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Added some documentation.

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This commit is contained in:
7u83 2017-01-12 23:16:37 +01:00
parent 8264214ab2
commit bcaf3a2aeb
13 changed files with 284 additions and 144 deletions
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81
src/main/java/chart/Chart.java
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@ -9,6 +9,8 @@ import java.awt.*;
import sesim.Exchange.*;
import sesim.Quote;
import gui.MainWin;
import java.util.ArrayList;
import java.util.Iterator;
/**
*
@ -33,9 +35,9 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
int item_width = 10;
int items = 350;
long ntime = -1;
long ntime = 0;
OHLCData data;
OHLCData data = new OHLCData();
OHLCDataItem current = null;
@ -48,14 +50,14 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
private void realTimeAdd(long time, float price, float volume) {
/* System.out.print("Diff:"
/*System.out.print("Diff:"
+(ntime-time)
+"\n"
);
*/
);*/
if (time > ntime) {
System.out.print("new raster ----------------------------------\n");
// System.out.print("new raster ----------------------------------\n");
current = null;
ntime = rasterTime(time) + 5000;
// System.out.print(ntime+"\n");
@ -95,8 +97,12 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
this.getSize();
int pwidth = item_width * items;
int phight = 40;
this.setPreferredSize(new Dimension(pwidth, 400));
this.setPreferredSize(new Dimension(pwidth, phight));
Dimension dim = this.getSize();
// System.out.print("Diemension "+dim.width+" "+dim.height+"\n");
g.setColor(Color.RED);
g.drawLine(0,0,100,100);
@ -109,13 +115,58 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
if (this.current == null) {
return;
// if (this.current == null) {
// return;
// }
ArrayList <OHLCDataItem> od = data.data;
System.out.print("OD S: "+od.size()+"\n");
g.setColor(Color.BLUE);
Iterator <OHLCDataItem> it = od.iterator();
int myi=0;
while (it.hasNext()){
OHLCDataItem di = it.next();
float val = di.close;
float max = data.max;
float min = data.min;
if (min==max){
min = val/2;
max = val*2;
}
System.out.print("Fval: "+val+" "+min+"\n");
val -= min;
System.out.print("VAL New"+val+"\n");
//val/ ((data.max-data.min)/dim.height);
System.out.print("MINMAX "+min+" "+max+"\n");
val = dim.height*val/(data.max-data.min);
int x = myi * this.item_width;
myi++;
g.drawLine(x, 0, x, (int)val);
System.out.print("Draw Line: "+x+" "+val+"\n");
}
g.setColor(Color.BLUE);
g.drawLine(0, 0, 100, (int) ((this.current.close-80.0)*80.0));
// g.drawLine(0, 0, 100, (int) ((this.current.close-80.0)*80.0));
}
@ -131,7 +182,7 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
// g.get
Rectangle bounds = g.getDeviceConfiguration().getBounds();
System.out.print(bounds.width + "\n");
// System.out.print(bounds.width + "\n");
//g.fillRect(0, 0, 100, 100);
Dimension d = this.getSize();
@ -170,8 +221,10 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
@Override
public void UpdateQuote(Quote q) {
// System.out.print("Quote Received\n");
this.realTimeAdd(q.time, (float) q.price, (float)q.volume);
// System.out.print("Quote Received\n");
// this.realTimeAdd(q.time, (float) q.price, (float)q.volume);
data.realTimeAdd(q.time, (float)q.price, (float)q.volume);
// this.invalidate();
this.repaint();
}

22
src/main/java/chart/OHLCData.java
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@ -33,7 +33,8 @@ import java.util.*;
*/
public class OHLCData { //extends ArrayList <OHLCDataItem> {
float max;
float max=0;
float min=0;
long time_start;
long time_step;
@ -55,19 +56,36 @@ public class OHLCData { //extends ArrayList <OHLCDataItem> {
private void updateMinMax(float price){
// if (price>max)
if (price > max){
max = price;
}
if (price < min){
min = price;
}
}
private long ntime = 0;
boolean realTimeAdd(long time, float price, float volume) {
if (time > ntime) {
if (ntime==0){
System.out.print ("Setting ntimt was zero\n");
this.min=price;
this.max=price;
}
ntime = rasterTime(time) + 5000;
data.add(new OHLCDataItem(price, price, price, price, volume));
this.updateMinMax(price);
return true;
}
OHLCDataItem d = data.get(data.size() - 1);
this.updateMinMax(price);
boolean rc = d.update(price, volume);
return rc;
}

