Package com.collective2.signalEntry.adapter

Examples of com.collective2.signalEntry.adapter.DynamicSimulationAdapter

97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
    }

    @Test
    public void quantityPercentTest() {
        // validates commands and returns hard coded (canned) responses
        DynamicSimulationAdapter simulationAdapter = new DynamicSimulationAdapter(false);

        String password = "P455w0rd";
        String eMail = "someone@somewhere.com";
        Portfolio portfolio = new SimplePortfolioFactory().createPortfolio(new BigDecimal("10000"));
        BigDecimal commission = new BigDecimal("10.00");
        Integer systemId = simulationAdapter.createSystem("first system",password,portfolio,commission);
        simulationAdapter.subscribe(eMail,systemId,password);
        C2ServiceFactory factory = new C2ServiceFactory(simulationAdapter);
        C2EntryService sentryService = factory.signalEntryService(password, systemId, eMail);

        assertEquals(0, portfolio.position("msft").quantity().intValue());

        Response openResponse = sentryService.stockSignal(ActionForStock.BuyToOpen)
                .marketOrder().accountPercent(new BigDecimal("0.08143")).symbol("msft")
                .duration(Duration.GoodTilCancel).send();

        Integer signalId = openResponse.getInteger(C2Element.ElementSignalId);

        assertEquals(0,signalId.intValue());

        long timeStep = 60000l*60l*24l;
        long time = 100000l;
        BigDecimal fixedPrice = new BigDecimal("80.43");

        DynamicSimulationMockDataProvider dataProvider = new DynamicSimulationMockDataProvider(time,fixedPrice,fixedPrice,fixedPrice,fixedPrice,time+timeStep);

        simulationAdapter.tick(dataProvider,sentryService);

        Number buyPower = sentryService.buyPower(); // 10000 - ((10 * 80.43)+10) = 10000-814.30
        assertEquals(9185.7d,buyPower.doubleValue(),DELTA);

        Number systemEquity = sentryService.systemEquity(); //10 * 80.43 = 804.30
View Full Code Here
214
215
216
217
218
219
220
221
222
223
224
225
226
227
        String mySystemName = "testSystem";
        BigDecimal commission = new BigDecimal("10");

        // simplest possible back test simulator setup
        try {
            DynamicSimulationAdapter adapter = new DynamicSimulationAdapter(marginAccount);

            //register our system and get our id from the simulator
            Integer systemId = adapter.createSystem(startingBuyPower, mySystemName, password, commission);

            C2ServiceFactory factory = new C2ServiceFactory(adapter);
            C2EntryService entryService = factory.signalEntryService(password,systemId);
            assertNotNull(entryService);
        } catch (Exception e) {
View Full Code Here
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
        Iterator<DataProvider> dataIterator = myDataProvider();

        // simplest possible back test simulator setup
        try {
            DynamicSimulationAdapter adapter = new DynamicSimulationAdapter(marginAccount);

            //as the simulation progresses write a summary of the gains to system out.
            long startTimeMs = 0; //do not report gain before this time has passed.
            long periodMs = 60000*60*24*10;//print gains once every 10 days
            adapter.addGainListener(startTimeMs, periodMs, new SimpleGainListener(System.out));

            //register our system and get our id from the simulator
            Integer systemId = adapter.createSystem(startingBuyPower, mySystemName, password, commission);

            C2ServiceFactory factory = new C2ServiceFactory(adapter);
            C2EntryService entryService = factory.signalEntryService(password,systemId);

            while (dataIterator.hasNext()) {

                //get data provider for the next time period
                DataProvider data = dataIterator.next();

                //first, send the data for this time period to the simulator
                adapter.tick(data, entryService); //multiple ticks can be sent for finer granularity

                //second use that data for building up your own signals
                mySignalGenerator(data, entryService);

            }
View Full Code Here
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
    @Test
    public void simpleGainListenerTest() {

