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Now woth candle sticks

This commit is contained in:
7u83 2017-01-22 07:03:16 +01:00
parent ba557179c7
commit a5ebd72c76
10 changed files with 319 additions and 230 deletions
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292
src/main/java/chart/Chart.java
View File

@ -5,6 +5,8 @@
*/
package chart;
import sesim.OHLCDataItem;
import sesim.OHLCData;
import java.awt.*;
import sesim.Exchange.*;
import sesim.Quote;
@ -41,13 +43,12 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
int items = 350;
long ntime = 0;
OHLCData data = new OHLCData();
OHLCData data = new OHLCData(2000);
OHLCDataItem current = null;
int min;
int max;
// int min;
// int max;
int getY(float Y) {
return 0;
@ -62,25 +63,28 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
double unit_width = 1;
int big_tick = 10;
long start;
XLegendDef(){
XLegendDef() {
}
String getAt(int unit){
Date date = new Date(start);
DateFormat formatter = new SimpleDateFormat("HH:mm:ss:SSS");
String getAt(int unit) {
Date date = new Date(sesim.Scheduler.timeStart + unit * 5000);
// DateFormat formatter = new SimpleDateFormat("HH:mm:ss:SSS");
DateFormat formatter = new SimpleDateFormat("HH:mm:ss");
String dateFormatted = formatter.format(date);
return dateFormatted;
}
}
void drawXLegend(Graphics2D g,XLegendDef xld) {
void drawOHLC(Graphics2D g, int x, OHLCDataItem di) {
}
void drawXLegend(Graphics2D g, XLegendDef xld) {
//XLegendDef xld = new XLegendDef();
g = (Graphics2D) g.create();
int xl_height = 30;
@ -93,122 +97,176 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
g.drawLine(0, y, dim.width, y);
int n = 0;
for (double x = 0; x < dim.width; x += em_width * xld.unit_width) {
int n;
double x;
for (n = 0, x = 0; x < dim.width; x += em_width * xld.unit_width) {
if (n % xld.big_tick == 0) {
g.drawLine((int) x, y, (int) x, y + em_height);
} else {
g.drawLine((int) x, y, (int) x, y + em_height / 2);
}
if (n % xld.big_tick == 0){
String text = "Hello";
text = xld.getAt(n);
int swidth = g.getFontMetrics().stringWidth(text);
g.drawString(text, (int)x - swidth / 2, y + em_height * 2);
if (n % xld.big_tick == 0) {
String text = "Hello";
text = xld.getAt(n);
int swidth = g.getFontMetrics().stringWidth(text);
g.drawString(text, (int) x - swidth / 2, y + em_height * 2);
}
OHLCDataItem d;
try {
d = data.data.get(n);
} catch (Exception e) {
d = null;
}
n++;
}
/*
for (int i = 0; i < items; i ++) {
int x = i * this.item_width;
if (i%5==0)
g.drawLine(x, y, x, y + 6);
else
g.drawLine(x, y, x, y + 3);
OHLCDataItem d;
try {
d = data.data.get(i);
} catch (Exception e) {
d = null;
}
String text;
if (d != null) {
text = "A";
} else {
text = "x";
}
int swidth = g.getFontMetrics().stringWidth(text);
