Esempio n. 1
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  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());
    }
  }
Esempio n. 2
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  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();
    }
  }
Esempio n. 3
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 public void close() {
   writer.close();
 }