quantproject-developers

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagChosenTickers.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv1087

Added Files:
	WFLagChosenTickers.cs 
Log Message:
est driving positions and tickers in portfolio,
with respect to the lag strategy

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

WFLagChosenTickers.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 QuantProject.ADT;
using QuantProject.ADT.Collections;
using QuantProject.ADT.Optimizing.Genetic;
using QuantProject.Business.Timing;


namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
{
	/// <summary>
	/// Best driving positions and tickers in portfolio,
	/// with respect to the lag strategy
	/// </summary>
	public class WFLagChosenTickers : IProgressNotifier
	{
		public event NewProgressEventHandler NewProgress;

		private WFLagEligibleTickers eligibleTickers;
		private int numberOfDrivingPositions;
		private int numberOfPositionsToBeChosen;
		private int inSampleDays;
		private IEndOfDayTimer endOfDayTimer;
		private int generationNumberForGeneticOptimizer;
		private int populationSizeForGeneticOptimizer;

		private QPHashtable drivingPositions;
		private QPHashtable portfolioPositions;

		public QPHashtable DrivingPositions
		{
			get
			{
				return this.drivingPositions;
			}
		}
		public QPHashtable PortfolioPositions
		{
			get
			{
				return this.portfolioPositions;
			}
		}
		public WFLagChosenTickers(
			int numberOfDrivingPositions ,
			int numberOfPositionsToBeChosen ,
			int inSampleDays ,
			IEndOfDayTimer endOfDayTimer ,
			int generationNumberForGeneticOptimizer ,
			int populationSizeForGeneticOptimizer
			)
		{
			this.eligibleTickers = eligibleTickers;
			this.numberOfDrivingPositions = numberOfDrivingPositions;
			this.numberOfPositionsToBeChosen = numberOfPositionsToBeChosen;
			this.inSampleDays = inSampleDays;
			this.endOfDayTimer = endOfDayTimer;
			this.generationNumberForGeneticOptimizer =
				generationNumberForGeneticOptimizer;
			this.populationSizeForGeneticOptimizer =
				populationSizeForGeneticOptimizer;
		}

		#region SetSignedTickers
//		private void setSignedTickers_clearPositions()
//		{
//			this.drivingPositions.Clear();
//			this.portfolioPositions.Clear();
//		}
		private void newGenerationEventHandler(
			object sender , NewGenerationEventArgs e )
		{
			this.NewProgress( sender ,
				new NewProgressEventArgs( e.GenerationCounter , e.GenerationNumber ) );
		}
		private void setSignedTickers_setTickersFromGenome(
			WFLagGenomeManager genomeManager ,
			Genome genome )
		{
			WFLagSignedTickers wFLagSignedTickers =
				( WFLagSignedTickers )genomeManager.Decode( genome );
			this.drivingPositions = wFLagSignedTickers.DrivingPositions;
			this.portfolioPositions = wFLagSignedTickers.PortfolioPositions;
		}
		public void SetSignedTickers( WFLagEligibleTickers eligibleTickers )
		{
//			this.setSignedTickers_clearPositions();

			DateTime firstDate =
				this.endOfDayTimer.GetCurrentTime().DateTime.AddDays(
				-( this.inSampleDays - 1 ) );

			WFLagGenomeManager genomeManager = 
				new WFLagGenomeManager(
				eligibleTickers.EligibleTickers ,
				firstDate ,
				this.endOfDayTimer.GetCurrentTime().DateTime ,
				this.numberOfDrivingPositions ,
				this.numberOfPositionsToBeChosen );

			GeneticOptimizer geneticOptimizer = new GeneticOptimizer(
				genomeManager ,
				this.populationSizeForGeneticOptimizer ,
				this.generationNumberForGeneticOptimizer ,
				ConstantsProvider.SeedForRandomGenerator );

			geneticOptimizer.NewGeneration +=
				new NewGenerationEventHandler( this.newGenerationEventHandler );

			geneticOptimizer.Run( false );

			this.setSignedTickers_setTickersFromGenome(
				genomeManager , geneticOptimizer.BestGenome );
		}
		#endregion
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag WFLagCandidates.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv579

Added Files:
	WFLagCandidates.cs 
Log Message:
Set of candidates for the next optimization
(close to close returns are computed and stored here).

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

WFLagCandidates.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.Data.DataTables;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
{
	/// <summary>
	/// Set of candidates for the next optimization
	/// (close to close returns are computed and stored here).
	/// </summary>
	public class WFLagCandidates
	{
		private DataTable eligibleTickers;
		private DateTime firstQuoteDate;
		private DateTime lastQuoteDate;

		private Hashtable closeToCloseReturns;

		public WFLagCandidates( DataTable eligibleTickers ,
			DateTime firstQuoteDate , DateTime lastQuoteDate )
		{
			this.eligibleTickers = eligibleTickers;
			this.firstQuoteDate = firstQuoteDate;
			this.lastQuoteDate = lastQuoteDate;
		}
		/// <summary>
		/// arrays of close to close returns, one for each ticker
		/// </summary>
		/// <param name="signedTickers">tickers</param>
		/// <returns></returns>
		public float[][] GetTickersReturns( ICollection tickers )
		{
			if ( this.closeToCloseReturns == null )
				this.set_closeToCloseReturns();
			float[][] tickersReturns = new float[ tickers.Count ][];
			int i = 0;
			foreach ( string ticker in tickers )
			{
				tickersReturns[ i ] = (float[])this.closeToCloseReturns[ ticker ];
				i++;
			}
			return tickersReturns;
		}

		#region set_closeToCloseReturns
		private float[] getCloseToCloseTickerReturns( string ticker )
		{
			Quotes tickerQuotes =
				new Quotes( ticker , this.firstQuoteDate , this.lastQuoteDate );
			float[] tickerAdjustedCloses =
				QuantProject.Data.ExtendedDataTable.GetArrayOfFloatFromColumn(
				tickerQuotes , "quAdjustedClose");
			float[] closeToCloseTickerReturns =
				new float[ tickerAdjustedCloses.Length ];
			int i = 0; //index for ratesOfReturns array
			for( int idx = 0 ; idx < tickerAdjustedCloses.Length - 1 ; idx++ )
			{
				closeToCloseTickerReturns[ i ] =
					tickerAdjustedCloses[ idx + 1 ] /	tickerAdjustedCloses[ idx ] - 1;
				i++;
			}	
			return closeToCloseTickerReturns;
		}
		private void set_closeToCloseReturns()
		{
			this.closeToCloseReturns = new Hashtable();
			for( int i = 0 ; i < this.eligibleTickers.Rows.Count ; i++ )
			{
				string ticker = (string)this.eligibleTickers.Rows[ i ][ 0 ];
				this.closeToCloseReturns[ ticker ] =
					this.getCloseToCloseTickerReturns( ticker );
			}
		}
		#endregion