        // validates commands and returns hard coded (canned) responses
        DynamicSimulationAdapter simulationAdapter = new DynamicSimulationAdapter(false);

        String password = "P455w0rd";
        String eMail = "someone@somewhere.com";
        Portfolio portfolio = new SimplePortfolioFactory().createPortfolio(new BigDecimal("10000"));
        BigDecimal commission = new BigDecimal("10.00");
        Integer systemId = simulationAdapter.createSystem("first system",password,portfolio,commission);
        simulationAdapter.subscribe(eMail,systemId,password);
        C2ServiceFactory factory = new C2ServiceFactory(simulationAdapter);
        C2EntryService sentryService = factory.signalEntryService(password, systemId, eMail);

        long timeStep = 60000l*60l*24l;

        ByteArrayOutputStream baos = new ByteArrayOutputStream(1024);
        PrintStream printStream = new PrintStream(baos);

        GainListener listener = new SimpleGainListener(printStream);
        long start = 0;
        long period = timeStep;
        simulationAdapter.addGainListener(start,period,listener);


        BigDecimal stopLoss = new BigDecimal("20.50");
        BigDecimal profitTarget = new BigDecimal("120.50");

        assertEquals(0, portfolio.position("msft").quantity().intValue());
        Response openResponse = sentryService.stockSignal(ActionForStock.BuyToOpen)
                .marketOrder().quantity(10).symbol("msft")
                .stopLoss(stopLoss).profitTarget(profitTarget)
                .duration(Duration.GoodTilCancel).send();


        long openTime = 0l;
        long closeTime = openTime+timeStep;

        BigDecimal closePrice = new BigDecimal("160.86");
        BigDecimal lowPrice = new BigDecimal("80");
        BigDecimal highPrice = new BigDecimal("100");
        DynamicSimulationMockDataProvider dataProvider = new DynamicSimulationMockDataProvider(
                openTime,lowPrice,highPrice,lowPrice,highPrice,closeTime);

        simulationAdapter.tick(dataProvider, sentryService);

        assertEquals(10, portfolio.position("msft").quantity().intValue());

        dataProvider = dataProvider.incTime(timeStep, new BigDecimal("22"));
        simulationAdapter.tick(dataProvider, sentryService);

        assertEquals(10, portfolio.position("msft").quantity().intValue());

        dataProvider = dataProvider.incTime(timeStep,new BigDecimal("10"));
        simulationAdapter.tick(dataProvider, sentryService);


        simulationAdapter.awaitGainListeners();

        //results
        System.out.println(baos.toString());


View Full Code Here
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
    public void runTest(boolean isLimit, BasePrice base, BigDecimal triggerPrice, BigDecimal expectedStop, int expectedPendingCount) {


        // validates commands and returns hard coded (canned) responses
        DynamicSimulationAdapter simulationAdapter = new DynamicSimulationAdapter(false);

        String password = "P455w0rd";
        String eMail = "someone@somewhere.com";
        Portfolio portfolio = new SimplePortfolioFactory().createPortfolio(new BigDecimal("10000"));
        BigDecimal commission = new BigDecimal("10.00");
        Integer systemId = simulationAdapter.createSystem("first system",password,portfolio,commission);
        simulationAdapter.subscribe(eMail,systemId,password);
        C2ServiceFactory factory = new C2ServiceFactory(simulationAdapter);
        C2EntryService sentryService = factory.signalEntryService(password, systemId, eMail);

        assertEquals(0, portfolio.position("msft").quantity().intValue());

        Signal msft = sentryService.stockSignal(ActionForStock.BuyToOpen)
                .quantity(10).symbol("msft")
                .stopLoss(base, stopSize)
                .duration(Duration.GoodTilCancel);
        if (isLimit) {
            msft = msft.limitOrder(triggerPrice);
        } else {
            msft = msft.stopOrder(triggerPrice);
        }

        Response openResponse = msft.send();

