Determines order type and compacts history
This commit is contained in:
7u83
parent
7b73b8b836
commit
cadc910f99
@ -63,13 +63,12 @@ class TradingEngine implements TradingAPI {
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}
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IDGenerator id_generator = new IDGenerator();
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LongIDGenerator quote_id_generator = new LongIDGenerator();
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private HashMap<Order.Type, SortedSet<Order>> order_books;
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private SortedSet<Order> bidbook, askbook;
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private SortedSet<Order> ul_buy, ul_sell;
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AssetPair assetpair;
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TreeSet<Quote> quote_history;
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protected final void reset() {
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@ -85,14 +84,13 @@ class TradingEngine implements TradingAPI {
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ul_buy = order_books.get(Order.Type.BUY);
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ul_sell = order_books.get(Order.Type.SELL);
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quote_history = new TreeSet<>();
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quote_history = new TreeSet<>();
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// ohlc_data = new HashMap();
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}
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void addQuoteToHistory(Quote q) {
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/* if (statistics.heigh == null) {
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void addQuoteToHistory(Quote q) {
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/* if (statistics.heigh == null) {
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statistics.heigh = q.price;
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} else if (statistics.heigh < q.price) {
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statistics.heigh = q.price;
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@ -102,13 +100,16 @@ class TradingEngine implements TradingAPI {
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} else if (statistics.low > q.price) {
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statistics.low = q.price;
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}
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*/
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*/
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// Stock stock = getDefaultStock();
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// stock.quoteHistory.add(q);
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quote_history.add(q);
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// stock.updateOHLCData(q);
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// updateQuoteReceivers(q);
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// updateQuoteReceivers(q);
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}
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boolean compact_history = false;
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boolean compact_last = true;
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private void transferMoneyAndShares(Account src, Account dst, double money, double shares) {
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// src.money -= money;
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@ -145,21 +146,22 @@ class TradingEngine implements TradingAPI {
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}
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// o.account.orders.remove(o.id);
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SortedSet book = order_books.get(o.type);
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book.remove(book.first());
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// o.status = OrderStatus.CLOSED;
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// o.account.update(o);
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// o.status = OrderStatus.CLOSED;
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// o.account.update(o);
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}
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Quote last_quote;
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/**
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*
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*/
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private void executeOrders() {
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Quote q = null;
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double volume_total = 0;
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double money_total = 0;
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while (true) {
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@ -222,16 +224,24 @@ class TradingEngine implements TradingAPI {
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// The price is set by the order with lower ID because the
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// order with lower ID was placed first. Also the order with
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// the lower id is maker, while the higher ID is the taker.
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double price = b.id.compareTo(a.id) < 0 ? b.limit : a.limit;
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double price;
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Order.Type type;
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if (b.id.compareTo(a.id) < 0) {
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price = b.limit;
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type = Order.Type.SELL;
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} else {
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price = a.limit;
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type=Order.Type.BUY;
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}
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// The volume is calculated by best fit
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double volume = b.volume >= a.volume ? a.volume : b.volume;
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// Update available currency for the buyer.
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// For sellers there is no need to update.
