コード例 #1
0
  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;
  }
コード例 #2
0
/**
 * 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;
  }
}