Work on correct calculation of available money with margin

nbproject/project.properties

@@ -1,4 +1,4 @@
-#Fri, 04 Jan 2019 17:38:20 +0100
+#Sat, 05 Jan 2019 10:43:36 +0100
 annotation.processing.enabled=true
 annotation.processing.enabled.in.editor=false
 annotation.processing.processors.list=

src/opensesim/gui/account/StatusPanel.form

@@ -0,0 +1,28 @@
+<?xml version="1.0" encoding="UTF-8" ?>
+
+<Form version="1.3" maxVersion="1.9" type="org.netbeans.modules.form.forminfo.JPanelFormInfo">
+  <AuxValues>
+    <AuxValue name="FormSettings_autoResourcing" type="java.lang.Integer" value="0"/>
+    <AuxValue name="FormSettings_autoSetComponentName" type="java.lang.Boolean" value="false"/>
+    <AuxValue name="FormSettings_generateFQN" type="java.lang.Boolean" value="true"/>
+    <AuxValue name="FormSettings_generateMnemonicsCode" type="java.lang.Boolean" value="false"/>
+    <AuxValue name="FormSettings_i18nAutoMode" type="java.lang.Boolean" value="false"/>
+    <AuxValue name="FormSettings_layoutCodeTarget" type="java.lang.Integer" value="1"/>
+    <AuxValue name="FormSettings_listenerGenerationStyle" type="java.lang.Integer" value="0"/>
+    <AuxValue name="FormSettings_variablesLocal" type="java.lang.Boolean" value="false"/>
+    <AuxValue name="FormSettings_variablesModifier" type="java.lang.Integer" value="2"/>
+  </AuxValues>
+
+  <Layout>
+    <DimensionLayout dim="0">
+      <Group type="103" groupAlignment="0" attributes="0">
+          <EmptySpace min="0" pref="400" max="32767" attributes="0"/>
+      </Group>
+    </DimensionLayout>
+    <DimensionLayout dim="1">
+      <Group type="103" groupAlignment="0" attributes="0">
+          <EmptySpace min="0" pref="300" max="32767" attributes="0"/>
+      </Group>
+    </DimensionLayout>
+  </Layout>
+</Form>

src/opensesim/gui/account/StatusPanel.java

@@ -0,0 +1,78 @@
+/*
+ * Copyright (c) 2019, 7u83 <7u83@mail.ru>
+ * All rights reserved.
+ *
+ * Redistribution and use in source and binary forms, with or without
+ * modification, are permitted provided that the following conditions are met:
+ *
+ * * Redistributions of source code must retain the above copyright notice, this
+ *   list of conditions and the following disclaimer.
+ * * Redistributions in binary form must reproduce the above copyright notice,
+ *   this list of conditions and the following disclaimer in the documentation
+ *   and/or other materials provided with the distribution.
+ *
+ * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+ * AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+ * IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE
+ * ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE
+ * LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
+ * CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF
+ * SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
+ * INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN
+ * CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE)
+ * ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
+ * POSSIBILITY OF SUCH DAMAGE.
+ */
+package opensesim.gui.account;
+
+import opensesim.world.Account;
+
+/**
+ *
+ * @author 7u83 <7u83@mail.ru>
+ */
+public class StatusPanel extends javax.swing.JPanel {
+
+    /**
+     * Creates new form StatusPanel
+     */
+    public StatusPanel() {
+        initComponents();
+    }
+
+    public StatusPanel(Account account) {
+        this();
+        setAccount(account);
+    }
+
+    private Account account;
+
+    public void setAccount(Account account) {
+        this.account = account;
+    }
+
+    /**
+     * This method is called from within the constructor to initialize the form.
+     * WARNING: Do NOT modify this code. The content of this method is always
+     * regenerated by the Form Editor.
+     */
+    @SuppressWarnings("unchecked")
+    // <editor-fold defaultstate="collapsed" desc="Generated Code">//GEN-BEGIN:initComponents
+    private void initComponents() {
+
+        javax.swing.GroupLayout layout = new javax.swing.GroupLayout(this);
+        this.setLayout(layout);
+        layout.setHorizontalGroup(
+            layout.createParallelGroup(javax.swing.GroupLayout.Alignment.LEADING)
+            .addGap(0, 400, Short.MAX_VALUE)
+        );
+        layout.setVerticalGroup(
+            layout.createParallelGroup(javax.swing.GroupLayout.Alignment.LEADING)
+            .addGap(0, 300, Short.MAX_VALUE)
+        );
+    }// </editor-fold>//GEN-END:initComponents
+
+
+    // Variables declaration - do not modify//GEN-BEGIN:variables
+    // End of variables declaration//GEN-END:variables
+}

src/opensesim/world/Account.java

@@ -41,18 +41,20 @@ import org.json.JSONObject;
 public class Account {
 
     HashMap<AbstractAsset, Double> assets = new HashMap<>();
-    HashMap<AbstractAsset, Double> assets_avail = new HashMap<>();
+    HashMap<AbstractAsset, Double> assets_bound = new HashMap<>();
     HashMap<AbstractAsset, Double> stop_los = new HashMap<>();
 
