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Moved order books out of exchange to Stock class.

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using getDefaultStock to be compatible
This commit is contained in:
7u83
2017-12-10 09:33:25 +01:00
parent 1efc9ab4c6
commit fd90846f04
11 changed files with 578 additions and 45 deletions
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114
src/sesim/Exchange.java
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@ -43,12 +43,20 @@ import sesim.Order.OrderType;
* @author 7u83
*/
public class Exchange {
//private HashMap<Order.OrderType, SortedSet<Order>> order_books;
HashMap<String, Stock> stocks;
Stock getStock(String symbol) {
final String DEFAULT_STOCK="def";
public Stock getStock(String symbol) {
return stocks.get(symbol);
}
public Stock getDefaultStock(){
return getStock(DEFAULT_STOCK);
}
ConcurrentLinkedQueue<Order> order_queue = new ConcurrentLinkedQueue();
@ -240,7 +248,7 @@ public class Exchange {
return a.id;
}
class OrderComparator implements Comparator<Order> {
static class OrderComparator implements Comparator<Order> {
OrderType type;
@ -288,7 +296,6 @@ public class Exchange {
}
HashMap<OrderType, SortedSet<Order>> order_books;
IDGenerator order_id_generator = new IDGenerator();
@ -315,11 +322,15 @@ public class Exchange {
this.ohlc_data = new HashMap();
// Create order books
order_books = new HashMap();
/* order_books = new HashMap();
for (OrderType type : OrderType.values()) {
order_books.put(type, new TreeSet(new OrderComparator(type)));
}
*/
Stock defstock = new Stock(DEFAULT_STOCK);
stocks = new HashMap();
stocks.put(defstock.getSymbol(), defstock);
}
/**
@ -383,7 +394,7 @@ public class Exchange {
Account a = o.account;
a.orders.put(o.id, o);
a.update(o);
executeOrders();
executeOrders(getDefaultStock());
}
updateBookReceivers(OrderType.SELLLIMIT);
@ -428,7 +439,7 @@ public class Exchange {
}
}
*/
public SortedSet<Quote> getQuoteHistory(long start) {
/* public SortedSet<Quote> getQuoteHistory(long start) {
Quote s = new Quote();
s.time = start * 1000;
@ -440,7 +451,8 @@ public class Exchange {
return result;
}
*/
public final String CFG_MONEY_DECIMALS = "money_decimals";
public final String CFG_SHARES_DECIMALS = "shares_decimals";
@ -454,10 +466,10 @@ public class Exchange {
}
public Double getBestPrice() {
System.out.printf("Get BP\n");
SortedSet<Order> bid = order_books.get(OrderType.BUYLIMIT);
SortedSet<Order> ask = order_books.get(OrderType.SELLLIMIT);
public Double getBestPrice(Stock stock) {
SortedSet<Order> bid = stock.order_books.get(OrderType.BUYLIMIT);
SortedSet<Order> ask = stock.order_books.get(OrderType.SELLLIMIT);
Quote lq = this.getLastQuoete();
Order b = null, a = null;
@ -533,11 +545,11 @@ public class Exchange {
return lq.price;
}
public Quote getBestPrice_0() {
public Quote getBestPrice_0(Stock stock) {
synchronized (executor) {
SortedSet<Order> bid = order_books.get(OrderType.BUYLIMIT);
SortedSet<Order> ask = order_books.get(OrderType.SELLLIMIT);
SortedSet<Order> bid = stock.order_books.get(OrderType.BUYLIMIT);
SortedSet<Order> ask = stock.order_books.get(OrderType.SELLLIMIT);
Quote lq = this.getLastQuoete();
Order b = null, a = null;
@ -607,6 +619,10 @@ public class Exchange {
}
}
public Quote getBestPrice_0(){
return getBestPrice_0(getDefaultStock());
}
// Class to describe an executed order
// QuoteReceiver has to be implemented by objects that wants
// to receive quote updates
@ -688,9 +704,9 @@ public class Exchange {
//double lastprice = 100.0;
// long lastsvolume;
// private final Locker tradelock = new Locker();
public ArrayList<Order> getOrderBook(OrderType type, int depth) {
public ArrayList<Order> getOrderBook(Stock stock, OrderType type, int depth) {
SortedSet<Order> book = order_books.get(type);
SortedSet<Order> book = stock.order_books.get(type);
if (book == null) {
return null;
}
@ -715,6 +731,11 @@ public class Exchange {
return ret;
}
public ArrayList<Order> getOrderBook(OrderType type, int depth){
return getOrderBook(getDefaultStock(),type,depth);
}
public Quote getLastQuoete() {
if (this.quoteHistory.isEmpty()) {
return null;
@ -737,7 +758,7 @@ public class Exchange {
}
public boolean cancelOrder(double account_id, long order_id) {
public boolean cancelOrder(Stock stock,double account_id, long order_id) {
Account a = accounts.get(account_id);
if (a == null) {
return false;
@ -754,7 +775,7 @@ public class Exchange {
// System.out.print("The Order:"+o.limit+"\n");
if (o != null) {
SortedSet ob = order_books.get(o.type);
