2017-01-05 19:20:44 +01:00
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package sesim;
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import java.util.*;
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2017-01-15 09:28:26 +01:00
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import java.util.concurrent.ConcurrentHashMap;
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import java.util.concurrent.CopyOnWriteArrayList;
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2017-01-26 01:52:03 +01:00
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import org.json.JSONArray;
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import org.json.JSONObject;
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2017-01-05 19:20:44 +01:00
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/**
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2017-02-03 18:46:39 +01:00
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* @desc Echchange class
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* @author 7u83
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2017-01-05 19:20:44 +01:00
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*/
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2017-02-03 18:46:39 +01:00
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public class Exchange {
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2017-01-05 19:20:44 +01:00
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2017-01-31 08:04:11 +01:00
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private double money_df = 10000;
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2017-02-03 18:46:39 +01:00
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/**
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* Set the number of decimals used with money
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*
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* @param n number of decimals
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*/
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2017-01-31 08:04:11 +01:00
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public void setMoneyDecimals(int n) {
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money_df = Math.pow(10, n);
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}
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2017-02-03 18:46:39 +01:00
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private double shares_df = 1;
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/**
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* Set the number of decimals for shares
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*
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* @param n number of decimals
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*/
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2017-01-31 08:04:11 +01:00
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public void setSharesDecimals(int n) {
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shares_df = Math.pow(10, n);
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}
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2017-02-02 18:39:55 +01:00
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public double roundToDecimals(double val, double f) {
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return Math.floor(val * f) / f;
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2017-01-31 08:04:11 +01:00
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}
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2017-02-02 18:39:55 +01:00
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public double roundShares(double shares) {
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return roundToDecimals(shares, shares_df);
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2017-01-31 08:04:11 +01:00
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}
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2017-02-02 18:39:55 +01:00
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public double roundMoney(double money) {
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return roundToDecimals(money, money_df);
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}
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2017-01-31 08:04:11 +01:00
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2017-02-03 18:46:39 +01:00
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/**
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* Definition of order types
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*/
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2017-01-10 07:41:52 +01:00
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public enum OrderType {
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BID, ASK
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}
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IDGenerator account_id = new IDGenerator();
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2017-01-16 21:30:10 +01:00
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//public static Timer timer = new Timer();
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2017-01-31 08:04:11 +01:00
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2017-02-04 16:29:45 +01:00
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public Scheduler timer; // = new Scheduler();
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2017-02-03 18:46:39 +01:00
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2017-02-04 18:57:18 +01:00
