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Heavy work on execute orders

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7u83 2018-12-29 01:39:38 +01:00
parent f0c4d4f19c
commit 5310b14863
1 changed files with 143 additions and 42 deletions
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185
src/opensesim/world/TradingEngine.java
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@ -32,6 +32,7 @@ import java.util.Set;
import java.util.SortedSet;
import java.util.TreeSet;
import opensesim.util.idgenerator.IDGenerator;
import opensesim.util.idgenerator.LongIDGenerator;
import opensesim.util.scheduler.EventListener;
import opensesim.util.scheduler.FiringEvent;
@ -46,7 +47,7 @@ class TradingEngine implements TradingAPI {
/**
* Construct a trading engine for an asset pair
*
* @param pair The AssetPair obect to create the trading engine for
* @param pair The AssetPair object to create the trading engine for
* @param outer Outer class - points to an Exchange object thins trading
* engine belongs to.
*/
@ -61,14 +62,19 @@ class TradingEngine implements TradingAPI {
return assetpair;
}
IDGenerator id_generator = new IDGenerator();
LongIDGenerator quote_id_generator = new LongIDGenerator();
private HashMap<Order.Type, SortedSet<Order>> order_books;
private SortedSet<Order> bidbook, askbook;
private SortedSet<Order> ul_buy,ul_sell;
private SortedSet<Order> ul_buy, ul_sell;
AssetPair assetpair;
TreeSet<Quote> quote_history;
protected final void reset() {
order_books = new HashMap<>();
// Create an order book for each order type
for (Order.Type type : Order.Type.values()) {
order_books.put(type, new TreeSet<>());
@ -76,13 +82,78 @@ class TradingEngine implements TradingAPI {
// Save order books to variables for quicker access
bidbook = order_books.get(Order.Type.BUYLIMIT);
askbook = order_books.get(Order.Type.SELLLIMIT);
ul_buy=order_books.get(Order.Type.BUY);
ul_sell=order_books.get(Order.Type.SELL);
// quoteHistory = new TreeSet();
ul_buy = order_books.get(Order.Type.BUY);
ul_sell = order_books.get(Order.Type.SELL);
quote_history = new TreeSet<>();
// ohlc_data = new HashMap();
}
void addQuoteToHistory(Quote q) {
/* if (statistics.heigh == null) {
statistics.heigh = q.price;
} else if (statistics.heigh < q.price) {
statistics.heigh = q.price;
}
if (statistics.low == null) {
statistics.low = q.price;
} else if (statistics.low > q.price) {
statistics.low = q.price;
}
*/
// Stock stock = getDefaultStock();
// stock.quoteHistory.add(q);
// stock.updateOHLCData(q);
// updateQuoteReceivers(q);
}
private void transferMoneyAndShares(Account src, Account dst, double money, double shares) {
// src.money -= money;
AssetPack pack;
pack = new AssetPack(assetpair.getCurrency(), money);
src.sub(pack);
dst.add(pack);
pack.asset = assetpair.getAsset();
pack.volume = shares;
src.add(pack);
dst.sub(pack);
/* src.addMoney(-money);
// dst.money += money;
dst.addMoney(money);
// src.shares -= shares;
src.addShares(-shares);
// dst.shares += shares;
src.addShares(shares);
*/
}
private void removeOrderIfExecuted(Order o) {
if (o.volume != 0) {
o.status = Order.Status.PARTIALLY_EXECUTED;
//o.account.update(o);
return;
}
// o.account.orders.remove(o.id);
SortedSet book = order_books.get(o.type);
book.remove(book.first());
// o.status = OrderStatus.CLOSED;
// o.account.update(o);
}
/**
*
@ -128,21 +199,56 @@ class TradingEngine implements TradingAPI {
this.checkSLOrders(price);
}
*/
//
// Match limited orders against limited orders
//
if (bidbook.isEmpty() || askbook.isEmpty()) {
// there is nothing to do
// no orders at all, nothing to do
break;
}
// Get the top orders - each from bidbook and askbook, but
// let orders stay in their order books
Order b = bidbook.first();
Order a = askbook.first();
if (b.limit < a.limit) {
// limits do not match, so there is nothing to do
break;
}
// There is a match, calculate price and volume
// There is a match. Next we calculate price and volume.
