
		/// <param name="dateTime"></param>
		/// <param name="objectToAdd"></param>
		/// <returns></returns>
		public void Add( EndOfDayDateTime endOfDayDateTime , Object objectToAdd )
		{
			base.Add( endOfDayDateTime , objectToAdd );
		}

//		/// <summary>
//		/// Add an history item when collisions (contemporary events) are possible
//		/// </summary>
//		/// <param name="dateTime"></param>
//		/// <param name="objectToAdd"></param>
//		public void MultiAdd( DateTime dateTime , Object objectToAdd )
//		{
//			if (!this.ContainsKey( dateTime ))
//			{
//				this[ dateTime ] = new ArrayList();
//			}
//			((ArrayList)this[ dateTime ]).Add( objectToAdd );
//		}
//
//		
////		#region MultiplyBy
////		private double multiplyBy_getCurrentValue( DateTime key )
////		{
////			double returnValue;
////			try
////			{
////				returnValue = Convert.ToDouble( this[ key ] );
////			}
////			catch ( Exception exception )
////			{
////				string errorMessage = "The current History object contains a value " +
////					"that cannot be converted to a double. The wrong value is at the date " +
////					key.ToString() + ".\nOriginal error message: " + exception.Message;
////				throw new Exception( errorMessage );
////			}
////			return returnValue;
////		}
////		/// <summary>
////		/// Returns an history where each value is multiplied by the given factor.
////		/// The History instance must contain only numeric values
////		/// </summary>
////		/// <param name="factor"></param>
////		/// <returns></returns>
////		public History MultiplyBy( double factor )
////		{
////			if ( factor == 0.0 )
////				throw new Exception( "factor can not be equal to zero" );
////			History returnValue = new History();
////			foreach ( DateTime key in this.Keys )
////			{				
////				double currentValue = this.multiplyBy_getCurrentValue( key );
////				returnValue.Add( key , currentValue * factor );
////			}
////			return returnValue;
////		}
////		#endregion
////		public DateTime GetNextDay( DateTime dateTime )
////		{
////			if ( this.IndexOfKey( dateTime ) == ( this.Count - 1 ) )
////				// it is the last dateTime in the history
////				return dateTime.AddDays( 1 );
////			else
////				return (DateTime) this.GetKey( this.IndexOfKeyOrPrevious( dateTime ) + 1 );
////		}
//		//millo - fixed method
//		public DateTime GetDay( DateTime initialDateTime, int numberOfDaysAhead )
//		{
//			if ( this.IndexOfKey( initialDateTime ) >= ( this.Count - numberOfDaysAhead ) )
//				// initial dateTime + n° of days ahead > the last dateTime in History
//			{
//				DateTime dateTime;
//				dateTime = (DateTime)this.GetKey(this.Count -1);
//				return dateTime.AddDays(this.IndexOfKey(initialDateTime) + numberOfDaysAhead - this.Count);
//			}
//			else
//				return (DateTime) this.GetKey( this.IndexOfKeyOrPrevious( initialDateTime ) + numberOfDaysAhead );
//		}
		//millo

//	  #region "GetFunctionHistory"
//	  
//		/// <summary>
//		/// Gets a History object based on a statistical available function
//		/// </summary>
//		/// <remarks>
//		/// Each History's item contains a specific statistical function
//		/// calculated for each period whose length has to be specified by the user.
//		/// The key for the History item is the initial date of each period
//		/// </remarks>
//		/// <param name="functionToBeCalculated">
//		/// Statistical available function to be calculated and stored in the current History object
//		/// </param>
//		/// <param name="onEachPeriodOf">
//		/// Length in day of each period of calculation
//		/// </param>
//		/// /// <param name="startDateTime">
//		/// It sets the start date for the time interval containing the returned History
//		/// </param>
//		/// /// <param name="endDateTime">
//		/// It sets the end date for the time interval containing the returned History
//		/// </param> 
//		/// 
//		public History GetFunctionHistory(Function functionToBeCalculated, int onEachPeriodOf,
//			DateTime startDateTime , DateTime endDateTime )
//		{
//			History functionHistory = new History();
//			int currentHistoryIndex = this.IndexOfKeyOrPrevious(startDateTime); 
//			double[] data = new double[onEachPeriodOf];
//			//the array contains the set of data whose length is specified by the user
//			double periodIndex = 0;
//			//in the while statement, if it isn't equal to Floor(currentHistoryIndex/onEachPeriodOf)
//			//the current index belongs to the period with periodIndex increased by one  
//			int cursorThroughDataArray = 0;
//			while (
//				( currentHistoryIndex < this.Count ) &&
//				( ((IComparable)this.GetKey( currentHistoryIndex )).CompareTo( endDateTime ) <= 0 ) )
//			{
//			  
//
//				if (Math.Floor(Convert.ToDouble(currentHistoryIndex/onEachPeriodOf)) == periodIndex &&
//					cursorThroughDataArray < onEachPeriodOf)
//
//					//currentHistoryIndex belongs to the current period
//				{	
//					data[cursorThroughDataArray] = Convert.ToDouble(this.GetByIndex(currentHistoryIndex));
//					cursorThroughDataArray++;
//					functionHistory.Add(this.GetKey( currentHistoryIndex ), null);
//					currentHistoryIndex++;
//				  
//				}
//				else
//					//currentHistoryIndex doesn't belong to the current period
//					//so a new item can be added to the object History to be returned
//				{	
//					cursorThroughDataArray = 0;
//					DateTime dateTime = (DateTime)this.GetKey( currentHistoryIndex - onEachPeriodOf);
//					switch (functionToBeCalculated)
//					{
//						case Function.SimpleAverage:
//							functionHistory.SetByIndex(currentHistoryIndex - onEachPeriodOf,
//								BasicFunctions.SimpleAverage(data));
//							//functionHistory.Add( dateTime , BasicFunctions.SimpleAverage(data) );
//							break;
//						case Function.StandardDeviation :
//							functionHistory.SetByIndex(currentHistoryIndex - onEachPeriodOf,
//								BasicFunctions.StdDev(data));
//							//functionHistory.Add( dateTime , BasicFunctions.StdDev(data) );
//							break;
//					}
//				}
//
//				periodIndex = Math.Floor(Convert.ToDouble(currentHistoryIndex/onEachPeriodOf));
//
//			}
//
//			return functionHistory;
//		}
//
//	#endregion
	  