g.drawString(text, x - swidth / 2, y + em_height * 2);
}
*/
//for(int x=0; x)
}
private void realTimeAdd(long time, float price, float volume) {
/*System.out.print("Diff:"
+(ntime-time)
+"\n"
);*/
if (time > ntime) {
// System.out.print("new raster ----------------------------------\n");
current = null;
// ntime = rasterTime(time) + 5000;
// System.out.print(ntime+"\n");
// System.out.print((time)+"\n");
// System.exit(0);
}
if (current == null) {
current = new OHLCDataItem(price, price, price, price, volume);
return;
}
boolean rc = current.update(price, volume);
if (rc) {
System.out.print("Updated -"
+ " High:"
+ current.high
+ " Low:"
+ current.low
+ " Volume"
+ current.volume
+ "("
+ time
+ ")"
+ "\n"
);
}
}
private void getData() {
}
class RenderCtx {
Rectangle rect;
float scaling;
float min;
Graphics2D g;
float iwidth;
float getY(float y) {
return rect.height - ((y - min) * scaling);
}
}
float getY(float y, float min, float s, Rectangle r) {
return r.height - ((y - min) * s);
}
private void old_drawItem(Graphics2D g, Rectangle r, int prevx, int x, OHLCDataItem prev, OHLCDataItem item, float s, float min) {
if (prev == null) {
prev = item;
}
g.drawLine(prevx, (int) getY(prev.close, min, s, r), x, (int) getY(item.close, min, s, r));
g.drawLine(r.x, r.height + r.y, r.x + r.width, r.height + r.y);
}
private void drawItem_l(RenderCtx ctx, int prevx, int x, OHLCDataItem prev, OHLCDataItem item) {
if (prev == null) {
prev = item;
}
Graphics2D g = ctx.g;
Rectangle r = ctx.rect;
g.drawLine(prevx, (int) ctx.getY(prev.close), x, (int) ctx.getY(item.close));
g.drawLine(r.x, r.height + r.y, r.x + r.width, r.height + r.y);
}
private void drawItem(RenderCtx ctx, int prevx, int x, OHLCDataItem prev, OHLCDataItem i) {
if (prev == null) {
prev = i;
}
Graphics2D g = ctx.g;
Rectangle r = ctx.rect;
// g.drawLine(prevx, (int) ctx.getY(prev.close), x, (int) ctx.getY(item.close));
// g.drawLine(x,(int)ctx.getY(i.high),x,(int)ctx.getY(i.low));
if (i.open < i.close) {
g.setColor(Color.BLACK);
g.drawLine(x, (int) ctx.getY(i.close), x, (int) ctx.getY(i.high));
g.drawLine(x, (int) ctx.getY(i.low), x, (int) ctx.getY(i.open));
float w = ctx.iwidth;
float h = (int) (ctx.getY(i.open) - ctx.getY(i.close));
System.out.printf("CLO: %f %f \n", w, h);
g.setColor(Color.GREEN);
g.fillRect((int) (x - w / 2), (int) ctx.getY(i.close), (int) w, (int) h);
g.setColor(Color.BLACK);
g.drawRect((int) (x - w / 2), (int) ctx.getY(i.close), (int) w, (int) h);
} else {
g.setColor(Color.RED);
g.drawLine(x, (int) ctx.getY(i.high), x, (int) ctx.getY(i.close));
g.drawLine(x, (int) ctx.getY(i.open), x, (int) ctx.getY(i.low));
float w = ctx.iwidth;
float h = (int) (ctx.getY(i.close) - ctx.getY(i.open));
g.fillRect((int) (x - w / 2), (int) ctx.getY(i.open), (int) w, (int) h);