//		private void retrieveData()
//		{
//			this.closeToCloseReturns =
//				new double[ this.eligibleTickers.Rows.Count ];
//			for(int i = 0; i<this.eligibleTickers.Rows.Count; i++)
//			{
//				string ticker = (string)this.eligibleTickers.Rows[i][0];
//				this.closeToCloseReturns[i] = new WFLagCandidate( ticker,
//					this.getArrayOfRatesOfReturn( ticker ) );
//				//				this.closeToCloseReturns[i] = new CandidateProperties( ticker,
//				//					this.getArrayOfRatesOfReturn( ticker ) );
//			}
//		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag RunWalkForwardLag.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv32399

Added Files:
	RunWalkForwardLag.cs 
Log Message:
Script to test the Lag strategy on many tickers, chosing the best group
when a fixed time span has elapsed.

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

RunWalkForwardLag.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using System;

using QuantProject.ADT;
using QuantProject.Business.DataProviders;
using QuantProject.Business.Financial.Accounting;
using QuantProject.Business.Financial.Ordering;
using QuantProject.Business.Scripting;
using QuantProject.Business.Timing;
using QuantProject.Presentation.Reporting.WindowsForm;

namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardLag
{
	/// <summary>
	/// Script to test the Lag strategy on many tickers, chosing the best group
	/// when a fixed time span has elapsed.
	/// </summary>
	public class RunWalkForwardLag : Script
	{
		private string tickerGroupID;
		private int numberEligibleTickers;
		private int numberOfPortfolioPositions;
		private int numberOfDrivingPositions;
		private int numberDaysForInSampleOptimization;
		private int numDaysBetweenEachOptimization;
		private int generationNumberForGeneticOptimizer;
		private int populationSizeForGeneticOptimizer;
		private string benchmark;
		private DateTime firstDateTime;
		private DateTime lastDateTime;
		private double maxRunningHours;

		private IHistoricalQuoteProvider historicalQuoteProvider;
		private IEndOfDayTimer endOfDayTimer;
		private DateTime startingTimeForScript;
		private Account account;
		private WFLagEndOfDayTimerHandler endOfDayTimerHandler;

		public event NewProgressEventHandler InSampleNewProgress;

		public RunWalkForwardLag(
			string tickerGroupID ,
			int numberEligibleTickers ,
			int numberOfPortfolioPositions ,
			int numberOfDrivingPositions ,
			int numberDaysForInSampleOptimization ,
			int numDaysBetweenEachOptimization ,
			int generationNumberForGeneticOptimizer ,
			int populationSizeForGeneticOptimizer ,
			string benchmark ,
			DateTime firstDateTime ,
			DateTime lastDateTime ,
			double maxRunningHours )
		{
			this.tickerGroupID = tickerGroupID;
			this.numberEligibleTickers = numberEligibleTickers;
			this.numberOfPortfolioPositions = numberOfPortfolioPositions;
			this.numberOfDrivingPositions = numberOfDrivingPositions;
			this.numberDaysForInSampleOptimization = numberDaysForInSampleOptimization;
			this.numDaysBetweenEachOptimization = numDaysBetweenEachOptimization;
			this.generationNumberForGeneticOptimizer = generationNumberForGeneticOptimizer;
			this.populationSizeForGeneticOptimizer = populationSizeForGeneticOptimizer;
			this.benchmark = benchmark;
			this.firstDateTime = firstDateTime;
			this.lastDateTime = lastDateTime;

