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Work on separated trading engine.

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This commit is contained in:
7u83 2018-12-26 13:11:35 +01:00
parent 974c1cb81e
commit c208092452
10 changed files with 431 additions and 113 deletions
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10
src/opensesim/gui/SeSimApplication.java
View File

@ -613,15 +613,7 @@ public class SeSimApplication extends javax.swing.JFrame {
opensesim.world.Exchange ex = godworld.getDefaultExchange();
TradingAPI api = ex.getAPI(p);
Set<Order> ob;
ob = api.getOrderBook(Order.Type.BUY);
for (Order o : ob) {
double v = o.getVolume();
System.out.printf("Volume: %f\n", o.getVolume());
}
opensesim.world.scheduler.Scheduler s = godworld.getScheduler();
class MyListener implements EventListener {

4
src/opensesim/gui/orderbook/OrderBookPanel.java
View File

@ -212,8 +212,8 @@ public class OrderBookPanel extends javax.swing.JPanel implements EventListener
void oupdater() {
// ArrayList<Order> ob = Globals.se.getOrderBook(type, depth);
Collection<Order> ob = api.getOrderBook(Order.Type.BUY);
Collection<Order> ob = api.getBidBook();
model.setRowCount(ob.size());
int row = 0;
for (Order ob1 : ob) {

4
src/opensesim/trader/SimpleTrader.java
View File

@ -118,7 +118,7 @@ public class SimpleTrader extends AbstractTrader implements EventListener {
long last_time = 0;
double limit = 100;
double limit = 253.871239;
@Override
public long receive(Event task) {
// System.out.printf("Here we are !!! %f\n", getWorld().randNextFloat(12f, 27f));
@ -133,7 +133,7 @@ public class SimpleTrader extends AbstractTrader implements EventListener {
ex = getWorld().getDefaultExchange();
api = ex.getAPI(p);
Order o = api.createOrder(account, Order.Type.BUY, 100, limit);
Order o = api.createOrder(account, Order.Type.BUY, 112.987123, limit);
limit += 12;
return -1;

54
src/opensesim/world/AbstractAsset.java
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@ -25,6 +25,7 @@
*/
package opensesim.world;
import java.text.DecimalFormat;
import javax.swing.JPanel;
import opensesim.sesim.interfaces.GetJson;
import org.json.JSONObject;
@ -40,7 +41,9 @@ public abstract class AbstractAsset implements GetJson {
private String symbol;
private String name;
private String description;
int decimals;
private int decimals;
private double decimals_df;
private DecimalFormat formatter;
/**
* Constructor
@ -54,25 +57,40 @@ public abstract class AbstractAsset implements GetJson {
}
symbol = cfg.getString("symbol");
name = cfg.getString("name");
decimals = cfg.optInt("decimals", 0);
setDecimals(cfg.optInt("decimals", 0));
this.world = world;
}
public AbstractAsset(){
public AbstractAsset() {
}
public abstract String getTypeName();
public double roundToDecimals(double val) {
return Math.floor(val * decimals_df) / decimals_df;
}
protected void setDecimals(int n) {
decimals = n;
decimals_df = Math.pow(10, n);
// create formatter string
String fs = "#";
if (n > 0) {
fs = fs + "0.";
for (int i = 0; i < n; i++) {
fs = fs + "0";
}
}
// create fromatter from string
formatter = new DecimalFormat(fs);
}
public final int getDecimals() {
return decimals;
}
protected final void setDecimals(int decimals){
this.decimals=decimals;
}
public abstract String getTypeName();
protected void setDescription(String description) {
this.description = description;
@ -81,17 +99,17 @@ public abstract class AbstractAsset implements GetJson {
public final String getSymbol() {
return symbol;
}
protected final void setSymbol(String symbol){
this.symbol=symbol;
protected final void setSymbol(String symbol) {
this.symbol = symbol;
}
public final String getName() {
return name;
}
protected final void setName(String name){
this.name=name;
protected final void setName(String name) {
this.name = name;
}
public String getDescription() {
@ -114,7 +132,6 @@ public abstract class AbstractAsset implements GetJson {
public static final String JSON_DECIMALS = "decimals";
public static final int DECIMALS_DEFAULT = 2;
@Override
public JSONObject getJson() {
JSONObject cfg = new JSONObject();
@ -128,7 +145,6 @@ public abstract class AbstractAsset implements GetJson {
return cfg;
}
public JPanel getEditGui() {
return null;
}