g.setColor(Color.BLACK);
g.drawRect((int) (x - w / 2), (int) ctx.getY(i.open), (int) w, (int) h);
}
g.drawLine(r.x, r.height + r.y, r.x + r.width, r.height + r.y);
}
private void draw(Graphics2D g) {
OHLCDataItem di0 = data.get(0);
XLegendDef xld = new XLegendDef();
this.drawXLegend(g, xld);
int em_height = g.getFontMetrics().getHeight();
int em_width = g.getFontMetrics().stringWidth("M");
this.getSize();
int pwidth = em_width * items;
int phight = 400;
this.setPreferredSize(new Dimension(pwidth, phight));
Dimension dim = this.getSize();
Iterator<OHLCDataItem> it = data.iterator();
OHLCDataItem prev = null;
int myi = 0;
RenderCtx ctx = new RenderCtx();
Rectangle r = new Rectangle(0, 2 * em_width, pwidth, dim.height - 6 *em_width );
ctx.rect = r;
ctx.scaling = (float) r.height / (data.getMax() - data.getMin());
ctx.min = data.getMin();
ctx.g = g;
ctx.iwidth = em_width - em_width / 5f;
//System.out.printf("Scaling: %f %f %f %f %f\n",diff,(float)r.height,data.getMin(),data.getMax(),yscaling);
while (it.hasNext()) {
OHLCDataItem di = it.next();
int x = myi * em_width;
this.drawItem(ctx, x - em_width, x, prev, di); //, ctx.scaling, data.getMin());
myi++;
prev = di;
}
}
private void draw_old(Graphics2D g) {
OHLCDataItem di0 = data.data.get(0);
XLegendDef xld= new XLegendDef();
//xld.start=di.
this.drawXLegend(g,xld);
XLegendDef xld = new XLegendDef();
this.drawXLegend(g, xld);
this.getSize();
@ -222,21 +280,8 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
g.setColor(Color.RED);
// g.drawLine(0, 0, 100, 100);
/* for (int i = 0; i < items; i++) {
int x = i * this.item_width;
g.drawLine(x, 0, x, 50);
}
*/
// if (this.current == null) {
// return;
// }
ArrayList<OHLCDataItem> od = data.data;
// System.out.print("OD S: " + od.size() + "\n");
g.setColor(Color.BLUE);
g.setStroke(new BasicStroke(3));
@ -250,8 +295,8 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
OHLCDataItem di = it.next();
float y = di.close;
float max = data.max;
float min = data.min;
float max = data.getMax();
float min = data.getMin();
max = max / 10.0f + max;
min = min - min / 10.0f;
@ -262,14 +307,7 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
}
// max = 5;
// min = 0;
// System.out.print("Fval: " + y + " " + min + "\n");
y -= min;
// System.out.print("VAL New" + y + "\n");
//val/ ((data.max-data.min)/dim.height);
// System.out.print("MINMAX " + min + " " + max + " " + dim.height + "\n");
y = dim.height - (dim.height * y / (max - min));
int x = myi * this.item_width;
@ -280,10 +318,8 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
lastx = x;
lasty = (int) y;
// System.out.print("Draw Line: " + x + " " + y + "\n");
}
// g.drawLine(0, 0, 100, (int) ((this.current.close-80.0)*80.0));
}
@Override