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public ArrayList<AutoTrader> traders;
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2017-01-10 07:41:52 +01:00
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2017-01-12 23:16:37 +01:00
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/**
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2017-01-22 09:47:51 +01:00
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* Implements a trading account
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2017-01-12 23:16:37 +01:00
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*/
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public class Account implements Comparable {
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2017-01-09 17:00:05 +01:00
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2017-01-22 09:47:51 +01:00
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private final double id;
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2017-01-14 14:42:00 +01:00
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private double shares;
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private double money;
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2017-01-12 01:44:50 +01:00
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2017-01-12 23:16:37 +01:00
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private final HashMap<Long, Order> orders;
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2017-01-09 17:00:05 +01:00
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@Override
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public int compareTo(Object a) {
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2017-01-10 07:41:52 +01:00
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Account account = (Account) a;
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2017-01-09 17:00:05 +01:00
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return this.id - account.id < 0 ? -1 : 1;
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}
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2017-01-10 07:41:52 +01:00
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Account(double money, double shares) {
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2017-02-03 08:47:43 +01:00
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id = (random.nextDouble() + (account_id.getNext()));
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2017-01-10 07:41:52 +01:00
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orders = new HashMap();
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2017-01-10 19:27:11 +01:00
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this.money = money;
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this.shares = shares;
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2017-01-09 17:00:05 +01:00
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}
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2017-01-12 23:16:37 +01:00
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public double getID() {
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return id;
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}
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public double getShares() {
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return shares;
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}
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public double getMoney() {
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return money;
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}
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2017-01-09 17:00:05 +01:00
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}
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2017-01-31 08:04:11 +01:00
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public void createTraders(JSONArray traderdefs) {
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for (int i = 0; i < traderdefs.length(); i++) {
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2017-01-26 01:52:03 +01:00
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JSONObject o = traderdefs.getJSONObject(i);
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2017-01-31 08:04:11 +01:00
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2017-01-26 01:52:03 +01:00
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}
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2017-01-31 08:04:11 +01:00
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2017-01-26 01:52:03 +01:00
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// this.traders.add(randt);
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// randt.setName("Bob");
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// randt.start();
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}
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2017-01-09 17:00:05 +01:00
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2017-01-15 09:28:26 +01:00
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// private final ConcurrentHashMap<Double, Account> accounts = new ConcurrentHashMap<>();
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2017-02-04 16:29:45 +01:00
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private ConcurrentHashMap<Double, Account> accounts;
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2017-02-04 18:57:18 +01:00
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2017-01-10 07:41:52 +01:00
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public double createAccount(double money, double shares) {