			this.maxRunningHours = maxRunningHours;
		}

		private void run_initializeHistoricalQuoteProvider()
		{
			this.historicalQuoteProvider =
				new HistoricalAdjustedQuoteProvider();
		}
		private void run_initializeEndOfDayTimer()
		{
			EndOfDayDateTime endOfDayDateTime =
				new EndOfDayDateTime( firstDateTime ,
				EndOfDaySpecificTime.MarketOpen );
			this.endOfDayTimer =
				new IndexBasedEndOfDayTimer( endOfDayDateTime ,
				this.benchmark );
		}
		private void run_initializeAccount()
		{
			this.account = new Account( "WalkForwardLag" , this.endOfDayTimer ,
				new HistoricalEndOfDayDataStreamer( this.endOfDayTimer ,
				this.historicalQuoteProvider ) ,
				new HistoricalEndOfDayOrderExecutor( this.endOfDayTimer ,
				this.historicalQuoteProvider ) );
		}
		private void run_initializeEndOfDayTimerHandler()
		{
			this.endOfDayTimerHandler =
				new WFLagEndOfDayTimerHandler(
				this.tickerGroupID ,
				this.benchmark ,
				this.numberEligibleTickers ,
				this.numberOfPortfolioPositions ,
				this.numberOfDrivingPositions ,
				this.numberDaysForInSampleOptimization ,
				this.numDaysBetweenEachOptimization ,
				this.account ,
				this.generationNumberForGeneticOptimizer ,
				this.populationSizeForGeneticOptimizer );
		}
		private  void inSampleNewProgressEventHandler(
			Object sender , NewProgressEventArgs eventArgs )
		{
			if ( !(this.InSampleNewProgress == null) )
				this.InSampleNewProgress( this , eventArgs );
			Console.WriteLine(
				eventArgs.CurrentProgress.ToString() + " / " +
				eventArgs.Goal.ToString() +
				" - " +
				DateTime.Now.ToString() );
		}
		private void run_initializeProgressHandlers()
		{
			this.endOfDayTimerHandler.InSampleNewProgress +=
				new InSampleNewProgressEventHandler( this.inSampleNewProgressEventHandler );
		}
		public void marketOpenEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( this.account.Transactions.Count == 0 )
				this.account.AddCash( 30000 );
		}
		private void oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
			IEndOfDayTimer endOfDayTimer )
		{
			string progress = "Current out of sample date:" +
				endOfDayTimer.GetCurrentTime().DateTime.ToString() + " - " +
				"First date:" + this.firstDateTime.ToString() + " - " +
				"Last date:" + this.lastDateTime.ToString();
			Console.WriteLine( progress );
		}
		public void oneHourAfterMarketCloseEventHandler(
			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
		{
			if ( ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
				this.lastDateTime ) ||
				( DateTime.Now >=
				this.startingTimeForScript.AddHours( this.maxRunningHours ) ) )
			{
				// either the simulation has reached the ending date or
				// too much time elapsed since the simulation started
				this.account.EndOfDayTimer.Stop();
				//				this.progressBarForm.Close();
				//				ObjectArchiver.Archive( this.account ,
				//					@"C:\Documents and Settings\Glauco\Desktop\reports\final.qP" );
				DateTime lastReportDateTime = this.lastDateTime;
				if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime <
					lastReportDateTime )
					lastReportDateTime =
						( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime;
				Report report = new Report( this.account , this.historicalQuoteProvider );
				report.Create( "Walk Forward Lag" , 1 ,
					new EndOfDayDateTime( lastReportDateTime ,
					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
					this.benchmark );
//				WFMultiOneRankReportDebugger wFMultiOneRankReportDebugger =
//					new WFMultiOneRankReportDebugger( this.numberOfPortfolioPositions ,
//					this.numberDaysForInSampleOptimization , this.benchmark );
//				report.TransactionGrid.MouseUp +=
//					new MouseEventHandler(
//					wFMultiOneRankReportDebugger.MouseClickEventHandler );
				report.Show();
			}
			else
				// the simulation has not reached the ending date, yet
				this.oneHourAfterMarketCloseEventHandler_handleProgessBarForm(
					( IEndOfDayTimer )sender );
		}
		private void run_addEventHandlers()
		{
			this.endOfDayTimer.MarketOpen +=
				new MarketOpenEventHandler( this.marketOpenEventHandler );
			this.endOfDayTimer.FiveMinutesBeforeMarketClose +=
				new FiveMinutesBeforeMarketCloseEventHandler(
				this.endOfDayTimerHandler.FiveMinutesBeforeMarketCloseEventHandler );
			this.endOfDayTimer.OneHourAfterMarketClose +=
				new OneHourAfterMarketCloseEventHandler(
				this.endOfDayTimerHandler.OneHourAfterMarketCloseEventHandler );
			this.endOfDayTimer.OneHourAfterMarketClose +=
				new OneHourAfterMarketCloseEventHandler(
				this.oneHourAfterMarketCloseEventHandler );
		}

		public override void Run()
		{
			this.startingTimeForScript = DateTime.Now;

			run_initializeHistoricalQuoteProvider();
			run_initializeEndOfDayTimer();
			run_initializeAccount();
			run_initializeEndOfDayTimerHandler();
			//			run_initializeProgressBar();
			run_initializeProgressHandlers();
			run_addEventHandlers();
			//			this.progressBarForm.Show();
			this.endOfDayTimer.Start();
		}
	}
}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag - New directory

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv31243/WalkForwardLag

Log Message:
Directory /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardLag added to the repository

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination LinearCombinationTest.cs,1.4,1.5

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv29006/b7_Scripts/WalkForwardTesting/LinearCombination

Modified Files:
	LinearCombinationTest.cs 
Log Message:
MSFT is used as a benchmark, now.

Index: LinearCombinationTest.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/LinearCombination/LinearCombinationTest.cs,v
retrieving revision 1.4
retrieving revision 1.5
diff -C2 -d -r1.4 -r1.5
*** LinearCombinationTest.cs	8 Jan 2006 23:33:52 -0000	1.4
--- LinearCombinationTest.cs	14 Mar 2006 14:53:54 -0000	1.5
***************
*** 121,125 ****
  				new IndexBasedEndOfDayTimer(
  				new EndOfDayDateTime( this.firstDate ,
! 				EndOfDaySpecificTime.MarketOpen ) , "DYN" );
  			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
--- 121,125 ----
  				new IndexBasedEndOfDayTimer(
  				new EndOfDayDateTime( this.firstDate ,
! 				EndOfDaySpecificTime.MarketOpen ) , "MSFT" );
  			run_setHistoricalQuoteProvider();
  			this.account = new Account( "LinearCombination" , historicalEndOfDayTimer ,
***************
*** 148,152 ****
  			report.Create( "Linear Combination" , 1 ,
  				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
! 				"^SPX" );
  			//			ObjectArchiver.Archive( report.AccountReport ,
  			//				@"C:\Documents and Settings\Glauco\Desktop\reports\runOneRank.qPr" );
--- 148,152 ----
  			report.Create( "Linear Combination" , 1 ,
  				new EndOfDayDateTime( this.lastDate , EndOfDaySpecificTime.MarketClose ) ,
! 				"MSFT" );
  			//			ObjectArchiver.Archive( report.AccountReport ,
  			//				@"C:\Documents and Settings\Glauco\Desktop\reports\runOneRank.qPr" );

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting Portfolio.cs,1.9,1.10

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv28741/b4_Business/a1_Financial/a2_Accounting

Modified Files:
	Portfolio.cs 
Log Message:
Portfolio now extends a QuantProject.ADT.Collections.QPHashtable,
instead of a System.Collections.Hashtable.
This way, debugging will be easier.

Index: Portfolio.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/Portfolio.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** Portfolio.cs	26 Nov 2005 23:57:20 -0000	1.9
--- Portfolio.cs	14 Mar 2006 14:53:13 -0000	1.10
***************
*** 25,29 ****
--- 25,31 ----
  using System.Collections;
  using System.Diagnostics;
+ 
  using QuantProject.ADT;
+ using QuantProject.ADT.Collections;
  using QuantProject.Business.DataProviders;
  using QuantProject.Business.Financial.Instruments;
***************
*** 37,41 ****
  	/// </summary>
    [Serializable]
!   public class Portfolio : Hashtable
    {
  		public ICollection Positions
--- 39,43 ----
  	/// </summary>
    [Serializable]
!   public class Portfolio : QPHashtable
    {
  		public ICollection Positions

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank RunWalkForwardMultiOneRank.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27419/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank

Modified Files:
	RunWalkForwardMultiOneRank.cs 
Log Message:
Fixed bug: now the last report date is properly computed.

Index: RunWalkForwardMultiOneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/RunWalkForwardMultiOneRank.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** RunWalkForwardMultiOneRank.cs	19 Feb 2006 17:53:01 -0000	1.3
--- RunWalkForwardMultiOneRank.cs	14 Mar 2006 14:51:12 -0000	1.4
***************
*** 195,199 ****
  				Report report = new Report( this.account , this.historicalQuoteProvider );
  				report.Create( "WFT One Rank" , 1 ,
! 					new EndOfDayDateTime( this.lastDateTime ,
  					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  					this.benchmark );
--- 195,199 ----
  				Report report = new Report( this.account , this.historicalQuoteProvider );
  				report.Create( "WFT One Rank" , 1 ,
! 					new EndOfDayDateTime( lastReportDateTime ,
  					EndOfDaySpecificTime.OneHourAfterMarketClose ) ,
  					this.benchmark );

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

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25990/b7_Scripts/WalkForwardTesting

Modified Files:
	IWalkForwardProgressNotifier.cs 
Log Message:
InSampleNewProgressEventHandler has been moved here from InSampleNewProgressEventHandler

Index: IWalkForwardProgressNotifier.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/IWalkForwardProgressNotifier.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** IWalkForwardProgressNotifier.cs	19 Nov 2005 13:46:10 -0000	1.1
--- IWalkForwardProgressNotifier.cs	14 Mar 2006 14:48:20 -0000	1.2
***************
*** 27,30 ****
--- 27,33 ----
  namespace QuantProject.Scripts.WalkForwardTesting
  {
+ 	public delegate void InSampleNewProgressEventHandler(
+ 	Object sender , NewProgressEventArgs eventArgs );
+ 
  	/// <summary>
  	/// Interface to be implemented by time consuming walk forwarding scripts

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankEndOfDayTimerHandler.cs,1.3,1.4

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25570/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank

Modified Files:
	WFMultiOneRankEndOfDayTimerHandler.cs 
Log Message:
InSampleNewProgressEventHandler has been moved to IWalkForwardProgressNotifier.cs

Index: WFMultiOneRankEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/WFMultiOneRankEndOfDayTimerHandler.cs,v
retrieving revision 1.3
retrieving revision 1.4
diff -C2 -d -r1.3 -r1.4
*** WFMultiOneRankEndOfDayTimerHandler.cs	19 Feb 2006 17:49:42 -0000	1.3
--- WFMultiOneRankEndOfDayTimerHandler.cs	14 Mar 2006 14:47:52 -0000	1.4
***************
*** 34,40 ****
  namespace QuantProject.Scripts.WalkForwardTesting.WalkForwardMultiOneRank
  {
- 	public delegate void InSampleNewProgressEventHandler(
- 	Object sender , NewProgressEventArgs eventArgs );
- 
  	/// <summary>
  	/// Implements OneHourAfterMarketCloseEventHandler and FiveMinutesBeforeMarketCloseEventHandler.
--- 34,37 ----

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankGenomeManager.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv4694/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank

Modified Files:
	WFMultiOneRankGenomeManager.cs 
Log Message:
Minor change: removed useless blanks

Index: WFMultiOneRankGenomeManager.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/WFMultiOneRankGenomeManager.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFMultiOneRankGenomeManager.cs	11 Dec 2005 18:04:17 -0000	1.2
--- WFMultiOneRankGenomeManager.cs	14 Mar 2006 14:13:41 -0000	1.3
***************
*** 2,6 ****
  QuantProject - Quantitative Finance Library
  
! WFMultiOneRankChosenTickers.cs
  Copyright (C) 2003 
  Glauco Siliprandi
--- 2,6 ----
  QuantProject - Quantitative Finance Library
  
! WFMultiOneRankGenomeManager.cs
  Copyright (C) 2003 
  Glauco Siliprandi
***************
*** 143,147 ****
  			//the investment is assumed to be equally divided for each ticker
  			return ( currentReturn / this.GenomeSize );
! 		}    
      
  		private double[] getFitnessValue_getLinearCombinationReturns( int[] tickersIdx )
--- 143,147 ----
  			//the investment is assumed to be equally divided for each ticker
  			return ( currentReturn / this.GenomeSize );
! 		}
      
  		private double[] getFitnessValue_getLinearCombinationReturns( int[] tickersIdx )
***************
*** 149,154 ****
  			double[] returnValue =
  				new double[ this.setOfCandidates[ 0 ].ArrayOfRatesOfReturn.Length ];
! 			for( int i = 0; i < returnValue.Length ; i++ )    
! 			{  
  				foreach( int tickerIdx in tickersIdx )
  					returnValue[ i ] +=
--- 149,154 ----
  			double[] returnValue =
  				new double[ this.setOfCandidates[ 0 ].ArrayOfRatesOfReturn.Length ];
! 			for( int i = 0; i < returnValue.Length ; i++ ) 
! 			{
  				foreach( int tickerIdx in tickersIdx )
  					returnValue[ i ] +=
***************
*** 159,162 ****
--- 159,163 ----
  		}
  		#endregion
+ 
  		private double[] getFitnessValue_getStrategyReturnForCurrentCandidates(
  			double[] linearCombinationReturns )

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs,1.17,1.18

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv25895/b4_Business/a1_Financial/a2_Accounting/h5_Reporting

Modified Files:
	AccountReport.cs 
Log Message:
Minor code formatting improvement

Index: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** AccountReport.cs	11 Jan 2006 18:38:10 -0000	1.17
--- AccountReport.cs	19 Feb 2006 18:03:44 -0000	1.18
***************
*** 158,168 ****
      {
  			dataRow[ "AccountCash" ] = this.accountCopy.CashAmount;
!       dataRow[ "PortfolioValue" ] = this.accountCopy.Portfolio.GetMarketValue(
!         endOfDayDateTime , this.historicalQuoteProvider );
!       dataRow[ "AccountValue" ] = (double)dataRow[ "AccountCash" ] +
  				(double)dataRow[ "PortfolioValue" ];
!       dataRow[ "PnL" ] = (double)dataRow[ "AccountValue" ] +
!         this.accountCopy.Transactions.TotalWithdrawn -
!         this.accountCopy.Transactions.TotalAddedCash;
  		}
      private void addTransactionRow( EndOfDayTransaction transaction ,
--- 158,170 ----
      {
  			dataRow[ "AccountCash" ] = this.accountCopy.CashAmount;
! 
! 			dataRow[ "PortfolioValue" ] = this.accountCopy.Portfolio.GetMarketValue(
! 				endOfDayDateTime , this.historicalQuoteProvider );
! 
! 			dataRow[ "AccountValue" ] = (double)dataRow[ "AccountCash" ] +
  				(double)dataRow[ "PortfolioValue" ];
! 			dataRow[ "PnL" ] = (double)dataRow[ "AccountValue" ] +
! 				this.accountCopy.Transactions.TotalWithdrawn -
! 				this.accountCopy.Transactions.TotalAddedCash;
  		}
      private void addTransactionRow( EndOfDayTransaction transaction ,

