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());
}
}
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();
}
}
private StringBuilder getHeader(String symbol1, String symbol2) {
StringBuilder header = new StringBuilder();
String appInfo = JArbitrager.APP_NAME + ", version " + JArbitrager.VERSION;
header.append("# This historical data file was created by ").append(appInfo).append(LINE_SEP);
header
.append("# Each line represents a 1-second snapshot of the market and contains ")
.append(BackTestFileReader.COLUMNS)
.append(" columns:")
.append(LINE_SEP);
header.append("# 1. date in the MMddyy format").append(LINE_SEP);
header.append("# 2. time in the HHmmss format").append(LINE_SEP);
header.append("# 3. best bid for the first instrument").append(LINE_SEP);
header.append("# 4. best ask for the first instrument").append(LINE_SEP);
header.append("# 5. best bid for the second instrument").append(LINE_SEP);
header.append("# 6. best ask for the second instrument").append(LINE_SEP);
header.append(LINE_SEP);
header.append("instruments=").append(symbol1).append(",").append(symbol2).append(LINE_SEP);
header.append("timeZone=").append(dateFormat.getTimeZone().getID()).append(LINE_SEP);
return header;
}