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2017-01-15 09:28:26 +01:00
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2017-01-10 07:41:52 +01:00
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Account a = new Account(money, shares);
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accounts.put(a.id, a);
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2017-01-09 17:00:05 +01:00
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return a.id;
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}
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2017-01-10 07:41:52 +01:00
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class OrderComparator implements Comparator<Order> {
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OrderType type;
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OrderComparator(OrderType type) {
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this.type = type;
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}
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@Override
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public int compare(Order left, Order right) {
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double d;
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switch (this.type) {
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case BID:
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d = right.limit - left.limit;
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break;
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case ASK:
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d = left.limit - right.limit;
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break;
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default:
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d = 0;
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}
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if (d != 0) {
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return d > 0 ? 1 : -1;
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}
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2017-02-02 18:39:55 +01:00
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d = right.initial_volume - left.initial_volume;
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if (d != 0) {
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2017-01-31 08:04:11 +01:00
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return d > 0 ? 1 : -1;
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}
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2017-01-12 23:16:37 +01:00
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if (left.id < right.id) {
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2017-01-12 01:44:50 +01:00
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return -1;
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2017-01-12 23:16:37 +01:00
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}
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if (left.id > right.id) {
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2017-01-12 01:44:50 +01:00
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return 1;
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2017-01-12 23:16:37 +01:00
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}
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2017-01-12 01:44:50 +01:00
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return 0;
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2017-01-10 19:27:11 +01:00
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2017-01-12 01:44:50 +01:00
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// return left.id < right.id ? -1 : 1;
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2017-01-10 07:41:52 +01:00
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}
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}
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2017-02-04 16:29:45 +01:00
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HashMap<OrderType, SortedSet<Order>> order_books;
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2017-02-04 18:57:18 +01:00
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2017-01-10 07:41:52 +01:00
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IDGenerator order_id = new IDGenerator();
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2017-01-12 23:16:37 +01:00
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public class Order {
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2017-01-10 07:41:52 +01:00
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OrderType type;
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2017-01-12 23:16:37 +01:00
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private double limit;
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private double volume;
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private final double initial_volume;
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private long id;
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2017-01-10 07:41:52 +01:00
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long created;
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2017-01-12 23:16:37 +01:00
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private Account account;
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2017-01-10 07:41:52 +01:00
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2017-01-10 19:27:11 +01:00