93
src/opensesim/world/Exchange.java
View File

@ -25,16 +25,15 @@
*/
package opensesim.world;
import java.util.Collection;
import java.util.Collections;
import java.util.HashMap;
import java.util.HashSet;
import java.util.Set;
import java.util.SortedSet;
import java.util.TreeSet;
import opensesim.world.RealWorld;
import opensesim.sesim.interfaces.Configurable;
import opensesim.sesim.interfaces.GetJson;
import opensesim.util.idgenerator.IDGenerator;
import opensesim.world.scheduler.FiringEvent;
import opensesim.world.scheduler.EventListener;
import org.json.JSONObject;
@ -86,7 +85,7 @@ public class Exchange implements Configurable, GetJson {
public Order createOrder(Account account, AssetPair pair, Order.Type type, double volume, double limit) {
// Order o = new Order(world,account,pair,type,volume,limit);
// Order o = new Order(world,account,assetpair,type,volume,limit);
return null;
}
@ -112,77 +111,27 @@ public class Exchange implements Configurable, GetJson {
return cfg;
}
class TradingEnv implements TradingAPI {
protected HashMap<Order.Type, SortedSet<Order>> order_books;
AssetPair pair;
TradingEnv(AssetPair p) {
pair = p;
reset();
}
protected final void reset() {
order_books = new HashMap();
// Create an order book for each order type
for (Order.Type type : Order.Type.values()) {
order_books.put(type, new TreeSet<>());
}
// quoteHistory = new TreeSet();
// ohlc_data = new HashMap();
}
protected void addOrderToBook(Order o) {
order_books.get(o.type).add(o);
switch (o.type) {
case BUY:
case BUYLIMIT:
break;
case SELL:
case SELLLIMIT:
break;
}
}
@Override
public Order createOrder(Account account, Order.Type type, double volume, double limit) {
Order o = new opensesim.world.Order(world, account, pair, type, volume, limit);
synchronized (this){
order_books.get(o.type).add(o);
}
for (FiringEvent e:book_listener){
e.fire();
}
return o;
}
@Override
public Set getOrderBook(Order.Type type) {
return Collections.unmodifiableSet(order_books.get(type));
}
HashSet <FiringEvent> book_listener = new HashSet<>();
@Override
public void addOrderBookListener(EventListener listener) {
book_listener.add(new FiringEvent(listener));
}
}
private TradingAPI add(AssetPair pair) {
TradingEnv e = new TradingEnv(pair);
TradingEngine e = new TradingEngine(pair, this);
asset_pairs.put(pair, e);
return e;
}

9
src/opensesim/world/GodWorld.java
View File

@ -32,12 +32,14 @@ import java.util.Collections;
import java.util.HashMap;
import java.util.HashSet;
import java.util.Random;
import java.util.Set;
import java.util.logging.Level;
import java.util.logging.Logger;
import opensesim.sesim.interfaces.GetJson;
import opensesim.util.SeSimException;
import opensesim.util.idgenerator.IDGenerator;
import opensesim.world.TradingEngine;
import opensesim.world.scheduler.Event;
import opensesim.world.scheduler.EventListener;
@ -76,7 +78,7 @@ public class GodWorld implements GetJson, World {
/* HashSet<AbstractAsset> assetsById = new HashSet<>();
HashMap<String, AbstractAsset> assetsBySymbol = new HashMap<>();
*/
IDGenerator orderIdGenerator = new IDGenerator();
//IDGenerator orderIdGenerator = new IDGenerator();
private Scheduler scheduler = new Scheduler();
@ -437,5 +439,10 @@ public class GodWorld implements GetJson, World {
l.receive(e);
}
}
public Set getOrderBook(Exchange ex,AssetPair pair,Order.Type type){
return ((TradingEngine)ex.getAPI(pair)).getOrderBook(type);
}
}

37
src/opensesim/world/Order.java
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@ -91,21 +91,45 @@ public class Order implements Comparable<Order> {
double cost;
GodWorld world;
Order(GodWorld world, Account account, AssetPair pair, Type type,
Order(opensesim.world.TradingEngine engine, Account account, Type type,
double volume, double limit) {
AssetPair pair = engine.getAssetPair();
// round asset and currency
double v, l;
switch (type) {
case BUY:
l = pair.getCurrency().roundToDecimals(limit);
v = pair.getAsset().roundToDecimals(volume);
break;
case SELL:
l = pair.getCurrency().roundToDecimals(limit);
v = pair.getAsset().roundToDecimals(volume);
break;
default:
l = limit;
v = volume;
}
// assign rounded volume and limit
this.volume = v;
this.initial_volume = v;
this.limit = l;
this.account = account;
this.type = type;
this.limit = limit;
this.volume = volume;
this.initial_volume = this.volume;
this.created = 0;
this.status = Status.OPEN;
this.cost = 0;
// id = Order.idGenerator.getNext();
this.world = world;
// this.world = world;
// id = world.
id = world.orderIdGenerator.getNext();
// id = world.orderIdGenerator.getNext();
id = engine.id_generator.getNext();
}
public Id getID() {
@ -156,5 +180,4 @@ public class Order implements Comparable<Order> {
return created;
}
}