3
src/main/java/gui/AskBook.java
View File

@ -25,7 +25,6 @@
*/
package gui;
import sesim.Order_old.*;
import java.util.ArrayList;
import sesim.Exchange.*;
@ -36,7 +35,7 @@ import sesim.Exchange.*;
public class AskBook extends OrderBook {
@Override
ArrayList getOrderBook() {
ArrayList <Order> getOrderBook() {
return MainWin.se.getOrderBook(OrderType.ASK,40);
}

3
src/main/java/gui/BidBook.java
View File

@ -25,7 +25,6 @@
*/
package gui;
import sesim.Order_old.*;
import java.util.ArrayList;
import sesim.Exchange.*;
@ -36,7 +35,7 @@ import sesim.Exchange.*;
public class BidBook extends OrderBook {
@Override
ArrayList getOrderBook() {
ArrayList <Order> getOrderBook() {
return MainWin.se.getOrderBook(OrderType.BID, 40);
}

7
src/main/java/gui/Chart.java
View File

@ -25,6 +25,7 @@
*/
package gui;
import sesim.*;
import sesim.Exchange;
import sesim.Exchange.*;
import java.awt.Color;
@ -68,6 +69,10 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
*/
public Chart() {
initComponents();
sesim.IDGenerator idgen = new IDGenerator();
/*
String stockSymbol = "Schliemanz Koch AG";
//String stockSymbol = "MSFT";
@ -192,7 +197,7 @@ public class Chart extends javax.swing.JPanel implements QuoteReceiver {
data.add(d);
}
System.out.print(data.size() + "\n");
// System.out.print(data.size() + "\n");
// System.exit(0);
return data.toArray(new OHLCDataItem[data.size()]);

21
src/main/java/gui/MainWin.java
View File

@ -25,14 +25,7 @@
*/
package gui;
import traders.RandomTraderConfig_old;
import traders.SwitchingTraderConfig;
import sesim.AutoTraderLIst;
import sesim.Exchange;
import sesim.BuyOrder;
import javax.swing.UIManager;
import javax.swing.*;
import sesim.AccountData;
import traders.RandomTrader;
import traders.RandomTraderConfig;
@ -188,15 +181,21 @@ public class MainWin extends javax.swing.JFrame {
se = new Exchange();
RandomTraderConfig rcfg = new RandomTraderConfig();
RandomTrader rt = rcfg.createTrader(se, 1000, 100);
rt.start();
//RandomTraderConfig rcfg = new RandomTraderConfig();
//RandomTrader rt = rcfg.createTrader(se, 1000, 100);
//rt.start();
RandomTraderConfig rcfg1 = new RandomTraderConfig();
RandomTrader rt1 = rcfg.createTrader(se, 1000, 100);
RandomTrader rt1 = rcfg1.createTrader(se, 1000000000, 0);
rt1.start();
RandomTraderConfig cfg = new RandomTraderConfig();
for (int i=0; i<5000; i++){
RandomTrader randt = cfg.createTrader(se, 100, 100);
randt.start();
}
//RandomTrader rt = new RandomTrader();
//rt.start();

14
src/main/java/gui/OrderBook.java
View File

@ -48,7 +48,7 @@ public abstract class OrderBook extends javax.swing.JPanel implements Exchange.B
OrderBookListModel model;
abstract ArrayList getOrderBook();
abstract ArrayList <Order> getOrderBook();
private Color hdr_color = Color.LIGHT_GRAY;
@ -71,7 +71,7 @@ public abstract class OrderBook extends javax.swing.JPanel implements Exchange.B
class Updater implements Runnable{
OrderBookListModel model;
ArrayList newlist;
ArrayList <Order> newlist;
@Override
public void run() {
@ -97,7 +97,7 @@ public abstract class OrderBook extends javax.swing.JPanel implements Exchange.B
protected class OrderBookListModel extends AbstractTableModel {
private ArrayList <OrderBookItem> list;
private ArrayList <Order> list;
//private final boolean desc = false;
public OrderBookListModel() {
@ -146,7 +146,7 @@ public abstract class OrderBook extends javax.swing.JPanel implements Exchange.B
@Override
public Object getValueAt(int r, int c) {
OrderBookItem o;
Order o;
int s = list.size();
//System.out.print("Looking for Value at" + r + ":" + c + " w size:" + s + "\n");
@ -159,12 +159,12 @@ public abstract class OrderBook extends javax.swing.JPanel implements Exchange.B
Formatter f = new Formatter();
switch (c) {
case 0:
return String.format("#%06x", o.id);
return String.format("#%06x", o.getID());
case 1:
return String.format("%.4f",o.limit);
return String.format("%.4f",o.getLimit());
case 2:
return String.format("%.4f", o.volume);
return String.format("%.4f", o.getVolume());
}
return "";
}

