@Test
public void testAddDetachedTradeOrder() {
try {
String side = this.tradestrategy.getSide();
String action = Action.BUY;
if (Side.SLD.equals(side)) {
action = Action.SELL;
}
TradeOrder tradeOrder =
new TradeOrder(
this.tradestrategy,
action,
OrderType.STPLMT,
100,
new BigDecimal(20.20),
new BigDecimal(20.23),
TradingCalendar.getDateTimeNowMarketTimeZone());
tradeOrder.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
// Save new order with detached trade
tradeOrder = tradeOrderHome.persist(tradeOrder);
Execution execution = new Execution();
execution.m_side = side;
execution.m_time =
TradingCalendar.getFormattedDate(
TradingCalendar.getDateTimeNowMarketTimeZone(), "yyyyMMdd HH:mm:ss");
execution.m_exchange = "ISLAND";
execution.m_shares = tradeOrder.getQuantity();
execution.m_price = tradeOrder.getLimitPrice().doubleValue();
execution.m_avgPrice = tradeOrder.getLimitPrice().doubleValue();
execution.m_cumQty = tradeOrder.getQuantity();
execution.m_execId = "1234";
TradeOrderfill orderfill = new TradeOrderfill();
TWSBrokerModel.populateTradeOrderfill(execution, orderfill);
orderfill.setTradeOrder(tradeOrder);
tradeOrder.addTradeOrderfill(orderfill);
// Save a detached order with a new order fill
tradeOrder = tradeOrderHome.persist(tradeOrder);
if (action.equals(Action.BUY)) {
action = Action.SELL;
} else {
action = Action.BUY;
}
TradeOrder tradeOrder1 =
new TradeOrder(
this.tradestrategy,
action,
OrderType.LMT,
300,
null,
new BigDecimal(23.41),
TradingCalendar.getDateTimeNowMarketTimeZone());
tradeOrder1.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder1 = tradeOrderHome.persist(tradeOrder1);
Execution execution1 = new Execution();
execution1.m_side = side;
execution1.m_time =
TradingCalendar.getFormattedDate(
TradingCalendar.getDateTimeNowMarketTimeZone(), "yyyyMMdd HH:mm:ss");
execution1.m_exchange = "ISLAND";
execution1.m_shares = tradeOrder1.getQuantity();
execution1.m_price = tradeOrder1.getLimitPrice().doubleValue();
execution1.m_avgPrice = tradeOrder1.getLimitPrice().doubleValue();
execution1.m_cumQty = tradeOrder1.getQuantity();
execution1.m_execId = "1234";
TradeOrderfill orderfill1 = new TradeOrderfill();
TWSBrokerModel.populateTradeOrderfill(execution1, orderfill1);
orderfill1.setTradeOrder(tradeOrder1);
tradeOrder1.addTradeOrderfill(orderfill1);
tradeOrder1 = tradeOrderHome.persist(tradeOrder1);
} catch (Exception | AssertionError ex) {
String msg = "Error running " + name.getMethodName() + " msg: " + ex.getMessage();
_log.error(msg);
fail(msg);
}
}
@Test
public void testAddTradeOrderFill() {
try {
testAddTradeOrder();
boolean stopped = true;
int minute = 25;
for (TradeOrder tradeOrder : this.tradestrategy.getTradeOrders()) {
tradeOrder = tradeOrderHome.findTradeOrderByKey(tradeOrder.getOrderKey());
minute = minute + 3;
ZonedDateTime filledDate = this.tradestrategy.getTradingday().getOpen().plusMinutes(minute);
if (tradeOrder.getIsOpenPosition()) {
TradeOrderfill orderfill =
new TradeOrderfill(
tradeOrder,
"Paper",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
"ISLAND",
"1234",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
this.tradestrategy.getSide(),
filledDate);
tradeOrder.addTradeOrderfill(orderfill);
TradeOrderfill orderfill1 =
new TradeOrderfill(
tradeOrder,
"Paper",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
"ISLAND",
"12345",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
this.tradestrategy.getSide(),
filledDate.plusMinutes(3));
tradeOrder.addTradeOrderfill(orderfill1);
tradeOrder.setIsFilled(true);
tradeOrder.setFilledQuantity(tradeOrder.getQuantity());
tradeOrder.setStatus("FILLED");
tradeOrder.setFilledDate(filledDate.plusMinutes(3));
tradeOrder.setAverageFilledPrice(tradeOrder.getLimitPrice());
tradeOrder.setCommission(new BigDecimal(tradeOrder.getQuantity() * 0.005));
} else {
if (stopped) {
if (OrderType.STP.equals(tradeOrder.getOrderType())) {
TradeOrderfill orderfill =
new TradeOrderfill(
tradeOrder,
"Paper",
tradeOrder.getAuxPrice(),
tradeOrder.getQuantity(),
"ISLAND",
"12345",
tradeOrder.getAuxPrice(),
tradeOrder.getQuantity(),
this.tradestrategy.getSide(),