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Order(Account account, OrderType type, double volume, double limit) {
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2017-01-10 07:41:52 +01:00
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id = order_id.getNext();
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2017-01-10 19:27:11 +01:00
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this.account = account;
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2017-01-10 07:41:52 +01:00
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this.type = type;
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2017-01-31 08:04:11 +01:00
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this.limit = roundMoney(limit);
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this.volume = roundShares(volume);
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this.initial_volume = this.volume;
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2017-02-03 01:56:41 +01:00
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this.created = timer.currentTimeMillis();
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2017-01-10 07:41:52 +01:00
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}
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2017-01-12 23:16:37 +01:00
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public long getID() {
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return id;
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}
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public double getVolume() {
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return volume;
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}
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public double getLimit() {
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return limit;
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}
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public OrderType getType() {
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return type;
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}
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public double getExecuted() {
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return initial_volume - volume;
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}
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public double getInitialVolume() {
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return initial_volume;
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}
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2017-02-04 18:57:18 +01:00
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public Account getAccount() {
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2017-02-03 18:46:39 +01:00
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return account;
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}
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2017-01-12 23:16:37 +01:00
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2017-01-10 07:41:52 +01:00
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}
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2017-01-05 19:20:44 +01:00
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/**
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* Histrory of quotes
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*/
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2017-02-04 16:29:45 +01:00
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public TreeSet<Quote> quoteHistory; // = new TreeSet<>();
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2017-02-04 18:57:18 +01:00
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final void initExchange() {
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timer = new Scheduler(); // timer = new Scheduler();
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2017-02-04 16:29:45 +01:00
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random = new Random(12);
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2017-02-05 01:19:09 +01:00
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2017-02-04 16:29:45 +01:00
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quoteHistory = new TreeSet();
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accounts = new ConcurrentHashMap<>();
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traders = new ArrayList();
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2017-02-04 18:57:18 +01:00
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num_trades = 0;
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2017-02-04 16:29:45 +01:00
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// Create order books
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2017-02-04 18:57:18 +01:00
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order_books = new HashMap();
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2017-02-04 16:29:45 +01:00
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for (OrderType type : OrderType.values()) {
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order_books.put(type, new TreeSet(new OrderComparator(type)));
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}
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2017-01-05 19:20:44 +01:00
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2017-02-04 16:29:45 +01:00
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}
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2017-02-04 18:57:18 +01:00
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2017-01-05 19:20:44 +01:00