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

@ -125,7 +125,7 @@ public class QuotePanel extends javax.swing.JPanel implements sesim.Exchange.Quo
u.text = String.format("%.2f\n(%d)", q.price,q.volume);
u.text = String.format("%.2f\n(%.0f)", q.price,q.volume);
SwingUtilities.invokeLater(u);

2
src/main/java/sesim/AutoTraderConfig.java
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@ -27,7 +27,7 @@ package sesim;
/**
*
* @author tobias
* @author 7u83
*/
public abstract class AutoTraderConfig {
public abstract AutoTrader createTrader(Exchange se, double money, double shares);

179
src/main/java/sesim/Exchange.java
View File

@ -1,7 +1,6 @@
package sesim;
import java.util.*;
import java.util.concurrent.*;
import sesim.Order_old.OrderStatus;
import sesim.Order_old.OrderType_old;
@ -17,15 +16,18 @@ public class Exchange extends Thread {
}
IDGenerator account_id = new IDGenerator();
public static Timer timer=new Timer();
public static Timer timer = new Timer();
private class Account implements Comparable {
/**
*
*/
public class Account implements Comparable {
protected double id;
protected double shares;
protected double money;
protected HashMap<Long, Order> orders;
private final HashMap<Long, Order> orders;
@Override
public int compareTo(Object a) {
@ -39,6 +41,19 @@ public class Exchange extends Thread {
this.money = money;
this.shares = shares;
}
public double getID() {
return id;
}
public double getShares() {
return shares;
}
public double getMoney() {
return money;
}
}
//private TreeSet<Account> accounts = new TreeSet<>();
@ -75,14 +90,15 @@ public class Exchange extends Thread {
if (d != 0) {
return d > 0 ? 1 : -1;
}
if(left.id<right.id)
if (left.id < right.id) {
return -1;
if(left.id>right.id)
}
if (left.id > right.id) {
return 1;
}
return 0;
// return left.id < right.id ? -1 : 1;
}
@ -95,15 +111,15 @@ public class Exchange extends Thread {
IDGenerator order_id = new IDGenerator();
private class Order {
public class Order {
OrderType type;
double limit;
double volume;
double initial_volume;
long id;
private double limit;
private double volume;
private final double initial_volume;
private long id;
long created;
Account account;
private Account account;
Order(Account account, OrderType type, double volume, double limit) {
id = order_id.getNext();
@ -114,6 +130,31 @@ public class Exchange extends Thread {
this.initial_volume = volume;
this.created = System.currentTimeMillis();
}
public long getID() {
return id;
}
public double getVolume() {
return volume;
}
public double getLimit() {
return limit;
}
public OrderType getType() {
return type;
}
public double getExecuted() {
return initial_volume - volume;
}
public double getInitialVolume() {
return initial_volume;
}
}
/**
@ -168,6 +209,36 @@ public class Exchange extends Thread {
}
public Quote getCurrentPrice() {
TreeSet<Order> bid = order_books.get(OrderType.BID);
TreeSet<Order> ask = order_books.get(OrderType.ASK);
Quote q = null;
tradelock.lock();
if (!bid.isEmpty() && !ask.isEmpty()) {
q = new Quote();
q.price = (bid.first().limit + ask.first().limit) / 2.0;
}
tradelock.unlock();
if (q != null) {
return q;
}
if (this.quoteHistory.isEmpty()) {
return null;
}
q = this.quoteHistory.last();
return q;
}
/* public SortedSet<Quote> getQuoteHistory(int seconds) {
Quote last = quoteHistory.last();
return this.getQuoteHistory(seconds, last.time);
@ -283,38 +354,25 @@ public class Exchange extends Thread {
}
public class OrderBookItem {
