7u83
/
OpenSeSim
1
1
Fork 0
Code Issues Pull Requests Releases 1 Wiki Activity

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
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

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=true
annotation.processing.enabled.in.editor=false annotation.processing.enabled.in.editor=false
annotation.processing.processors.list= annotation.processing.processors.list=

164
src/sesim/Exchange.java
View File

@ -44,26 +44,22 @@ import sesim.Order.OrderType;
*/ */
public class Exchange { public class Exchange {
//private HashMap<Order.OrderType, SortedSet<Order>> order_books; //private HashMap<Order.OrderType, SortedSet<Order>> order_books;
HashMap<String, Stock> stocks; HashMap<String, Stock> stocks;
final String DEFAULT_STOCK="def"; final String DEFAULT_STOCK = "def";
public Stock getStock(String symbol) { public Stock getStock(String symbol) {
return stocks.get(symbol); return stocks.get(symbol);
} }
public Stock getDefaultStock(){ public Stock getDefaultStock() {
return getStock(DEFAULT_STOCK); return getStock(DEFAULT_STOCK);
} }
public String getDefaultStockSymbol(){ public String getDefaultStockSymbol() {
return DEFAULT_STOCK; return DEFAULT_STOCK;
} }
ConcurrentLinkedQueue<Order> order_queue = new ConcurrentLinkedQueue();
private double money_df = 10000; private double money_df = 10000;
private int money_decimals = 2; private int money_decimals = 2;
@ -151,12 +147,14 @@ public class Exchange {
HashMap<Integer, OHLCData> ohlc_data = new HashMap<>(); HashMap<Integer, OHLCData> ohlc_data = new HashMap<>();
public OHLCData buildOHLCData(int timeFrame) { public OHLCData buildOHLCData(int timeFrame) {
Stock stock = getDefaultStock();
OHLCData data = new OHLCData(timeFrame); OHLCData data = new OHLCData(timeFrame);
if (this.quoteHistory == null) { if (stock.quoteHistory == null) {
return data; return data;
} }
Iterator<Quote> it = quoteHistory.iterator(); Iterator<Quote> it = stock.quoteHistory.iterator();
while (it.hasNext()) { while (it.hasNext()) {
Quote q = it.next(); Quote q = it.next();
data.realTimeAdd(q.time, (float) q.price, (float) q.volume); data.realTimeAdd(q.time, (float) q.price, (float) q.volume);
@ -196,7 +194,7 @@ public class Exchange {
} }
public OHLCData getOHLCdata(Integer timeFrame) { public OHLCData getOHLCdata(Integer timeFrame) {
OHLCData data; OHLCData data;
data = ohlc_data.get(timeFrame); data = ohlc_data.get(timeFrame);
if (data == null) { if (data == null) {
@ -207,8 +205,6 @@ public class Exchange {
} }
return data; return data;
} }
void updateOHLCData(Quote q) { void updateOHLCData(Quote q) {
Iterator<OHLCData> it = ohlc_data.values().iterator(); Iterator<OHLCData> it = ohlc_data.values().iterator();
@ -217,18 +213,16 @@ public class Exchange {
data.realTimeAdd(q.time, (float) q.price, (float) q.volume); data.realTimeAdd(q.time, (float) q.price, (float) q.volume);
} }
} }
ArrayList <Indicator> indicators; ArrayList<Indicator> indicators;
void updateIndicators(Quote q){
void updateIndicators(Quote q) {
} }
public void addIndicator(Indicator i) {
public void addIndicator(Indicator i){
this.indicators.add(i); this.indicators.add(i);
} }
public void createTraders(JSONArray traderdefs) { public void createTraders(JSONArray traderdefs) {
for (int i = 0; i < traderdefs.length(); i++) { for (int i = 0; i < traderdefs.length(); i++) {
@ -301,22 +295,23 @@ public class Exchange {
} }
IDGenerator order_id_generator = new IDGenerator(); IDGenerator order_id_generator = new IDGenerator();
/**
* Histrory of quotes
*/
public TreeSet<Quote> quoteHistory; // = new TreeSet<>();
final void initExchange() { final void initExchange() {
Stock defstock = new Stock(DEFAULT_STOCK);
stocks = new HashMap();
stocks.put(defstock.getSymbol(), defstock);
buy_orders = 0; buy_orders = 0;
sell_orders = 0; sell_orders = 0;
timer = new Scheduler(); // timer = new Scheduler(); timer = new Scheduler(); // timer = new Scheduler();
// random = new Random(12); // random = new Random(12);
random = new Random(); random = new Random();
quoteHistory = new TreeSet(); // quoteHistory = new TreeSet();
getDefaultStock().reset();