71
src/opensesim/world/Quote.java Normal file
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@ -0,0 +1,71 @@
/*
* Copyright (c) 2016, 7u83 <7u83@mail.ru>
* All rights reserved.
*
* Redistribution and use in source and binary forms, with or without
* modification, are permitted provided that the following conditions are met:
*
* * Redistributions of source code must retain the above copyright notice, this
* list of conditions and the following disclaimer.
* * Redistributions in binary form must reproduce the above copyright notice,
* this list of conditions and the following disclaimer in the documentation
* and/or other materials provided with the distribution.
*
* THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
* AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
* IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE
* ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE
* LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
* CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF
* SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
* INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN
* CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE)
* ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
* POSSIBILITY OF SUCH DAMAGE.
*/
package opensesim.world;
/**
*
* @author 7u83 <7u83@mail.ru>
*/
public class Quote implements Comparable {
public double bid;
public double bid_volume;
public double ask;
public double ask_volume;
public double price;
public double volume;
public long time;
// Locker lock = new Locker();
public void print() {
System.out.print("Quote ("
+ time
+ ") :"
+ price
+ " / "
+ volume
+ "\n"
);
}
public long id;
@Override
public int compareTo(Object o) {
int ret;
Quote q = (Quote)o;
ret = (int)(this.time-q.time);
if (ret !=0)
return ret;
return (int)(this.id-q.id);
}
}

4
src/opensesim/world/TradingAPI.java
View File

@ -38,5 +38,7 @@ public interface TradingAPI {
public Order createOrder(Account account, Order.Type type, double volume, double limit);
public Set getOrderBook(Order.Type type);
public Set getBidBook();
public Set getAskBook();
}

