private void init() {
setDefaultCloseOperation(DISPOSE_ON_CLOSE);
setTitle("Strategy Information - " + strategy.getName());
this.addWindowListener(
new WindowAdapter() {
@Override
public void windowClosing(WindowEvent e) {
Dispatcher dispatcher = Dispatcher.getInstance();
dispatcher.removeListener(StrategyInformationDialog.this);
}
});
JPanel contentPanel = new JPanel(new BorderLayout());
getContentPane().add(contentPanel, BorderLayout.CENTER);
JTabbedPane tabbedPane = new JTabbedPane();
contentPanel.add(tabbedPane, BorderLayout.CENTER);
JPanel performancePanel = new JPanel(new SpringLayout());
tabbedPane.addTab("Performance", performancePanel);
NumberFormat nf2 = NumberFormatterFactory.getNumberFormatter(2);
PerformanceManager pm = strategy.getPerformanceManager();
add(performancePanel, "Position", strategy.getPositionManager().getCurrentPosition());
add(performancePanel, "Trades", pm.getTrades());
add(performancePanel, "% Profitable", nf2.format(pm.getPercentProfitableTrades()));
add(performancePanel, "Average trade", nf2.format(pm.getAverageProfitPerTrade()));
add(performancePanel, "Net Profit", nf2.format(pm.getNetProfit()));
add(performancePanel, "Max Drawdown", nf2.format(pm.getMaxDrawdown()));
add(performancePanel, "Profit Factor", nf2.format(pm.getProfitFactor()));
add(performancePanel, "Kelly", nf2.format(pm.getKellyCriterion()));
add(performancePanel, "PI", nf2.format(pm.getPerformanceIndex()));
add(performancePanel, "CPI", nf2.format(pm.getCPI()));
makeCompactGrid(performancePanel);
JPanel securityPanel = new JPanel(new SpringLayout());
tabbedPane.addTab("Instrument", securityPanel);
add(securityPanel, "Symbol", strategy.getContract().m_symbol);
add(securityPanel, "Security Type", strategy.getContract().m_secType);
add(securityPanel, "Exchange", strategy.getContract().m_exchange);
add(securityPanel, "Multiplier", strategy.getContract().m_multiplier);
add(securityPanel, "Commission", strategy.getPerformanceManager().getCommission().toString());
bidAskLabel = new JLabel();
securityPanel.add(new JLabel("Best bid-ask" + ":"));
securityPanel.add(bidAskLabel);
cumBidAskSizesLabel = new JLabel();
securityPanel.add(new JLabel("Book bid-ask size" + ":"));
securityPanel.add(cumBidAskSizesLabel);
makeCompactGrid(securityPanel);
JPanel parametersPanel = new JPanel(new SpringLayout());
tabbedPane.addTab("Parameters", parametersPanel);
StrategyParams params = strategy.getParams();
add(parametersPanel, "Schedule", strategy.getTradingSchedule().toString());
for (StrategyParam param : params.getAll()) {
add(parametersPanel, param.getName(), param.getValue());
}
makeCompactGrid(parametersPanel);
IndicatorManager indicatorManager = strategy.getIndicatorManager();
if (indicatorManager != null) {
JPanel indicatorsPanel = new JPanel(new SpringLayout());
tabbedPane.addTab("Indicators", indicatorsPanel);
for (Indicator indicator : strategy.getIndicatorManager().getIndicators()) {
add(indicatorsPanel, indicator.getKey(), indicator.getValue());
}
makeCompactGrid(indicatorsPanel);
}
getContentPane().setPreferredSize(new Dimension(450, 400));
}
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;
}
