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Moved quoteHistory from Exchange to Stock class

This commit is contained in:
7u83 2017-12-10 18:26:32 +01:00
parent 9b86599f03
commit 6b2d382f8b
3 changed files with 99 additions and 93 deletions
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2
nbproject/project.properties
View File

@ -1,4 +1,4 @@
#Sun, 10 Dec 2017 12:50:27 +0100
#Sun, 10 Dec 2017 18:25:56 +0100
annotation.processing.enabled=true
annotation.processing.enabled.in.editor=false
annotation.processing.processors.list=

164
src/sesim/Exchange.java
View File

@ -44,26 +44,22 @@ import sesim.Order.OrderType;
*/
public class Exchange {
//private HashMap<Order.OrderType, SortedSet<Order>> order_books;
HashMap<String, Stock> stocks;
final String DEFAULT_STOCK="def";
final String DEFAULT_STOCK = "def";
public Stock getStock(String symbol) {
return stocks.get(symbol);
}
public Stock getDefaultStock(){
public Stock getDefaultStock() {
return getStock(DEFAULT_STOCK);
}
public String getDefaultStockSymbol(){
public String getDefaultStockSymbol() {
return DEFAULT_STOCK;
}
ConcurrentLinkedQueue<Order> order_queue = new ConcurrentLinkedQueue();
private double money_df = 10000;
private int money_decimals = 2;
@ -151,12 +147,14 @@ public class Exchange {
HashMap<Integer, OHLCData> ohlc_data = new HashMap<>();
public OHLCData buildOHLCData(int timeFrame) {
Stock stock = getDefaultStock();
OHLCData data = new OHLCData(timeFrame);
if (this.quoteHistory == null) {
if (stock.quoteHistory == null) {
return data;
}
Iterator<Quote> it = quoteHistory.iterator();
Iterator<Quote> it = stock.quoteHistory.iterator();
while (it.hasNext()) {
Quote q = it.next();
data.realTimeAdd(q.time, (float) q.price, (float) q.volume);
@ -196,7 +194,7 @@ public class Exchange {
}
public OHLCData getOHLCdata(Integer timeFrame) {
OHLCData data;
OHLCData data;
data = ohlc_data.get(timeFrame);
if (data == null) {
@ -207,8 +205,6 @@ public class Exchange {
}
return data;
}
void updateOHLCData(Quote q) {
Iterator<OHLCData> it = ohlc_data.values().iterator();
@ -217,18 +213,16 @@ public class Exchange {
data.realTimeAdd(q.time, (float) q.price, (float) q.volume);
}
}
ArrayList <Indicator> indicators;
void updateIndicators(Quote q){
ArrayList<Indicator> indicators;
void updateIndicators(Quote q) {
}
public void addIndicator(Indicator i){
public void addIndicator(Indicator i) {
this.indicators.add(i);
}
public void createTraders(JSONArray traderdefs) {
for (int i = 0; i < traderdefs.length(); i++) {
@ -301,22 +295,23 @@ public class Exchange {
}
IDGenerator order_id_generator = new IDGenerator();
/**
* Histrory of quotes
*/
public TreeSet<Quote> quoteHistory; // = new TreeSet<>();
final void initExchange() {
Stock defstock = new Stock(DEFAULT_STOCK);
stocks = new HashMap();
stocks.put(defstock.getSymbol(), defstock);
buy_orders = 0;
sell_orders = 0;
timer = new Scheduler(); // timer = new Scheduler();
// random = new Random(12);
random = new Random();
quoteHistory = new TreeSet();
// quoteHistory = new TreeSet();
getDefaultStock().reset();
accounts = new ConcurrentHashMap<>();
traders = new ArrayList();
@ -328,14 +323,11 @@ public class Exchange {
// Create order books
/* order_books = new HashMap();
/* order_books = new HashMap();
for (OrderType type : OrderType.values()) {
order_books.put(type, new TreeSet(new OrderComparator(type)));
}
*/
Stock defstock = new Stock(DEFAULT_STOCK);