-    public double margin_bound=0.0;
+    public double margin_bound = 0.0;
 
     Trader owner;
     //public Exchange exchange = null;
 
+    private RealWorld world;
+    private Exchange exchange;
 
-    private World world;
+    public Exchange getExchange() {
-    
+        return exchange;
-    
+    }
 
     private boolean unlimited = false;
 
@@ -64,7 +66,6 @@ public class Account {
         this.unlimited = unlimied;
     }
 
-
     private double leverage = 0.0;
 
     public double getLeverage() {
@@ -80,7 +81,7 @@ public class Account {
     }
 
     public Map<AbstractAsset, Double> getAssetsAavail() {
-        return Collections.unmodifiableMap(assets_avail);
+        return Collections.unmodifiableMap(assets_bound);
     }
 
     public Trader getOwner() {
@@ -88,11 +89,17 @@ public class Account {
     }
 
     protected Account(World world) {
-        this.world = world;
+        this(world, null, null);
     }
 
-    protected Account(World world, JSONObject cfg) {
+    protected Account(World world, Exchange exchange, JSONObject cfg) {
-        this.world = world;
+        this.world = (RealWorld) world;
+        if (exchange == null) {
+            this.exchange = world.getDefaultExchange();
+        }
+        if (cfg == null) {
+            return;
+        }
     }
 
     public Double getMargin(AbstractAsset currency) {
@@ -110,12 +117,12 @@ public class Account {
 
     synchronized void add(AssetPack pack) {
         assets.put(pack.asset, get(pack.asset) + pack.volume);
-        assets_avail.put(pack.asset, getAvail(pack.asset) + pack.volume);
+        assets_bound.put(pack.asset, getAvail(pack.asset) + pack.volume);
     }
 
     synchronized void sub(AssetPack pack) {
         assets.put(pack.asset, get(pack.asset) - pack.volume);
-        //   assets_avail.put(pack.asset, getAvail(pack.asset) - pack.volume);
+        //   assets_bound.put(pack.asset, getAvail(pack.asset) - pack.volume);
     }
 
     public double get(AbstractAsset asset) {
@@ -123,23 +130,22 @@ public class Account {
     }
 
     public double getAvail(AbstractAsset asset) {
-        if (this.getLeverage()>0){
+        if (this.getLeverage() > 0) {
             Double margin = this.getMargin(world.getDefaultCurrency());
 
             AssetPair ap = world.getAssetPair(asset, world.getDefaultCurrency());
 
-            
             return margin / world.getDefaultExchange().getAPI(ap).getLastQuote().price;
         }
 
         return 0.0;
 
-        //return assets_avail.getOrDefault(asset, 0.0);
+        //return assets_bound.getOrDefault(asset, 0.0);
     }
 
     public void addAvail(AbstractAsset asset, double val) {
         double avail = getAvail(asset);
-        assets_avail.put(asset, (avail + val));
+        assets_bound.put(asset, (avail + val));
     }
 
     HashSet<EventListener> listeners = new HashSet<>();
@@ -163,7 +169,7 @@ public class Account {
 
     public Double getAssetDebt(Exchange ex, AbstractAsset currency) {
         Double result = 0.0;
-        System.out.printf("Enter depth rechner %f\n", result);
+
         for (AbstractAsset a : assets.keySet()) {
             if (a.equals(currency)) {
                 continue;
@@ -177,17 +183,16 @@ public class Account {
             Double v = get(a) * api.last_quote.price;
             Double sl = this.calcStopLoss(a);
             Double n = get(a);
-            if (n==0.0)
+            if (n == 0.0) {
                 continue;
+            }
 
-            System.out.printf("Asset: %s - %f %f %f\n", a.getSymbol(),n, v, sl*n);
+//            System.out.printf("Asset: %s - %f %f %f\n", a.getSymbol(), n, v, sl * n);
-            
+            result = result + (v - sl * n);
-            
+            //          System.out.printf("Result is now %f\n", result);
-            result = result + (v-sl*n);
-            System.out.printf("Result is now %f\n", result);
 