SortedSet ob = stock.order_books.get(o.type);
boolean rc = ob.remove(o);
@ -770,6 +791,10 @@ public class Exchange {
// System.out.printf("Levave executor %d\n", Thread.currentThread().getId());
return ret;
}
public boolean cancelOrder(double account_id, long order_id){
return cancelOrder(getDefaultStock(),account_id,order_id);
}
Random random;
@ -797,7 +822,7 @@ public class Exchange {
public double fairValue = 0;
private void removeOrderIfExecuted(Order o) {
private void removeOrderIfExecuted(Stock stock,Order o) {
if (o.getAccount().getOwner().getName().equals("Tobias0")) {
// System.out.printf("Tobias 0 test\n");
}
@ -819,7 +844,7 @@ public class Exchange {
o.account.orders.remove(o.id);
SortedSet book = order_books.get(o.type);
SortedSet book = stock.order_books.get(o.type);
book.remove(book.first());
@ -827,10 +852,14 @@ public class Exchange {
o.account.update(o);
}
private void removeOrderIfExecuted(Order o){
removeOrderIfExecuted(getDefaultStock(),o);
}
void checkSLOrders(double price) {
SortedSet<Order> sl = order_books.get(OrderType.STOPLOSS);
SortedSet<Order> ask = order_books.get(OrderType.SELLLIMIT);
void checkSLOrders(Stock stock, double price) {
SortedSet<Order> sl = stock.order_books.get(OrderType.STOPLOSS);
SortedSet<Order> ask = stock.order_books.get(OrderType.SELLLIMIT);
if (sl.isEmpty()) {
return;
@ -846,6 +875,11 @@ public class Exchange {
// System.out.printf("Stoploss hit %f %f\n", s.volume, s.limit);
}
}
void checkSLOrders(double price){
checkSLOrders(getDefaultStock(),price);
}
public void executeUnlimitedOrders() {
@ -886,14 +920,14 @@ public class Exchange {
/**
*
*/
public void executeOrders() {
public void executeOrders(Stock stock) {
// System.out.printf("Exec Orders\n");
SortedSet<Order> bid = order_books.get(OrderType.BUYLIMIT);
SortedSet<Order> ask = order_books.get(OrderType.SELLLIMIT);
SortedSet<Order> bid = stock.order_books.get(OrderType.BUYLIMIT);
SortedSet<Order> ask = stock.order_books.get(OrderType.SELLLIMIT);
SortedSet<Order> ul_buy = order_books.get(OrderType.BUY);
SortedSet<Order> ul_sell = order_books.get(OrderType.SELL);
SortedSet<Order> ul_buy = stock.order_books.get(OrderType.BUY);
SortedSet<Order> ul_sell = stock.order_books.get(OrderType.SELL);
double volume_total = 0;
double money_total = 0;
@ -905,7 +939,7 @@ public class Exchange {
Order a = ul_sell.first();
Order b = ul_buy.first();
Double price = getBestPrice();
Double price = getBestPrice(stock);
if (price == null) {
break;
}
@ -989,8 +1023,8 @@ public class Exchange {
long buy_orders = 0;
long sell_orders = 0;
private void addOrderToBook(Order o) {
order_books.get(o.type).add(o);
private void addOrderToBook(Stock stock, Order o) {
stock.order_books.get(o.type).add(o);
switch (o.type) {
case BUY:
case BUYLIMIT:
@ -1004,6 +1038,10 @@ public class Exchange {
}
// System.out.printf("B/S %d/%d Failed B/S: %d/%d\n", buy_orders, sell_orders,buy_failed,sell_failed);
}
private void addOrderToBook(Order o){
addOrderToBook(getDefaultStock(),o);
}
long buy_failed = 0;
long sell_failed = 0;
@ -1054,7 +1092,7 @@ public class Exchange {
a.orders.put(o.id, o);
a.update(o);
executeOrders();
executeOrders(getDefaultStock());
updateBookReceivers(OrderType.SELLLIMIT);
updateBookReceivers(OrderType.BUYLIMIT);
@ -1066,13 +1104,17 @@ public class Exchange {
return o.getID();
}
public double getBestLimit(OrderType type) {
Order o = order_books.get(type).first();
public double getBestLimit(Stock stock,OrderType type) {
Order o = stock.order_books.get(type).first();
if (o == null) {
return -1;
}
return o.limit;
}
public double getBestLimit(OrderType type){
return getBestLimit(getDefaultStock(),type);
}
public int getNumberOfOpenOrders(double account_id) {
Account a = accounts.get(account_id);

33
src/sesim/Stock.java
View File

@ -25,21 +25,40 @@
*/
package sesim;
import java.util.HashMap;
import java.util.SortedSet;
import java.util.TreeSet;
import sesim.Exchange.OrderComparator;
/**
*
* @author 7u83 <7u83@mail.ru>
*/
public class Stock {
private String symbol;
private final String symbol;
private String name;
String getSymbol(){
Stock(String symbol) {
this.symbol=symbol;
order_books = new HashMap();
// Create an order book for each order type
for (Order.OrderType type : Order.OrderType.values()) {
this.order_books.put(type, new TreeSet(new Exchange.OrderComparator(type)));
}
}
String getSymbol() {
return symbol;
}
String getName(){
String getName() {
return name;
}
public final HashMap<Order.OrderType, SortedSet<Order>> order_books;
}