public void addObservedResult(
double min, double max, double closeVal, long currentTime, String passCode)
throws IllegalStateValueDataModificationException {
if (!this.passCode.equals(passCode)) {
throw new IllegalStateValueDataModificationException();
}
int priority = 0;
Set<Long> closedOrders = new HashSet<Long>();
for (Map.Entry<Long, OpenOrder> entry : openOrders.entrySet()) {
long orderNumber = entry.getKey();
if (orderNumber != currentTime) {
OpenOrder order = entry.getValue();
double weight = Math.exp(-priority);
Integer timeClass = (int) (Math.log(currentTime - orderNumber) / Math.log(2));
int maxClass = (int) ((max - order.getPrice()) / res);
int minClass = (int) ((min - order.getPrice()) / res);
if (!dist.containsKey(timeClass)) {
dist.put(timeClass, new TreeMap<Integer, Double>());
}
for (int i = minClass; i <= maxClass; i++) {
if (!dist.get(timeClass).containsKey(i)) {
dist.get(timeClass).put(i, 0.0);
}
if (!collapsedDist.containsKey(i)) {
collapsedDist.put(i, 0.0);
}
}
if (minClass != 0 && maxClass != 0) {
for (int i = minClass; i <= maxClass; i++) {
dist.get(timeClass).put(i, dist.get(timeClass).get(i) + weight);
collapsedDist.put(i, collapsedDist.get(i) + weight);
}
}
sumWeights += weight;
boolean closed = false;
if (!order.isClosed()) {
if (order.getPosition() == 'L') {
closed = order.newPrice(min);
if (Math.random() > 0.5) // (!closed)
{
closed = order.newPrice(max);
}
} else {
closed = order.newPrice(max);
if (Math.random() > 0.5) // (!closed)
{
closed = order.newPrice(min);
}
}
if (!closed && (currentTime - orderNumber) > maxAge) {
order.close(closeVal);
closed = true;
}
if (closed) {
double profit = weight * (order.getPnL() / res);
// System.out.println("Order Closed from " + state + ": " + orderNumber + ": Profit: " +
// profit);
pnl += profit;
sum = pnl;
sum2PnL += (profit * profit);
sum2 = sum2PnL;
correlator.pnl -= average;
countClosed += weight;
average = pnl / countClosed;
correlator.pnl += average;
correlator.stackPnL.addToStack(Math.signum(profit));
double variance = Math.abs(sum2 / countClosed - average);
sdev = Math.sqrt(variance);
double average2PnL = average * average;
sharpe = Math.sqrt(average2PnL / variance);
}
}
if (closed && (currentTime - orderNumber) >= maxAge) {
closedOrders.add(orderNumber);
}
priority++;
}
}
for (long orderNumber : closedOrders) {
openOrders.remove(orderNumber);
}
if (openOrders.isEmpty()) {
correlator.removeLiveState(this);
}
}
public void newOrder(long orderNumber, double price, String passCode)
throws IllegalStateValueDataModificationException {
if (!this.passCode.equals(passCode)) {
throw new IllegalStateValueDataModificationException();
}
correlator.addLiveState(this);
TreeMap<Integer, Double> neg = new TreeMap<Integer, Double>(collapsedDist.headMap(0));
SortedMap<Integer, Double> pos = collapsedDist.tailMap(0);
int shortProfit = 0;
int shortLoss = 0;
// System.out.println("Distribution: ");
for (int returnClass : neg.descendingKeySet()) {
double weight = neg.get(returnClass);
if (weight / sumWeights > correlator.confidenceProfit) {
shortProfit = returnClass;
break;
}
}
for (int returnClass : neg.descendingKeySet()) {
double weight = neg.get(returnClass);
if (weight / sumWeights > correlator.confidenceLoss) {
shortLoss = returnClass;
break;
}
}
int longProfit = 0;
int longLoss = 0;
for (int returnClass : pos.keySet()) {
double weight = pos.get(returnClass);
if (weight / sumWeights > correlator.confidenceProfit) {
longProfit = returnClass;
break;
}
}
for (int returnClass : pos.keySet()) {
double weight = pos.get(returnClass);
if (weight / sumWeights > correlator.confidenceLoss) {
longLoss = returnClass;
break;
}
}
if (longProfit == 0) {
longProfit = (int) (10 * Math.random());
}
if (shortProfit == 0) {
shortProfit = (int) (-10 * Math.random());
}
double takeProfit = price + (longProfit * res);
// double stopLoss = price - (shortLoss*res);
double stopLoss = price - (longProfit * res);
if (Math.abs(shortProfit) > longProfit) {
takeProfit = price + (shortProfit * res);
// stopLoss = price + (longLoss*res);
stopLoss = price - (shortProfit * res);
}
openOrders.put(orderNumber, new OpenOrder("" + orderNumber, price, takeProfit, stopLoss));
// System.out.println("New Order from " + state + ": " + orderNumber + ": " + price + " " +
// takeProfit + " " + stopLoss);
}
