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Work on asset binding when creating orders

This commit is contained in:
7u83 2019-01-08 09:24:08 +01:00
parent 2d7feed929
commit 8f35e767bd
5 changed files with 129 additions and 125 deletions
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2
nbproject/project.properties
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@ -1,4 +1,4 @@
#Sat, 05 Jan 2019 10:43:36 +0100 #Tue, 08 Jan 2019 09:22:34 +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=

4
src/opensesim/gui/account/AccountPanel.java
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@ -58,8 +58,8 @@ public class AccountPanel extends javax.swing.JPanel implements EventListener {
int row = 0; int row = 0;
model.setRowCount(am.size()); model.setRowCount(am.size());
for (AbstractAsset a : am.keySet()) { for (AbstractAsset a : am.keySet()) {
Double val = account.get(a); Double val = account.get(a,false);
Double avail = account.getAvail(a); Double avail = account.getBound(a);
String astr = val.toString() + "/" + avail.toString(); String astr = val.toString() + "/" + avail.toString();
Double mval = account.getMargin(a); Double mval = account.getMargin(a);

87
src/opensesim/world/Account.java
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@ -112,12 +112,13 @@ public class Account {
return this.getFinalBalance(currency) * getLeverage() + this.getFinalBalance(currency) return this.getFinalBalance(currency) * getLeverage() + this.getFinalBalance(currency)
- this.getAssetDebt(world.getDefaultExchange(), currency); - this.getAssetDebt(world.getDefaultExchange(), currency);
// + this.get(currency);
} }
synchronized void add(AssetPack pack) { synchronized void add(AssetPack pack) {
assets.put(pack.asset, get(pack.asset) + pack.volume); assets.put(pack.asset, get(pack.asset) + pack.volume);
assets_bound.put(pack.asset, getAvail(pack.asset) + pack.volume); // assets_bound.put(pack.asset, getAvail(pack.asset) + pack.volume);
} }
synchronized void sub(AssetPack pack) { synchronized void sub(AssetPack pack) {
@ -125,11 +126,16 @@ public class Account {
// assets_bound.put(pack.asset, getAvail(pack.asset) - pack.volume); // assets_bound.put(pack.asset, getAvail(pack.asset) - pack.volume);
} }
public double get(AbstractAsset asset) { public double get(AbstractAsset asset, boolean bound) {
return assets.getOrDefault(asset, 0.0); return assets.getOrDefault(asset, 0.0)
+ (bound ? this.getBound(asset) : 0.0);
} }
public double getAvail(AbstractAsset asset) { public double get(AbstractAsset asset) {
return get(asset, true);
}
/*public double getAvail(AbstractAsset asset) {
if (this.getLeverage() > 0) { if (this.getLeverage() > 0) {
Double margin = this.getMargin(world.getDefaultCurrency()); Double margin = this.getMargin(world.getDefaultCurrency());
@ -142,12 +148,12 @@ public class Account {
//return assets_bound.getOrDefault(asset, 0.0); //return assets_bound.getOrDefault(asset, 0.0);
} }
*/
public void addAvail(AbstractAsset asset, double val) { /* public void addAvail(AbstractAsset asset, double val) {
double avail = getAvail(asset); double avail = getAvail(asset);
assets_bound.put(asset, (avail + val)); // assets_bound.put(asset, (avail + val));
} }
*/
HashSet<EventListener> listeners = new HashSet<>(); HashSet<EventListener> listeners = new HashSet<>();
public void addListener(EventListener l) { public void addListener(EventListener l) {
@ -170,6 +176,8 @@ public class Account {
public Double getAssetDebt(Exchange ex, AbstractAsset currency) { public Double getAssetDebt(Exchange ex, AbstractAsset currency) {
Double result = 0.0; Double result = 0.0;
boolean bound = true;
for (AbstractAsset a : assets.keySet()) { for (AbstractAsset a : assets.keySet()) {
if (a.equals(currency)) { if (a.equals(currency)) {
continue; continue;
@ -188,7 +196,9 @@ public class Account {
} }
// 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); Double sld = v - sl * n;
result = result + Math.abs(v); // - sl * n);
// System.out.printf("Result is now %f\n", result); // System.out.printf("Result is now %f\n", result);
} }
@ -205,21 +215,23 @@ public class Account {
* @return final balance * @return final balance
* *
*/ */
public Double getFinalBalance(Exchange ex, AbstractAsset currency, public Double getFinalBalance(Exchange ex, AbstractAsset currency,
boolean bound) { boolean bound) {
Double result = get(currency); Double result = 0.0; //get(currency);
for (AbstractAsset a : assets.keySet()) { for (AbstractAsset a : assets.keySet()) {
Double v; Double v;
if (a.equals(currency)) { if (a.equals(currency)) {
v = get(a,bound);
result += v;
continue; continue;
} }
AssetPair pair = world.getAssetPair(a, currency); AssetPair pair = world.getAssetPair(a, currency);
if (pair == null) { if (pair == null) {
continue; continue;
} }
v = get(a) + (bound ? getBound(a) : 0.0); v = get(a,bound);
if (v == 0.0) { if (v == 0.0) {
continue; continue;
} }
@ -229,13 +241,20 @@ public class Account {
} }
return result; return result;
} }
Double getBound(AbstractAsset asset){ /**
* Return the amount of bound assets
*
* @param asset Asset to check
* @return amount
*/
public Double getBound(AbstractAsset asset) {
return assets_bound.getOrDefault(asset, 0.0); return assets_bound.getOrDefault(asset, 0.0);
} }
void addBound(AbstractAsset asset, Double vol){ void addBound(AbstractAsset asset, Double vol) {
assets_bound.put(asset, getBound(asset)+vol); assets.put(asset, get(asset,false));
assets_bound.put(asset, getBound(asset) + vol);
} }
/** /**
@ -247,7 +266,7 @@ public class Account {
* @return final balance * @return final balance
*/ */
public Double getFinalBalance(AbstractAsset currency) { public Double getFinalBalance(AbstractAsset currency) {
return getFinalBalance(this.getExchange(), currency, false); return getFinalBalance(this.getExchange(), currency, true);
} }
/** /**
@ -299,7 +318,7 @@ public class Account {
return getLeverage() > 0.0; return getLeverage() > 0.0;
} }
boolean isCovered(AssetPair pair, double volume, double limit) { boolean bind(AssetPair pair, double volume, double limit) {
if (this.isUnlimied()) { if (this.isUnlimied()) {
return true; return true;
} }
@ -314,18 +333,36 @@ public class Account {
if (volume < 0) { if (volume < 0) {
// It's a limited sell order, we have just to check // It's a limited sell order, we have just to check
// if a sufficient amount of assets is available // if a sufficient amount of assets is available
return getAvail(pair.getAsset()) + volume > 0; return get(pair.getAsset()) - volume >= 0;
} }
// Check if enough money is available to cover the // Check if enough money is available to cover the
// entiere volume to by // entiere volume to by
return getAvail(pair.getCurrency()) >= limit * volume; return get(pair.getCurrency()) >= limit * volume;
} }
// we are dealing here with a leveraged account
System.out.printf("Add %f %f\n",volume,-volume*limit);
// bind asset and currecy
this.addBound(pair.getAsset(), volume);
this.addBound(pair.getCurrency(), -(volume * limit));
Double fb = this.getFinalBalance();
System.out.printf("FB: %f\n",fb);
Double margin = this.getMargin(pair.getCurrency()); Double margin = this.getMargin(pair.getCurrency());
System.out.printf("Margin: %f > %f\n", margin, Math.abs(volume * limit)); if (margin >= 0)
return true;
return margin > 0; //Math.abs(volume * limit);
// Unbind asset and currency
this.addBound(pair.getAsset(), -volume);
this.addBound(pair.getCurrency(), (volume * limit));
return false;
} }