[Quantproject-developers] QuantProject/b3_Data/DataProviders HistoricalDataProvider.cs,1.10,1.11

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22908/b3_Data/DataProviders

Modified Files:
	HistoricalDataProvider.cs 
Log Message:
Performance testing code has been removed.

Index: HistoricalDataProvider.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/HistoricalDataProvider.cs,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** HistoricalDataProvider.cs	11 Jan 2006 18:24:33 -0000	1.10
--- HistoricalDataProvider.cs	19 Feb 2006 17:59:27 -0000	1.11
***************
*** 251,262 ****
  		{
  			double returnValue;
- 			int firstSecond = DateTime.Now.Second;
- 			int firstMillisecond = DateTime.Now.Millisecond;
  			double adjustedClose = privateCache.GetQuote( instrumentKey ,
  				extendedDateTime.DateTime , QuoteField.AdjustedClose );
- 			int secondSecond = DateTime.Now.Second;
- 			int secondMillisecond = DateTime.Now.Millisecond;
- 			int elapsedMillisecond = ( secondSecond - firstSecond ) *
- 				1000 + ( secondMillisecond - firstMillisecond );
  			if ( extendedDateTime.BarComponent == BarComponent.Close )
  				returnValue = adjustedClose;
--- 251,256 ----

[Quantproject-developers] QuantProject/b3_Data/DataTables Quotes.cs,1.23,1.24

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataTables
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22478/b3_Data/DataTables

Modified Files:
	Quotes.cs 
Log Message:
The method GetFollowingDate( DateTime quoteDate , int followingDays )
has been improved: now an exception is thrown when no quote is
available at the requested following date.

Index: Quotes.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/DataTables/Quotes.cs,v
retrieving revision 1.23
retrieving revision 1.24
diff -C2 -d -r1.23 -r1.24
*** Quotes.cs	8 Jan 2006 23:38:43 -0000	1.23
--- Quotes.cs	19 Feb 2006 17:58:13 -0000	1.24
***************
*** 767,773 ****
  		{
  			setHistory();
! 			return (DateTime) history.GetKey( Math.Max( 0 ,
! 				history.IndexOfKeyOrPrevious( quoteDate ) +
! 				followingDays ) );
  		}
      
--- 767,786 ----
  		{
  			setHistory();
! 			int indexOfKeyOrPrevious =
! 				history.IndexOfKeyOrPrevious( quoteDate );
! 			DateTime followingDate;
! 			try
! 			{
! 				followingDate =	(DateTime) history.GetKey( Math.Max( 0 ,
! 					indexOfKeyOrPrevious + followingDays ) );
! 			}
! 			catch ( ArgumentOutOfRangeException exception )
! 			{
! 				string message = exception.Message;
! 				throw new Exception( "Quotes.GetFollowingDate() error: there is not " +
! 					"a date for quoteDate=" + quoteDate.ToString() +
! 					" and followingDays=" + followingDays );
! 			}
! 			return followingDate;
  		}
      

[Quantproject-developers] QuantProject/b5_Presentation/Reporting/WindowsForm ReportShower.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20932/b5_Presentation/Reporting/WindowsForm

Modified Files:
	ReportShower.cs 
Log Message:
minor code formatting improvement

Index: ReportShower.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b5_Presentation/Reporting/WindowsForm/ReportShower.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** ReportShower.cs	13 Mar 2005 23:38:40 -0000	1.2
--- ReportShower.cs	19 Feb 2006 17:54:36 -0000	1.3
***************
*** 208,216 ****
            throw new Exception("Benchmark symbol is requested!");
          this.report.Clear();
          this.report.Show(this.reportName.Text, (int)this.numDaysForEquityLine.Value,
                            new EndOfDayDateTime(this.endingDate.Value,
                                                EndOfDaySpecificTime.MarketClose),
                          this.benchmark.Text);
!       }
        
        catch(Exception ex)
--- 208,218 ----
            throw new Exception("Benchmark symbol is requested!");
          this.report.Clear();
+ 				System.Console.WriteLine( DateTime.Now );
          this.report.Show(this.reportName.Text, (int)this.numDaysForEquityLine.Value,
                            new EndOfDayDateTime(this.endingDate.Value,
                                                EndOfDaySpecificTime.MarketClose),
                          this.benchmark.Text);
! 				System.Console.WriteLine( DateTime.Now );
! 			}
        
        catch(Exception ex)

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank RunWalkForwardMultiOneRank.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv20153/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank

Modified Files:
	RunWalkForwardMultiOneRank.cs 
Log Message:
maxRunningHours is better handled now