2
src/main/java/gui/MainWin.java
View File

@ -240,7 +240,7 @@ public class MainWin extends javax.swing.JFrame {
// SwitchingTraderConfig cfg = new SwitchingTraderConfig();
RandomTraderConfig cfg= new RandomTraderConfig();
for (int i=0; i<100; i++){
for (int i=0; i<30; i++){
AutoTrader randt = cfg.createTrader(se, 100000, 100000);
se.traders.add(randt);

2
src/main/java/sesim/Exchange.java
View File

@ -183,6 +183,8 @@ public class Exchange { //extends Thread {
}
/*public interface TimerEvent {
long timerEvent();

78
src/main/java/chart/OHLCData.java → src/main/java/sesim/OHLCData.java
View File

@ -23,7 +23,7 @@
* ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
* POSSIBILITY OF SUCH DAMAGE.
*/
package chart;
package sesim;
import java.util.*;
@ -33,29 +33,56 @@ import java.util.*;
*/
public class OHLCData { //extends ArrayList <OHLCDataItem> {
float max=0;
float min=0;
private float max=0;
private float min=0;
int ras=20000/10;
private int frame_size=60000;
int max_size=100;
public OHLCData(){
long time_start;
long time_step;
}
public OHLCData(int frame_size){
this.frame_size=frame_size;
}
// long time_start;
// long time_step;
public float getMax() {
return max;
}
public float getMin(){
return min;
}
public int size(){
return data.size();
}
public int getFrameSize(){
return this.frame_size;
}
long rasterTime(long time) {
long getFrameStart(long time) {
long rt = time / ras;
return rt * ras;
long rt = time / frame_size;
return rt * frame_size;
}
ArrayList<OHLCDataItem> data = new ArrayList<>();
public ArrayList<OHLCDataItem> data = new ArrayList<>();
public OHLCDataItem get(int n){
return data.get(n);
}
private void updateMinMax(float price){
@ -68,27 +95,42 @@ public class OHLCData { //extends ArrayList <OHLCDataItem> {
}
}
public Iterator <OHLCDataItem> iterator(){
return data.iterator();
}
private long ntime = 0;
// Start and end of current frame
private long current_frame_end = 0;
private long current_frame_start =0;
boolean realTimeAdd(long time, float price, float volume) {
public boolean realTimeAdd(long time, float price, float volume) {
if (time > ntime) {
if (ntime==0){
System.out.print ("Setting ntimt was zero\n");
if (time >= current_frame_end) {
if (current_frame_end==0){
this.min=price;
this.max=price;
}
ntime = rasterTime(time) + ras;
data.add(new OHLCDataItem(price, price, price, price, volume));
long last_frame_start=current_frame_start;
current_frame_start = getFrameStart(time);
current_frame_end = current_frame_start + frame_size;
System.out.printf("TA %d TE %d\n",this.current_frame_start,this.current_frame_end);
data.add(new OHLCDataItem(this.current_frame_start, price, volume));
this.updateMinMax(price);
return true;
}
OHLCDataItem d = data.get(data.size() - 1);
this.updateMinMax(price);
OHLCDataItem d = data.get(data.size() - 1);
boolean rc = d.update(price, volume);
return rc;
}

20
src/main/java/chart/OHLCDataItem.java → src/main/java/sesim/OHLCDataItem.java
View File

@ -23,7 +23,7 @@
* ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
* POSSIBILITY OF SUCH DAMAGE.
*/
package chart;
package sesim;
/**
*
@ -36,17 +36,13 @@ public class OHLCDataItem {
public float low;
public float close;
public float volume;
public OHLCDataItem(float open, float high, float low, float close, float volume) {
this.open = open;
this.high = high;
this.low = low;
this.close = close;
this.volume = volume;
}
public OHLCDataItem() {
this(0, 0, 0, 0, 0);
public long time;
public OHLCDataItem(long time,float price, float volume){
this.time=time;
open=low=high=close=price;
this.volume=volume;
}
public boolean update(float price, float volume) {

1
src/main/java/sesim/OrderData.java
View File

@ -36,3 +36,4 @@ public class OrderData {
public double executed;
}

18
src/main/java/sesim/Scheduler.java
View File

@ -69,10 +69,18 @@ public class Scheduler extends Thread {
}
}
public long currentTimeMillis() {
/**
*
* @return
*/
public static long currentTimeMillis() {
return System.currentTimeMillis();
}
public static long timeStart=Scheduler.currentTimeMillis();
/**
*
@ -80,7 +88,7 @@ public class Scheduler extends Thread {
* @param time
*/
public void startTimerEvent(TimerTask e, long time) {
long evtime = time + this.currentTimeMillis();
long evtime = time + currentTimeMillis();
synchronized (event_queue) {
this.addEvent(e, time);
}
@ -95,7 +103,7 @@ public class Scheduler extends Thread {
private boolean addEvent(TimerTask e, long time) {
long evtime = time + this.currentTimeMillis();
long evtime = time + currentTimeMillis();
SortedSet<TimerTask> s = event_queue.get(evtime);
if (s == null) {
@ -112,7 +120,7 @@ public class Scheduler extends Thread {
}
long t = event_queue.firstKey();
if (t <= this.currentTimeMillis()) {
if (t <= currentTimeMillis()) {
SortedSet s = event_queue.get(t);
event_queue.remove(t);
Iterator<TimerTask> it = s.iterator();
@ -124,7 +132,7 @@ public class Scheduler extends Thread {
return 0;
} else {
return t - this.currentTimeMillis();
return t - currentTimeMillis();
}
}

