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); }
public List<OptimizationResult> call() throws JBookTraderException { List<Strategy> strategies = new ArrayList<>(); List<OptimizationResult> optimizationResults = new LinkedList<>(); MarketBook marketBook = new MarketBook(); IndicatorManager indicatorManager = new IndicatorManager(); for (StrategyParams params : tasks) { Strategy strategy = optimizerRunner.getStrategyInstance(params); strategy.setMarketBook(marketBook); strategy.setIndicatorManager(indicatorManager); strategy.setIndicators(); strategies.add(strategy); } TradingSchedule tradingSchedule = strategies.get(0).getTradingSchedule(); int strategiesCount = strategies.size(); List<MarketSnapshot> snapshots = optimizerRunner.getSnapshots(); long snapshotsCount = snapshots.size(); for (int count = 0; count < snapshotsCount; count++) { MarketSnapshot marketSnapshot = snapshots.get(count); marketBook.setSnapshot(marketSnapshot); indicatorManager.updateIndicators(); boolean isInSchedule = tradingSchedule.contains(marketSnapshot.getTime()); if (count < snapshotsCount - 1) { // ekk-needs optimization isInSchedule = isInSchedule && !marketBook.isGapping(snapshots.get(count + 1)); } for (Strategy strategy : strategies) { strategy.processInstant(isInSchedule); } if (count % 5000 == 0) { if (optimizerRunner.isCancelled()) { break; } optimizerRunner.iterationsCompleted(strategiesCount * 5000); } } if (!optimizerRunner.isCancelled()) { int minTrades = optimizerRunner.getMinTrades(); for (Strategy strategy : strategies) { strategy.closePosition(); PerformanceManager performanceManager = strategy.getPerformanceManager(); if (performanceManager.getTrades() >= minTrades) { if (inclusionCriteria.equals("All strategies") || performanceManager.getNetProfit() > 0) { OptimizationResult optimizationResult = new OptimizationResult(strategy.getParams(), performanceManager); optimizationResults.add(optimizationResult); } } } } return optimizationResults; }