        Integer signalId = openResponse.getInteger(C2Element.ElementSignalId);

        assertEquals(0,signalId.intValue());


        simulationAdapter.tick(dataProvider,sentryService);

        HashSet<Integer> pending = sentryService.sendAllSignalsRequest()
                                                   .collectIntegers(new HashSet<Integer>(),
                                                                    C2Element.ElementSignalId);
View Full Code Here
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78

    @Test
    public void  marketBTOTest() {

        Portfolio portfolio = new SimplePortfolioFactory().createPortfolio(new BigDecimal("1000.00"));

        int id = 42;
        long time = stop;
        Instrument instrument = Instrument.Forex;
        String symbol = "GG";
        SignalAction action = SignalAction.BTO;
        Integer quantity = 10;
        QuantityComputable quantityComputable = new QuantityComputableFixed(quantity);
        long cancelAtMs = Long.MAX_VALUE;
        Duration timeInForce = Duration.GoodTilCancel;
        OrderProcessorMarket processor = new OrderProcessorMarket(time, symbol);
        Order order = new Order(null, id,instrument,symbol,action,quantityComputable,cancelAtMs,timeInForce,processor, null);

        //test only the processor and do it outside the order
        boolean processed = processor.process(dataProvider, portfolio, commission, order, action, quantityComputable, null);

        assertTrue(processed);
        assertEquals(new BigDecimal("961.00"),portfolio.cash());
        assertEquals(quantity,portfolio.position("GG").quantity());
        assertEquals(new BigDecimal("60"),portfolio.equity(dataProvider));

        //sell to close this open position.

        action = SignalAction.STC;
        order = new Order(null, id,instrument,symbol,action,quantityComputable,cancelAtMs,timeInForce,processor, null);

        //test only the processor and do it outside the order
        processed = processor.process(dataProvider, portfolio, commission, order, action, quantityComputable, null);

        assertTrue(processed);
        assertEquals(new BigDecimal("982.00"),portfolio.cash());
        assertEquals(Integer.valueOf(0),portfolio.position("GG").quantity());
        assertEquals(new BigDecimal("0"),portfolio.equity(dataProvider));

    }
View Full Code Here
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
    }


    private void  marketShortTest(SignalAction sellAction) {

        Portfolio portfolio = new SimplePortfolioFactory().createPortfolio(new BigDecimal("1000.00"));

        int id = 42;
        long time = stop;
        Instrument instrument = Instrument.Forex;
        String symbol = "GG";
        Integer quantity = 10;
        QuantityComputable quantityComputable = new QuantityComputableFixed(quantity);
        long cancelAtMs = Long.MAX_VALUE;
        Duration timeInForce = Duration.GoodTilCancel;
        OrderProcessorMarket processor = new OrderProcessorMarket(time, symbol);
        Order order = new Order(null, id,instrument,symbol,sellAction,quantityComputable,cancelAtMs,timeInForce,processor, null);

        //test only the processor and do it outside the order
        boolean processed = processor.process(dataProvider, portfolio, commission, order, sellAction, quantityComputable, null);

        assertTrue(processed);
        assertEquals(new BigDecimal("1021.00"),portfolio.cash());
        assertEquals(Integer.valueOf(-quantity),portfolio.position("GG").quantity());
        assertEquals(new BigDecimal("-60"),portfolio.equity(dataProvider));

        //Buy to cover this short position

        SignalAction action = SignalAction.BTC;
        order = new Order(null, id,instrument,symbol,action,quantityComputable,cancelAtMs,timeInForce,processor, null);

        processed = processor.process(dataProvider, portfolio, commission, order, action, quantityComputable, null);

        assertTrue(processed);
        assertEquals(new BigDecimal("982.00"),portfolio.cash());
        assertEquals(Integer.valueOf(0),portfolio.position("GG").quantity());
        assertEquals(new BigDecimal("0"),portfolio.equity(dataProvider));