stocks = new HashMap();
stocks.put(defstock.getSymbol(), defstock);
*/
}
/**
@ -345,7 +337,7 @@ public class Exchange {
qrlist = (new CopyOnWriteArrayList<>());
initExchange();
executor.start();
//executor.start();
}
@ -387,6 +379,8 @@ public class Exchange {
@Override
public void run() {
/* Stock stock = getDefaultStock();
synchronized (this) {
try {
while (true) {
@ -394,7 +388,7 @@ public class Exchange {
this.wait();
Order o;
while (null != (o = order_queue.poll())) {
while (null != (o = stock.order_queue.poll())) {
addOrderToBook(o);
Account a = o.account;
a.orders.put(o.id, o);
@ -411,6 +405,7 @@ public class Exchange {
}
}
*/
}
}
@ -444,7 +439,7 @@ public class Exchange {
}
}
*/
/* public SortedSet<Quote> getQuoteHistory(long start) {
/* public SortedSet<Quote> getQuoteHistory(long start) {
Quote s = new Quote();
s.time = start * 1000;
@ -456,8 +451,7 @@ public class Exchange {
return result;
}
*/
*/
public final String CFG_MONEY_DECIMALS = "money_decimals";
public final String CFG_SHARES_DECIMALS = "shares_decimals";
@ -472,7 +466,7 @@ public class Exchange {
}
public Double getBestPrice(Stock stock) {
SortedSet<Order> bid = stock.order_books.get(OrderType.BUYLIMIT);
SortedSet<Order> ask = stock.order_books.get(OrderType.SELLLIMIT);
@ -624,10 +618,10 @@ public class Exchange {
}
}
public Quote getBestPrice_0(){
return getBestPrice_0(getDefaultStock());
}
public Quote getBestPrice_0() {
return getBestPrice_0(getDefaultStock());
}
// Class to describe an executed order
// QuoteReceiver has to be implemented by objects that wants
// to receive quote updates
@ -703,13 +697,12 @@ public class Exchange {
}
}
/**
*
*
* @param stock
* @param type
* @param depth
* @return
* @return
*/
public ArrayList<Order> getOrderBook(Stock stock, OrderType type, int depth) {
@ -738,20 +731,22 @@ public class Exchange {
return ret;
}
public ArrayList<Order> getOrderBook(OrderType type, int depth){
return getOrderBook(getDefaultStock(),type,depth);
}
public ArrayList<Order> getOrderBook(OrderType type, int depth) {
return getOrderBook(getDefaultStock(), type, depth);
}
/**
*
* @return
*
* @return
*/
public Quote getLastQuoete() {
if (this.quoteHistory.isEmpty()) {
Stock stock = getDefaultStock();
if (stock.quoteHistory.isEmpty()) {
return null;
}
return this.quoteHistory.last();
return stock.quoteHistory.last();
}
private void transferMoneyAndShares(Account src, Account dst, double money, double shares) {
@ -768,7 +763,7 @@ public class Exchange {
}
public boolean cancelOrder(Stock stock,double account_id, long order_id) {
public boolean cancelOrder(Stock stock, double account_id, long order_id) {
Account a = accounts.get(account_id);
if (a == null) {
return false;
@ -801,9 +796,9 @@ public class Exchange {
// System.out.printf("Levave executor %d\n", Thread.currentThread().getId());
return ret;
}
public boolean cancelOrder(double account_id, long order_id){
return cancelOrder(getDefaultStock(),account_id,order_id);
public boolean cancelOrder(double account_id, long order_id) {
return cancelOrder(getDefaultStock(), account_id, order_id);
}
Random random;
@ -829,10 +824,9 @@ public class Exchange {
* @param o
*/
// long nextQuoteId = 0;
public double fairValue = 0;
private void removeOrderIfExecuted(Stock stock,Order o) {
private void removeOrderIfExecuted(Stock stock, Order o) {
if (o.getAccount().getOwner().getName().equals("Tobias0")) {
// System.out.printf("Tobias 0 test\n");