32
src/opensesim/world/SimpleTrader.java
View File

@ -100,11 +100,11 @@ public class SimpleTrader extends AbstractTrader implements EventListener {
account_1 = new Account(getWorld()); account_1 = new Account(getWorld());
AssetPack pack; AssetPack pack;
pack = new AssetPack(p.getAsset(), 0); // pack = new AssetPack(p.getAsset(), 0);
account_b.add(pack); // account_b.add(pack);
pack = new AssetPack(p.getCurrency(), 1000); pack = new AssetPack(p.getCurrency(), 1000);
account_b.add(pack); account_b.add(pack);
account_b.setLeverage(9.0); account_b.setLeverage(9.0);
pack = new AssetPack(p.getCurrency(), 1234567890); pack = new AssetPack(p.getCurrency(), 1234567890);
@ -128,7 +128,7 @@ public class SimpleTrader extends AbstractTrader implements EventListener {
@Override @Override
public long receive(Event task) { public long receive(Event task) {
// System.out.printf("Here we are !!! %f\n", getWorld().randNextFloat(12f, 27f)); // System.out.printf("Here we are !!! %f\n", getWorld().randNextFloat(12f, 27f));
long diff = getWorld().currentTimeMillis() - last_time; long diff = getWorld().currentTimeMillis() - last_time;
last_time = getWorld().currentTimeMillis(); last_time = getWorld().currentTimeMillis();
@ -142,31 +142,11 @@ public class SimpleTrader extends AbstractTrader implements EventListener {
getWorld().getAssetBySymbol("EUR")); getWorld().getAssetBySymbol("EUR"));
TradingAPI mapi = ex.getAPI(msftp); TradingAPI mapi = ex.getAPI(msftp);
Order ob = api.createOrder(account_b, Order.Type.BUYLIMIT, 20, 100); Order ob = mapi.createOrder(account_b, Order.Type.SELLLIMIT, 50, 100);
Order oba = api.createOrder(account_b, Order.Type.BUYLIMIT, 50, 100);
//Order mob = mapi.createOrder(account_b, Order.Type.SELLLIMIT, 80, 100);
Order oa = api.createOrder(account_1, Order.Type.SELLLIMIT, 100, 200);
//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);
getWorld().schedule(this, 1000);
AssetPair p = getWorld().getDefaultAssetPair();
ex = getWorld().getDefaultExchange();
api = ex.getAPI(p);
Order o = api.createOrder(account, Order.Type.BUY, 112.987123, limit);
limit += 12;
*/
return -1; return -1;
} }

