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prepared for stop loss orders

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This commit is contained in:
7u83 2017-02-20 23:40:34 +01:00
parent 39d30d2d4d
commit 396279b8e6
1 changed files with 64 additions and 40 deletions
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68
src/main/java/sesim/Exchange.java
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@ -77,7 +77,6 @@ public class Exchange {
return data;
}
Iterator<Quote> it = quoteHistory.iterator();
while (it.hasNext()) {
Quote q = it.next();
@ -88,15 +87,13 @@ public class Exchange {
return data;
}
public void injectMoney() {
accounts.forEach(new BiConsumer() {
@Override
public void accept(Object t, Object u) {
Account a = (Account) u;
a.money+=2000.0;
a.money += 20000.0;
}
@ -104,8 +101,18 @@ public class Exchange {
}
public void pointZero() {
accounts.forEach(new BiConsumer() {
@Override
public void accept(Object t, Object u) {
Account a = (Account) u;
a.money = 20000.0;
}
});
}
public OHLCData getOHLCdata(Integer timeFrame) {
OHLCData data; //=new OHLCData(timeFrame);
@ -286,8 +293,8 @@ public class Exchange {
private double limit;
private double volume;
private final double initial_volume;
private long id;
long created;
private final long id;
private final long created;
private final Account account;
Order(Account account, OrderType type, double volume, double limit) {
@ -737,6 +744,22 @@ public class Exchange {
}
}
public void executeUnlimitedOrders() {
}
private void finishTrade(Order b, Order a, double price, double volume) {
// Transfer money and shares
transferMoneyAndShares(b.account, a.account, volume * price, -volume);
// Update volume
b.volume -= volume;
a.volume -= volume;
removeOrderIfExecuted(a);
removeOrderIfExecuted(b);
}
/**
*
*/
@ -751,12 +774,26 @@ public class Exchange {
double volume_total = 0;
double money_total = 0;
while (!bid.isEmpty() && !ask.isEmpty()) {
// Match unlimited sell orders against unlimited buy orders
while (!ul_sell.isEmpty() && !ul_buy.isEmpty()) {
System.out.printf("Cannot match two unlimited orders!\n");
System.exit(0);
}
// Match unlimited sell orders against limited buy orders
while (!ul_sell.isEmpty() && !bid.isEmpty()) {
Order b = bid.first();
Order a = ul_sell.first();
double price = b.limit;
double volume = b.volume >= a.volume ? a.volume : b.volume;
}
while (!bid.isEmpty() && !ask.isEmpty()) {
Order b = bid.first();
Order a = ask.first();
//System.out.printf("In %f (%f) < %f (%f)\n",b.limit,b.volume,a.limit,a.volume);
if (b.limit < a.limit) {
break;
}
@ -765,25 +802,13 @@ public class Exchange {
double price = b.id < a.id ? b.limit : a.limit;
double volume = b.volume >= a.volume ? a.volume : b.volume;
//System.out.printf("Price %f Vol %f\n", price,volume);
// Transfer money and shares
transferMoneyAndShares(b.account, a.account, volume * price, -volume);
finishTrade(b, a, price, volume);
// Update volume
b.volume -= volume;
a.volume -= volume;
// a.account.update(a);
// b.account.update(b);
//System.out.printf("In %f (%f) < %f (%f)\n",b.limit,b.volume,a.limit,a.volume);
volume_total += volume;
money_total += price * volume;
num_trades++;
removeOrderIfExecuted(a);
removeOrderIfExecuted(b);
this.checkSLOrders(price);
}
@ -831,7 +856,6 @@ public class Exchange {
}
//System.out.printf("Creating Order width Volume %f %f \n",o.volume,o.limit);
tradelock.lock();
num_orders++;