filledDate.plusMinutes(5));
tradeOrder.addTradeOrderfill(orderfill);
tradeOrder.setIsFilled(true);
tradeOrder.setStatus(OrderStatus.FILLED);
tradeOrder.setAverageFilledPrice(tradeOrder.getAuxPrice());
tradeOrder.setFilledDate(filledDate.plusMinutes(5));
tradeOrder.setCommission(new BigDecimal(tradeOrder.getQuantity() * 0.005));
tradeOrder.setFilledQuantity(tradeOrder.getQuantity());
} else {
tradeOrder.setStatus(OrderStatus.CANCELLED);
}
} else {
if (OrderType.LMT.equals(tradeOrder.getOrderType())) {
TradeOrderfill orderfill =
new TradeOrderfill(
tradeOrder,
"Paper",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
"ISLAND",
"12345",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
this.tradestrategy.getSide(),
filledDate.plusMinutes(5));
tradeOrder.addTradeOrderfill(orderfill);
TradeOrderfill orderfill1 =
new TradeOrderfill(
tradeOrder,
"Paper",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
"ISLAND",
"12345",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
this.tradestrategy.getSide(),
filledDate.plusMinutes(6));
orderfill1.setTradeOrder(tradeOrder);
tradeOrder.addTradeOrderfill(orderfill1);
tradeOrder.setIsFilled(true);
tradeOrder.setStatus(OrderStatus.FILLED);
tradeOrder.setFilledQuantity(tradeOrder.getQuantity());
tradeOrder.setFilledDate(filledDate.plusMinutes(15));
tradeOrder.setAverageFilledPrice(tradeOrder.getLimitPrice());
tradeOrder.setCommission(new BigDecimal(tradeOrder.getQuantity() * 0.005));
} else {
tradeOrder.setStatus(OrderStatus.CANCELLED);
}
}
}
tradeOrder = tradeOrderHome.persist(tradeOrder);
_log.info(
"IdOrder: "
+ tradeOrder.getIdTradeOrder()
+ " Action:"
+ tradeOrder.getAction()
+ " OrderType:"
+ tradeOrder.getOrderType()
+ " Status:"
+ tradeOrder.getStatus()
+ " filledDate:"
+ filledDate);
}
} catch (Exception | AssertionError ex) {
String msg = "Error running " + name.getMethodName() + " msg: " + ex.getMessage();
_log.error(msg);
fail(msg);
}
}
@Test
public void testAddOpenStopTargetTradeOrder() {
try {
String side = this.tradestrategy.getSide();
String action = Action.BUY;
if (Side.SLD.equals(side)) {
action = Action.SELL;
}
double risk = this.tradestrategy.getRiskAmount().doubleValue();
double stop = 0.20;
BigDecimal price = new BigDecimal(20);
int quantity = (int) ((int) risk / stop);
ZonedDateTime createDate = this.tradestrategy.getTradingday().getOpen().plusMinutes(5);
TradeOrder tradeOrder1 =
new TradeOrder(
this.tradestrategy, action, OrderType.STPLMT, quantity, price, price, createDate);
tradeOrder1.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder1.setClientId(clientId);
tradeOrder1.setOcaGroupName("");
tradeOrder1.setTransmit(true);
tradeOrder1.setStatus("SUBMITTED");
tradeOrder1.validate();
tradeOrder1 = tradeOrderHome.persist(tradeOrder1);
int buySellMultiplier = 1;
if (action.equals(Action.BUY)) {
action = Action.SELL;
} else {
action = Action.BUY;
buySellMultiplier = -1;
}
TradeOrder tradeOrder2 =
new TradeOrder(
this.tradestrategy,
action,
OrderType.LMT,
quantity / 2,
null,
price.add(new BigDecimal((stop * 3) * buySellMultiplier)),
createDate);
tradeOrder2.setClientId(clientId);
tradeOrder2.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder2.setOcaType(2);
tradeOrder2.setOcaGroupName(this.tradestrategy.getIdTradeStrategy() + "q1w2e3");
tradeOrder2.setTransmit(true);
tradeOrder2.setStatus("SUBMITTED");
tradeOrder2.validate();
tradeOrder2 = tradeOrderHome.persist(tradeOrder2);
TradeOrder tradeOrder3 =
new TradeOrder(
this.tradestrategy,
action,
OrderType.LMT,
quantity / 2,
null,
price.add(new BigDecimal((stop * 4) * buySellMultiplier)),
createDate);
tradeOrder3.setClientId(clientId);
tradeOrder3.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder3.setOcaType(2);
tradeOrder3.setOcaGroupName(this.tradestrategy.getIdTradeStrategy() + "q1w2e3");
tradeOrder3.setTransmit(true);
tradeOrder3.setStatus("SUBMITTED");
tradeOrder3.validate();
tradeOrder3 = tradeOrderHome.persist(tradeOrder3);
TradeOrder tradeOrder4 =
new TradeOrder(
this.tradestrategy,
action,
OrderType.STP,
quantity,
price.add(new BigDecimal(stop * buySellMultiplier * -1)),
null,
createDate);