	  /// <summary>
	  /// It returns true if the current History item value is not null
	  /// and is less than the immediate previous History item whose value is not null
	  /// </summary>
	  /// <param name="dateTime">The date key for current History item</param>
//	  public bool IsDecreased(DateTime dateTime)
//	  {	
//		  bool isDecreased = false;
//		  int index = this.IndexOfKey(dateTime);
//		  int previousIndex = index - 1;
//		  if ( index <= 0)
//			  isDecreased = false;
//		  else
//		  {
//			  if(this.GetByIndex(index) != null) 
//			  {
//					while (this.GetByIndex(previousIndex) == null)
//					{  
//						previousIndex --;
//					}
//
//			 		isDecreased = Convert.ToDouble( this.GetByIndex(index)) <
//			  				      Convert.ToDouble( this.GetByIndex(previousIndex) );
//			  }
//		  }
//		  return isDecreased;
//	  }
//

//    #region "GetSimpleMovingAverage( int , DateTime , int )"
//    private double currentContributionToCurrentSum(
//      int index,
//      DateTime dateTime ,
//      int numPeriods
//      )
//    {
//      double currentContribution;
//      currentContribution = Convert.ToDouble( this.GetByIndex( index ) );
//      if ( index >= numPeriods )
//        currentContribution -= 
//          Convert.ToDouble( this.GetByIndex( index - numPeriods ) );
//      return currentContribution;
//    }
//  
//    public History GetSimpleMovingAverage( int numPeriods , DateTime startDateTime , DateTime endDateTime )
//    {
//      History simpleMovingAverage = new History();
//      int index = this.IndexOfKeyOrPrevious( startDateTime );
//      double currentSum = 0;
//      while (
//        ( index < this.Count ) &&
//        ( ((IComparable)this.GetKey( index )).CompareTo( endDateTime ) <= 0 ) )
//      {
//        DateTime dateTime = (DateTime)this.GetKey( index );
//        currentSum = currentSum +
//          currentContributionToCurrentSum( index , dateTime , numPeriods );
//        if ( index < ( numPeriods - 1 ) )
//          // current period is not after numPeriods
//          simpleMovingAverage.Add( this.GetKey( index ) , null );
//        else
//        {
//          simpleMovingAverage.Add( dateTime , currentSum/numPeriods );
//        }
//        index++;
//      }
//      return simpleMovingAverage;
//    }
//#endregion
//
//    public History GetSimpleMovingAverage( int numPeriods )
//    {
////      History simpleMovingAverage = new History();
////      double currentSum = 0;
////      foreach (DictionaryEntry dictionaryEntry in this)
////      {
////        currentSum = currentSum +
////          currentContributionToCurrentSum( dictionaryEntry , numPeriods );
////        if ( this.IndexOfKey( dictionaryEntry.Key ) >= numPeriods )
////        {
////          simpleMovingAverage.Add( dictionaryEntry.Key , currentSum/numPeriods );
////        }
////        else
////          // current period is not after numPeriods
////          simpleMovingAverage.Add( dictionaryEntry.Key , null );
////      }
////      return simpleMovingAverage;
//
//      return GetSimpleMovingAverage( numPeriods ,
//        (DateTime) this.GetKey( 0 ) , (DateTime) this.GetKey( this.Count - 1 ) );
//    }
//
//    #region "Cross"
//    private bool wasLessThan( History history , DateTime dateTime )
//    {
//      int backStep = 1;
//      while ((backStep < this.IndexOfKey( dateTime )) &&
//        (this.GetByIndex(history.IndexOfKey( dateTime )-backStep) != null) &&
//        (history.GetByIndex(history.IndexOfKey( dateTime )-backStep) != null) &&
//        (Convert.ToDouble( this.GetByIndex(this.IndexOfKey( dateTime )-backStep) )==
//        Convert.ToDouble(history.GetByIndex(history.IndexOfKey( dateTime )-backStep)
//        )))
//        backStep ++;
//      return
//        (this.GetByIndex(history.IndexOfKey( dateTime )-backStep) != null) &&
//        (history.GetByIndex(history.IndexOfKey( dateTime )-backStep) != null) &&
//        (Convert.ToDouble( this.GetByIndex(this.IndexOfKey( dateTime )-backStep) )<
//        Convert.ToDouble(history.GetByIndex(history.IndexOfKey( dateTime )-backStep)
//        ));
//    }
//    public bool Cross( History history , DateTime dateTime )
//    {
//      bool cross;
//      if ( ( this.IndexOfKey( dateTime ) <= 0 ) || ( history.IndexOfKey( dateTime ) <= 0 ) )
//        cross = false;
//      else
//      {
//        cross = ( ( Convert.ToDouble( this[ dateTime ] ) ) > 
//          ( Convert.ToDouble( history[ dateTime ] ) ) ) &&
//          ( wasLessThan( history , dateTime ) );
//      }
//      return cross;
//    }
//    #endregion
//
//    #region "ToString"
//    private string singleToString( DateTime dateTime , Object historyValue )
//    {
//      return "\nDate: " + dateTime +
//        "    Value: " + historyValue.ToString();
//    }
//    private string dictionaryEntryToString( DictionaryEntry dictionaryEntry )
//    {
//      string returnString = "";
//      if ( dictionaryEntry.Value.GetType() != Type.GetType( "System.Collections.ArrayList" ) )
//        // a single value is stored for this DateTime
//        returnString = singleToString( (DateTime)dictionaryEntry.Key , dictionaryEntry.Value );
//      else
//        // possibly multivalues are stored for this DateTime
//        foreach (Object historyValue in ((ArrayList)dictionaryEntry.Value) )
//          returnString += singleToString( (DateTime)dictionaryEntry.Key , historyValue );
//      return returnString;
//    }
//    public override string ToString()
//    {
//      string toString = "";
//      foreach ( DictionaryEntry dictionaryEntry in this )
//        toString += dictionaryEntryToString( dictionaryEntry );
//      return toString;
//    }
//    #endregion