Index: RunWalkForwardMultiOneRank.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/RunWalkForwardMultiOneRank.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** RunWalkForwardMultiOneRank.cs	27 Nov 2005 00:03:05 -0000	1.2
--- RunWalkForwardMultiOneRank.cs	19 Feb 2006 17:53:01 -0000	1.3
***************
*** 67,74 ****
  
  		private WFMultiOneRankEndOfDayTimerHandler endOfDayTimerHandler;
- 
  		private Account account;
- 		
  		private IEndOfDayTimer endOfDayTimer;
  
  		public RunWalkForwardMultiOneRank(
--- 67,73 ----
  
  		private WFMultiOneRankEndOfDayTimerHandler endOfDayTimerHandler;
  		private Account account;
  		private IEndOfDayTimer endOfDayTimer;
+ 		private DateTime startingTimeForScript;
  
  		public RunWalkForwardMultiOneRank(
***************
*** 109,112 ****
--- 108,112 ----
  			this.historicalQuoteProvider =
  				new HistoricalAdjustedQuoteProvider();
+ 			this.startingTimeForScript = DateTime.Now;
  		}
  		private void run_initializeEndOfDayTimer()
***************
*** 132,135 ****
--- 132,136 ----
  				new WFMultiOneRankEndOfDayTimerHandler(
  				this.tickerGroupID ,
+ 				this.benchmark ,
  				this.numberEligibleTickers ,
  				this.numberOfPortfolioPositions ,
***************
*** 177,182 ****
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
! 				this.lastDateTime )
  			{
  				// the simulation has reached the ending date
--- 178,185 ----
  			Object sender , EndOfDayTimingEventArgs endOfDayTimingEventArgs )
  		{
! 			if ( ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime >
! 				this.lastDateTime ) ||
! 				( DateTime.Now >=
! 				this.startingTimeForScript.AddHours( this.maxRunningHours ) ) )
  			{
  				// the simulation has reached the ending date
***************
*** 185,188 ****
--- 188,196 ----
  //				ObjectArchiver.Archive( this.account ,
  //					@"C:\Documents and Settings\Glauco\Desktop\reports\final.qP" );
+ 				DateTime lastReportDateTime = this.lastDateTime;
+ 				if ( ( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime <
+ 					lastReportDateTime )
+ 					lastReportDateTime =
+ 						( ( IEndOfDayTimer )sender ).GetCurrentTime().DateTime;
  				Report report = new Report( this.account , this.historicalQuoteProvider );
  				report.Create( "WFT One Rank" , 1 ,

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankEligibleTickers.cs,1.1,1.2

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv19255/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank

Modified Files:
	WFMultiOneRankEligibleTickers.cs 
Log Message:
Benchmark is better handled now.

Index: WFMultiOneRankEligibleTickers.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/WFMultiOneRankEligibleTickers.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** WFMultiOneRankEligibleTickers.cs	12 Nov 2005 18:40:00 -0000	1.1
--- WFMultiOneRankEligibleTickers.cs	19 Feb 2006 17:50:29 -0000	1.2
***************
*** 34,38 ****
  	public class WFMultiOneRankEligibleTickers
  	{
! 		string tickerGroupID;
  		private int numberEligibleTickersToBeChosen;
  		private int numberDaysForPerformanceCalculation;
--- 34,39 ----
  	public class WFMultiOneRankEligibleTickers
  	{
! 		private string tickerGroupID;
! 		private string benchmark;
  		private int numberEligibleTickersToBeChosen;
  		private int numberDaysForPerformanceCalculation;
***************
*** 48,51 ****
--- 49,53 ----
  		public WFMultiOneRankEligibleTickers(
  			string tickerGroupID ,
+ 			string benchmark ,
  			int numberEligibleTickersToBeChosen ,
  			int numberDaysForPerformanceCalculation ,
***************
*** 53,56 ****
--- 55,59 ----
  		{
  			this.tickerGroupID = tickerGroupID;
+ 			this.benchmark = benchmark;
  			this.numberEligibleTickersToBeChosen = numberEligibleTickersToBeChosen;
  			this.numberDaysForPerformanceCalculation = numberDaysForPerformanceCalculation;
***************
*** 78,82 ****
  				new SelectorByQuotationAtEachMarketDay( eligibleTickers,
  				false,	dateTime.AddDays( - this.numberDaysForPerformanceCalculation ) ,
! 				dateTime, this.numberEligibleTickersToBeChosen,"^SPX");
  			return quotedInEachMarketDay.GetTableOfSelectedTickers();
  		}
--- 81,85 ----
  				new SelectorByQuotationAtEachMarketDay( eligibleTickers,
  				false,	dateTime.AddDays( - this.numberDaysForPerformanceCalculation ) ,
! 				dateTime, this.numberEligibleTickersToBeChosen,this.benchmark );
  			return quotedInEachMarketDay.GetTableOfSelectedTickers();
  		}

[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank WFMultiOneRankEndOfDayTimerHandler.cs,1.2,1.3

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

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv18822/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank

Modified Files:
	WFMultiOneRankEndOfDayTimerHandler.cs 
Log Message:
Benchmark is better handled now.

Index: WFMultiOneRankEndOfDayTimerHandler.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/WalkForwardMultiOneRank/WFMultiOneRankEndOfDayTimerHandler.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** WFMultiOneRankEndOfDayTimerHandler.cs	27 Nov 2005 00:11:29 -0000	1.2
--- WFMultiOneRankEndOfDayTimerHandler.cs	19 Feb 2006 17:49:42 -0000	1.3
***************
*** 47,50 ****
--- 47,51 ----
  
  		private string tickerGroupID;
+ 		private string benchmark;
  		private int numberEligibleTickers;
  		private int numberOfPositionsToBeChosen;
***************
*** 88,91 ****
--- 89,93 ----
  		public WFMultiOneRankEndOfDayTimerHandler(
  			string tickerGroupID ,
+ 			string benchmark ,
  			int numberEligibleTickers ,
  			int numberOfPositionsToBeChosen ,
***************
*** 96,99 ****
--- 98,102 ----
  		{
  			this.tickerGroupID = tickerGroupID;
+ 			this.benchmark = benchmark;
  			this.numberEligibleTickers = numberEligibleTickers;
  			this.numberOfPositionsToBeChosen = numberOfPositionsToBeChosen;
***************
*** 108,111 ****
--- 111,115 ----
  			this.eligibleTickers =
  				new WFMultiOneRankEligibleTickers( this.tickerGroupID ,
+ 				this.benchmark ,
  				numberEligibleTickers ,	inSampleWindowDays ,
  				this.account.EndOfDayTimer );
***************
*** 155,158 ****
--- 159,164 ----
  				//				this.eligibleTickers.SetTickers( endOfDayTimingEventArgs.EndOfDayDateTime.DateTime );
  				this.eligibleTickers.SetTickers();
+ 				Console.WriteLine( "Number of Eligible tickers: " +
+ 					this.eligibleTickers.EligibleTickers.Rows.Count );
  				this.chosenTickers.SetTickers( this.eligibleTickers );
  				this.lastOptimizationDate = this.now().DateTime;

[Quantproject-developers] QuantDownloader/Downloader TickerDownloader.cs,1.17,1.18

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

Update of /cvsroot/quantproject/QuantDownloader/Downloader
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv27449/Downloader

Modified Files:
	TickerDownloader.cs 
Log Message:
For too high volume data, a maximum value is stored.

