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;
}