public long id;
public double limit;
public double volume;
}
public ArrayList<OrderBookItem> getOrderBook(OrderType type, int depth) {
public ArrayList<Order> getOrderBook(OrderType type, int depth) {
TreeSet<Order> book = order_books.get(type);
if (book == null) {
return null;
}
ArrayList<OrderBookItem> ret = new ArrayList<>();
ArrayList<Order> ret = new ArrayList<>();
Iterator<Order> it = book.iterator();
for (int i = 0; i < depth && it.hasNext(); i++) {
Order o = it.next();
OrderBookItem n = new OrderBookItem();
n.id = o.id;
n.limit = o.limit;
n.volume = o.volume;
ret.add(n);
//System.out.print("Order_old" + o.limit);
//System.out.println();
ret.add(it.next());
}
return ret;
}
public Quote getLastQuoete() {
return this.quoteHistory.first();
}
public void print_current() {
@ -371,22 +429,13 @@ public class Exchange extends Thread {
tradelock.lock();
Order o = a.orders.get(order_id);
// System.out.print("The Order:"+o.limit+"\n");
if (o != null) {
TreeSet ob =order_books.get(o.type);
System.out.print("We have the orderbook"+ob.size()+"\n");
System.out.print("Want to remove:"+o.limit+" "+o.volume+" "+o.id+"\n");
boolean rc = ob.remove(o);
System.out.print("My first rc = :" + rc);
// System.out.print("The Order:"+o.limit+"\n");
if (o != null) {
TreeSet ob = order_books.get(o.type);
boolean rc = ob.remove(o);
a.orders.remove(o.id);
ret = true;
}
@ -456,9 +505,7 @@ public class Exchange extends Thread {
Order a = ask.first();
if (b.limit < a.limit) {
System.out.print("No match\n");
// no match, nothing to do
return;
break;
}
// There is a match, calculate price and volume
@ -467,7 +514,7 @@ public class Exchange extends Thread {
// Transfer money and shares
transferMoneyAndShares(b.account, a.account, volume * price, -volume);
//System.out.print("Transfer Shares was called with volume "+volume+"\n");
// Update volume
b.volume -= volume;
a.volume -= volume;
@ -479,14 +526,20 @@ public class Exchange extends Thread {
removeOrderIfExecuted(b);
}
//System.out.print("Volume total is "+volume_total+"\n");
if (volume_total == 0) {
return;
}
Quote q = new Quote();
q.price = money_total / volume_total;
q.volume = volume_total;
q.time = System.currentTimeMillis();
System.out.print("Price" + q.price + "," + q.volume + "\n");
//this.updateQuoteReceivers(q);
// System.out.print("There was a trade:"+q.price+"\n");
this.quoteHistory.add(q);
this.updateQuoteReceivers(q);
}
private void executeOrders_old() {
@ -661,7 +714,7 @@ public class Exchange extends Thread {
tradelock.unlock();
this.updateBookReceivers(OrderType.ASK);
this.updateBookReceivers(OrderType.BID);
return o.id;
}
@ -681,6 +734,10 @@ public class Exchange extends Thread {
return a.orders.size();
}
public Account getAccount(double account_id) {
return accounts.get(account_id);
}
public AccountData getAccountData(double account_id) {
Account a = accounts.get(account_id);
if (a == null) {
@ -692,18 +749,18 @@ public class Exchange extends Thread {
ad.money = a.money;
ad.shares = a.shares;
ad.orders = new ArrayList<OrderData>();
ad.orders = new ArrayList<>();
ad.orders.iterator();
a.orders.values();
Set s = a.orders.keySet();
Iterator it = s.iterator();
System.out.print("Keys list" + s.size() + "\n");
while (it.hasNext()) {
long x = (long) it.next();
System.out.print("X" + x + "\n");
Order o = a.orders.get(x);
System.out.print("oGot: " + o.limit + " " + o.volume + "\n");
OrderData od = new OrderData();
od.id = o.id;
od.limit = o.limit;

