Package com.collective2.signalEntry.adapter.dynamicSimulator.portfolio

Examples of com.collective2.signalEntry.adapter.dynamicSimulator.portfolio.Portfolio

399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
        // 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);

        validateStartingBalances(systemId, sentryService);

        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(BasePrice.Absolute,profitTarget,noOCA)
                .duration(timeInForce).send();

        final AtomicInteger signalId = new AtomicInteger(0);
        final AtomicInteger profitTargetSignalId = new AtomicInteger(0);
        final AtomicInteger stopLossSignalId = new AtomicInteger(0);

        openResponse.visitC2Elements(new C2ElementVisitor() {
            @Override
            public void visit(C2Element element, String data) {
                switch(element) {
                    case ElementSignalId:
                        signalId.set(Integer.valueOf(data));
                        break;
                    case ElementProfitTaretSignalId:
                        profitTargetSignalId.set(Integer.valueOf(data));
                        break;
                    case ElementStopLossSignalId:
                        stopLossSignalId.set(Integer.valueOf(data));
                        break;
                    default:
                        //nothing
                }
            }
        }, C2Element.ElementSignalId, C2Element.ElementStopLossSignalId, C2Element.ElementProfitTaretSignalId );

        sentryService.awaitPending();
        assertTrue(signalId.intValue()>=0);
        assertTrue(profitTargetSignalId.intValue()>0);
        assertTrue(stopLossSignalId.intValue()>0);

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

        //confirm that a price below target will not trigger
        dataProvider = dataProvider.incTime(timeStep,new BigDecimal("119"));
        simulationAdapter.tick(dataProvider,sentryService);

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

        final Set<Integer> pendingSignalIdSet = new HashSet<Integer>();
        sentryService.sendAllSignalsRequest().visitC2Elements(new C2ElementVisitor() {
            @Override
            public void visit(C2Element element, String data) {
View Full Code Here
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
92
93
94
95
96
97
        // 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().dollars(new BigDecimal("814.3")).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
        assertEquals(804.30d,systemEquity.doubleValue(),DELTA);

        final Set<C2Element> checkedElements = new HashSet<C2Element>();
        sentryService.sendSystemHypotheticalRequest(systemId).visitC2Elements(new C2ElementVisitor() {
            @Override
            public void visit(C2Element element, String data) {

                switch (element) {
                    case ElementTotalEquityAvail:
                        checkedElements.add(element);
                        assertEquals(9990d, Double.parseDouble(data), DELTA);
                        break;
                    case ElementCash:
                        checkedElements.add(element);
                        assertEquals(9185.70d, Double.parseDouble(data), DELTA);
                        break;
                    case ElementEquity:
                        checkedElements.add(element);
                        assertEquals(804.30d, Double.parseDouble(data), DELTA);
                        break;
                    case ElementMarginUsed:
                        checkedElements.add(element);
                        assertEquals(0d, Double.parseDouble(data), DELTA);
                        break;
                    default:
                        //nothing
                }
            }
        },C2Element.ElementTotalEquityAvail,
                C2Element.ElementCash,
                C2Element.ElementEquity,
                C2Element.ElementMarginUsed);
        assertEquals("expected to check 4 elements",4,checkedElements.size());
        assertEquals(10, portfolio.position("msft").quantity().intValue());
    }
View Full Code Here
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
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
        // 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
        assertEquals(804.30d,systemEquity.doubleValue(),DELTA);

        final Set<C2Element> checkedElements = new HashSet<C2Element>();
        sentryService.sendSystemHypotheticalRequest(systemId).visitC2Elements(new C2ElementVisitor() {
            @Override
            public void visit(C2Element element, String data) {

                switch (element) {
                    case ElementTotalEquityAvail:
                        checkedElements.add(element);
                        assertEquals(9990d, Double.parseDouble(data), DELTA);
                        break;
                    case ElementCash:
                        checkedElements.add(element);
                        assertEquals(9185.70d, Double.parseDouble(data), DELTA);
                        break;
                    case ElementEquity:
                        checkedElements.add(element);
                        assertEquals(804.30d, Double.parseDouble(data), DELTA);
                        break;
                    case ElementMarginUsed:
                        checkedElements.add(element);
                        assertEquals(0d, Double.parseDouble(data), DELTA);
                        break;
                     default:
                        //nothing
                }
            }
        },C2Element.ElementTotalEquityAvail,
                C2Element.ElementCash,
                C2Element.ElementEquity,
                C2Element.ElementMarginUsed);
        assertEquals("expected to check 4 elements",4,checkedElements.size());
        assertEquals(10, portfolio.position("msft").quantity().intValue());
    }
View Full Code Here
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
        // 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);


View Full Code Here
375
376
377
378
379
380
381
382
        }

    }

    public Integer createSystem(BigDecimal buyPower, String name, String password, BigDecimal commission) {
        Portfolio portfolio = new SimplePortfolioFactory().createPortfolio(buyPower);
        return createSystem(name,password, portfolio, commission);
    }
View Full Code Here
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
        // 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);
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 stopBTOTest(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;


        OrderProcessorStop processor = new OrderProcessorStop(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("buy ",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;

        OrderProcessorStop sellProcessor = new OrderProcessorStop(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("sell ",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 stopShortTest(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;

        OrderProcessorStop processor = new OrderProcessorStop(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;
        OrderProcessorStop buyProcessor = new OrderProcessorStop(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
71
72
73
74
75
76
77
78
79
80
81
    }

    private void stopBTOTest(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";
View Full Code Here
146
147
148
149
150
151
152
153
154
155
156

    private void stopShortTest(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";
View Full Code Here
TOP

Related Classes of com.collective2.signalEntry.adapter.dynamicSimulator.portfolio.Portfolio

  • 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.