public BackTestFileWriter(Strategy strategy) throws JArbitragerException {
decimalFormat = NumberFormatterFactory.getNumberFormatter(5);
dateFormat = new SimpleDateFormat("MMddyy,HHmmss");
dateFormat.setTimeZone(strategy.getTradingSchedule().getTimeZone());
File marketDataDir = new File(MARKET_DATA_DIR);
if (!marketDataDir.exists()) {
marketDataDir.mkdir();
}
String fullFileName = MARKET_DATA_DIR + FILE_SEP + strategy.getName() + ".txt";
try {
boolean fileExisted = new File(fullFileName).exists();
writer = new PrintWriter(new BufferedWriter(new FileWriter(fullFileName, true)));
if (!fileExisted) {
StringBuilder header =
getHeader(
strategy.getInstrument1().getContract().m_symbol,
strategy.getInstrument2().getContract().m_symbol);
writer.println(header);
}
} catch (IOException ioe) {
throw new JArbitragerException("Could not write to file " + strategy.getName());
}
}
public void write(long time, Instrument instrument1, Instrument instrument2) {
double bid1 = instrument1.getBid();
double ask1 = instrument1.getAsk();
double bid2 = instrument2.getBid();
double ask2 = instrument2.getAsk();
if (bid1 > 0 && ask1 > 0 && bid2 > 0 && ask2 > 0) {
StringBuilder sb = new StringBuilder();
sb.append(dateFormat.format(new Date(time))).append(",");
sb.append(decimalFormat.format(bid1)).append(",");
sb.append(decimalFormat.format(ask1)).append(",");
sb.append(decimalFormat.format(bid2)).append(",");
sb.append(decimalFormat.format(ask2));
writer.println(sb);
writer.flush();
}
}
public void close() {
writer.close();
}
