7u83/OpenSeSim
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binding function works now for short and long

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with and without leverage
This commit is contained in:
7u83 2019-01-08 16:52:04 +01:00
parent 8f35e767bd
commit 236138a822
4 changed files with 68 additions and 30 deletions
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2
nbproject/project.properties
View File

@ -1,4 +1,4 @@
#Tue, 08 Jan 2019 09:22:34 +0100
#Tue, 08 Jan 2019 13:27:57 +0100
annotation.processing.enabled=true
annotation.processing.enabled.in.editor=false
annotation.processing.processors.list=

68
src/opensesim/world/Account.java
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@ -109,6 +109,8 @@ public class Account {
System.out.printf("Debth %f - Final: %f Return margin %f\n", d,f, f-d);
return f-d;*/
if (!this.isLeveraged())
return 0.0;
return this.getFinalBalance(currency) * getLeverage() + this.getFinalBalance(currency)
- this.getAssetDebt(world.getDefaultExchange(), currency);
@ -222,7 +224,7 @@ public class Account {
for (AbstractAsset a : assets.keySet()) {
Double v;
if (a.equals(currency)) {
v = get(a,bound);
v = get(a, bound);
result += v;
continue;
}
@ -230,7 +232,7 @@ public class Account {
if (pair == null) {
continue;
}
v = get(a,bound);
v = get(a, bound);
if (v == 0.0) {
continue;
@ -253,7 +255,7 @@ public class Account {
}
void addBound(AbstractAsset asset, Double vol) {
assets.put(asset, get(asset,false));
assets.put(asset, get(asset, false));
assets_bound.put(asset, getBound(asset) + vol);
}
@ -280,6 +282,13 @@ public class Account {
return getFinalBalance(world.getDefaultCurrency());
}
/**
*
* @param ex
* @param asset
* @param currency
* @return
*/
public Double calcStopLoss(Exchange ex, AbstractAsset asset, AbstractAsset currency) {
Double e = (get(currency));
for (AbstractAsset a : assets.keySet()) {
@ -318,11 +327,27 @@ public class Account {
return getLeverage() > 0.0;
}
/**
* Bind asset which will be locked in an order.
*
* @param pair
* @param volume
* @param limit
* @return true if asset could be bound, false if assets couldn't be bound
*/
boolean bind(AssetPair pair, double volume, double limit) {
// Bind asset and currecy
this.addBound(pair.getAsset(), volume);
this.addBound(pair.getCurrency(), -(volume * limit));
if (this.isUnlimied()) {
// in case it is an unlimited account we can return
// true without further checks
return true;
}
// checks for leveraged account
if (!this.isLeveraged()) {
if (limit == 0.0) {
// an unlimited order is always considered to be
@ -333,31 +358,34 @@ public class Account {
if (volume < 0) {
// It's a limited sell order, we have just to check
// if a sufficient amount of assets is available
return get(pair.getAsset()) - volume >= 0;
if (get(pair.getAsset()) >= 0) {
return true;
}
// unbind and return false
this.addBound(pair.getAsset(), -volume);
this.addBound(pair.getCurrency(), (volume * limit));
return false;
}
// Check if enough money is available to cover the
// entiere volume to by
return get(pair.getCurrency()) >= limit * volume;
if (get(pair.getCurrency()) >= 0) {
return true;
}
// unbind and return false
this.addBound(pair.getAsset(), -volume);
this.addBound(pair.getCurrency(), (volume * limit));
return false;
}
// we are dealing here with a leveraged account
System.out.printf("Add %f %f\n",volume,-volume*limit);
// bind asset and currecy
this.addBound(pair.getAsset(), volume);
this.addBound(pair.getCurrency(), -(volume * limit));
Double fb = this.getFinalBalance();
System.out.printf("FB: %f\n",fb);
Double margin = this.getMargin(pair.getCurrency());
if (margin >= 0)
if (margin >= 0) {
return true;
}
// Unbind asset and currency
this.addBound(pair.getAsset(), -volume);

10
src/opensesim/world/SimpleTrader.java
View File

@ -105,9 +105,9 @@ public class SimpleTrader extends AbstractTrader implements EventListener {
pack = new AssetPack(p.getCurrency(), 1000);
account_b.add(pack);
account_b.setLeverage(9.0);
account_b.setLeverage(0.1);
pack = new AssetPack(p.getCurrency(), 1234567890);
pack = new AssetPack(p.getCurrency(), 10000);
account_1.add(pack);
account_1.setLeverage(0.0);
account_1.setUnlimied(true);
@ -142,8 +142,10 @@ public class SimpleTrader extends AbstractTrader implements EventListener {
getWorld().getAssetBySymbol("EUR"));
TradingAPI mapi = ex.getAPI(msftp);
Order ob = mapi.createOrder(account_b, Order.Type.SELLLIMIT, 50, 100);
Order oba = api.createOrder(account_b, Order.Type.BUYLIMIT, 50, 100);
Order ob = api.createOrder(account_b, Order.Type.SELLLIMIT, 10, 100);
Order oba = api.createOrder(account_1, Order.Type.BUYLIMIT, 10, 100);

16
src/opensesim/world/TradingEngine.java
View File

@ -289,10 +289,18 @@ class TradingEngine implements TradingAPI {
// For sellers there is no need to update.
double avdiff = b.limit * volume - price * volume;
// b.account.addAvail(assetpair.getCurrency(), avdiff);
if (b.account.getLeverage() > 0.0) {
//b.account.margin_bound-=avdiff;
b.account.margin_bound -= b.limit * volume;
}
// Unbind
double bound = b.account.getBound(assetpair.getCurrency());
double addbound = volume*b.limit;
b.account.addBound(assetpair.getCurrency(), volume*b.limit);
b.account.addBound(assetpair.getAsset(), -volume);
a.account.addBound(assetpair.getCurrency(), -volume*b.limit);
a.account.addBound(assetpair.getAsset(), volume);
// b.account.addMarginAvail(assetpair.getCurrency(), avdiff/b.account.getLeverage());
finishTrade(b, a, price, volume);