129
src/opensesim/world/TradingEngine.java
View File

@ -208,7 +208,7 @@ class TradingEngine implements TradingAPI {
double volume = b.volume >= a.volume ? a.volume : b.volume; double volume = b.volume >= a.volume ? a.volume : b.volume;
double avdiff = b.limit - price * volume; double avdiff = b.limit - price * volume;
b.account.addAvail(assetpair.getCurrency(), avdiff); // b.account.addAvail(assetpair.getCurrency(), avdiff);
finishTrade(b, a, price, volume); finishTrade(b, a, price, volume);
volume_total += volume; volume_total += volume;
@ -288,7 +288,7 @@ class TradingEngine implements TradingAPI {
// Update available currency for the buyer. // Update available currency for the buyer.
// For sellers there is no need to update. // For sellers there is no need to update.
double avdiff = b.limit * volume - price * volume; double avdiff = b.limit * volume - price * volume;
b.account.addAvail(assetpair.getCurrency(), avdiff); // b.account.addAvail(assetpair.getCurrency(), avdiff);
if (b.account.getLeverage() > 0.0) { if (b.account.getLeverage() > 0.0) {
//b.account.margin_bound-=avdiff; //b.account.margin_bound-=avdiff;
b.account.margin_bound -= b.limit * volume; b.account.margin_bound -= b.limit * volume;
@ -432,77 +432,67 @@ class TradingEngine implements TradingAPI {
double order_limit; double order_limit;
if (account.isUnlimied()) { switch (type) {
order_limit = l; case BUYLIMIT: {
} else {
switch (type) { if (!account.bind(assetpair, volume, limit)) {
case BUYLIMIT: { System.out.printf("Not enough funds\n");
return null;
if (!account.isCovered(assetpair, volume, limit)){ }
System.out.printf("Not enough funds\n");
return null; // return if not enough funds are available
}
// 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; // return o;
// } // }
// account.margin_bound += v * l;
account.margin_bound += v * l; // reduce the available money
// reduce the available money
// account.assets_bound.put(currency, avail - v * l); // account.assets_bound.put(currency, avail - v * l);
//account.addMarginAvail(currency, -((v * l)/account.getLeverage())); //account.addMarginAvail(currency, -((v * l)/account.getLeverage()));
order_limit = l; order_limit = l;
break; break;
}
case BUY: {
// For an unlimited by order there is nothing to check
// other than currency is > 0.0
AbstractAsset currency = this.assetpair.getCurrency();
Double avail = account.getAvail(currency);
if (avail <= 0.0) {
return null;
}
// All available monney is assigned to this unlimited order
account.assets_bound.put(currency, 0.0);
// we "mis"use order_limit to memorize occupied ammount \
// of currency
order_limit = avail;
break;
}
case SELLLIMIT:
case SELL: {
// verfiy sell limit
AbstractAsset asset = this.assetpair.getAsset();
Double avail = account.getAvail(asset);
if (avail < v) {
// not enough items of asset (shares) available
// return null;
}
account.assets_bound.put(asset, avail - v);
order_limit = l;
break;
}
default:
return null;
} }
case BUY: {
// For an unlimited by order there is nothing to check
// other than currency is > 0.0
AbstractAsset currency = this.assetpair.getCurrency();
// Double avail = account.getAvail(currency);
Double avail = 1000.0;
// if (avail <= 0.0) {
// return null;
// }
// All available monney is assigned to this unlimited order
account.assets_bound.put(currency, 0.0);
// we "mis"use order_limit to memorize occupied ammount \
// of currency
order_limit = avail;
break;
}
case SELLLIMIT:
case SELL: {
if (!account.bind(assetpair, -volume, limit)) {
System.out.printf("Not enough funds\n");
return null;
}
order_limit = l;
break;
}
default:
return null;
} }
o = new Order(this, account, type, v, order_limit); o = new Order(this, account, type, v, order_limit);
@ -515,7 +505,7 @@ class TradingEngine implements TradingAPI {
} }
executeOrders(); executeOrders();
last_quote.price = 150; //75-12.5; //last_quote.price = 90; //75-12.5;
for (FiringEvent e : book_listener) { for (FiringEvent e : book_listener) {
e.fire(); e.fire();
} }
@ -529,11 +519,8 @@ class TradingEngine implements TradingAPI {
= new HashSet<>(); = new HashSet<>();
@Override @Override
public void addOrderBookListener(EventListener listener public void addOrderBookListener(EventListener listener) {
) { book_listener.add(new FiringEvent(listener));
book_listener
.add(new FiringEvent(listener
));
} }