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/**
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* Constructor
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*/
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public Exchange() {
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2017-02-04 16:29:45 +01:00
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qrlist = (new CopyOnWriteArrayList<>());
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2017-02-03 18:46:39 +01:00
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2017-02-04 16:29:45 +01:00
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initExchange();
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2017-01-10 07:41:52 +01:00
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2017-01-05 19:20:44 +01:00
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}
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2017-02-03 18:46:39 +01:00
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public class Statistics {
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2017-02-03 01:56:41 +01:00
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public long trades;
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public long orders;
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2017-02-03 18:46:39 +01:00
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};
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2017-02-04 18:57:18 +01:00
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2017-02-03 18:46:39 +01:00
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Statistics statistics;
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long num_trades = 0;
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long num_orders = 0;
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public Statistics getStatistics() {
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2017-02-03 01:56:41 +01:00
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Statistics s = new Statistics();
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2017-02-03 18:46:39 +01:00
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s.trades = num_trades;
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s.orders = num_orders;
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2017-02-03 01:56:41 +01:00
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return s;
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2017-02-03 18:46:39 +01:00
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2017-02-03 01:56:41 +01:00
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}
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2017-01-31 08:04:11 +01:00
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2017-02-04 16:29:45 +01:00
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/**
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* Start the exchange
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*/
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public void start() {
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2017-01-16 21:30:10 +01:00
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timer.start();
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}
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2017-02-04 18:57:18 +01:00
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public void reset() {
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2017-02-04 16:29:45 +01:00
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initExchange();
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}
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2017-02-04 18:57:18 +01:00
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2017-02-04 16:29:45 +01:00
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public void terminate() {
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timer.terminate();
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}
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2017-02-04 18:57:18 +01:00
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/*
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2017-01-10 07:41:52 +01:00
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class BidBook extends TreeSet {
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2017-01-09 18:38:01 +01:00
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TreeSet t = new TreeSet();
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2017-01-10 07:41:52 +01:00
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boolean hallo() {
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2017-01-09 18:38:01 +01:00
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t.comparator();
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return true;
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}
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}
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2017-02-04 18:57:18 +01:00
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*/
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2017-01-05 19:20:44 +01:00
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public SortedSet<Quote> getQuoteHistory(long start) {
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Quote s = new Quote();
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2017-01-08 01:39:14 +01:00
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s.time = start * 1000;
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2017-01-05 23:18:19 +01:00