accounts = new ConcurrentHashMap<>(); accounts = new ConcurrentHashMap<>();
traders = new ArrayList(); traders = new ArrayList();
@ -328,14 +323,11 @@ public class Exchange {
// Create order books // Create order books
/* order_books = new HashMap(); /* order_books = new HashMap();
for (OrderType type : OrderType.values()) { for (OrderType type : OrderType.values()) {
order_books.put(type, new TreeSet(new OrderComparator(type))); 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<>()); qrlist = (new CopyOnWriteArrayList<>());
initExchange(); initExchange();
executor.start(); //executor.start();
} }
@ -387,6 +379,8 @@ public class Exchange {
@Override @Override
public void run() { public void run() {
/* Stock stock = getDefaultStock();
synchronized (this) { synchronized (this) {
try { try {
while (true) { while (true) {
@ -394,7 +388,7 @@ public class Exchange {
this.wait(); this.wait();
Order o; Order o;
while (null != (o = order_queue.poll())) { while (null != (o = stock.order_queue.poll())) {
addOrderToBook(o); addOrderToBook(o);
Account a = o.account; Account a = o.account;
a.orders.put(o.id, o); 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(); Quote s = new Quote();
s.time = start * 1000; s.time = start * 1000;
@ -456,8 +451,7 @@ public class Exchange {
return result; return result;
} }
*/ */
public final String CFG_MONEY_DECIMALS = "money_decimals"; public final String CFG_MONEY_DECIMALS = "money_decimals";
public final String CFG_SHARES_DECIMALS = "shares_decimals"; public final String CFG_SHARES_DECIMALS = "shares_decimals";
@ -472,7 +466,7 @@ public class Exchange {
} }
public Double getBestPrice(Stock stock) { public Double getBestPrice(Stock stock) {
SortedSet<Order> bid = stock.order_books.get(OrderType.BUYLIMIT); SortedSet<Order> bid = stock.order_books.get(OrderType.BUYLIMIT);
SortedSet<Order> ask = stock.order_books.get(OrderType.SELLLIMIT); SortedSet<Order> ask = stock.order_books.get(OrderType.SELLLIMIT);
@ -624,10 +618,10 @@ public class Exchange {
} }
} }
public Quote getBestPrice_0(){ public Quote getBestPrice_0() {
return getBestPrice_0(getDefaultStock()); return getBestPrice_0(getDefaultStock());
} }
// Class to describe an executed order // Class to describe an executed order
// QuoteReceiver has to be implemented by objects that wants // QuoteReceiver has to be implemented by objects that wants
// to receive quote updates // to receive quote updates
@ -703,13 +697,12 @@ public class Exchange {
} }
} }
/** /**
* *
* @param stock * @param stock
* @param type * @param type
* @param depth * @param depth
* @return * @return
*/ */
public ArrayList<Order> getOrderBook(Stock stock, OrderType type, int depth) { public ArrayList<Order> getOrderBook(Stock stock, OrderType type, int depth) {
@ -738,20 +731,22 @@ public class Exchange {
return ret; return ret;
} }
public ArrayList<Order> getOrderBook(OrderType type, int depth){ public ArrayList<Order> getOrderBook(OrderType type, int depth) {
return getOrderBook(getDefaultStock(),type,depth); return getOrderBook(getDefaultStock(), type, depth);
} }
/** /**
* *
* @return * @return
*/ */
public Quote getLastQuoete() { public Quote getLastQuoete() {
if (this.quoteHistory.isEmpty()) { Stock stock = getDefaultStock();
if (stock.quoteHistory.isEmpty()) {
return null; return null;
} }
return this.quoteHistory.last(); return stock.quoteHistory.last();
} }
private void transferMoneyAndShares(Account src, Account dst, double money, double shares) { 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); Account a = accounts.get(account_id);
if (a == null) { if (a == null) {
return false; return false;
@ -801,9 +796,9 @@ public class Exchange {
// System.out.printf("Levave executor %d\n", Thread.currentThread().getId()); // System.out.printf("Levave executor %d\n", Thread.currentThread().getId());
return ret; return ret;
} }
public boolean cancelOrder(double account_id, long order_id){ public boolean cancelOrder(double account_id, long order_id) {
return cancelOrder(getDefaultStock(),account_id,order_id); return cancelOrder(getDefaultStock(), account_id, order_id);
} }
Random random; Random random;
@ -829,10 +824,9 @@ public class Exchange {
* @param o * @param o
