458 lines
11 KiB
Java
458 lines
11 KiB
Java
package sesim;
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import java.util.*;
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import java.util.concurrent.*;
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import sesim.Order.OrderStatus;
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import sesim.Order.OrderType;
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/**
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*
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* @author tube
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*/
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public class Exchange extends Thread {
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/**
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* Histrory of quotes
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*/
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public TreeSet<Quote> quoteHistory = new TreeSet<>();
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/**
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* Constructor
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*/
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public Exchange() {
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this.ask = new TreeSet<>();
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this.bid = new TreeSet<>();
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this.qrlist = new ArrayList<>();
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}
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public static long getCurrentTimeSeconds(long div) {
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long ct = System.currentTimeMillis() / 1000*div;
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return ct * div;
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}
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public static long getCurrentTimeSeconds(){
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return getCurrentTimeSeconds(1);
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}
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public SortedSet<Quote> getQuoteHistory(long start) {
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Quote s = new Quote();
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s.time = start;
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s.time = 2;
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s.id = 2;
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TreeSet<Quote> result = new TreeSet<>();
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result.addAll(this.quoteHistory.tailSet(s));
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return result;
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}
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/* public SortedSet<Quote> getQuoteHistory(int seconds) {
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Quote last = quoteHistory.last();
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return this.getQuoteHistory(seconds, last.time);
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}
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*/
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// Class to describe an executed order
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// QuoteReceiver has to be implemented by objects that wants
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// to receive quote updates
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public interface QuoteReceiver {
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void UpdateQuote(Quote q);
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}
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/**
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* Bookreceiver Interface
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*/
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public interface BookReceiver {
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void UpdateOrderBook();
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}
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private ArrayList<BookReceiver> ask_bookreceivers = new ArrayList<>();
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private ArrayList<BookReceiver> bid_bookreceivers = new ArrayList<>();
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private ArrayList<BookReceiver> selectBookReceiver(OrderType t) {
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switch (t) {
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case ask:
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return ask_bookreceivers;
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case bid:
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return bid_bookreceivers;
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}
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return null;
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}
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public void addBookReceiver(OrderType t, BookReceiver br) {
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ArrayList<BookReceiver> bookreceivers;
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bookreceivers = selectBookReceiver(t);
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bookreceivers.add(br);
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}
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void updateBookReceivers(OrderType t) {
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ArrayList<BookReceiver> bookreceivers;
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bookreceivers = selectBookReceiver(t);
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Iterator<BookReceiver> i = bookreceivers.iterator();
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while (i.hasNext()) {
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i.next().UpdateOrderBook();
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}
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try {
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sleep(10);
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} catch (InterruptedException e) {
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System.out.println("I was Interrupted");
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}
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}
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// Here we store the list of quote receivers
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private final ArrayList<QuoteReceiver> qrlist;
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/**
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*
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* @param qr
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*/
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public void addQuoteReceiver(QuoteReceiver qr) {
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qrlist.add(qr);
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}
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// send updated quotes to all quote receivers
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private void updateQuoteReceivers(Quote q) {
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Iterator<QuoteReceiver> i = qrlist.iterator();
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while (i.hasNext()) {
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i.next().UpdateQuote(q);
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}
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}
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// long time = 0;
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double theprice = 12.9;
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long orderid = 1;
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double lastprice = 100.0;
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long lastsvolume;
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public TreeSet<Order> bid;
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public TreeSet<Order> ask;
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private Locker tradelock = new Locker();
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/*
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private final Semaphore available = new Semaphore(1, true);
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private void Lock() {
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try {
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available.acquire();
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} catch (InterruptedException s) {
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System.out.println("Interrupted\n");
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}
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}
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private void Unlock() {
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available.release();
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}
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*/
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private TreeSet<Order> selectOrderBook(OrderType t) {
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switch (t) {
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case bid:
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return this.bid;
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case ask:
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return this.ask;
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}
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return null;
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}
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public ArrayList<Order> getOrderBook(OrderType t, int depth) {
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TreeSet<Order> book = selectOrderBook(t);
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if (book == null) {
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return null;
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}
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ArrayList<Order> ret = new ArrayList<>();
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Iterator<Order> it = book.iterator();
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for (int i = 0; i < depth && it.hasNext(); i++) {
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Order o;
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o = it.next();
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ret.add(o);
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//System.out.print("Order" + o.limit);
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//System.out.println();
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}
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return ret;
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}
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public void print_current() {
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Order b;
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Order a;
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//String bid;
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if (bid.isEmpty()) {
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b = new BuyOrder();
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b.limit = -1;
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b.volume = 0;
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} else {
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b = bid.first();
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}
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if (ask.isEmpty()) {
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a = new SellOrder();
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a.limit = -1;
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a.volume = 0;
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} else {
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a = ask.first();
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}
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Logger.info(String.format("BID: %s(%s) LAST: %.2f(%d) ASK: %s(%s)\n",
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b.format_limit(), b.format_volume(),
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lastprice, lastsvolume,
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a.format_limit(), a.format_volume())
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);
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}
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public void transferMoney(Account src, Account dst, double money) {
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src.money -= money;
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dst.money += money;
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}
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public void cancelOrder(Order o) {
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tradelock.lock();
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TreeSet<Order> book = this.selectOrderBook(o.type);