Index: TickerDownloader.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantDownloader/Downloader/TickerDownloader.cs,v
retrieving revision 1.17
retrieving revision 1.18
diff -C2 -d -r1.17 -r1.18
*** TickerDownloader.cs	7 Oct 2005 16:52:28 -0000	1.17
--- TickerDownloader.cs	22 Jan 2006 09:53:13 -0000	1.18
***************
*** 202,206 ****
          myRow[ "quLow" ]=Double.Parse( LineIn[3] );
          myRow[ "quClose" ]=Double.Parse( LineIn[4] );
!         myRow[ "quVolume" ]=Double.Parse( LineIn[5] );
          myRow[ "quAdjustedClose" ]=Double.Parse( LineIn[6] );
  			  
--- 202,206 ----
          myRow[ "quLow" ]=Double.Parse( LineIn[3] );
          myRow[ "quClose" ]=Double.Parse( LineIn[4] );
!         myRow[ "quVolume" ]=Math.Min(Double.Parse( LineIn[5]),Convert.ToDouble(Int32.MaxValue));
          myRow[ "quAdjustedClose" ]=Double.Parse( LineIn[6] );
  			  

[Quantproject-developers] QuantProject/b2_DataAccess DataBase.cs,1.7,1.8

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23356

Modified Files:
	DataBase.cs 
Log Message:
- GetQuote has been added
- WasExchanged has been added

Index: DataBase.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/DataBase.cs,v
retrieving revision 1.7
retrieving revision 1.8
diff -C2 -d -r1.7 -r1.8
*** DataBase.cs	11 Jan 2006 18:36:02 -0000	1.7
--- DataBase.cs	15 Jan 2006 23:35:09 -0000	1.8
***************
*** 140,143 ****
--- 140,185 ----
  		}
  		#endregion
+ 		public static double GetQuote( string ticker ,
+ 			QuoteField quoteField , DateTime dateTime )
+ 		{
+ 			double quote = Double.MinValue;
+ 			string sqlQuery =
+ 				"select " + getFieldName( quoteField ) + " " +
+ 				"from quotes where (quTicker='" + ticker + "') " +
+ 				"and (quDate=" + SQLBuilder.GetDateConstant( dateTime ) + ")";
+ 			DataTable quotes = new DataTable();
+ 			try
+ 			{
+ 				quotes = SqlExecutor.GetDataTable( sqlQuery );
+ 			}
+ 			catch (Exception ex)
+ 			{
+ 				MessageBox.Show( ex.ToString() );
+ 			}
+ 			if ( quotes.Rows.Count == 0 )
+ 				throw new MissingQuoteException( ticker , dateTime );
+ 			else
+ 				quote = (double)( quotes.Rows[ 0 ][ 0 ] );
+ 			return quote;
+ 		}
+ 		public static bool WasExchanged( string ticker ,
+ 			ExtendedDateTime extendedDateTime )
+ 		{
+ 			string sqlQuery =
+ 				"select * " +
+ 				"from quotes where (quTicker='" + ticker + "') " +
+ 				"and (quDate=" +
+ 				SQLBuilder.GetDateConstant( extendedDateTime.DateTime ) + ")";
+ 			DataTable quotes = new DataTable();
+ 			try
+ 			{
+ 				quotes = SqlExecutor.GetDataTable( sqlQuery );
+ 			}
+ 			catch (Exception ex)
+ 			{
+ 				MessageBox.Show( ex.ToString() );
+ 			}
+ 			return ( quotes.Rows.Count > 0 );
+ 		}
  	}
  }

[Quantproject-developers] QuantProject/b2_DataAccess b2_DataAccess.csproj,1.16,1.17

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24411/b2_DataAccess

Modified Files:
	b2_DataAccess.csproj 
Log Message:
MissingQuoteException.cs has been added

Index: b2_DataAccess.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b2_DataAccess/b2_DataAccess.csproj,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** b2_DataAccess.csproj	27 Aug 2005 19:20:26 -0000	1.16
--- b2_DataAccess.csproj	11 Jan 2006 18:47:15 -0000	1.17
***************
*** 113,116 ****
--- 113,121 ----
                  />
                  <File
+                     RelPath = "MissingQuoteException.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "OleDbSingleTableAdapter.cs"
                      SubType = "Code"

[Quantproject-developers] QuantProject/b3_Data b3_Data.csproj,1.35,1.36

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

Update of /cvsroot/quantproject/QuantProject/b3_Data
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv24064/b3_Data

Modified Files:
	b3_Data.csproj 
Log Message:
- DataProviders\Caching\ICache.cs has been added
- DataProviders\Caching\SimpleCache.cs has been added

Index: b3_Data.csproj
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b3_Data/b3_Data.csproj,v
retrieving revision 1.35
retrieving revision 1.36
diff -C2 -d -r1.35 -r1.36
*** b3_Data.csproj	7 Jan 2006 11:03:45 -0000	1.35
--- b3_Data.csproj	11 Jan 2006 18:46:12 -0000	1.36
***************
*** 193,196 ****
--- 193,201 ----
                  />
                  <File
+                     RelPath = "DataProviders\Caching\ICache.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "DataProviders\Caching\MissingQuoteException.cs"
                      SubType = "Code"
***************
*** 198,201 ****
--- 203,211 ----
                  />
                  <File
+                     RelPath = "DataProviders\Caching\SimpleCache.cs"
+                     SubType = "Code"
+                     BuildAction = "Compile"
+                 />
+                 <File
                      RelPath = "DataTables\GroupQuotes.cs"
                      SubType = "Component"

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Caching SimpleCache.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Caching
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23468/b3_Data/DataProviders/Caching

Added Files:
	SimpleCache.cs 
Log Message:
Handles quote caching from mass storage to main memory

