예제 #1
0
  protected void reportStatusAndAction(Status status) throws Exception {

    // Setup a Strategy.Status structure
    Strategy.Status sstatus = new Strategy.Status(status.getSymbol());
    persistStatus(sstatus);
  }
예제 #2
0
  @Override
  protected void onNewDay(LocalDate prevDay, LocalDate newDay) throws Exception {
    if (!newDay.isAfter(getTradingStart().toLocalDate())) return;
    if (newDay.isAfter(getTradingStop().toLocalDate())) return;

    if (delay > 0) {
      --delay;
      return;
    }

    // Manage assets on first day of the month open
    if (prevDay.getMonth().equals(newDay.getMonth())) return;

    // Manage assets only on Monday's open
    // if(Calendar.toWeek(prevDay).equals(Calendar.toWeek(newDay))) return;

    // Sort the instruments
    Status[] longStatuses = statuses_.values().toArray(new Status[statuses_.size()]);
    Arrays.sort(
        longStatuses, (s1, s2) -> -Double.compare(s1.longScores.get(0), s2.longScores.get(0)));

    // Reset
    statuses_
        .values()
        .forEach(
            (s) -> {
              s.desiredPosition = 0;
            });

    String longLine = "";
    String shortLine = "";

    int end = Math.min(ntop, longStatuses.length);
    for (int ii = 0; ii < end; ++ii) {
      Status status = longStatuses[ii];
      double roc = status.roc.last();
      String str = String.format("%s: %.2f", status.getSymbol(), roc);
      if (longLine.isEmpty()) longLine = str;
      else longLine += "; " + str;

      if (roc > 0) status.desiredPosition = 1;
    }

    if (!longLine.isEmpty()) {
      longLine = "Long: " + longLine + "; ";
    }

    // Cancel all active orders.
    broker.cancelAllOrders();

    // Save the end equity
    double endEquity = getAccount().getEndEquity();
    double positionSize = endEquity / end;

    for (Status ss : longStatuses) {
      long pos = 0;
      if (ss.position > 0) pos = 1;
      else if (ss.position < 0) pos = -1;
      if (pos != ss.desiredPosition) {
        if (pos == 0) {
          if (ss.desiredPosition > 0) {
            long qty = (long) (positionSize / ss.lastClose);
            enterLong(ss.getSymbol(), qty);
          } else {
            long qty = (long) (positionSize / ss.lastClose);
            enterShort(ss.getSymbol(), qty);
          }
        } else if (pos > 0) {
          exitLong(ss.getSymbol());
          if (ss.desiredPosition < 0) {
            long qty = (long) (positionSize / ss.lastClose);
            enterShort(ss.getSymbol(), qty);
          }
        } else {
          exitShort(ss.getSymbol());
          if (ss.desiredPosition > 0) {
            long qty = (long) (positionSize / ss.lastClose);
            enterLong(ss.getSymbol(), qty);
          }
        }
      }
    }

    if (!shortLine.isEmpty()) {
      shortLine = "Short: " + shortLine + "; ";
    }

    if (!longLine.isEmpty() || !shortLine.isEmpty()) {
      System.out.println(
          String.format("%1$tY-%1$tm-%1$td [%1$ta]: %2$s%3$s", newDay, longLine, shortLine));
    }
  }