4
src/main/java/traders/RandomTrader.java
View File

@ -46,7 +46,7 @@ public class RandomTrader extends AutoTrader {
sesim.Exchange.Account a = se.getAccount(account_id);
long rc = this.doTrade();
return rc / 600;
return rc ;
}
@ -66,7 +66,7 @@ public class RandomTrader extends AutoTrader {
public long timerTask() {
sesim.Exchange.Account a = se.getAccount(account_id);
long rc = this.doTrade();
return rc / 28;
return rc / 80;
// return this.event();
}

8
src/main/java/traders/RandomTraderConfig.java
View File

@ -36,13 +36,13 @@ import sesim.Exchange;
public class RandomTraderConfig extends AutoTraderConfig {
public float[] sell_volume = {100, 100};
public float[] sell_limit = {-3, 3};
public int[] sell_order_wait = {500, 1500};
public float[] sell_limit = {-1.5f, 1.5f};
public int[] sell_order_wait = {1000, 5000};
public int[] wait_after_sell = {10, 30};
public float[] buy_volume = {100, 100};
public float[] buy_limit = {-1, 3};
public int[] buy_order_wait = {500, 1500};
public float[] buy_limit = {-1.0f, 1.5f};
public int[] buy_order_wait = {1000, 5000};
public int[] wait_after_buy = {10, 30};
@Override

124
src/test/java/sesim/Test.java
View File

@ -28,27 +28,23 @@ package sesim;
import java.util.SortedMap;
import java.util.TreeMap;
/**
*
* @author tobias
*/
public class Test {
static void tube(){
try{
System.out.printf("Hello %s\n", "args");
if (0==0)
return;
}
finally {
System.out.printf("Always %s\n", "the end");
}
System.out.print("haha\n");
}
static void tube() {
try {
System.out.printf("Hello %s\n", "args");
if (0 == 0) {
return;
}
} finally {
System.out.printf("Always %s\n", "the end");
}
System.out.print("haha\n");
}
static void print_account(AccountData ad) {
System.out.print(
@ -66,56 +62,66 @@ public class Test {
* @param args the command line arguments
*/
public static void main(String[] args) throws InterruptedException {
OHLCData od = new OHLCData(1000);
od.realTimeAdd(12, 100, 10);
od.realTimeAdd(5000, 100, 10);
//od.realTimeAdd(12, 100, 10);
System.out.printf("Size: %d\n", od.size());
OHLCDataItem di;
di = od.get(2);
System.exit(0);
Scheduler s = new Scheduler();
s.start();
class Ev implements Scheduler.TimerTask{
@Override
public long timerTask() {
System.out.printf("Timer Event Occured %s\n",name);
if ("Ev1".equals(this.name))
class Ev implements Scheduler.TimerTask {
@Override
public long timerTask() {
System.out.printf("Timer Event Occured %s\n", name);
if ("Ev1".equals(this.name)) {
return 2000;
else
return 4000;
}
String name;
Ev(String name){
this.name=name;
}
} else {
return 4000;
}
}
String name;
Ev(String name) {
this.name = name;
}
}
Ev e1 = new Ev("Ev1");
Ev e2 = new Ev("Eb2");
s.startTimerEvent(e1, 0);
s.startTimerEvent(e2, 0);
try
{
Thread.sleep(90000);
}
catch(Exception e) {
}
s.halt();
while (s.isAlive()){
}
System.out.print("All isstopped\n");
// s.startTimerEvent(e2, 100);
/* long starttime=System.currentTimeMillis();
s.startTimerEvent(e1, 0);
s.startTimerEvent(e2, 0);
try {
Thread.sleep(90000);
} catch (Exception e) {
}
s.halt();
while (s.isAlive()) {
}
System.out.print("All isstopped\n");
// s.startTimerEvent(e2, 100);
/* long starttime=System.currentTimeMillis();
while (s.isAlive()){
if (System.currentTimeMillis()>starttime+6650){
s.stop();
@ -128,9 +134,7 @@ public class Test {
}
System.out.print("All isstopped\n");
*/
*/
}
}