    public void ReportToConsole()
    {
      Console.Write( this.ToString() );
    }
  }
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows AverageNumberOfTransactionsPerDay.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv32527/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows

Modified Files:
	AverageNumberOfTransactionsPerDay.cs 
Log Message:
Fixed bug: now the average number of transactions per day is rightly computed.
But please Glauco take a look at the code because I commented out a code
line that should be correct (to me ...).

Index: AverageNumberOfTransactionsPerDay.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/SummaryRows/AverageNumberOfTransactionsPerDay.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** AverageNumberOfTransactionsPerDay.cs	29 Aug 2007 09:20:12 -0000	1.1
--- AverageNumberOfTransactionsPerDay.cs	10 Sep 2007 22:08:37 -0000	1.2
***************
*** 40,44 ****
  		{
  			this.rowDescription = "Average n. of transactions per day";
! 			int totalNumberOfTransactions = summary.AccountReport.Account.Transactions.Count;
  			TimeSpan timeSpanForScript = 
  			summary.AccountReport.EndDateTime.DateTime.Subtract(summary.AccountReport.StartDateTime);
--- 40,46 ----
  		{
  			this.rowDescription = "Average n. of transactions per day";
! 			//int totalNumberOfTransactions = summary.AccountReport.Account.Transactions.Count;
! 			//there must be a mistake somewhere: why the previous line is not right?
! 			int totalNumberOfTransactions = summary.AccountReport.TransactionTable.DataTable.Rows.Count;
  			TimeSpan timeSpanForScript = 
  			summary.AccountReport.EndDateTime.DateTime.Subtract(summary.AccountReport.StartDateTime);

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

[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-serv18367/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables

Modified Files:
	Summary.cs 
Log Message:
Added summary item AverageNumberOfTransactionsPerDay.
Now Summary class implements ISerializable interface, in order to be
fully compatible with old serialized version of Summary objects.

Index: Summary.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/Tables/Summary.cs,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** Summary.cs	8 Jun 2006 18:42:37 -0000	1.19
--- Summary.cs	5 Sep 2007 22:10:16 -0000	1.20
***************
*** 1,4 ****
--- 1,7 ----
  using System;
  using System.Data;
+ using System.Reflection;
+ using System.Runtime.Serialization;
+ 
  using QuantProject.ADT;
  using QuantProject.Business.DataProviders;
***************
*** 13,17 ****
  	/// </summary>
    [Serializable]
!   public class Summary : ReportTable
    {
      private AccountReport accountReport;
--- 16,20 ----
  	/// </summary>
    [Serializable]
!   public class Summary : ReportTable, ISerializable
    {
      private AccountReport accountReport;
***************
*** 44,47 ****
--- 47,52 ----
  		private NumberLosingPeriods numberLosingPeriods;
  		private PercentageWinningPeriods percentageWinningPeriods;
+ 		private AverageNumberOfTransactionsPerDay averageNumberOfTransactionsPerDay;
+ 
  		public AccountReport AccountReport
      {
***************
*** 163,167 ****
  			get { return this.numberWinningShortTrades; }
  		}
! 
  
  
--- 168,175 ----
  			get { return this.numberWinningShortTrades; }
  		}
! 		public AverageNumberOfTransactionsPerDay AverageNumberOfTransactionsPerDay
! 		{
! 			get { return this.averageNumberOfTransactionsPerDay; }
! 		}
  
  
***************
*** 183,186 ****
--- 191,247 ----
  			this.summary( accountReport );
  		}
+ 
+ 		/// <summary>
+ 		/// This constructor allows custom deserialization (see the ISerializable
+ 		/// interface documentation)
+ 		/// </summary>
+ 		/// <param name="info"></param>
+ 		/// <param name="context"></param>
+ 		protected Summary( 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;}
+ 			}
+ 		}
+ 
+ 		#region GetObjectData
+ 		/// <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 "getSummary"
      private void getSummaryTable_setColumns( DataTable equityDataTable )
***************
*** 225,229 ****
  			this.numberWinningShortTrades = new NumberWinningShortTrades( this );
  			this.totalCommissionAmount = new TotalCommissionAmount( this );
! 			//      this.DataTable = getSummaryDataTable();
      }
  
--- 286,291 ----
  			this.numberWinningShortTrades = new NumberWinningShortTrades( this );
  			this.totalCommissionAmount = new TotalCommissionAmount( this );
! 			this.averageNumberOfTransactionsPerDay = new AverageNumberOfTransactionsPerDay(this);
! 			//this.DataTable = getSummaryDataTable();
      }
  

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies WeightedPositions.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16885/b4_Business/a2_Strategies