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s.id = 0;
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2017-01-05 19:20:44 +01:00
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TreeSet<Quote> result = new TreeSet<>();
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result.addAll(this.quoteHistory.tailSet(s));
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return result;
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}
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2017-01-12 23:16:37 +01:00
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public Quote getCurrentPrice() {
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2017-01-15 09:28:26 +01:00
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SortedSet<Order> bid = order_books.get(OrderType.BID);
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SortedSet<Order> ask = order_books.get(OrderType.ASK);
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2017-01-12 23:16:37 +01:00
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Quote q = null;
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tradelock.lock();
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if (!bid.isEmpty() && !ask.isEmpty()) {
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q = new Quote();
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q.price = (bid.first().limit + ask.first().limit) / 2.0;
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}
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tradelock.unlock();
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if (q != null) {
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return q;
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}
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|
|
|
|
|
|
if (this.quoteHistory.isEmpty()) {
|
|
|
|
|
|
|
|
return null;
|
|
|
|
}
|
|
|
|
|
|
|
|
q = this.quoteHistory.last();
|
|
|
|
|
|
|
|
return q;
|
|
|
|
|
|
|
|
}
|
|
|
|
|
2017-01-05 19:20:44 +01:00
|
|
|
// Class to describe an executed order
|
|
|
|
// QuoteReceiver has to be implemented by objects that wants
|
|
|
|
// to receive quote updates
|
|
|
|
public interface QuoteReceiver {
|
|
|
|
|
|
|
|
void UpdateQuote(Quote q);
|
|
|
|
}
|
|
|
|
|
|
|
|
/**
|
|
|
|
* Bookreceiver Interface
|
|
|
|
*/
|
|
|
|
public interface BookReceiver {
|
|
|
|
|
|
|
|
void UpdateOrderBook();
|
|
|
|
}
|
|
|
|
|
2017-01-08 01:39:14 +01:00
|
|
|
final private ArrayList<BookReceiver> ask_bookreceivers = new ArrayList<>();
|
|
|
|
final private ArrayList<BookReceiver> bid_bookreceivers = new ArrayList<>();
|
2017-01-05 19:20:44 +01:00
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
private ArrayList<BookReceiver> selectBookReceiver(OrderType t) {
|
2017-01-05 19:20:44 +01:00
|
|
|
switch (t) {
|
2017-01-10 19:27:11 +01:00
|
|
|
case ASK:
|
2017-01-05 19:20:44 +01:00
|
|
|
return ask_bookreceivers;
|
2017-01-10 19:27:11 +01:00
|
|
|
case BID:
|
2017-01-05 19:20:44 +01:00
|
|
|
return bid_bookreceivers;
|
|
|
|
}
|
|
|
|
return null;
|
|
|
|
}
|
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
public void addBookReceiver(OrderType t, BookReceiver br) {
|
2017-01-05 19:20:44 +01:00
|
|
|
ArrayList<BookReceiver> bookreceivers;
|
|
|
|
bookreceivers = selectBookReceiver(t);
|
|
|
|
bookreceivers.add(br);
|
|
|
|
}
|
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
void updateBookReceivers(OrderType t) {
|
2017-01-05 19:20:44 +01:00
|
|
|
ArrayList<BookReceiver> bookreceivers;
|
|
|
|
bookreceivers = selectBookReceiver(t);
|
|
|
|
|
|
|
|
Iterator<BookReceiver> i = bookreceivers.iterator();
|
|
|
|
while (i.hasNext()) {
|
|
|
|
i.next().UpdateOrderBook();
|
|
|
|
}
|
2017-01-31 08:04:11 +01:00
|
|
|
|
2017-01-05 19:20:44 +01:00
|
|
|
}
|
|
|
|
|
|
|
|
// Here we store the list of quote receivers
|
2017-02-04 16:29:45 +01:00
|
|
|
private List<QuoteReceiver> qrlist;
|
2017-01-05 19:20:44 +01:00
|
|
|
|
|
|
|
/**
|
|
|
|
*
|
|
|
|
* @param qr
|
|
|
|
*/
|
|
|
|
public void addQuoteReceiver(QuoteReceiver qr) {
|
|
|
|
qrlist.add(qr);
|
|
|
|
}
|
|
|
|
|
|
|
|
// send updated quotes to all quote receivers
|
|
|
|
private void updateQuoteReceivers(Quote q) {
|
|
|
|
Iterator<QuoteReceiver> i = qrlist.iterator();
|
|
|
|
while (i.hasNext()) {
|
|
|
|
i.next().UpdateQuote(q);
|
|
|
|
}
|
|
|
|
}
|
|
|
|
|
|
|
|
// long time = 0;
|
|
|
|
double theprice = 12.9;
|
|
|
|
long orderid = 1;
|
|
|
|
|
|
|
|
double lastprice = 100.0;
|
|
|
|
long lastsvolume;
|
|
|
|
|
2017-01-14 14:42:00 +01:00
|
|
|
private final Locker tradelock = new Locker();
|
2017-01-05 19:20:44 +01:00
|
|
|
|
2017-01-12 23:16:37 +01:00
|
|
|
public ArrayList<Order> getOrderBook(OrderType type, int depth) {
|
2017-01-05 19:20:44 +01:00
|
|
|
|
2017-01-15 09:28:26 +01:00
|
|
|
SortedSet<Order> book = order_books.get(type);
|
2017-01-05 19:20:44 +01:00
|
|
|
if (book == null) {
|
|
|
|
return null;
|
|
|
|
}
|
2017-01-15 09:28:26 +01:00
|
|
|
tradelock.lock();
|
2017-01-12 23:16:37 +01:00
|
|
|
ArrayList<Order> ret = new ArrayList<>();
|
2017-01-10 19:27:11 +01:00
|
|
|
|
|
|
|
Iterator<Order> it = book.iterator();
|
2017-01-12 01:44:50 +01:00
|
|
|
|
2017-01-05 19:20:44 +01:00
|
|
|
for (int i = 0; i < depth && it.hasNext(); i++) {
|
2017-02-02 18:39:55 +01:00
|
|
|
Order o = it.next();
|
|
|
|
// System.out.print(o.volume);
|
|
|
|
if (o.volume <= 0) {
|
2017-01-31 08:54:38 +01:00
|
|
|
System.exit(0);
|
2017-02-02 18:39:55 +01:00
|
|
|
}
|
2017-01-31 08:54:38 +01:00
|
|
|
ret.add(o);
|
2017-01-05 19:20:44 +01:00
|
|
|
}
|
2017-02-02 18:39:55 +01:00
|
|
|
// System.out.println();
|