63
src/main/java/sesim/IDGenerator.java
View File

@ -26,37 +26,40 @@
package sesim;
/**
* Implementation of a simple ID generator to create uniqe IDs of type long
*
* @author 7u83 <7u83@mail.ru>
*/
class IDGenerator{
private final Locker ID_LOCKER = new Locker();
private long next_id;
/**
* Initialize the ID generator
* @param start ID value to start with
*/
public IDGenerator(long start){
next_id=start;
}
/**
* Initialize ID Generator with start ID = 0
*/
public IDGenerator(){
this(0);
}
/**
* Get the next ID
* @return the next generated ID
*/
public long getNext(){
ID_LOCKER.lock();
long id = next_id++;
ID_LOCKER.unlock();
return id;
}
public class IDGenerator {
private final Locker ID_LOCKER = new Locker();
private long next_id;
/**
* Initialize the ID generator
*
* @param start ID value to start with
*/
public IDGenerator(long start) {
next_id = start;
}
/**
* Initialize ID Generator with start ID = 0
*/
public IDGenerator() {
this(0);
}
/**
* Get the next ID
*
* @return the next generated ID
*/
public long getNext() {
ID_LOCKER.lock();
long id = next_id++;
ID_LOCKER.unlock();
return id;
}
}

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

@ -36,7 +36,7 @@ public class Locker {
private final Semaphore AVAIL = new Semaphore(1, true);
/**
*
* Acquire a lock
* @return
*/
public boolean lock() {

29
src/main/java/traders/RandomTrader.java
View File

@ -52,7 +52,7 @@ public class RandomTrader extends AutoTrader {
long event(){
System.out.print("Hello world Iam a trader\n");
// System.out.print("Hello world Iam a trader\n");
return this.doTrade();
// doBuy();
@ -129,16 +129,16 @@ public class RandomTrader extends AutoTrader {
public long cancelOrders(){
int n = se.getNumberOfOpenOrders(account_id);
System.out.print("Open Orders: "+n+"\n");
// System.out.print("Open Orders: "+n+"\n");
if (n>0){
System.out.print("Want to killń\n");
// System.out.print("Want to killń\n");
AccountData ad = se.getAccountData(account_id);
Iterator <OrderData> it = ad.orders.iterator();
while (it.hasNext()){
OrderData od=it.next();
boolean rc = se.cancelOrder(account_id, od.id);
System.out.print("killer rc "+rc+"\n");
System.out.print("Killing: "+od.id+"\n");
// System.out.print("killer rc "+rc+"\n");
// System.out.print("Killing: "+od.id+"\n");
}
}
@ -155,8 +155,10 @@ public class RandomTrader extends AutoTrader {
// how much money we ant to envest?
double money = getRandomAmmount(ad.money, myconfig.buy_volume);
Quote q = se.getCurrentPrice();
double lp = q == null ? 100.0 : q.price;
double lp = 100.0; //se.getBestLimit(type);
double limit;
limit = lp + getRandomAmmount(lp, myconfig.buy_limit);
@ -165,8 +167,8 @@ public class RandomTrader extends AutoTrader {
return 0;
}
System.out.print("Volume is:"+volume+"\n");
System.out.print("My Ammount is: "+money+" My limit si:"+limit+ "\n");
// System.out.print("Volume is:"+volume+"\n");
// System.out.print("My Ammount is: "+money+" My limit si:"+limit+ "\n");
se.createOrder(account_id, type, volume, limit);
@ -187,7 +189,12 @@ public class RandomTrader extends AutoTrader {
double volume = (long)getRandomAmmount(ad.shares, myconfig.sell_volume);
double lp = 100.0; //se.getBestLimit(type);
// double lp = 100.0; //se.getBestLimit(type);
Quote q = se.getCurrentPrice();
double lp = q == null ? 100.0 : q.price;
double limit;
limit = lp + getRandomAmmount(lp, myconfig.sell_limit);
@ -196,8 +203,8 @@ public class RandomTrader extends AutoTrader {
// return false;
// }
System.out.print("Volume is:"+volume+"\n");
System.out.print("My Ammount is: "+volume+" My limit si:"+limit+ "\n");
// System.out.print("Volume is:"+volume+"\n");
// System.out.print("My Ammount is: "+volume+" My limit si:"+limit+ "\n");
se.createOrder(account_id, type, volume, limit);