Modified Files:
	WeightedPositions.cs 
Log Message:
Fixed bug in temporary method GetCloseToCloseReturn

Index: WeightedPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/WeightedPositions.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** WeightedPositions.cs	28 Aug 2007 09:25:32 -0000	1.6
--- WeightedPositions.cs	5 Sep 2007 22:07:19 -0000	1.7
***************
*** 659,668 ****
        double equityValue = initialEquity;
        Quotes[] tickersQuotes = new Quotes[this.Count];
        for(int i = 0; i < this.Count; i++)
        {
        	tickersQuotes[i] = new Quotes( this[i].Ticker,startDate, endDate );
!         if(tickersQuotes[i].Rows.Count == 0)
!         //no quotes are available at the given period
!           throw new MissingQuotesException(this[i].Ticker,
          	       													 startDate, endDate);
        }
--- 659,673 ----
        double equityValue = initialEquity;
        Quotes[] tickersQuotes = new Quotes[this.Count];
+       int numberOfQuotesOfPreviousTicker = 0;
        for(int i = 0; i < this.Count; i++)
        {
        	tickersQuotes[i] = new Quotes( this[i].Ticker,startDate, endDate );
!       	if( i == 0 )
!       		numberOfQuotesOfPreviousTicker = tickersQuotes[i].Rows.Count;
!       	else if ( (i > 0 && ( tickersQuotes[i].Rows.Count > numberOfQuotesOfPreviousTicker)) ||
! 									 tickersQuotes[i].Rows.Count == 0)
!       	// not all the tickers have the same available n. of quotes
!       	// for the given period or a ticker has no quotes
!           throw new MissingQuotesException(this.SignedTickers.Tickers,
          	       													 startDate, endDate);
        }

[Quantproject-developers] QuantProject/b3_Data MissingQuotesException.cs, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv16387/b3_Data

Modified Files:
	MissingQuotesException.cs 
Log Message:
Added a new constructor, in order to permit a new object's instance for an array of tickers

Index: MissingQuotesException.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/MissingQuotesException.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** MissingQuotesException.cs	14 May 2006 15:36:13 -0000	1.1
--- MissingQuotesException.cs	5 Sep 2007 22:06:16 -0000	1.2
***************
*** 25,43 ****
  {
  	/// <summary>
! 	/// Thrown when needed if an object DataTables.Quotes has no quotes
! 	/// for a given TimeFrame
  	/// </summary>
  	public class MissingQuotesException : Exception
  	{
  		private string ticker;
  		private DateTime initialDateTime;
  		private DateTime finalDateTime;
  		public override string Message
  		{
  			get
  			{
! 				return "No quotes available for ticker " +
! 					this.ticker + ", between " + this.initialDateTime.ToShortDateString() + 
! 					" and " + this.finalDateTime.ToShortDateString();
  			}
  		}
--- 25,66 ----
  {
  	/// <summary>
! 	/// This kind of exception is intended to be thrown
! 	/// when a ticker or an array of ticker 
! 	/// doesn't have the expected number of available
! 	/// quotes for a given time frame
  	/// </summary>
  	public class MissingQuotesException : Exception
  	{
  		private string ticker;
+ 		private string[] tickers = null;
  		private DateTime initialDateTime;
  		private DateTime finalDateTime;
+ 		private string message_getMessageForMissingQuotesForTickers()
+ 		{
+ 			string tickersSeparatedBySemicolon = null;
+ 			foreach (string ticker in this.tickers)
+ 				tickersSeparatedBySemicolon += ticker + ";" ;
+ 			return "Not all these tickers: " + 
+ 						tickersSeparatedBySemicolon + 
+ 				    " have the same number of " +
+ 				    "available quotes, " +
+ 						"between " + this.initialDateTime.ToShortDateString() + 
+ 						" and " + this.finalDateTime.ToShortDateString();
+ 		}
  		public override string Message
  		{
  			get
  			{
! 				if( this.tickers == null )
! 				//this.tickers has not been set, and so the exception
! 				//refers to only one single ticker
! 					return "No quotes available for ticker " +
! 						this.ticker + ", between " + this.initialDateTime.ToShortDateString() + 
! 						" and " + this.finalDateTime.ToShortDateString();
! 				else // this.tickers has been set, so the
! 						// exception refers to two ore more tickers.
! 						// In other words, not all the tickers have the same
! 					  // number of quotes for the given period
! 					return message_getMessageForMissingQuotesForTickers();
  			}
  		}
***************
*** 49,52 ****
--- 72,82 ----
  			this.finalDateTime = finalDateTime;
  		}
+ 		public MissingQuotesException(
+ 		      string[] tickers,DateTime initialDateTime, DateTime finalDateTime )
+ 		{
+ 			this.tickers = tickers;
+ 			this.initialDateTime = initialDateTime;
+ 			this.finalDateTime = finalDateTime;
+ 		}
  	}
  }

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

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv27337/b4_Business/a2_Strategies

Modified Files:
	SignedTickers.cs 
Log Message:
arrayForTickers[ i ] = ((SignedTicker)(List[ i ])).Ticker;

has been simplifed to

arrayForTickers[ i ] = this[ i ].Ticker;

Index: SignedTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/SignedTickers.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** SignedTickers.cs	27 Aug 2007 22:22:03 -0000	1.3
--- SignedTickers.cs	1 Sep 2007 14:21:34 -0000	1.4
***************
*** 64,70 ****
  				string[] arrayForTickers = new string[ List.Count ];
  				for ( int i = 0 ; i < List.Count ; i++ )
! 				{
! 					arrayForTickers[ i ] = ((SignedTicker)(List[ i ])).Ticker;
! 				}
  				return arrayForTickers;
  			}
--- 64,69 ----
  				string[] arrayForTickers = new string[ List.Count ];
  				for ( int i = 0 ; i < List.Count ; i++ )
! //					arrayForTickers[ i ] = ((SignedTicker)(List[ i ])).Ticker;
! 					arrayForTickers[ i ] = this[ i ].Ticker;
  				return arrayForTickers;
  			}