2017-01-15 09:28:26 +01:00
|
|
|
tradelock.unlock();
|
2017-01-05 19:20:44 +01:00
|
|
|
return ret;
|
2017-01-12 23:16:37 +01:00
|
|
|
}
|
2017-01-05 19:20:44 +01:00
|
|
|
|
2017-01-12 23:16:37 +01:00
|
|
|
public Quote getLastQuoete() {
|
2017-01-17 01:23:59 +01:00
|
|
|
return this.quoteHistory.last();
|
2017-01-05 19:20:44 +01:00
|
|
|
}
|
|
|
|
|
2017-01-10 07:41:52 +01:00
|
|
|
private void transferMoneyAndShares(Account src, Account dst, double money, double shares) {
|
2017-01-09 17:00:05 +01:00
|
|
|
src.money -= money;
|
|
|
|
dst.money += money;
|
|
|
|
src.shares -= shares;
|
|
|
|
dst.shares += shares;
|
|
|
|
}
|
2017-01-12 01:44:50 +01:00
|
|
|
|
|
|
|
public boolean cancelOrder(double account_id, long order_id) {
|
2017-01-12 01:00:42 +01:00
|
|
|
Account a = accounts.get(account_id);
|
2017-01-12 01:44:50 +01:00
|
|
|
if (a == null) {
|
2017-01-12 01:00:42 +01:00
|
|
|
return false;
|
|
|
|
}
|
2017-01-12 01:44:50 +01:00
|
|
|
|
|
|
|
boolean ret = false;
|
|
|
|
|
2017-01-12 01:00:42 +01:00
|
|
|
tradelock.lock();
|
|
|
|
Order o = a.orders.get(order_id);
|
2017-01-12 23:16:37 +01:00
|
|
|
|
|
|
|
// System.out.print("The Order:"+o.limit+"\n");
|
2017-01-12 01:44:50 +01:00
|
|
|
if (o != null) {
|
2017-01-15 09:28:26 +01:00
|
|
|
SortedSet ob = order_books.get(o.type);
|
2017-01-12 23:16:37 +01:00
|
|
|
|
|
|
|
boolean rc = ob.remove(o);
|
|
|
|
|
2017-01-12 01:44:50 +01:00
|
|
|
a.orders.remove(o.id);
|
|
|
|
ret = true;
|
|
|
|
}
|
|
|
|
|
2017-01-12 01:00:42 +01:00
|
|
|
tradelock.unlock();
|
|
|
|
this.updateBookReceivers(OrderType.BID);
|
2017-01-12 01:44:50 +01:00
|
|
|
|
2017-01-12 01:00:42 +01:00
|
|
|
return ret;
|
|
|
|
}
|
2017-01-09 17:00:05 +01:00
|
|
|
|
2017-02-04 16:29:45 +01:00
|
|
|
Random random;
|
2017-02-03 18:46:39 +01:00
|
|
|
|
2017-02-02 18:39:55 +01:00
|
|
|
public int randNextInt() {
|
|
|
|
return random.nextInt();
|
2017-02-05 01:19:09 +01:00
|
|
|
|
2017-02-02 18:39:55 +01:00
|
|
|
}
|
|
|
|
|
|
|
|
public int randNextInt(int bounds) {
|
2017-02-05 01:19:09 +01:00
|
|
|
|
2017-02-02 18:39:55 +01:00
|
|
|
return random.nextInt(bounds);
|
2017-02-05 01:19:09 +01:00
|
|
|
|
2017-02-02 18:39:55 +01:00
|
|
|
}
|
|
|
|
|
|
|
|
public double randNextDouble() {
|
|
|
|
return random.nextDouble();
|
|
|
|
|
|
|
|
}
|
|
|
|
|
2017-01-08 13:16:00 +01:00
|
|
|
/**
|
|
|
|
*
|
|
|
|
* @param o
|
|
|
|
*/
|
2017-01-05 19:20:44 +01:00
|
|
|
long nextQuoteId = 0;
|
|
|
|
|
2017-02-02 18:39:55 +01:00
|
|
|
public double fairValue = 0;
|
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
private void removeOrderIfExecuted(Order o) {
|
|
|
|
if (o.volume != 0) {
|
|
|
|
return;
|
|
|
|
}
|
2017-01-31 08:04:11 +01:00
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
o.account.orders.remove(o.id);
|
|
|
|
|
2017-01-15 09:28:26 +01:00
|
|
|
SortedSet book = order_books.get(o.type);
|
2017-02-02 18:39:55 +01:00
|
|
|
|
2017-01-15 09:28:26 +01:00
|
|
|
book.remove(book.first());
|
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
}
|
2017-02-04 18:57:18 +01:00
|
|
|
|
2017-01-08 13:16:00 +01:00
|
|
|
/**
|
|
|
|
*
|
|
|
|
*/
|
2017-01-10 07:41:52 +01:00
|
|
|
public void executeOrders() {
|
2017-01-05 19:20:44 +01:00
|
|
|
|
2017-01-15 09:28:26 +01:00
|
|
|
SortedSet<Order> bid = order_books.get(OrderType.BID);
|
|
|
|
SortedSet<Order> ask = order_books.get(OrderType.ASK);
|
2017-01-12 01:44:50 +01:00
|
|
|
|
|
|
|
double volume_total = 0;
|
|
|
|
double money_total = 0;
|
2017-01-10 19:27:11 +01:00
|
|
|
|
2017-01-08 03:25:18 +01:00
|
|
|
while (!bid.isEmpty() && !ask.isEmpty()) {
|
2017-01-05 19:20:44 +01:00
|
|
|
|
|
|
|
Order b = bid.first();
|
|
|
|
Order a = ask.first();
|
2017-01-10 19:27:11 +01:00
|
|
|
|
2017-01-31 08:04:11 +01:00
|
|
|
//System.out.printf("In %f (%f) < %f (%f)\n",b.limit,b.volume,a.limit,a.volume);
|
2017-01-08 03:25:18 +01:00
|
|
|
if (b.limit < a.limit) {
|
2017-01-12 23:16:37 +01:00
|
|
|
break;
|
2017-01-08 03:25:18 +01:00
|
|
|
}
|
|
|
|
|
2017-01-09 18:38:01 +01:00
|
|
|
// There is a match, calculate price and volume
|
2017-01-08 13:16:00 +01:00
|
|
|
double price = b.id < a.id ? b.limit : a.limit;
|
2017-01-10 07:41:52 +01:00
|
|
|
double volume = b.volume >= a.volume ? a.volume : b.volume;
|
2017-01-08 13:16:00 +01:00
|
|
|
|
2017-02-02 18:39:55 +01:00
|
|
|
//System.out.printf("Price %f Vol %f\n", price,volume);
|
2017-01-10 19:27:11 +01:00
|
|
|
// Transfer money and shares
|
|
|
|
transferMoneyAndShares(b.account, a.account, volume * price, -volume);
|
2017-01-12 23:16:37 +01:00
|
|
|
//System.out.print("Transfer Shares was called with volume "+volume+"\n");
|
2017-01-10 19:27:11 +01:00
|
|
|
// Update volume
|
|
|
|
b.volume -= volume;
|
|
|
|
a.volume -= volume;
|
2017-01-12 01:44:50 +01:00
|
|
|
|
2017-01-31 08:04:11 +01:00
|
|
|
//System.out.printf("In %f (%f) < %f (%f)\n",b.limit,b.volume,a.limit,a.volume);
|
2017-01-12 01:44:50 +01:00
|
|
|
volume_total += volume;
|
|
|
|
money_total += price * volume;
|
2017-01-08 13:16:00 +01:00
|
|
|
|
2017-02-03 01:56:41 +01:00
|
|
|
num_trades++;
|
2017-02-03 18:46:39 +01:00
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
removeOrderIfExecuted(a);
|
|
|
|
removeOrderIfExecuted(b);
|
2017-01-08 13:16:00 +01:00
|
|
|
|
|
|
|
}
|
2017-01-12 23:16:37 +01:00
|
|
|
//System.out.print("Volume total is "+volume_total+"\n");
|
|
|
|
if (volume_total == 0) {
|
|
|
|
return;
|
|
|
|
}
|
2017-01-10 19:27:11 +01:00
|
|
|
Quote q = new Quote();
|
2017-01-12 01:44:50 +01:00
|
|
|
q.price = money_total / volume_total;
|
|
|
|
q.volume = volume_total;
|
2017-02-03 01:56:41 +01:00
|