    }
View Full Code Here
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81

    @Test
    public void  conditionalOrderTest() {

        Portfolio portfolio = new SimplePortfolioFactory().createPortfolio(new BigDecimal("1000.00"));

        int id = 42;
        long time = stop;
        Instrument instrument = Instrument.Forex;
        String symbol = "GG";
        SignalAction action = SignalAction.BTO;
        Integer quantity = 10;
        QuantityComputable quantityComputable = new QuantityComputableFixed(quantity);
        long cancelAtMs = Long.MAX_VALUE;
        Duration timeInForce = Duration.GoodTilCancel;
        OrderProcessorMarket processor = new OrderProcessorMarket(time, symbol);
        Order buyOrder = new Order(null, id,instrument,symbol,action,quantityComputable,cancelAtMs,timeInForce,processor, null);

        //final quantity is not known until this order is processed
        //this however has the quantity because QuantityComputableFixed is used above
        assertEquals(Integer.valueOf(10), Integer.valueOf(buyOrder.quantity()));

        action = SignalAction.STC;
        quantityComputable = new QuantityComputableEntry(buyOrder);
        Order sellOrder = new Order(null, id,instrument,symbol,action,quantityComputable,cancelAtMs,timeInForce,processor, buyOrder);

        //final quantity is not known until this order is processed
        //this however has the quantity because QuantityComputableFixed is used above
        assertEquals(Integer.valueOf(10), Integer.valueOf(sellOrder.quantity()));

        assertTrue(buyOrder.process(dataProvider,portfolio,commission,null));

        assertEquals(quantity, Integer.valueOf(buyOrder.quantity()));
        assertEquals(quantity, Integer.valueOf(sellOrder.quantity()));

        assertTrue(sellOrder.process(dataProvider, portfolio, commission,null));

        assertEquals(new BigDecimal("982.00"),portfolio.cash());
        assertEquals(Integer.valueOf(0),portfolio.position("GG").quantity());
        assertEquals(new BigDecimal("0"),portfolio.equity(dataProvider));

    }
View Full Code Here
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
    }

    private void limitBTOTest(RelativeNumber buyBelow, RelativeNumber sellAbove, BigDecimal expectedBuy, BigDecimal expectedSell) {

        BigDecimal startingCash = new BigDecimal("1000.00");
        Portfolio portfolio = new SimplePortfolioFactory().createPortfolio(startingCash);

        int id = 42;
        long time = stop;
        Instrument instrument = Instrument.Forex;
        String symbol = "GG";
        SignalAction action = SignalAction.BTO;
        Integer quantity = 10;
        QuantityComputable quantityComputable = new QuantityComputableFixed(quantity);
        long cancelAtMs = Long.MAX_VALUE;
        Duration timeInForce = Duration.GoodTilCancel;


        OrderProcessorLimit processor = new OrderProcessorLimit(time, symbol, buyBelow);
        Order order = new Order(null,id,instrument,symbol,action,quantityComputable,cancelAtMs,timeInForce,processor,null);

        //test only the processor and do it outside the order
        boolean processed = processor.process(dataProvider, portfolio, commission, order, action, quantityComputable,null);

        assertTrue(processed);
        BigDecimal expectedCash = startingCash.subtract(expectedBuy.multiply(new BigDecimal(quantity)).add(commission));

        assertEquals(expectedBuy, processor.transactionPrice());
        assertEquals(expectedCash, portfolio.cash());
        assertEquals(quantity,portfolio.position("GG").quantity());
        assertEquals(new BigDecimal("60"),portfolio.equity(dataProvider));

        //sell to close this open position.

        action = SignalAction.STC;

        OrderProcessorLimit sellProcessor = new OrderProcessorLimit(time, symbol, sellAbove);
        order = new Order(null, id,instrument,symbol,action,quantityComputable,cancelAtMs,timeInForce,sellProcessor,null);

