Update of /cvsroot/quantproject/QuantProject/b4_Business/a2_Strategies/Eligibles
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv24777/a2_Strategies/Eligibles
Added Files:
ByPriceMostLiquidAlwaysQuoted.cs
Log Message:
Added new IEligiblesSelector class "ByPriceMostLiquidAlwaysQuoted"
for a selections on tickers to be used before in sample optimization process.
The implementation for the Description property has to be done ...
--- NEW FILE: ByPriceMostLiquidAlwaysQuoted.cs ---
/*
QuantProject - Quantitative Finance Library
ByPriceMostLiquidAlwaysQuoted.cs
Copyright (C) 2008
Marco Milletti
This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.
This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU General Public License for more details.
You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
*/
using System;
using System.Data;
using QuantProject.ADT.Messaging;
using QuantProject.Business.Strategies.ReturnsManagement.Time;
using QuantProject.Business.Timing;
using QuantProject.Data.Selectors;
namespace QuantProject.Business.Strategies.Eligibles
{
/// <summary>
/// Implements IEligiblesSelector for selecting a given max number of tickers through
/// the following step-by-step selecting process:
/// -step 1: all tickers belonging to a given group
/// are selected (the group can be "temporized": that is tickers
/// are returned depending on the time the selection is requested:
/// the group SP 500 should be like that);
/// -step 2: from tickers selected by step 1, the most liquid
/// are selected (not more than a given max number);
/// -step 3: from tickers selected by step 2, the ones that are
/// always quoted at all market days are selected (not more than a given max number);
/// </summary>
public class ByPriceMostLiquidAlwaysQuoted : IEligiblesSelector
{
public event NewMessageHandler NewMessage;
private bool temporizedGroup;
private string tickersGroupID;
private int maxNumberOfEligibleTickersToBeChosen;
private int numOfDaysForAverageOpenRawPriceComputation;
private double minPrice;
private double maxPrice;
private string description;
public string Description
{
get{
return "Change me!";
}
}
public ByPriceMostLiquidAlwaysQuoted(
string tickersGroupID , bool temporizedGroup,
int maxNumberOfEligibleTickersToBeChosen,
int numOfDaysForAverageOpenRawPriceComputation, double minPrice, double maxPrice)
{
this.temporizedGroup = temporizedGroup;
this.tickersGroupID = tickersGroupID;
this.maxNumberOfEligibleTickersToBeChosen =
maxNumberOfEligibleTickersToBeChosen;
this.numOfDaysForAverageOpenRawPriceComputation =
numOfDaysForAverageOpenRawPriceComputation;
this.minPrice = minPrice;
this.maxPrice = maxPrice;
}
private EligibleTickers getEligibleTickers_actually(
EndOfDayHistory endOfDayHistory )
{
DateTime currentDate = endOfDayHistory.LastEndOfDayDateTime.DateTime;
SelectorByGroup group;
if(this.temporizedGroup)
//the group is "temporized": returned set of tickers
// depend on time
group = new SelectorByGroup(this.tickersGroupID,
currentDate);
else//the group is not temporized
group = new SelectorByGroup(this.tickersGroupID);
DataTable tickersFromGroup = group.GetTableOfSelectedTickers();
int numOfTickersInGroupAtCurrentDate = tickersFromGroup.Rows.Count;
SelectorByAverageRawOpenPrice byPrice =
new SelectorByAverageRawOpenPrice(tickersFromGroup,false,
currentDate.AddDays(-this.numOfDaysForAverageOpenRawPriceComputation),
currentDate,
numOfTickersInGroupAtCurrentDate,
this.minPrice,this.maxPrice, 0.0001,100);
SelectorByLiquidity mostLiquidSelector =
new SelectorByLiquidity(byPrice.GetTableOfSelectedTickers(),
false, endOfDayHistory.FirstEndOfDayDateTime.DateTime, currentDate,
this.maxNumberOfEligibleTickersToBeChosen);
SelectorByQuotationAtEachMarketDay quotedAtEachMarketDayFromLastSelection =
new SelectorByQuotationAtEachMarketDay(mostLiquidSelector.GetTableOfSelectedTickers(),
false, endOfDayHistory.History,
this.maxNumberOfEligibleTickersToBeChosen);
return
new EligibleTickers( quotedAtEachMarketDayFromLastSelection.GetTableOfSelectedTickers() );
}
private void getEligibleTickers_sendNewMessage(
EligibleTickers eligibleTickers )
{
string message = "Number of Eligible tickers: " +
eligibleTickers.Count;
NewMessageEventArgs newMessageEventArgs =
new NewMessageEventArgs( message );
if(this.NewMessage != null)
this.NewMessage( this , newMessageEventArgs );
}
/// <summary>
/// Returns the eligible tickers
/// </summary>
/// <returns></returns>
public EligibleTickers GetEligibleTickers(
EndOfDayHistory endOfDayHistory )
{
EligibleTickers eligibleTickers =
this.getEligibleTickers_actually( endOfDayHistory );
this.getEligibleTickers_sendNewMessage( eligibleTickers );
return eligibleTickers;
}
}
}
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