         }
-        System.out.printf("Return Dresult %f\n", result);
+        //    System.out.printf("Return Dresult %f\n", result);
         return result;
     }
 
@@ -200,7 +205,8 @@ public class Account {
      * @return final balance
      *
      */
-    public Double getFinalBalance(Exchange ex, AbstractAsset currency) {
+    public Double getFinalBalance(Exchange ex, AbstractAsset currency, 
+            boolean bound) {
 
         Double result = get(currency);
         for (AbstractAsset a : assets.keySet()) {
@@ -212,19 +218,26 @@ public class Account {
             if (pair == null) {
                 continue;
             }
-            v = get(a);
+            v = get(a) + (bound ? getBound(a) : 0.0);
-            if (v==0.0)
-                continue;
             
+            if (v == 0.0) {
+                continue;
+            }
 
             TradingEngine api = (TradingEngine) ex.getAPI(pair);
-            //v = get(a) * api.last_quote.price;
+            result = result + v * api.last_quote.price;
-
-            result = result + v*api.last_quote.price;
         }
         return result;
     }
     
+    Double getBound(AbstractAsset asset){
+        return assets_bound.getOrDefault(asset, 0.0);
+    }
+    
+    void addBound(AbstractAsset asset, Double vol){
+        assets_bound.put(asset, getBound(asset)+vol);
+    }
+
     /**
      * Get the final balance as if all assets would be sold ob the default
      * exchange against given currency.
@@ -234,7 +247,7 @@ public class Account {
      * @return final balance
      */
     public Double getFinalBalance(AbstractAsset currency) {
-        return getFinalBalance(world.getDefaultExchange(), currency);
+        return getFinalBalance(this.getExchange(), currency, false);
     }
 
     /**
@@ -262,22 +275,58 @@ public class Account {
 
             TradingEngine api = (TradingEngine) ex.getAPI(pair);
             Double v = get(a) * api.last_quote.price;
-            e = e+v;
+            e = e + v;
 
         }
 
-        return -(double)e / (double)get(asset);
+        return -(double) e / (double) get(asset);
     }
 
-    public Double calcStopLoss(AbstractAsset asset){
+    public Double calcStopLoss(AbstractAsset asset) {
-        return calcStopLoss(world.getDefaultExchange(),asset,world.getDefaultAssetPair().getCurrency());
+        return calcStopLoss(world.getDefaultExchange(), asset, world.getDefaultAssetPair().getCurrency());
     }
 
     /**
      * Return the world this account belongs to
+     *
      * @return world
      */
-    public World getWorld(){
+    public World getWorld() {
         return world;
     }
+
+    private boolean isLeveraged() {
+        return getLeverage() > 0.0;
+    }
+
+    boolean isCovered(AssetPair pair, double volume, double limit) {
+        if (this.isUnlimied()) {
+            return true;
+        }
+
+        if (!this.isLeveraged()) {
+            if (limit == 0.0) {
+                // an unlimited order is always considered to be
+                // covereable. When the trade comes to execution, 
+                // the limits will be checked.
+                return true;
+            }
+            if (volume < 0) {
+                // It's a limited sell order, we have just to check
+                // if a sufficient amount of assets is available 
+                return getAvail(pair.getAsset()) + volume > 0;
+            }
+            // Check if enough money is available to cover the 
+            // entiere volume to by
+            return getAvail(pair.getCurrency()) >= limit * volume;
+        }
+
+        
+        Double margin = this.getMargin(pair.getCurrency());
+        System.out.printf("Margin: %f > %f\n", margin, Math.abs(volume * limit));
+
+        return margin > 0; //Math.abs(volume * limit);
+
+    }
+
 }

src/opensesim/world/SimpleTrader.java

@@ -105,17 +105,16 @@ public class SimpleTrader extends AbstractTrader implements EventListener {
 
         pack = new AssetPack(p.getCurrency(), 1000);
         account_b.add(pack);
-        account_b.setLeverage(10.0);
+        account_b.setLeverage(9.0);
 
         pack = new AssetPack(p.getCurrency(), 1234567890);
         account_1.add(pack);
         account_1.setLeverage(0.0);
         account_1.setUnlimied(true);
 
-        long delay = (long) (1000.0f * getWorld().randNextFloat(15.0f, 15.7f));
+        long delay = (long) (1000.0f * getWorld().randNextFloat(5.0f, 5.7f));
         setStatus(String.format("Initial delay: Sleeping for %d seconds.", delay));
 