[Quantproject-developers] QuantProject/b1_ADT/Optimizing/Genetic Genome.cs, 1.19, 1.20

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv9981/b1_ADT/Optimizing/Genetic

Modified Files:
	Genome.cs 
Log Message:
Fixed very critical bug !!!
After changing Fitness and Meaning property access, I forgot to reset the
private fields when single genes are changed, in order to force a new 
fitness and meaning calculation. These kinds of error should be avoided through
a more object oriented organization of the GeneticOptimizer, but I think
that would slow down scripts' execution.
Now the GeneticOptimizer has turned to work properly

Index: Genome.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Optimizing/Genetic/Genome.cs,v
retrieving revision 1.19
retrieving revision 1.20
diff -C2 -d -r1.19 -r1.20
*** Genome.cs	21 Aug 2007 21:52:24 -0000	1.19
--- Genome.cs	31 Aug 2007 23:19:34 -0000	1.20
***************
*** 200,205 ****
        	throw new IndexOutOfRangeException("Gene value not valid for the gene at" +
        	                                   " the given position!");
        
!       this.genes[genePosition] = geneValue;
        //whenever at least one gene has been written,
  			//the current generation number is stored
--- 200,212 ----
        	throw new IndexOutOfRangeException("Gene value not valid for the gene at" +
        	                                   " the given position!");
+       if( geneValue != this.GetGeneValue(genePosition) )
+ 			// if a new value is stored in the given position, then
+ 			// fitness has to be calculated again, and so meaning
+ 			{
+ 				this.hasFitnessBeenAssigned = false;
+ 				this.meaning = null;
+ 			}
        
! 			this.genes[genePosition] = geneValue;
        //whenever at least one gene has been written,
  			//the current generation number is stored

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination FixedLevelOscillatorPVOStrategy.cs, 1.5, 1.6

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv22854/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	FixedLevelOscillatorPVOStrategy.cs 
Log Message:
Fixed bug in FixedLevelOscillatorPVOStrategy, the class that is used for performing the PVO strategy on logged PVO genomes

Index: FixedLevelOscillatorPVOStrategy.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/FixedLevelOscillatorPVOStrategy.cs,v
retrieving revision 1.5
retrieving revision 1.6
diff -C2 -d -r1.5 -r1.6
*** FixedLevelOscillatorPVOStrategy.cs	29 Aug 2007 09:43:36 -0000	1.5
--- FixedLevelOscillatorPVOStrategy.cs	30 Aug 2007 18:15:37 -0000	1.6
***************
*** 43,51 ****
  		   
  		public FixedLevelOscillatorPVOStrategy( Account accountPVO ,
! 			                                     WeightedPositions weightedPositions,
                                             double oversoldThreshold,
                                             double overboughtThreshold,
                                             int numDaysForOscillatingPeriod):
!                                           base("", 0, weightedPositions.Count, 0,
                                            accountPVO,                                
                                            0,0,
--- 43,51 ----
  		   
  		public FixedLevelOscillatorPVOStrategy( Account accountPVO ,
! 			                                     WeightedPositions chosenWeightedPositions,
                                             double oversoldThreshold,
                                             double overboughtThreshold,
                                             int numDaysForOscillatingPeriod):
!                                           base("", 0, chosenWeightedPositions.Count, 0,
                                            accountPVO,                                
                                            0,0,
***************
*** 65,73 ****
      }
  
-     protected override void marketCloseEventHandler_closePositionsIfNeeded()
-     {
-       
-     }    
- 		
      protected override double getCurrentChosenWeightedPositionsValue(IndexBasedEndOfDayTimer timer)
      {
--- 65,68 ----

[Quantproject-developers] QuantProject/b4_Business/a2_Strategies AccountManager.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-serv26076/b4_Business/a2_Strategies

Modified Files:
	AccountManager.cs 
Log Message:
Fixed bug in OpenPositions method

Index: AccountManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/AccountManager.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** AccountManager.cs	29 Aug 2007 09:11:42 -0000	1.1
--- AccountManager.cs	30 Aug 2007 13:34:27 -0000	1.2
***************
*** 70,78 ****
  		#region OpenPositions
      static private  void addWeightedPositionToOrderList(WeightedPosition weightedPosition, 
! 		                                                    Account account)
      {
      	string ticker = weightedPosition.Ticker;
        double cashForSinglePosition = 
!       	account.CashAmount * Math.Abs( weightedPosition.Weight );
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / account.DataStreamer.GetCurrentBid( ticker ) ) );
--- 70,78 ----
  		#region OpenPositions
      static private  void addWeightedPositionToOrderList(WeightedPosition weightedPosition, 
! 		                                                    Account account, double valueToInvestInPositions)
      {
      	string ticker = weightedPosition.Ticker;
        double cashForSinglePosition = 
!       	valueToInvestInPositions * Math.Abs( weightedPosition.Weight );
        long quantity =
          Convert.ToInt64( Math.Floor( cashForSinglePosition / account.DataStreamer.GetCurrentBid( ticker ) ) );
***************
*** 92,97 ****
  				throw new Exception("Both parameters have to be set to valid objects!");
  			orders.Clear();
      	foreach(WeightedPosition weightedPosition in weightedPositions.Values)
!       	addWeightedPositionToOrderList( weightedPosition, account );
        foreach(object item in orders)
        	account.AddOrder( (Order)item );
--- 92,98 ----
  				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 );

