protected void reportStatusAndAction(Status status) throws Exception {
// Setup a Strategy.Status structure
Strategy.Status sstatus = new Strategy.Status(status.getSymbol());
persistStatus(sstatus);
}
@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));
}
}