-        
         getWorld().schedule(this, delay);
 
         //  long delay = (long) (getRandom(initial_delay[0], initial_delay[1]) * 1000);
@@ -136,7 +135,6 @@ public class SimpleTrader extends AbstractTrader implements EventListener {
 
         AssetPair p = getWorld().getDefaultAssetPair();
 
-        
         ex = getWorld().getDefaultExchange();
         api = ex.getAPI(p);
 
@@ -147,22 +145,16 @@ public class SimpleTrader extends AbstractTrader implements EventListener {
         Order ob = api.createOrder(account_b, Order.Type.BUYLIMIT, 20, 100);
 
         //Order mob = mapi.createOrder(account_b, Order.Type.SELLLIMIT, 80, 100);
-       
+        Order oa = api.createOrder(account_1, Order.Type.SELLLIMIT, 100, 200);
-   Order oa = api.createOrder(account_1, Order.Type.SELLLIMIT, 100, 100);
         //Order oaaa = mapi.createOrder(account_1, Order.Type.BUYLIMIT, 100, 100);
 
-
 //Order oax = mapi.createOrder(account_1, Order.Type.BUYLIMIT, 100, 100);
-
         //   Order oa = api.createOrder(account_1, Order.Type.BUYLIMIT, 100, 10.0); 
         //   Order ob = api.createOrder(account_1, Order.Type.BUYLIMIT, 100, 9.0);         
         //   Order oc = api.createOrder(account_1, Order.Type.BUYLIMIT, 100, 8.0);                 
         // Order o2 = api.createOrder(account_10, Order.Type.SELLLIMIT, 300, 1.0);   
         //Order ou = api.createOrder(account_1, Order.Type.BUYLIMIT, 30, 10.0);         
         //  Order o1 = api.createOrder(account, Order.Type.SELLLIMIT, 250, 278);        
-
-        
-        
         /*     
 
         System.out.printf("Here we are: %d - [%d]\n", Thread.currentThread().getId(), diff);
@@ -174,7 +166,7 @@ public class SimpleTrader extends AbstractTrader implements EventListener {
         api = ex.getAPI(p);
         Order o = api.createOrder(account, Order.Type.BUY, 112.987123, limit);
         limit += 12;
-*/
+         */
         return -1;
     }
 

src/opensesim/world/TradingEngine.java

@@ -437,32 +437,24 @@ class TradingEngine implements TradingAPI {
             } else {
                 switch (type) {
                     case BUYLIMIT: {
-                        Double avail;
-
-                        // verfify available currency for a buy limit order
-                        AbstractAsset currency = this.assetpair.getCurrency();
-                        if (account.getLeverage() == 0.0) {
-                            avail = account.getAvail(currency);
-                            account.addAvail(currency, -(v * l));
-
-                        } else {
-
-                            avail = account.getMargin(assetpair.getCurrency());
                         
+                        if (!account.isCovered(assetpair, volume, limit)){
+                            System.out.printf("Not enough funds\n");
+                            return null;
                         }
                         
                         // return if not enough funds are available
-                        if (avail < v * l) {
+//                        if (avail < v * l) {
-                            o = new Order(this, account, type, v, l);
+//                            o = new Order(this, account, type, v, l);
-                            o.status = Order.Status.ERROR;
+//                            o.status = Order.Status.ERROR;
 
-                            System.out.printf("Error order no funds\n");
+//                            System.out.printf("Error order no funds\n");
                             //       return o;
-                        }
+  //                      }
 
                         account.margin_bound += v * l;
                         // reduce the available money 
-//                  account.assets_avail.put(currency, avail - v * l);
+//                  account.assets_bound.put(currency, avail - v * l);
 
 //account.addMarginAvail(currency, -((v * l)/account.getLeverage()));
                         order_limit = l;
@@ -482,7 +474,7 @@ class TradingEngine implements TradingAPI {
                         }
 
                         // All available monney is assigned to this unlimited order
-                        account.assets_avail.put(currency, 0.0);
+                        account.assets_bound.put(currency, 0.0);
                         // we "mis"use order_limit to memorize occupied ammount \
                         // of currency
                         order_limit = avail;
@@ -501,7 +493,7 @@ class TradingEngine implements TradingAPI {
                             // not enough items of asset (shares) available
                             //    return null;
                         }
-                        account.assets_avail.put(asset, avail - v);
+                        account.assets_bound.put(asset, avail - v);
                         order_limit = l;
                         break;