[Quantproject-developers] QuantProject/b91_QuantProject QuantProject_SD.csproj, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b91_QuantProject
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8987/b91_QuantProject

Modified Files:
	QuantProject_SD.csproj 
Log Message:
Updated SharpDevelop project files

Index: QuantProject_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b91_QuantProject/QuantProject_SD.csproj,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** QuantProject_SD.csproj	2 Jul 2006 20:07:59 -0000	1.1
--- QuantProject_SD.csproj	29 Aug 2007 10:34:59 -0000	1.2
***************
*** 15,24 ****
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>True</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
--- 15,25 ----
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>true</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>false</TreatWarningsAsErrors>
!     <DebugType>Full</DebugType>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
***************
*** 30,33 ****
--- 31,41 ----
      <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
+   <PropertyGroup Condition=" '$(Platform)' == 'AnyCPU' ">
+     <RegisterForComInterop>False</RegisterForComInterop>
+     <GenerateSerializationAssemblies>Auto</GenerateSerializationAssemblies>
+     <BaseAddress>4194304</BaseAddress>
+     <PlatformTarget>AnyCPU</PlatformTarget>
+     <FileAlignment>4096</FileAlignment>
+   </PropertyGroup>
    <ItemGroup>
      <Reference Include="System" />

[Quantproject-developers] QuantProject/b7_Scripts Scripts_SD.csproj, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8987/b7_Scripts

Modified Files:
	Scripts_SD.csproj 
Log Message:
Updated SharpDevelop project files

Index: Scripts_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/Scripts_SD.csproj,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** Scripts_SD.csproj	9 Apr 2007 18:19:08 -0000	1.6
--- Scripts_SD.csproj	29 Aug 2007 10:34:59 -0000	1.7
***************
*** 6,10 ****
      <ProjectGuid>{B5AAC5AA-DCC1-4698-A362-D399AB9A90C4}</ProjectGuid>
      <RootNamespace>Scripts</RootNamespace>
!     <AssemblyName>Scripts</AssemblyName>
      <OutputType>Library</OutputType>
      <WarningLevel>4</WarningLevel>
--- 6,10 ----
      <ProjectGuid>{B5AAC5AA-DCC1-4698-A362-D399AB9A90C4}</ProjectGuid>
      <RootNamespace>Scripts</RootNamespace>
!     <AssemblyName>QuantProject.Scripts</AssemblyName>
      <OutputType>Library</OutputType>
      <WarningLevel>4</WarningLevel>
***************
*** 14,23 ****
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>True</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
--- 14,24 ----
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>true</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>false</TreatWarningsAsErrors>
!     <DebugType>Full</DebugType>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
***************
*** 28,31 ****
--- 29,40 ----
      <OutputPath>..\bin\Release\</OutputPath>
      <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
+     <DebugType>None</DebugType>
+   </PropertyGroup>
+   <PropertyGroup Condition=" '$(Platform)' == 'AnyCPU' ">
+     <RegisterForComInterop>False</RegisterForComInterop>
+     <GenerateSerializationAssemblies>Auto</GenerateSerializationAssemblies>
+     <BaseAddress>4194304</BaseAddress>
+     <PlatformTarget>AnyCPU</PlatformTarget>
+     <FileAlignment>4096</FileAlignment>
    </PropertyGroup>
    <ItemGroup>
***************
*** 37,40 ****
--- 46,51 ----
    </ItemGroup>
    <ItemGroup>
+     <Compile Include="ArbitrageTesting\OverReactionHypothesis\DoubleOverReaction_OTC\EndOfDayTimerHandlerDOR_OTC.cs" />
+     <Compile Include="ArbitrageTesting\OverReactionHypothesis\DoubleOverReaction_OTC\RunDOR_OTC.cs" />
      <Compile Include="AssemblyInfo.cs" />
      <Compile Include="MyTradingSystem.cs" />
***************
*** 157,162 ****
      <Compile Include="TickerSelectionTesting\GenomeManagerForEfficientOTCCTOPortfolio.cs" />
      <Compile Include="WalkForwardTesting\LinearCombination\OTC_CTODailyStrategy.cs" />
-     <EmbeddedResource Include="QuantProject.Scripts.WalkForwardTesting.LinearCombination.TestDisplayer.resources" />
-     <None Include="MultiTesting\MultiTestOneRank\" />
      <None Include="SimpleTesting\MSFTSimpleTest_2\TsMSFTsimpleTest_2.cs" />
      <Compile Include="SimpleScriptsContainer.cs" />
--- 168,171 ----
***************
*** 169,173 ****
      <Compile Include="TechnicalAnalysisTesting\TrendFollowing\ImmediateTrendFollower\GenomeManagerITF.cs" />
      <Compile Include="TechnicalAnalysisTesting\TrendFollowing\ImmediateTrendFollower\RunImmediateTrendFollower.cs" />
-     <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositions.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagGenomeManagerWithWeights.cs" />
      <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagWeightedPositions.cs" />
--- 178,181 ----
***************
*** 208,213 ****
--- 216,235 ----
      <Compile Include="ArbitrageTesting\OverReactionHypothesis\SimpleOHTest\EndOfDayTimerHandlerSimpleOHTest.cs" />
      <Compile Include="ArbitrageTesting\OverReactionHypothesis\SimpleOHTest\RunSimpleOHTest.cs" />
+     <Compile Include="TechnicalAnalysisTesting\TrendFollowing\BestAndWorst\EndOfDayTimerHandlerBWFollower.cs" />
+     <Compile Include="TechnicalAnalysisTesting\TrendFollowing\BestAndWorst\RunBestAndWorstFollower.cs" />
+     <Compile Include="TickerSelectionTesting\RunEfficientOTC_WorstAtNightPortfolio.cs" />
+     <Compile Include="TickerSelectionTesting\EndOfDayTimerHandlerOTC_WorstAtNight.cs" />
+     <Compile Include="ArbitrageTesting\OverReactionHypothesis\DoubleOverReaction_WeekEndBounce\EndOfDayTimerHandlerDOR_WeekEndBounce.cs" />
+     <Compile Include="ArbitrageTesting\OverReactionHypothesis\DoubleOverReaction_WeekEndBounce\RunDOR_WeekEndBounce.cs" />
+     <Compile Include="TickerSelectionTesting\EndOfDayTimerHandlerCTO_WorstAtDay.cs" />
+     <Compile Include="TickerSelectionTesting\RunEfficientCTO_WorstAtDayPortfolio.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio\WFLagGenomeManagerForFixedPortfolioWithNormalDrivingAndPortfolio.cs" />
+     <Compile Include="WalkForwardTesting\WalkForwardLag\WFLagMeaningForUndecodableGenomes.cs" />
+     <Compile Include="TechnicalAnalysisTesting\TrendFollowing\OTC_CTOTrendFollower\EndOfDayTimerHandlerOTC_CTOTrendFollower.cs" />
+     <Compile Include="TechnicalAnalysisTesting\TrendFollowing\OTC_CTOTrendFollower\RunEfficientOTC_CTOTrendFollower.cs" />
    </ItemGroup>
    <ItemGroup>
+     <Folder Include="ArbitrageTesting\OverReactionHypothesis\DoubleOverReaction_OTC" />
      <Folder Include="EvaluatingOptimizationTechnique\" />
      <Folder Include="EvaluatingOptimizationTechnique\EfficientPortfolio\" />
***************
*** 255,258 ****
--- 277,284 ----
      <Folder Include="ArbitrageTesting\OverReactionHypothesis" />
      <Folder Include="ArbitrageTesting\OverReactionHypothesis\SimpleOHTest" />
+     <Folder Include="TechnicalAnalysisTesting\TrendFollowing\BestAndWorst" />
+     <Folder Include="ArbitrageTesting\OverReactionHypothesis\DoubleOverReaction_WeekEndBounce" />
+     <Folder Include="WalkForwardTesting\WalkForwardLag\WeightedPositionsChoosers\WFLagGeneticFixedPortfolioWithNormalDrivingAndPortfolio" />
+     <Folder Include="TechnicalAnalysisTesting\TrendFollowing\OTC_CTOTrendFollower" />
    </ItemGroup>
    <Import Project="$(MSBuildBinPath)\Microsoft.CSharp.Targets" />