// The price is set by the order with lower ID because the
// order with lower ID was placed first. Also the order with
// the lower id is maker, while the higher ID is the taker.
double price = b.id.compareTo(a.id) < 0 ? b.limit : a.limit;
// The volume is calculated by best fit
double volume = b.volume >= a.volume ? a.volume : b.volume;
// finishTrade(b, a, price, volume);
// Update available currency for the buyer.
// For sellers there is no need to update.
double avdiff = b.limit * volume - price * volume;
b.account.addAvail(assetpair.getCurrency(),avdiff);
// Transfer money and shares
transferMoneyAndShares(b.account, a.account, volume * price, volume);
// Update order volume
b.volume -= volume;
a.volume -= volume;
b.cost += price * volume;
a.cost += price * volume;
a.account.notfiyListeners();
b.account.notfiyListeners();
removeOrderIfExecuted(a);
removeOrderIfExecuted(b);
volume_total += volume;
money_total += price * volume;
// statistics.trades++;
@ -151,31 +257,20 @@ class TradingEngine implements TradingAPI {
if (volume_total == 0) {
return;
}
Quote q = new Quote();
Quote q = new Quote(quote_id_generator.getNext());
q.price = money_total / volume_total;
q.volume = volume_total;
q.time = outer.world.currentTimeMillis();
// q.time = timer.currentTimeMillis();
// addQuoteToHistory(q);
}
/* protected void addOrderToBook(Order o) {
order_books.get(o.type).add(o);
switch (o.type) {
case BUY:
case BUYLIMIT:
break;
case SELL:
case SELLLIMIT:
break;
}
}
*/
//
public Double getBestPrice() {
SortedSet<Order> bid = order_books.get(Order.Type.BUYLIMIT);
SortedSet<Order> ask = order_books.get(Order.Type.SELLLIMIT);
Quote lq = null; //this.getLastQuoete();
Order b = null;
@ -193,7 +288,7 @@ class TradingEngine implements TradingAPI {
}
// there is bid and ask
if (a != null && b != null) {
Quote q = new Quote();
Quote q = new Quote(-1);
System.out.printf("aaaaa bbbbb %f %f \n", a.limit, b.limit);
// if there is no last quote calculate from bid and ask
//if (lq == null) {
@ -212,7 +307,7 @@ class TradingEngine implements TradingAPI {
*/
}
if (a != null) {
Quote q = new Quote();
Quote q = new Quote(-1);
if (lq == null) {
return a.limit;
}
@ -222,7 +317,7 @@ class TradingEngine implements TradingAPI {
return lq.price;
}
if (b != null) {
Quote q = new Quote();
Quote q = new Quote(-1);
if (lq == null) {
return b.limit;
}
@ -239,6 +334,7 @@ class TradingEngine implements TradingAPI {
@Override
public Order createOrder(Account account, Order.Type type, double volume, double limit) {
Order o;
synchronized (account) {
// Round volume
@ -276,9 +372,9 @@ class TradingEngine implements TradingAPI {
// other than currency is > 0.0
AbstractAsset currency = this.assetpair.getCurrency();
Double avail = account.getAvail(currency);
if(avail <=0.0){
return null;
}
if (avail <= 0.0) {
return null;
}
// All available monney is assigned to this unlimited order
account.assets_avail.put(currency, 0.0);
@ -310,20 +406,20 @@ class TradingEngine implements TradingAPI {
}
Order o = new opensesim.world.Order(this, account, type, v, order_limit);
o = new opensesim.world.Order(this, account, type, v, order_limit);
System.out.printf("The new Order has: volume: %f limit: %f\n", o.getVolume(), o.getLimit());
synchronized (this) {
order_books.get(o.type).add(o);
}
executeOrders();
for (FiringEvent e : book_listener) {
e.fire();
}
return o;
}
executeOrders();
for (FiringEvent e : book_listener) {
e.fire();
}
return o;
}
HashSet<FiringEvent> book_listener = new HashSet<>();
@ -358,4 +454,9 @@ class TradingEngine implements TradingAPI {
return getOrderBook(Order.Type.SELL);
}
@Override
public Set<Quote> getQuoteHistory() {
return Collections.unmodifiableSet(quote_history);
}
}