tradeOrder4.setLimitPrice(new BigDecimal(0));
tradeOrder4.setAuxPrice(price.add(new BigDecimal(stop * buySellMultiplier * -1)));
tradeOrder4.setClientId(clientId);
tradeOrder4.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder4.setOcaType(2);
tradeOrder4.setOcaGroupName(this.tradestrategy.getIdTradeStrategy() + "q1w2e3");
tradeOrder4.setTransmit(true);
tradeOrder4.setStatus("SUBMITTED");
tradeOrder4.validate();
tradeOrder4 = tradeOrderHome.persist(tradeOrder4);
_log.info("IdOrder: " + tradeOrder1.getIdTradeOrder());
} catch (Exception | AssertionError ex) {
String msg = "Error running " + name.getMethodName() + " msg: " + ex.getMessage();
_log.error(msg);
fail(msg);
}
}
@Test
public void testAddTradeOrder() {
try {
String side = this.tradestrategy.getSide();
String action = Action.BUY;
if (Side.SLD.equals(side)) {
action = Action.SELL;
}
double risk = this.tradestrategy.getRiskAmount().doubleValue();
double stop = 0.20;
BigDecimal price = new BigDecimal(20);
int quantity = (int) ((int) risk / stop);
ZonedDateTime createDate = this.tradestrategy.getTradingday().getOpen().plusMinutes(5);
TradeOrder tradeOrder =
new TradeOrder(
this.tradestrategy,
action,
OrderType.STPLMT,
quantity,
price,
price.add(new BigDecimal(0.004)),
TradingCalendar.getDateTimeNowMarketTimeZone());
tradeOrder.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder.setClientId(clientId);
tradeOrder.setTransmit(true);
tradeOrder.setStatus("SUBMITTED");
tradeOrder.validate();
tradeOrder = tradeOrderHome.persist(tradeOrder);
assertNotNull("1", tradeOrder);
_log.info("IdOrder: " + tradeOrder.getIdTradeOrder());
TradeOrder tradeOrder1 =
new TradeOrder(
this.tradestrategy,
Action.SELL,
OrderType.STP,
quantity,
price.subtract(new BigDecimal(1)),
null,
createDate);
tradeOrder1.setAuxPrice(price.subtract(new BigDecimal(1)));
tradeOrder1.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder1.setClientId(clientId);
tradeOrder1.setTransmit(true);
tradeOrder1.setStatus("SUBMITTED");
tradeOrder1.validate();
tradeOrder1 = tradeOrderHome.persist(tradeOrder1);
assertNotNull("2", tradeOrder1);
} catch (Exception | AssertionError ex) {
String msg = "Error running " + name.getMethodName() + " msg: " + ex.getMessage();
_log.error(msg);
fail(msg);
}
}
/** Write [DATE] Buy [SYMBOL] [NUMBER]sh @[PRICE] = [VALUE] --> [NUMBER]sh held * */
public void orderBought(
TradeOrder order, Date date, StockPosition position, TradingAccount account) {
double profitOrLoss =
(order.shares * (order.getExecutedPrice() - position.getCostBasis())
- account.getTradeFees(order.shares));
double percent = profitOrLoss / (position.getCostBasis() * order.shares);
this.writer.println(
DATE_FORMAT.format(date)
+ " "
+ (position.getShares() != 0 ? "Buy " : "Cover ")
+ order.symbol
+ " "
+ order.shares
+ "sh "
+ "@"
+ DOLLAR_FORMAT.format(order.getExecutedPrice())
+ " = "
+ DOLLAR_FORMAT.format(order.getExecutedValue())
+ " --> "
+ position.getShares()
+ "sh "
+ (position.getShares() <= 0
? "left, "
+ DOLLAR_FORMAT.format(profitOrLoss)
+ (profitOrLoss > 0
? " (" + PERCENT_FORMAT.format(percent) + " profit)"
: profitOrLoss < 0
? " (" + PERCENT_FORMAT.format(percent) + "loss)"
: " (even)")
: "long"));
this.lastTraceDate = date;
}
/** Write [DATE] Buy/Sell [SYMBOL] [NUMBER]sh @[PRICE] CANCELLED (no price on date) * */
public void orderCancelled(
TradeOrder order, Date date, StockPosition position, TradingAccount account) {
String priceString;
switch (order.getPriceTiming()) {
case OPEN:
case CLOSE:
default:
priceString = DOLLAR_FORMAT.format(order.projectedPrice);
break;
case LIMIT_OR_BELOW:
priceString = "<=" + DOLLAR_FORMAT.format(order.limit);
break;
case LIMIT_OR_ABOVE:
priceString = ">=" + DOLLAR_FORMAT.format(order.limit);
break;
}
// ATR removed "cancelled order" log. Doesn't make sense when
// using lots of stop and limit orders that don't fill.
}
public void processOrder(TradeOrder order) throws OrderProcessingException {
Figures figures = figuresFactory.buildFrom(order, calculateEffectiveDateFor(order));
Trade trade = tradeFactory.createTrade(figures, order.getAsset());
trade.save();
}