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

Cache.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

using QuantProject.ADT;
using QuantProject.DataAccess;

namespace QuantProject.Data.DataProviders.Caching
{
	/// <summary>
	/// Handles quote caching from mass storage to main memory
	/// </summary>
	public class SimpleCache : ICache
	{
		public SimpleCache()
		{
			//
			// TODO: Add constructor logic here
			//
		}
		public double GetQuote( string ticker , DateTime dateTime , QuoteField quoteField )
		{
			double returnValue = double.MinValue;
			try
			{
				returnValue = DataBase.GetQuote( ticker , quoteField , dateTime );
			}
			catch( QuantProject.DataAccess.MissingQuoteException ex )
			{
				string message = ex.Message; // used to avoid warning
				throw new QuantProject.Data.DataProviders.Caching.MissingQuoteException(
					ticker , dateTime );
			}
			return returnValue;
		}
		public bool WasExchanged( string ticker ,
			ExtendedDateTime extendedDateTime )
		{
			return DataBase.WasExchanged( ticker , extendedDateTime );
		}
	}
}

[Quantproject-developers] QuantProject/b2_DataAccess MissingQuoteException.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b2_DataAccess
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv23162/b2_DataAccess

Added Files:
	MissingQuoteException.cs 
Log Message:
Thrown when a quote is requested, but it is not present in the database

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

MissingQuoteException.cs
Copyright (C) 2003 
Glauco Siliprandi

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

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

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

namespace QuantProject.DataAccess
{
	/// <summary>
	/// Thrown when a quote is requested, but it is not present in
	/// the database
	/// </summary>
	public class MissingQuoteException : Exception
	{
		private string ticker;
		private DateTime dateTime;
		public override string Message
		{
			get
			{
				return "Missing quote for ticker " +
					this.ticker + " for date " + this.dateTime.ToString();
			}
		}
		public MissingQuoteException( string ticker , DateTime dateTime )
		{
			this.ticker = ticker;
			this.dateTime = dateTime;
		}
	}
}

[Quantproject-developers] QuantProject/b3_Data/DataProviders/Caching ICache.cs,NONE,1.1

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

Update of /cvsroot/quantproject/QuantProject/b3_Data/DataProviders/Caching
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv22603/b3_Data/DataProviders/Caching

Added Files:
	ICache.cs 
Log Message:
Interface to be implemented by a cache

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

ICache.cs
Copyright (C) 2004 
Glauco Siliprandi

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

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

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

using System;

using QuantProject.ADT;
using QuantProject.DataAccess;

namespace QuantProject.Data.DataProviders.Caching
{
	/// <summary>
	/// Interface to be implemented by a cache
	/// </summary>
	public interface ICache
	{
		double GetQuote( string ticker , DateTime dateTime , QuoteField quoteField );
		bool WasExchanged( string ticker , ExtendedDateTime extendedDateTime );
	}
}

[Quantproject-developers] QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting AccountReport.cs,1.16,1.17

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

Update of /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv21057/b4_Business/a1_Financial/a2_Accounting/h5_Reporting

Modified Files:
	AccountReport.cs 
Log Message:
Code has been formatted: tab are used instead of blanks

Index: AccountReport.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a1_Financial/a2_Accounting/h5_Reporting/AccountReport.cs,v
retrieving revision 1.16
retrieving revision 1.17
diff -C2 -d -r1.16 -r1.17
*** AccountReport.cs	15 Oct 2005 17:58:03 -0000	1.16
--- AccountReport.cs	11 Jan 2006 18:38:10 -0000	1.17
***************
*** 157,161 ****
      private void addBalanceItems ( EndOfDayDateTime endOfDayDateTime ,  DataRow dataRow )
      {
!       dataRow[ "AccountCash" ] = this.accountCopy.CashAmount;
        dataRow[ "PortfolioValue" ] = this.accountCopy.Portfolio.GetMarketValue(
          endOfDayDateTime , this.historicalQuoteProvider );
--- 157,161 ----
      private void addBalanceItems ( EndOfDayDateTime endOfDayDateTime ,  DataRow dataRow )
      {
! 			dataRow[ "AccountCash" ] = this.accountCopy.CashAmount;
        dataRow[ "PortfolioValue" ] = this.accountCopy.Portfolio.GetMarketValue(
          endOfDayDateTime , this.historicalQuoteProvider );
***************
*** 165,169 ****
          this.accountCopy.Transactions.TotalWithdrawn -
          this.accountCopy.Transactions.TotalAddedCash;
!     }
      private void addTransactionRow( EndOfDayTransaction transaction ,
        System.Data.DataTable detailedDataTable )
--- 165,169 ----
          this.accountCopy.Transactions.TotalWithdrawn -
          this.accountCopy.Transactions.TotalAddedCash;
! 		}
      private void addTransactionRow( EndOfDayTransaction transaction ,
        System.Data.DataTable detailedDataTable )
***************
*** 183,187 ****
  				dataRow[ "Commission" ] = transaction.Commission.Value;
  			addBalanceItems( transaction.EndOfDayDateTime , dataRow );
!       detailedDataTable.Rows.Add( dataRow );
      }
      private void addRowsForTransactions( DateTime currentDateTime ,
--- 183,187 ----
  				dataRow[ "Commission" ] = transaction.Commission.Value;
  			addBalanceItems( transaction.EndOfDayDateTime , dataRow );
! 			detailedDataTable.Rows.Add( dataRow );
      }
      private void addRowsForTransactions( DateTime currentDateTime ,
***************
*** 192,198 ****
            (ArrayList)this.account.Transactions[ currentDateTime ] )
          {
!           this.accountCopy.Add( transaction );
            addTransactionRow( transaction , detailedDataTable );
!         }
      }
      private void addRowForPnl_actually( DateTime currentDate ,
--- 192,198 ----
            (ArrayList)this.account.Transactions[ currentDateTime ] )
          {
! 					this.accountCopy.Add( transaction );
            addTransactionRow( transaction , detailedDataTable );
! 				}
      }
      private void addRowForPnl_actually( DateTime currentDate ,
***************
*** 222,226 ****
            addRowsForTransactions( currentDate , detailedDataTable );
            addRowForPnl( numDaysForInterval , currentDate , detailedDataTable );
!           currentDate = currentDate.AddDays( 1 );
          }
  //        foreach ( ArrayList transactionList in account.Transactions.Values )
--- 222,226 ----
            addRowsForTransactions( currentDate , detailedDataTable );
            addRowForPnl( numDaysForInterval , currentDate , detailedDataTable );
! 					currentDate = currentDate.AddDays( 1 );
          }
  //        foreach ( ArrayList transactionList in account.Transactions.Values )