|
|
q.time = timer.currentTimeMillis();
|
2017-01-12 01:44:50 +01:00
|
|
|
|
2017-01-12 23:16:37 +01:00
|
|
|
// System.out.print("There was a trade:"+q.price+"\n");
|
|
|
|
this.quoteHistory.add(q);
|
2017-01-05 19:20:44 +01:00
|
|
|
|
2017-01-15 09:28:26 +01:00
|
|
|
this.updateQuoteReceivers(q);
|
2017-01-05 19:20:44 +01:00
|
|
|
|
|
|
|
}
|
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
private void addOrderToBook(Order o) {
|
2017-01-10 07:41:52 +01:00
|
|
|
order_books.get(o.type).add(o);
|
2017-01-10 19:27:11 +01:00
|
|
|
|
2017-01-10 07:41:52 +01:00
|
|
|
}
|
2017-01-10 19:27:11 +01:00
|
|
|
|
2017-01-10 07:41:52 +01:00
|
|
|
/**
|
|
|
|
*
|
|
|
|
* @param account_id
|
|
|
|
* @param type
|
|
|
|
* @param volume
|
|
|
|
* @param limit
|
|
|
|
* @return
|
|
|
|
*/
|
|
|
|
public long createOrder(double account_id, OrderType type, double volume, double limit) {
|
2017-02-05 09:59:58 +01:00
|
|
|
|
|
|
|
|
2017-01-10 07:41:52 +01:00
|
|
|
Account a = accounts.get(account_id);
|
|
|
|
if (a == null) {
|
|
|
|
return -1;
|
|
|
|
}
|
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
Order o = new Order(a, type, volume, limit);
|
2017-02-02 18:39:55 +01:00
|
|
|
if (o.volume <= 0 || o.limit <= 0) {
|
2017-01-31 08:54:38 +01:00
|
|
|
System.out.print("binweg\n");
|
2017-02-02 18:39:55 +01:00
|
|
|
return -1;
|
2017-01-31 08:54:38 +01:00
|
|
|
}
|
|
|
|
tradelock.lock();
|
2017-02-03 01:56:41 +01:00
|
|
|
num_orders++;
|
2017-02-03 18:46:39 +01:00
|
|
|
|
2017-01-10 07:41:52 +01:00
|
|
|
addOrderToBook(o);
|
2017-01-10 19:27:11 +01:00
|
|
|
a.orders.put(o.id, o);
|
2017-01-12 01:44:50 +01:00
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
this.executeOrders();
|
2017-01-31 08:54:38 +01:00
|
|
|
|
2017-01-12 01:00:42 +01:00
|
|
|
tradelock.unlock();
|
2017-01-11 19:11:17 +01:00
|
|
|
this.updateBookReceivers(OrderType.ASK);
|
|
|
|
this.updateBookReceivers(OrderType.BID);
|
2017-01-12 23:16:37 +01:00
|
|
|
|
2017-01-10 07:41:52 +01:00
|
|
|
return o.id;
|
|
|
|
}
|
2017-01-12 01:44:50 +01:00
|
|
|
|
|
|
|
public double getBestLimit(OrderType type) {
|
2017-01-11 19:11:17 +01:00
|
|
|
Order o = order_books.get(type).first();
|
2017-01-12 01:44:50 +01:00
|
|
|
if (o == null) {
|
2017-01-11 19:11:17 +01:00
|
|
|
return -1;
|
|
|
|
}
|
|
|
|
return o.limit;
|
|
|
|
}
|
2017-01-10 19:27:11 +01:00
|
|
|
|
2017-01-12 01:44:50 +01:00
|
|
|
public int getNumberOfOpenOrders(double account_id) {
|
|
|
|
Account a = accounts.get(account_id);
|
|
|
|
if (a == null) {
|
2017-01-11 19:11:17 +01:00
|
|
|
return 0;
|
2017-01-12 01:44:50 +01:00
|
|
|
}
|
2017-01-11 19:11:17 +01:00
|
|
|
return a.orders.size();
|
|
|
|
}
|
2017-01-12 01:44:50 +01:00
|
|
|
|
2017-01-12 23:16:37 +01:00
|
|
|
public Account getAccount(double account_id) {
|
|
|
|
return accounts.get(account_id);
|
|
|
|
}
|
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|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
public AccountData getAccountData(double account_id) {
|
2017-01-15 09:28:26 +01:00
|
|
|
tradelock.lock();
|
2017-01-10 19:27:11 +01:00
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Account a = accounts.get(account_id);
|
2017-01-15 09:28:26 +01:00
|
|
|
tradelock.unlock();
|
2017-01-10 19:27:11 +01:00
|
|
|
if (a == null) {
|
|
|
|
return null;
|
|
|
|
}
|
|
|
|
|
|
|
|
AccountData ad = new AccountData();
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|
|
|
ad.id = account_id;
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|
|
|
ad.money = a.money;
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|
|
|
ad.shares = a.shares;
|
2017-01-12 01:44:50 +01:00
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|
2017-01-12 23:16:37 +01:00
|
|
|
ad.orders = new ArrayList<>();
|
2017-01-12 01:00:42 +01:00
|
|
|
ad.orders.iterator();
|
2017-01-12 01:44:50 +01:00
|
|
|
|
|
|
|
a.orders.values();
|
|
|
|
Set s = a.orders.keySet();
|
|
|
|
Iterator it = s.iterator();
|
2017-01-12 23:16:37 +01:00
|
|
|
|
2017-01-12 01:44:50 +01:00
|
|
|
while (it.hasNext()) {
|
|
|
|
long x = (long) it.next();
|
2017-01-12 23:16:37 +01:00
|
|
|
|
2017-01-12 01:44:50 +01:00
|
|
|
Order o = a.orders.get(x);
|
2017-01-12 23:16:37 +01:00
|
|
|
|
2017-01-12 01:44:50 +01:00
|
|
|
OrderData od = new OrderData();
|
|
|
|
od.id = o.id;
|
|
|
|
od.limit = o.limit;
|
|
|
|
od.volume = o.volume;
|
|
|
|
ad.orders.add(od);
|
|
|
|
}
|
|
|
|
|
|
|
|
//System.exit(0);
|
2017-01-12 01:00:42 +01:00
|
|
|
//a.orders.keySet();
|
|
|
|
//KeySet ks = a.orders.keySet();
|
2017-01-10 19:27:11 +01:00
|
|
|
return ad;
|
|
|
|
}
|
2017-01-12 01:44:50 +01:00
|
|
|
|
|
|
|
public ArrayList<OrderData> getOpenOrders(double account_id) {
|
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
Account a = accounts.get(account_id);
|
2017-01-12 01:44:50 +01:00
|
|
|
if (a == null) {
|
2017-01-10 19:27:11 +01:00
|
|
|
return null;
|
2017-01-12 01:44:50 +01:00
|
|
|
}
|
|
|
|
|
|
|
|
ArrayList<OrderData> al = new ArrayList();
|
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
Iterator it = a.orders.entrySet().iterator();
|
2017-01-12 01:44:50 +01:00
|
|
|
while (it.hasNext()) {
|
|
|
|
Order o = (Order) it.next();
|
2017-01-10 19:27:11 +01:00
|
|
|
OrderData od = new OrderData();
|
2017-01-12 01:44:50 +01:00
|
|
|
od.limit = o.limit;
|
|
|
|
od.volume = o.initial_volume;
|
|
|
|
od.executed = o.initial_volume - o.volume;
|
|
|
|
od.id = o.id;
|
2017-01-10 19:27:11 +01:00
|
|
|
al.add(od);
|
|
|
|
}
|
2017-01-12 01:44:50 +01:00
|
|
|
|
2017-01-10 19:27:11 +01:00
|
|
|
return al;
|
|
|
|
}
|
|
|
|
|
2017-01-05 19:20:44 +01:00
|
|
|
}
|