@Ignore
@Test
public void testGetHistoryBarsFromDukascopyServer() throws InterruptedException {
String start = "2011.01.01 00:00:00 +0000";
String end = "2011.01.02 01:00:00 +0000";
historyMarketDataFeedTestStrategy.setServerBars(kBarsFromDukascopyServer);
historyMarketDataFeedTestStrategy.setTestBar_start(start);
historyMarketDataFeedTestStrategy.setTestBar_end(end);
historyMarketDataFeedTestStrategy.setTestPeriod(Period.TEN_SECS);
historyMarketDataFeedTestStrategy.setInstrument(Instrument.EURUSD);
dukascopyHistoryMarketDataFeedClient.setStrategy(historyMarketDataFeedTestStrategy);
new Thread() {
public void run() {
dukascopyHistoryMarketDataFeedClient.start();
}
}.start();
synchronized (kBarsFromDukascopyServer) {
kBarsFromDukascopyServer.wait();
logger.info("verify the data in kBarsFromDukascopyServer");
logger.info("kBarsFromDukascopyServer size is " + kBarsFromDukascopyServer.size());
for (HistoryDataKBar kbar : kBarsFromDukascopyServer) {
logger.info(kbar.toString());
}
}
}
public static double calculateRealizedPnL(
Position position, Map<Instrument, HistoryDataKBar> currentPrices, Currency baseCurrency) {
Double amount = position.getAmount();
Direction direction = position.getDirection();
Double openPrice = position.getOpenPrice();
Double closePrice = position.getClosePrice();
HistoryDataKBar instrumentPriceBar = currentPrices.get(position.getInstrument());
HistoryDataKBar conversionPriceBar = null;
if (baseCurrency != position.getInstrument().getCurrency1()
&& baseCurrency != position.getInstrument().getCurrency2()) {
Instrument conversionInstrument =
new Instrument(baseCurrency, position.getInstrument().getCurrency2());
conversionPriceBar = currentPrices.get(conversionInstrument);
}
Double realizedPnL;
// Standard PnL calculation. This is in the second currency of the instrument
if (direction == Direction.Long) {
realizedPnL = amount * TradingUtils.getGolbalAmountUnit() * (closePrice - openPrice);
} else {
realizedPnL = amount * TradingUtils.getGolbalAmountUnit() * (openPrice - closePrice);
}
// simple case -- pips is already in base currency
if (baseCurrency == instrumentPriceBar.getInstrument().getCurrency2()) return realizedPnL;
// if the base currency is the first currency of the instrument, we need to
// divide pips by ask price to get pips in base currency
if (instrumentPriceBar.getInstrument().getCurrency1() == baseCurrency) {
realizedPnL = realizedPnL / instrumentPriceBar.getOhlc().getAskClose();
return realizedPnL;
}
if (conversionPriceBar == null)
throw new IllegalArgumentException(
"need a conversion price when computing instrument "
+ conversionPriceBar.getInstrument()
+ " into P/L of base currency "
+ baseCurrency);
if (baseCurrency == conversionPriceBar.getInstrument().getCurrency1()) {
// use the 'ask'
realizedPnL = realizedPnL / conversionPriceBar.getOhlc().getAskClose();
} else {
// use the 'bid'
realizedPnL = realizedPnL * conversionPriceBar.getOhlc().getBidClose();
}
return realizedPnL;
}
private static double calculateOpenPnL(
Double amount,
Direction direction,
Double openPrice,
HistoryDataKBar instrumentPriceBar,
HistoryDataKBar conversionPriceBar,
Currency baseCurrency) {
Double openPnL;
// Standard PnL calculation. This is in the second currency of the instrument
if (direction == Direction.Long) {
openPnL =
amount
* TradingUtils.getGolbalAmountUnit()
* (instrumentPriceBar.getOhlc().getBidClose() - openPrice);
} else {
openPnL =
amount
* TradingUtils.getGolbalAmountUnit()
* (openPrice - instrumentPriceBar.getOhlc().getAskClose());
}
// simple case -- pips is already in base currency
if (baseCurrency == instrumentPriceBar.getInstrument().getCurrency2()) return openPnL;
// if the base currency is the first currency of the instrument, we need to
// divide pips by ask price to get pips in base currency
if (instrumentPriceBar.getInstrument().getCurrency1() == baseCurrency) {
openPnL = openPnL / instrumentPriceBar.getOhlc().getAskClose();
return openPnL;
}
if (conversionPriceBar == null)
throw new IllegalArgumentException(
"need a conversion price when computing instrument "
+ conversionPriceBar.getInstrument()
+ " into P/L of base currency "
+ baseCurrency);
if (baseCurrency == conversionPriceBar.getInstrument().getCurrency1()) {
// use the 'ask'
openPnL = openPnL / conversionPriceBar.getOhlc().getAskClose();
} else {
// use the 'bid'
openPnL = openPnL * conversionPriceBar.getOhlc().getBidClose();
}
return openPnL;
}