}
@ -862,12 +856,11 @@ public class Exchange {
o.account.update(o);
}
private void removeOrderIfExecuted(Order o){
removeOrderIfExecuted(getDefaultStock(),o);
private void removeOrderIfExecuted(Order o) {
removeOrderIfExecuted(getDefaultStock(), o);
}
void checkSLOrders(Stock stock, double price) {
SortedSet<Order> sl = stock.order_books.get(OrderType.STOPLOSS);
SortedSet<Order> ask = stock.order_books.get(OrderType.SELLLIMIT);
@ -886,11 +879,10 @@ public class Exchange {
// System.out.printf("Stoploss hit %f %f\n", s.volume, s.limit);
}
}
void checkSLOrders(double price){
checkSLOrders(getDefaultStock(),price);
void checkSLOrders(double price) {
checkSLOrders(getDefaultStock(), price);
}
public void executeUnlimitedOrders() {
@ -923,7 +915,8 @@ public class Exchange {
statistics.low = q.price;
}
quoteHistory.add(q);
Stock stock = getDefaultStock();
stock.quoteHistory.add(q);
updateOHLCData(q);
updateQuoteReceivers(q);
}
@ -1049,9 +1042,9 @@ public class Exchange {
}
// System.out.printf("B/S %d/%d Failed B/S: %d/%d\n", buy_orders, sell_orders,buy_failed,sell_failed);
}
private void addOrderToBook(Order o){
addOrderToBook(getDefaultStock(),o);
private void addOrderToBook(Order o) {
addOrderToBook(getDefaultStock(), o);
}
long buy_failed = 0;
@ -1065,12 +1058,11 @@ public class Exchange {
* @param limit
* @return order_id
*/
public long createOrder(double account_id,
public long createOrder(double account_id,
String stocksymbol, OrderType type, double volume, double limit) {
Stock stock = this.getStock(stocksymbol);
Account a = accounts.get(account_id);
if (a == null) {
return -1;
@ -1079,9 +1071,9 @@ public class Exchange {
Order o = new Order(order_id_generator.getNext(),
timer.currentTimeMillis(),
a, type, roundShares(volume), roundMoney(limit));
o.stock=stock;
o.stock = stock;
if (o.volume <= 0 || o.limit <= 0) {
switch (o.type) {
@ -1119,17 +1111,17 @@ public class Exchange {
return o.getID();
}
public double getBestLimit(Stock stock,OrderType type) {
public double getBestLimit(Stock stock, OrderType type) {
Order o = stock.order_books.get(type).first();
if (o == null) {
return -1;
}
return o.limit;
}
public double getBestLimit(OrderType type){
return getBestLimit(getDefaultStock(),type);
public double getBestLimit(OrderType type) {
return getBestLimit(getDefaultStock(), type);
}
public int getNumberOfOpenOrders(double account_id) {
Account a = accounts.get(account_id);

26
src/sesim/Stock.java
View File

@ -28,6 +28,7 @@ package sesim;
import java.util.HashMap;
import java.util.SortedSet;
import java.util.TreeSet;
import java.util.concurrent.ConcurrentLinkedQueue;
/**
*
@ -39,14 +40,23 @@ public class Stock {
private String name;
Stock(String symbol) {
this.symbol=symbol;
this.symbol = symbol;
reset();
}
/**
*
*/
public final void reset() {
order_books = new HashMap();
// Create an order book for each order type
for (Order.OrderType type : Order.OrderType.values()) {
this.order_books.put(type, new TreeSet(new Exchange.OrderComparator(type)));
}
quoteHistory = new TreeSet();
}
String getSymbol() {
@ -57,8 +67,12 @@ public class Stock {
return name;
}
protected final HashMap<Order.OrderType, SortedSet<Order>> order_books;
protected HashMap<Order.OrderType, SortedSet<Order>> order_books;
// protected ConcurrentLinkedQueue<Order> order_queue = new ConcurrentLinkedQueue();
/**
* Histrory of quotes
*/
public TreeSet<Quote> quoteHistory; // = new TreeSet<>();
}