[Quantproject-developers] QuantProject/b5_Presentation Presentation_SD.csproj, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8987/b5_Presentation

Modified Files:
	Presentation_SD.csproj 
Log Message:
Updated SharpDevelop project files

Index: Presentation_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Presentation_SD.csproj,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** Presentation_SD.csproj	2 Jul 2006 20:07:59 -0000	1.1
--- Presentation_SD.csproj	29 Aug 2007 10:34:59 -0000	1.2
***************
*** 14,23 ****
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>True</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
--- 14,24 ----
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>true</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>false</TreatWarningsAsErrors>
!     <DebugType>Full</DebugType>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
***************
*** 29,32 ****
--- 30,40 ----
      <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
+   <PropertyGroup Condition=" '$(Platform)' == 'AnyCPU' ">
+     <RegisterForComInterop>False</RegisterForComInterop>
+     <GenerateSerializationAssemblies>Auto</GenerateSerializationAssemblies>
+     <BaseAddress>4194304</BaseAddress>
+     <PlatformTarget>AnyCPU</PlatformTarget>
+     <FileAlignment>4096</FileAlignment>
+   </PropertyGroup>
    <ItemGroup>
      <Reference Include="System" />

[Quantproject-developers] QuantProject/b4_Business Business_SD.csproj, 1.3, 1.4

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

Update of /cvsroot/quantproject/QuantProject/b4_Business
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8987/b4_Business

Modified Files:
	Business_SD.csproj 
Log Message:
Updated SharpDevelop project files

Index: Business_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/Business_SD.csproj,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** Business_SD.csproj	10 Dec 2006 20:12:08 -0000	1.3
--- Business_SD.csproj	29 Aug 2007 10:34:58 -0000	1.4
***************
*** 14,23 ****
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>True</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
--- 14,24 ----
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>true</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>false</TreatWarningsAsErrors>
!     <DebugType>Full</DebugType>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
***************
*** 29,32 ****
--- 30,40 ----
      <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
+   <PropertyGroup Condition=" '$(Platform)' == 'AnyCPU' ">
+     <RegisterForComInterop>False</RegisterForComInterop>
+     <GenerateSerializationAssemblies>Auto</GenerateSerializationAssemblies>
+     <BaseAddress>4194304</BaseAddress>
+     <PlatformTarget>AnyCPU</PlatformTarget>
+     <FileAlignment>4096</FileAlignment>
+   </PropertyGroup>
    <ItemGroup>
      <Reference Include="System" />
***************
*** 120,124 ****
      <Compile Include="a1_Financial\a3_Ordering\OrderStatus.cs" />
      <Compile Include="a1_Financial\a3_Ordering\OrderType.cs" />
-     <Compile Include="a2_Strategies\AccountStrategy.cs" />
      <Compile Include="a2_Strategies\Signal.cs" />
      <Compile Include="a2_Strategies\Signals.cs" />
--- 128,131 ----
***************
*** 156,159 ****
--- 163,174 ----
      <Compile Include="a2_Strategies\EquityEvaluation\IEquityEvaluator.cs" />
      <Compile Include="a2_Strategies\EquityEvaluation\WinningPeriods.cs" />
+     <Compile Include="a2_Strategies\returnsManagement\CloseToCloseReturnsManager.cs" />
+     <Compile Include="a2_Strategies\returnsManagement\ReturnsManager.cs" />
+     <Compile Include="a2_Strategies\SignedTickers.cs" />
+     <Compile Include="a2_Strategies\AccountStrategy.cs" />
+     <Compile Include="a2_Strategies\AccountManager.cs" />
+     <Compile Include="a2_Strategies\WeightedPositions.cs" />
+     <Compile Include="a2_Strategies\EquityEvaluation\ExpectancyScore.cs" />
+     <Compile Include="a2_Strategies\EquityEvaluation\SharpeRatio.cs" />
    </ItemGroup>
    <ItemGroup>
***************
*** 171,174 ****
--- 186,190 ----
      </ProjectReference>
      <Folder Include="a2_Strategies\EquityEvaluation" />
+     <Folder Include="a2_Strategies\returnsManagement" />
    </ItemGroup>
    <Import Project="$(MSBuildBinPath)\Microsoft.CSharp.Targets" />