258
src/opensesim/world/TradingEngine.java Normal file
View File

@ -0,0 +1,258 @@
/*
* Copyright (c) 2018, tube
* All rights reserved.
*
* Redistribution and use in source and binary forms, with or without
* modification, are permitted provided that the following conditions are met:
*
* * Redistributions of source code must retain the above copyright notice, this
* list of conditions and the following disclaimer.
* * Redistributions in binary form must reproduce the above copyright notice,
* this list of conditions and the following disclaimer in the documentation
* and/or other materials provided with the distribution.
*
* THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
* AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
* IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE
* ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE
* LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
* CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF
* SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
* INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN
* CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE)
* ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
* POSSIBILITY OF SUCH DAMAGE.
*/
package opensesim.world;
import java.util.Collections;
import java.util.HashMap;
import java.util.HashSet;
import java.util.Set;
import java.util.SortedSet;
import java.util.TreeSet;
import opensesim.util.idgenerator.IDGenerator;
import opensesim.world.scheduler.EventListener;
import opensesim.world.scheduler.FiringEvent;
/**
*
* @author tube
*/
class TradingEngine implements TradingAPI {
private final Exchange outer;
TradingEngine(AssetPair p, final Exchange outer) {
this.outer = outer;
assetpair = p;
reset();
}
protected AssetPair getAssetPair() {
return assetpair;
}
IDGenerator id_generator = new IDGenerator();
private HashMap<Order.Type, SortedSet<Order>> order_books;
private SortedSet<Order> bidbook;
private SortedSet<Order> askbook;
AssetPair assetpair;
protected final void reset() {
order_books = new HashMap();
// Create an order book for each order type
for (Order.Type type : Order.Type.values()) {
order_books.put(type, new TreeSet<>());
}
// Save bidbook and askboo for quicker access
bidbook = order_books.get(Order.Type.BUYLIMIT);
askbook = order_books.get(Order.Type.SELLLIMIT);
// quoteHistory = new TreeSet();
// ohlc_data = new HashMap();
}
/**
*
*/
private void executeOrders() {
SortedSet<Order> bid = order_books.get(Order.Type.BUYLIMIT);
SortedSet<Order> ask = order_books.get(Order.Type.SELLLIMIT);
SortedSet<Order> ul_buy = order_books.get(Order.Type.BUY);
SortedSet<Order> ul_sell = order_books.get(Order.Type.SELL);
double volume_total = 0;
double money_total = 0;
while (true) {
/* // Match unlimited sell orders against unlimited buy orders
if (!ul_sell.isEmpty() && !ul_buy.isEmpty()) {
Order a = ul_sell.first();
Order b = ul_buy.first();
Double price = getBestPrice(stock);
if (price == null) {
break;
}
double volume = b.volume >= a.volume ? a.volume : b.volume;
finishTrade(b, a, price, volume);
volume_total += volume;
money_total += price * volume;
this.checkSLOrders(price);
}
while (!ul_buy.isEmpty() && !ask.isEmpty()) {
Order a = ask.first();
Order b = ul_buy.first();
double price = a.limit;
double volume = b.volume >= a.volume ? a.volume : b.volume;
finishTrade(b, a, price, volume);
volume_total += volume;
money_total += price * volume;
this.checkSLOrders(price);
}
// Match unlimited sell orders against limited buy orders
while (!ul_sell.isEmpty() && !bid.isEmpty()) {
Order b = bid.first();
Order a = ul_sell.first();
double price = b.limit;
double volume = b.volume >= a.volume ? a.volume : b.volume;
finishTrade(b, a, price, volume);
volume_total += volume;
money_total += price * volume;
this.checkSLOrders(price);
}
*/
// Match limited orders against limited orders
if (bid.isEmpty() || ask.isEmpty()) {
// there is nothing to do
break;
}
Order b = bid.first();
Order a = ask.first();
if (b.limit < a.limit) {
break;
}
// There is a match, calculate price and volume
double price = b.id.compareTo(a.id) < 0 ? b.limit : a.limit;
double volume = b.volume >= a.volume ? a.volume : b.volume;
// finishTrade(b, a, price, volume);
volume_total += volume;
money_total += price * volume;
// statistics.trades++;
// this.checkSLOrders(price);
}
if (volume_total == 0) {
return;
}
Quote q = new Quote();
q.price = money_total / volume_total;
q.volume = volume_total;
// q.time = timer.currentTimeMillis();
// addQuoteToHistory(q);
}
protected void addOrderToBook(Order o) {
order_books.get(o.type).add(o);
switch (o.type) {
case BUY:
case BUYLIMIT:
break;
case SELL:
case SELLLIMIT:
break;
}
}
public Double getBestPrice() {
SortedSet<Order> bid = order_books.get(Order.Type.BUYLIMIT);
SortedSet<Order> ask = order_books.get(Order.Type.SELLLIMIT);
Quote lq = null; //this.getLastQuoete();
Order b = null;
Order a = null;
if (!bid.isEmpty()) {
b = bid.first();
}
if (!ask.isEmpty()) {
a = ask.first();
}
// If there is neither bid nor ask and no last quote
// we can't return a quote
if (lq == null && b == null && a == null) {
return null;
}
// there is bid and ask
if (a != null && b != null) {
Quote q = new Quote();
System.out.printf("aaaaa bbbbb %f %f \n", a.limit, b.limit);
// if there is no last quote calculate from bid and ask
//if (lq == null) {
double rc = (bid.first().limit + ask.first().limit) / 2.0;
System.out.printf("RCRC2.0: %f\n", rc);
return rc;
// }
/*
if (lq.price < b.limit) {
return b.limit;
}
if (lq.price > a.limit) {
return a.limit;
}
return lq.price;
*/
}
if (a != null) {
Quote q = new Quote();
if (lq == null) {
return a.limit;
}
if (lq.price > a.limit) {
return a.limit;
}
return lq.price;
}
if (b != null) {
Quote q = new Quote();
if (lq == null) {
return b.limit;
}
if (lq.price < b.limit) {
return b.limit;
}
return lq.price;
}
if (lq == null) {
return null;
}
return lq.price;
}
@Override
public Order createOrder(Account account, Order.Type type, double volume, double limit) {
Order o = new opensesim.world.Order(this, account, type, volume, limit);
System.out.printf("The new Order has: volume: %f limit: %f\n", o.getVolume(), o.getLimit());
synchronized (this) {
order_books.get(o.type).add(o);
}
for (FiringEvent e : book_listener) {
e.fire();
}
return o;
}
HashSet<FiringEvent> book_listener = new HashSet<>();
@Override
public void addOrderBookListener(EventListener listener) {
book_listener.add(new FiringEvent(listener));
}
protected Set getOrderBook(Order.Type type) {
return Collections.unmodifiableSet(order_books.get(type));
}
@Override
public Set getBidBook() {
return getOrderBook(Order.Type.BUY);
}
@Override
public Set getAskBook() {
return getOrderBook(Order.Type.SELL);
}
}