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double avdiff = b.limit * volume - price * volume;
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b.account.addAvail(assetpair.getCurrency(),avdiff);
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double avdiff = b.limit * volume - price * volume;
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b.account.addAvail(assetpair.getCurrency(), avdiff);
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// Transfer money and shares
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transferMoneyAndShares(b.account, a.account, volume * price, volume);
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@ -241,61 +251,118 @@ class TradingEngine implements TradingAPI {
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b.cost += price * volume;
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a.cost += price * volume;
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a.account.notfiyListeners();
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b.account.notfiyListeners();
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removeOrderIfExecuted(a);
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removeOrderIfExecuted(b);
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if (!compact_history) {
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q = new Quote(quote_id_generator.getNext());
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q.price = price;
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q.volume = volume;
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q.time = outer.world.currentTimeMillis();
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q.type=type;
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addQuoteToHistory(q);
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}
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volume_total += volume;
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money_total += price * volume;
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// statistics.trades++;
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// this.checkSLOrders(price);
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}
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if (volume_total == 0) {
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if (volume_total
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== 0) {
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return;
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}
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Quote q = new Quote(quote_id_generator.getNext());
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q.price = money_total / volume_total;
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q.volume = volume_total;
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q.time = outer.world.currentTimeMillis();
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// q.time = timer.currentTimeMillis();
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// addQuoteToHistory(q);
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Quote qc;
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qc = new Quote(quote_id_generator.getNext());
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qc.price = money_total / volume_total;
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qc.volume = volume_total;
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qc.time = outer.world.currentTimeMillis();
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if (compact_history) {
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addQuoteToHistory(qc);
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}
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if (compact_last) {
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last_quote = qc;
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} else {
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last_quote = q;
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}
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}
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//
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public Double getBestPrice() {
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SortedSet<Order> bid = order_books.get(Order.Type.BUYLIMIT);
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SortedSet<Order> ask = order_books.get(Order.Type.SELLLIMIT);
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//
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public Double
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getBestPrice() {
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SortedSet<Order> bid
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= order_books
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.get(Order.Type.BUYLIMIT
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);
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SortedSet<Order> ask
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= order_books
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.get(Order.Type.SELLLIMIT
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);
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Quote lq
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= null; //this.getLastQuoete();
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Order b
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= null;
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Order a
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= null;
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if (!bid
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.isEmpty()) {
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b
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= bid
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.first();
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Quote lq = null; //this.getLastQuoete();
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Order b = null;
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Order a = null;
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if (!bid.isEmpty()) {
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b = bid.first();
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}
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if (!ask.isEmpty()) {
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a = ask.first();
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if (!ask
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.isEmpty()) {
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a
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= ask
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.first();
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}
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// If there is neither bid nor ask and no last quote
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// we can't return a quote
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if (lq == null && b == null && a == null) {
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if (lq
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== null && b
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== null && a
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== null) {
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return null;
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}
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// there is bid and ask
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if (a != null && b != null) {
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Quote q = new Quote(-1);
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System.out.printf("aaaaa bbbbb %f %f \n", a.limit, b.limit);
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if (a
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!= null && b
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!= null) {
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Quote q
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= new Quote(-1);
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System.out
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.printf("aaaaa bbbbb %f %f \n", a.limit,
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b.limit
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);
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// if there is no last quote calculate from bid and ask
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//if (lq == null) {
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double rc = (bid.first().limit + ask.first().limit) / 2.0;
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System.out.printf("RCRC2.0: %f\n", rc);
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double rc
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= (bid
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.first().limit
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+ ask
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.first().limit) / 2.0;
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System.out
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.printf("RCRC2.0: %f\n", rc
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);
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return rc;
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// }
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// }
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/*
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if (lq.price < b.limit) {
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return b.limit;
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@ -306,99 +373,174 @@ class TradingEngine implements TradingAPI {
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return lq.price;
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*/
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}
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if (a != null) {
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Quote q = new Quote(-1);
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if (lq == null) {
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if (a
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!= null) {
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Quote q
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= new Quote(-1);
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if (lq
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== null) {
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return a.limit;
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}
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if (lq.price > a.limit) {
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if (lq.price
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> a.limit) {
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return a.limit;
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}
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return lq.price;
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}
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if (b != null) {
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Quote q = new Quote(-1);
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if (lq == null) {
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if (b
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!= null) {
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Quote q
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= new Quote(-1);
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if (lq
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== null) {
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return b.limit;
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}
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if (lq.price < b.limit) {
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if (lq.price
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< b.limit) {
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return b.limit;
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}
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return lq.price;
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}
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if (lq == null) {
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if (lq
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== null) {
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return null;
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}
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return lq.price;
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}
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@Override
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public Order createOrder(Account account, Order.Type type, double volume, double limit) {
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public Order
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createOrder(Account account,
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Order.Type type,
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double volume,
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double limit
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) {
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Order o;
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synchronized (account) {
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// Round volume
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double v = assetpair.getAsset().roundToDecimals(volume);
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double v
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= assetpair
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.getAsset().roundToDecimals(volume
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);
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// Order volume must be grater than 0.0.