[Quantproject-developers] QuantProject/b3_Data Data_SD.csproj, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8987/b3_Data

Modified Files:
	Data_SD.csproj 
Log Message:
Updated SharpDevelop project files

Index: Data_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/Data_SD.csproj,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** Data_SD.csproj	2 Jul 2006 20:07:59 -0000	1.1
--- Data_SD.csproj	29 Aug 2007 10:34:58 -0000	1.2
***************
*** 14,23 ****
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>True</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
--- 14,24 ----
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>true</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>false</TreatWarningsAsErrors>
!     <DebugType>Full</DebugType>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
***************
*** 29,32 ****
--- 30,40 ----
      <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
+   <PropertyGroup Condition=" '$(Platform)' == 'AnyCPU' ">
+     <RegisterForComInterop>False</RegisterForComInterop>
+     <GenerateSerializationAssemblies>Auto</GenerateSerializationAssemblies>
+     <BaseAddress>4194304</BaseAddress>
+     <PlatformTarget>AnyCPU</PlatformTarget>
+     <FileAlignment>4096</FileAlignment>
+   </PropertyGroup>
    <ItemGroup>
      <Reference Include="System" />

[Quantproject-developers] QuantProject/b1_ADT ADT_SD.csproj, 1.2, 1.3

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8987/b1_ADT

Modified Files:
	ADT_SD.csproj 
Log Message:
Updated SharpDevelop project files

Index: ADT_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/ADT_SD.csproj,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ADT_SD.csproj	17 Sep 2006 23:02:24 -0000	1.2
--- ADT_SD.csproj	29 Aug 2007 10:34:56 -0000	1.3
***************
*** 14,23 ****
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>True</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
--- 14,24 ----
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>true</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>false</TreatWarningsAsErrors>
!     <DebugType>Full</DebugType>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
***************
*** 29,32 ****
--- 30,40 ----
      <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
+   <PropertyGroup Condition=" '$(Platform)' == 'AnyCPU' ">
+     <RegisterForComInterop>False</RegisterForComInterop>
+     <GenerateSerializationAssemblies>Auto</GenerateSerializationAssemblies>
+     <BaseAddress>4194304</BaseAddress>
+     <PlatformTarget>AnyCPU</PlatformTarget>
+     <FileAlignment>4096</FileAlignment>
+   </PropertyGroup>
    <ItemGroup>
      <Reference Include="System" />
***************
*** 78,81 ****
--- 86,91 ----
      <Compile Include="ExtendedMath.cs" />
      <Compile Include="Collections\CollectionManager.cs" />
+     <Compile Include="Collections\FloatArrayManager.cs" />
+     <Compile Include="Collections\Set.cs" />
    </ItemGroup>
    <ItemGroup>

[Quantproject-developers] QuantProject/b2_DataAccess DataAccess_SD.csproj, 1.1, 1.2

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv8987/b2_DataAccess

Modified Files:
	DataAccess_SD.csproj 
Log Message:
Updated SharpDevelop project files

Index: DataAccess_SD.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/DataAccess_SD.csproj,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** DataAccess_SD.csproj	2 Jul 2006 20:07:59 -0000	1.1
--- DataAccess_SD.csproj	29 Aug 2007 10:34:57 -0000	1.2
***************
*** 14,23 ****
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>True</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
--- 14,24 ----
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
!     <DebugSymbols>true</DebugSymbols>
      <Optimize>False</Optimize>
      <AllowUnsafeBlocks>False</AllowUnsafeBlocks>
      <CheckForOverflowUnderflow>True</CheckForOverflowUnderflow>
      <OutputPath>..\bin\Debug\</OutputPath>
!     <TreatWarningsAsErrors>false</TreatWarningsAsErrors>
!     <DebugType>Full</DebugType>
    </PropertyGroup>
    <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
***************
*** 29,32 ****
--- 30,40 ----
      <TreatWarningsAsErrors>False</TreatWarningsAsErrors>
    </PropertyGroup>
+   <PropertyGroup Condition=" '$(Platform)' == 'AnyCPU' ">
+     <RegisterForComInterop>False</RegisterForComInterop>
+     <GenerateSerializationAssemblies>Auto</GenerateSerializationAssemblies>
+     <BaseAddress>4194304</BaseAddress>
+     <PlatformTarget>AnyCPU</PlatformTarget>
+     <FileAlignment>4096</FileAlignment>
+   </PropertyGroup>
    <ItemGroup>
      <Reference Include="System" />