public List<MarketSnapshot> load(ProgressListener progressListener) throws JBookTraderException {
String line = "";
int lineSeparatorSize = System.getProperty("line.separator").length();
long sizeRead = 0, lineNumber = 0;
List<MarketSnapshot> snapshots = new ArrayList<MarketSnapshot>();
try {
while ((line = reader.readLine()) != null) {
if (lineNumber % 50000 == 0) {
progressListener.setProgress(sizeRead, fileSize, "Loading historical data file");
if (progressListener.isCancelled()) {
break;
}
}
lineNumber++;
sizeRead += line.length() + lineSeparatorSize;
boolean isComment = line.startsWith("#");
boolean isProperty = line.contains("=");
boolean isBlankLine = (line.trim().length() == 0);
boolean isMarketDepthLine = !(isComment || isProperty || isBlankLine);
if (isMarketDepthLine) {
MarketSnapshot marketSnapshot = toMarketDepth(line);
if (filter == null || filter.contains(time)) {
snapshots.add(marketSnapshot);
}
previousTime = time;
} else if (isProperty) {
if (line.startsWith("timeZone")) {
setTimeZone(line);
}
}
}
if (sdf == null) {
String msg = "Property " + "\"timeZone\"" + " is not defined in the data file." + LINE_SEP;
throw new JBookTraderException(msg);
}
} catch (IOException ioe) {
throw new JBookTraderException("Could not read data file");
} catch (Exception e) {
String errorMsg = "Problem parsing line #" + lineNumber + ": " + line + LINE_SEP;
String description = e.getMessage();
if (description == null) {
description = e.toString();
}
errorMsg += description;
throw new RuntimeException(errorMsg);
}
return snapshots;
}
/**
* Reads and validates a data file containing historical market depth records. The data file is used
* for back testing and optimization of trading strategies.
*/
public class BackTestFileReader {
public static final int COLUMNS = 5;
private static final String LINE_SEP = System.getProperty("line.separator");
private final BufferedReader reader;
private final MarketSnapshotFilter filter;
private final long fileSize;
private long previousTime, time;
private SimpleDateFormat sdf;
private String previousDateTimeWithoutSeconds;
public BackTestFileReader(String fileName, MarketSnapshotFilter filter)
throws JBookTraderException {
this.filter = filter;
previousDateTimeWithoutSeconds = "";
try {
reader = new BufferedReader(new InputStreamReader(new FileInputStream(fileName)));
fileSize = new File(fileName).length();
} catch (FileNotFoundException fnfe) {
throw new JBookTraderException("Could not find file " + fileName);
}
}
private void setTimeZone(String line) throws JBookTraderException {
String timeZone = line.substring(line.indexOf('=') + 1);
TimeZone tz = TimeZone.getTimeZone(timeZone);
if (!tz.getID().equals(timeZone)) {
String msg =
"The specified time zone " + "\"" + timeZone + "\"" + " does not exist." + LINE_SEP;
msg += "Examples of valid time zones: " + " America/New_York, Europe/London, Asia/Singapore.";
throw new JBookTraderException(msg);
}
sdf = new SimpleDateFormat("MMddyyHHmmss");
// Enforce strict interpretation of date and time formats
sdf.setLenient(false);
sdf.setTimeZone(tz);
}
public List<MarketSnapshot> load(ProgressListener progressListener) throws JBookTraderException {
String line = "";
int lineSeparatorSize = System.getProperty("line.separator").length();
long sizeRead = 0, lineNumber = 0;
List<MarketSnapshot> snapshots = new ArrayList<MarketSnapshot>();
try {
while ((line = reader.readLine()) != null) {
if (lineNumber % 50000 == 0) {
progressListener.setProgress(sizeRead, fileSize, "Loading historical data file");
if (progressListener.isCancelled()) {
break;
}
}
lineNumber++;
sizeRead += line.length() + lineSeparatorSize;
boolean isComment = line.startsWith("#");
boolean isProperty = line.contains("=");
boolean isBlankLine = (line.trim().length() == 0);
boolean isMarketDepthLine = !(isComment || isProperty || isBlankLine);
if (isMarketDepthLine) {
MarketSnapshot marketSnapshot = toMarketDepth(line);
if (filter == null || filter.contains(time)) {
snapshots.add(marketSnapshot);
}
previousTime = time;
} else if (isProperty) {
if (line.startsWith("timeZone")) {
setTimeZone(line);
}
}
}
if (sdf == null) {
String msg = "Property " + "\"timeZone\"" + " is not defined in the data file." + LINE_SEP;
throw new JBookTraderException(msg);
}
} catch (IOException ioe) {
throw new JBookTraderException("Could not read data file");
} catch (Exception e) {
String errorMsg = "Problem parsing line #" + lineNumber + ": " + line + LINE_SEP;
String description = e.getMessage();
if (description == null) {
description = e.toString();
}
errorMsg += description;
throw new RuntimeException(errorMsg);
}
return snapshots;
}
private MarketSnapshot toMarketDepth(String line) throws JBookTraderException, ParseException {
List<String> tokens = fastSplit(line);
if (tokens.size() != COLUMNS) {
String msg = "The line should contain exactly " + COLUMNS + " comma-separated columns.";
throw new JBookTraderException(msg);
}
String dateTime = tokens.get(0) + tokens.get(1);
String dateTimeWithoutSeconds = dateTime.substring(0, 10);
if (dateTimeWithoutSeconds.equals(previousDateTimeWithoutSeconds)) {
// only seconds need to be set
int milliSeconds = 1000 * Integer.parseInt(dateTime.substring(10));
long previousMilliSeconds = previousTime % 60000;
time = previousTime + (milliSeconds - previousMilliSeconds);
} else {
time = sdf.parse(dateTime).getTime();
previousDateTimeWithoutSeconds = dateTimeWithoutSeconds;
}
if (time <= previousTime) {
String msg =
"Timestamp of this line is before or the same as the timestamp of the previous line.";
throw new JBookTraderException(msg);
}
double balance = Double.parseDouble(tokens.get(2));
double price = Double.parseDouble(tokens.get(3));
int volume = Integer.parseInt(tokens.get(4));
return new MarketSnapshot(time, balance, price, volume);
}
private List<String> fastSplit(String s) {
ArrayList<String> tokens = new ArrayList<String>();
int index, lastIndex = 0;
while ((index = s.indexOf(',', lastIndex)) != -1) {
tokens.add(s.substring(lastIndex, index));
lastIndex = index + 1;
}
tokens.add(s.substring(lastIndex));
return tokens;
}
}