*/ */
// long nextQuoteId = 0; // long nextQuoteId = 0;
public double fairValue = 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")) { if (o.getAccount().getOwner().getName().equals("Tobias0")) {
// System.out.printf("Tobias 0 test\n"); // System.out.printf("Tobias 0 test\n");
} }
@ -862,12 +856,11 @@ public class Exchange {
o.account.update(o); o.account.update(o);
} }
private void removeOrderIfExecuted(Order o){ private void removeOrderIfExecuted(Order o) {
removeOrderIfExecuted(getDefaultStock(),o); removeOrderIfExecuted(getDefaultStock(), o);
} }
void checkSLOrders(Stock stock, double price) { void checkSLOrders(Stock stock, double price) {
SortedSet<Order> sl = stock.order_books.get(OrderType.STOPLOSS); SortedSet<Order> sl = stock.order_books.get(OrderType.STOPLOSS);
SortedSet<Order> ask = stock.order_books.get(OrderType.SELLLIMIT); 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); // System.out.printf("Stoploss hit %f %f\n", s.volume, s.limit);
} }
} }
void checkSLOrders(double price){ void checkSLOrders(double price) {
checkSLOrders(getDefaultStock(),price); checkSLOrders(getDefaultStock(), price);
} }
public void executeUnlimitedOrders() { public void executeUnlimitedOrders() {
@ -923,7 +915,8 @@ public class Exchange {
statistics.low = q.price; statistics.low = q.price;
} }
quoteHistory.add(q); Stock stock = getDefaultStock();
stock.quoteHistory.add(q);
updateOHLCData(q); updateOHLCData(q);
updateQuoteReceivers(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); // 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){ private void addOrderToBook(Order o) {
addOrderToBook(getDefaultStock(),o); addOrderToBook(getDefaultStock(), o);
} }
long buy_failed = 0; long buy_failed = 0;
@ -1065,12 +1058,11 @@ public class Exchange {
* @param limit * @param limit
* @return order_id * @return order_id
*/ */
public long createOrder(double account_id, public long createOrder(double account_id,
String stocksymbol, OrderType type, double volume, double limit) { String stocksymbol, OrderType type, double volume, double limit) {
Stock stock = this.getStock(stocksymbol); Stock stock = this.getStock(stocksymbol);
Account a = accounts.get(account_id); Account a = accounts.get(account_id);
if (a == null) { if (a == null) {
return -1; return -1;
@ -1079,9 +1071,9 @@ public class Exchange {
Order o = new Order(order_id_generator.getNext(), Order o = new Order(order_id_generator.getNext(),
timer.currentTimeMillis(), timer.currentTimeMillis(),
a, type, roundShares(volume), roundMoney(limit)); a, type, roundShares(volume), roundMoney(limit));
o.stock=stock; o.stock = stock;
if (o.volume <= 0 || o.limit <= 0) { if (o.volume <= 0 || o.limit <= 0) {
switch (o.type) { switch (o.type) {
@ -1119,17 +1111,17 @@ public class Exchange {
return o.getID(); 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(); Order o = stock.order_books.get(type).first();
if (o == null) { if (o == null) {
return -1; return -1;
} }
return o.limit; 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) { public int getNumberOfOpenOrders(double account_id) {
Account a = accounts.get(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.HashMap;
import java.util.SortedSet; import java.util.SortedSet;
import java.util.TreeSet; import java.util.TreeSet;
import java.util.concurrent.ConcurrentLinkedQueue;
/** /**
* *
@ -39,14 +40,23 @@ public class Stock {
private String name; private String name;
Stock(String symbol) { Stock(String symbol) {
this.symbol=symbol; this.symbol = symbol;
reset();
}
/**
*
*/
public final void reset() {
order_books = new HashMap(); order_books = new HashMap();
// Create an order book for each order type // Create an order book for each order type
for (Order.OrderType type : Order.OrderType.values()) { for (Order.OrderType type : Order.OrderType.values()) {
this.order_books.put(type, new TreeSet(new Exchange.OrderComparator(type))); this.order_books.put(type, new TreeSet(new Exchange.OrderComparator(type)));
} }
quoteHistory = new TreeSet();
} }
String getSymbol() { String getSymbol() {
@ -57,8 +67,12 @@ public class Stock {
return name; 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<>();
} }