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if (v <= 0.0) {
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if (v
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<= 0.0) {
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return null;
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}
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// Round currency (limit)
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double l = assetpair.getCurrency().roundToDecimals(limit);
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double l
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= assetpair
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.getCurrency().roundToDecimals(limit
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);
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double order_limit;
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switch (type) {
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case BUYLIMIT: {
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// verfify available currency for a buy limit order
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AbstractAsset currency = this.assetpair.getCurrency();
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Double avail = account.getAvail(currency);
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AbstractAsset currency
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= this.assetpair
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.getCurrency();
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Double avail
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= account
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.getAvail(currency
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);
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// return if not enough money is available
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if (avail < v * l) {
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if (avail
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< v
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* l) {
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return null;
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}
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// reduce the available money
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account.assets_avail.put(currency, avail - v * l);
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order_limit = l;
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account.assets_avail
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.put(currency,
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avail
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- v
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* l
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);
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order_limit
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= l;
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break;
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}
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case BUY: {
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// For an unlimited by order there is nothing to check
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// other than currency is > 0.0
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AbstractAsset currency = this.assetpair.getCurrency();
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Double avail = account.getAvail(currency);
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if (avail <= 0.0) {
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AbstractAsset currency
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= this.assetpair
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.getCurrency();
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Double avail
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= account
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.getAvail(currency
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);
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if (avail
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<= 0.0) {
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return null;
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}
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// All available monney is assigned to this unlimited order
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account.assets_avail.put(currency, 0.0);
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account.assets_avail
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.put(currency,
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0.0);
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// we "mis"use order_limit to memorize occupied ammount \
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// of currency
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order_limit = avail;
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order_limit
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= avail;
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break;
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}
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case SELLLIMIT:
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case SELL: {
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// verfiy sell limit
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AbstractAsset asset = this.assetpair.getAsset();
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Double avail = account.getAvail(asset);
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AbstractAsset asset
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= this.assetpair
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.getAsset();
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Double avail
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= account
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.getAvail(asset
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);
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if (avail < v) {
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if (avail
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< v) {
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// not enough items of asset (shares) available
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return null;
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}
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account.assets_avail.put(asset, avail - v);
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order_limit = l;
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account.assets_avail
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.put(asset,
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avail
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- v
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);
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order_limit
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= l;
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break;
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}
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default:
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@ -406,57 +548,93 @@ class TradingEngine implements TradingAPI {
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}
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o = new opensesim.world.Order(this, account, type, v, order_limit);
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o
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= new opensesim.world.Order(this, account,
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type,
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v,
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order_limit
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);
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System.out.printf("The new Order has: volume: %f limit: %f\n", o.getVolume(), o.getLimit());
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System.out
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.printf("The new Order has: volume: %f limit: %f\n", o
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.getVolume(), o
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.getLimit());
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synchronized (this) {
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order_books.get(o.type).add(o);
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order_books
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.get(o.type
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).add(o
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);
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}
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}
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executeOrders();
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for (FiringEvent e : book_listener) {
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e.fire();
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for (FiringEvent e
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: book_listener) {
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e
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.fire();
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}
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return o;
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}
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HashSet<FiringEvent> book_listener = new HashSet<>();
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HashSet<FiringEvent> book_listener
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= new HashSet<>();
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@Override
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public void addOrderBookListener(EventListener listener) {
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book_listener.add(new FiringEvent(listener));
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public void addOrderBookListener(EventListener listener
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) {
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book_listener
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.add(new FiringEvent(listener
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));
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}
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@Override
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public Set getOrderBook(Order.Type type) {
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public Set
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getOrderBook(Order.Type type
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) {
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switch (type) {
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case BUYLIMIT:
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case BUY:
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return Collections.unmodifiableSet(bidbook);
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return Collections
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.unmodifiableSet(bidbook
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);
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case SELLLIMIT:
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case SELL:
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return Collections.unmodifiableSet(askbook);
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return Collections
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.unmodifiableSet(askbook
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);
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}
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return null;
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// return Collections.unmodifiableSet(order_books.get(type));
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}
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@Override
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public Set getBidBook() {
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return getOrderBook(Order.Type.BUYLIMIT);
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public Set
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getBidBook() {
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return getOrderBook(Order.Type.BUYLIMIT
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);
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}
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@Override
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public Set getAskBook() {
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return getOrderBook(Order.Type.SELL);
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public Set
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getAskBook() {
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return getOrderBook(Order.Type.SELL
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);
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}
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@Override
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public Set<Quote> getQuoteHistory() {
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return Collections.unmodifiableSet(quote_history);
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return Collections
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.unmodifiableSet(quote_history
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);
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}
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}
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