        //test only the processor and do it outside the order
        processed = sellProcessor.process(dataProvider, portfolio, commission, order, action, quantityComputable,null);

        assertTrue(processed);
        expectedCash = expectedCash.add(expectedSell.multiply(new BigDecimal(quantity))).subtract(commission);

        assertEquals(expectedSell, sellProcessor.transactionPrice());
        assertEquals(expectedCash,portfolio.cash());
        assertEquals(Integer.valueOf(0),portfolio.position("GG").quantity());
        assertEquals(new BigDecimal("0"),portfolio.equity(dataProvider));

    }
View Full Code Here
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191

    private void  limitShortTest(SignalAction sellAction, RelativeNumber sellAbove, RelativeNumber buyBelow, BigDecimal expectedSell, BigDecimal expectedBuy) {

        BigDecimal startingCash = new BigDecimal("1000.00");
        Portfolio portfolio = new SimplePortfolioFactory().createPortfolio(startingCash);

        int id = 42;
        long time = stop;
        Instrument instrument = Instrument.Forex;
        String symbol = "GG";
        Integer quantity = 10;
        QuantityComputable quantityComputable = new QuantityComputableFixed(quantity);
        long cancelAtMs = Long.MAX_VALUE;
        Duration timeInForce = Duration.GoodTilCancel;

        OrderProcessorLimit processor = new OrderProcessorLimit(time,symbol,sellAbove);
        Order order = new Order(null, id,instrument,symbol,sellAction,quantityComputable,cancelAtMs,timeInForce,processor,null);

        //test only the processor and do it outside the order
        boolean processed = processor.process(dataProvider, portfolio, commission, order, sellAction, quantityComputable,null);

        BigDecimal expectedCash = startingCash.add(expectedSell.multiply(new BigDecimal(quantity)).subtract(commission));

        assertTrue(processed);
        assertEquals("sell ", expectedSell, processor.transactionPrice());
        assertEquals(expectedCash,portfolio.cash());
        assertEquals(Integer.valueOf(-quantity),portfolio.position("GG").quantity());
        assertEquals(new BigDecimal("-60"),portfolio.equity(dataProvider));

        //Buy to cover this short position

        SignalAction action = SignalAction.BTC;
        OrderProcessorLimit buyProcessor = new OrderProcessorLimit(time,symbol,buyBelow);
        order = new Order(null, id,instrument,symbol,action,quantityComputable,cancelAtMs,timeInForce,buyProcessor,null);

        processed = buyProcessor.process(dataProvider, portfolio, commission, order, action, quantityComputable,null);
        expectedCash = expectedCash.subtract(expectedBuy.multiply(new BigDecimal(quantity))).subtract(commission);

        assertTrue(processed);
        assertEquals("buy ",expectedBuy, buyProcessor.transactionPrice());
        assertEquals(expectedCash,portfolio.cash());
        assertEquals(Integer.valueOf(0),portfolio.position("GG").quantity());
        assertEquals(new BigDecimal("0"),portfolio.equity(dataProvider));

    }
View Full Code Here
TOP

Related Classes of com.collective2.signalEntry.adapter.DynamicSimulationAdapter

  • com.collective2.signalEntry.adapter.C2EntryServiceAdapter
  • com.collective2.signalEntry.adapter.Collective2Adapter
  • com.collective2.signalEntry.adapter.Collective2AdapterTest
  • com.collective2.signalEntry.adapter.DynamicSimulationAdapter
  • com.collective2.signalEntry.adapter.dynamicSimulator.DataProvider
  • com.collective2.signalEntry.adapter.dynamicSimulator.DynamicSimulationLongTest
  • com.collective2.signalEntry.adapter.dynamicSimulator.DynamicSimulationLongXReplaceTest
  • com.collective2.signalEntry.adapter.dynamicSimulator.DynamicSimulationMockDataProvider
  • com.collective2.signalEntry.adapter.dynamicSimulator.DynamicSimulationQuanityTest
  • com.collective2.signalEntry.adapter.dynamicSimulator.DynamicSimulationRelativeTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.