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book.remove(o);
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this.updateBookReceivers(o.type);
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o.account.pending.remove(o);
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o.status = OrderStatus.canceled;
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tradelock.unlock();
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}
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/**
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* Transfer shares from one account to another account
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*
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* @param src source account
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* @param dst destination account
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* @param volumen number of shares
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* @param price price
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*/
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protected void transferShares(Account src, Account dst, long volume, double price) {
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dst.shares += volume;
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src.shares -= volume;
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dst.money -= price * volume;
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src.money += price * volume;
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}
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long nextQuoteId = 0;
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public void OrderMatching() {
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while (true) {
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if (bid.isEmpty() || ask.isEmpty()) {
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// nothing to do
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return;
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}
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Order b = bid.first();
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Order a = ask.first();
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if (a.volume == 0) {
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// This order is fully executed, remove
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a.account.orderpending = false;
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a.status = OrderStatus.executed;
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a.account.pending.remove(a);
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ask.pollFirst();
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this.updateBookReceivers(OrderType.ask);
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continue;
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}
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if (b.volume == 0) {
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// This order is fully executed, remove
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b.account.orderpending = false;
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b.status = OrderStatus.executed;
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b.account.pending.remove(b);
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bid.pollFirst();
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this.updateBookReceivers(OrderType.bid);
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continue;
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}
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if (b.limit < a.limit) {
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// no match, nothing to do
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return;
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}
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if (b.limit >= a.limit) {
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double price;
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if (b.id < a.id) {
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price = b.limit;
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} else {
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price = a.limit;
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}
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long volume;
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if (b.volume >= a.volume) {
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volume = a.volume;
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} else {
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volume = b.volume;
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}
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transferShares(a.account, b.account, volume, price);
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// b.account.Buy(a.account, volume, price);
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b.volume -= volume;
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a.volume -= volume;
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lastprice = price;
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lastsvolume = volume;
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Quote q = new Quote();
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q.volume = volume;
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q.price = price;
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q.time = System.currentTimeMillis();
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q.ask = a.limit;
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q.bid = b.limit;
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q.id = nextQuoteId++;
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this.updateQuoteReceivers(q);
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this.updateBookReceivers(OrderType.bid);
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this.updateBookReceivers(OrderType.ask);
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/* System.out.print(
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"Executed: "
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+ q.price
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+ " / "
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+ q.volume
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+ "\n"
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);
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*/
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quoteHistory.add(q);
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continue;
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}
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return;
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}
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}
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public void ExecuteOrder(BuyOrder o) {
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// SellOrder op = ask.peek();
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}
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private boolean InitOrder(Order o) {
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double moneyNeeded = o.volume * o.limit;
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return true;
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}
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// Add an order to the orderbook
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private boolean addOrder(Order o) {
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boolean ret = false;
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switch (o.type) {
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case bid:
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// System.out.print("Exchange adding bid order \n");
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ret = bid.add(o);
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break;
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case ask:
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// System.out.print("Exchange adding ask order \n");
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ret = ask.add(o);
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break;
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}
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if (ret) {
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this.updateBookReceivers(o.type);
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}
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return ret;
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}
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public Order SendOrder(Order o) {
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boolean rc = InitOrder(o);
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if (!rc) {
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return null;
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}
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tradelock.lock();
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o.timestamp = System.currentTimeMillis();
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o.id = orderid++;
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addOrder(o);
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o.account.pending.add(o);
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OrderMatching();
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tradelock.unlock();
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return o;
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}
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/*
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public void SendOrder(BuyOrder o) {
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//System.out.println("EX Buyorder");
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Lock();
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o.timestamp = System.currentTimeMillis();
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o.id = orderid++;
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bid.add(o);
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Unlock();
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Lock();
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// OrderMatching();
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Unlock();
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}
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*/
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/*
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* public void SendOrder(Order o){
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*
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*
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* if ( o.getClass() == BuyOrder.class){ bid.add((BuyOrder)o); }
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*
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* if ( o.getClass() == SellOrder.class){ ask.add((SellOrder)o); }
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*
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* }
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*/
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public double getlastprice() {
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/*
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* SellOrder so = new SellOrder(); so.limit=1000.0; so.volume=500;
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* SendOrder(so);
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*
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* BuyOrder bo = new BuyOrder(); bo.limit=1001.0; bo.volume=300;
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* SendOrder(bo);
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*/
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return lastprice;
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}
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/* public double sendOrder(Account o) {
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return 0.7;
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}
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*/
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/**
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*
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*/
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@Override
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public void run() {
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while (true) {
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try {
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sleep(1500);
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} catch (InterruptedException e) {
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System.out.println("I was Interrupted");
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}
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print_current();
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}
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}
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}
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