add OHLC plugin
This commit is contained in:
275
src/main/java/ats/plugin/OHLCPlugInView.java
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275
src/main/java/ats/plugin/OHLCPlugInView.java
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package ats.plugin;
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import com.espertech.esper.client.EventBean;
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import com.espertech.esper.client.EventType;
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import com.espertech.esper.core.context.util.AgentInstanceViewFactoryChainContext;
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import com.espertech.esper.core.service.EPStatementHandleCallback;
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import com.espertech.esper.core.service.EngineLevelExtensionServicesContext;
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import com.espertech.esper.epl.expression.core.ExprNode;
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import com.espertech.esper.event.EventAdapterService;
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import com.espertech.esper.schedule.ScheduleHandleCallback;
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import com.espertech.esper.view.ViewSupport;
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import java.util.Calendar;
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import java.util.GregorianCalendar;
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import java.util.Iterator;
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import org.slf4j.Logger;
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import org.slf4j.LoggerFactory;
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import org.joda.time.Period;
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import org.joda.time.format.PeriodFormatter;
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import org.joda.time.format.PeriodFormatterBuilder;
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import com.espertech.esper.epl.expression.core.ExprEvaluator;
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import com.espertech.esper.schedule.SchedulingService;
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import org.joda.time.Duration;
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import org.joda.time.format.ISODateTimeFormat;
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import java.util.TimeZone;
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import org.joda.time.DateTime;
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import org.joda.time.DateTimeZone;
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import org.joda.time.Instant;
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import org.joda.time.PeriodType;
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/**
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* OHLCPlugInView computes OHLC bars for a given time interval.
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*/
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public class OHLCPlugInView extends ViewSupport {
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private static final Logger log = LoggerFactory.getLogger(OHLCPlugInView.class);
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private static final int LATE_EVENT_SLACK_SECONDS = 5;
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private static final PeriodFormatter periodFormatter = new PeriodFormatterBuilder()
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.appendDays().appendSuffix("d ")
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.appendHours().appendSuffix("h ")
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.appendMinutes().appendSuffix("m ")
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.appendSeconds().appendSuffix("s")
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.toFormatter();
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private final AgentInstanceViewFactoryChainContext agentContext;
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private final long scheduleSlot;
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private EPStatementHandleCallback handle;
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private final Duration interval;
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private final ExprNode timestampExpression;
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private final ExprNode valueExpression;
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private DateTime windowStartTime;
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private DateTime windowEndTime;
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private Double open;
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private Double close;
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private Double high;
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private Double low;
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private EventBean[] lastData;
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public OHLCPlugInView(AgentInstanceViewFactoryChainContext context,
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ExprNode intervalExpression,
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ExprNode timestampExpression,
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ExprNode valueExpression)
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{
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agentContext = context;
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scheduleSlot = context.getStatementContext().getScheduleBucket().allocateSlot();
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interval = parseInterval(intervalExpression);
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log.info("Interval is {}", interval);
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this.timestampExpression = timestampExpression;
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this.valueExpression = valueExpression;
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}
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/**
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* Return the time period specified by the given expression value.
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*/
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private Duration parseInterval(ExprNode interval) {
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ExprEvaluator evaluator = interval.getForge().getExprEvaluator();
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String intervalStr = (String)evaluator.evaluate(null, true, agentContext);
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return periodFormatter.parsePeriod(intervalStr).toStandardDuration();
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}
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/**
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* Return the timestamp for the event.
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*/
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private DateTime getTimestamp(EventBean event) {
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ExprEvaluator evaluator = timestampExpression.getForge().getExprEvaluator();
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//Long l = (Long)evaluator.evaluate(new EventBean[] {event}, true, agentContext);
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return (DateTime)evaluator.evaluate(new EventBean[] {event}, true, agentContext);
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//return toDateTime(l);
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}
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/**
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* Convert a bare long value to a proper DateTime entity. Assumes
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* UTC time zone.
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*/
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public static DateTime toDateTime(long l) {
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return new DateTime(l, DateTimeZone.UTC);
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}
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/**
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* Return the value for the event.
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*/
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private double getValue(EventBean event) {
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ExprEvaluator evaluator = valueExpression.getForge().getExprEvaluator();
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return (double)evaluator.evaluate(new EventBean[] {event}, true, agentContext);
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}
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/**
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* Notify that data has been added or removed from the Viewable parent.
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*/
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@Override
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public void update(EventBean[] newData, EventBean[] oldData) {
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if (newData == null) return;
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for (EventBean event : newData) {
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DateTime timestamp = getTimestamp(event);
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double value = getValue(event);
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ensureWindow(timestamp);
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applyValue(value);
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}
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}
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/**
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* Make sure our window times are set up and current.
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*/
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private void ensureWindow(DateTime timestamp) {
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if (timestamp == null) return;
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if (windowStartTime == null) {
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// create open window
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windowStartTime = makeWindowStartTime(timestamp, interval);
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windowEndTime = makeWindowEndTime(windowStartTime, interval);
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}
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if (!inWindow(timestamp)) {
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// past current window.
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// post and create a new one.
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postData();
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scheduleCallback();
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windowStartTime = makeWindowStartTime(timestamp, interval);
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windowEndTime = makeWindowEndTime(windowStartTime, interval);
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}
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}
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public static DateTime makeWindowStartTime(DateTime timestamp,
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Duration interval)
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{
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DateTime today = timestamp.withTimeAtStartOfDay();
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// log.info("Timestamp is {}", timestamp);
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// log.info("Day start is {}", today);
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Duration intoToday = new Duration(today, timestamp);
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// then modulo timestamp to find how far into the current window we'd be in
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long intoPeriod = intoToday.getMillis() % interval.getMillis();
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// then subtract modulo from current time to get window start
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return timestamp.minus(intoPeriod);
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}
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private static DateTime makeWindowEndTime(DateTime startTime, Duration interval) {
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if (startTime == null || interval == null) return null;
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return startTime.plus(interval.getMillis());
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}
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/**
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* Return true if the timestamp is within the current time window.
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*/
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private boolean inWindow(DateTime timestamp) {
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if (timestamp == null) return false;
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return timestamp.compareTo(windowStartTime) >= 0 &&
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timestamp.compareTo(windowEndTime) < 0;
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}
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private void applyValue(double value) {
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if (open == null) {
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open = value;
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}
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close = value;
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if (low == null) {
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low = value;
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} else if (low.compareTo(value) > 0) {
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low = value;
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}
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if (high == null) {
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high = value;
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} else if (high.compareTo(value) < 0) {
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high = value;
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}
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}
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/**
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* Set up a callback to post an event when our time window expires.
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*/
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private void scheduleCallback() {
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SchedulingService sched = agentContext.getStatementContext().getSchedulingService();
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if (handle != null) {
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// remove old schedule
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sched.remove(handle, scheduleSlot);
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handle = null;
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}
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DateTime currentTime = toDateTime(sched.getTime());
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DateTime targetTime = windowEndTime.plusSeconds(LATE_EVENT_SLACK_SECONDS);
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long callbackTime = targetTime.getMillis() - currentTime.getMillis();
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ScheduleHandleCallback callback = new ScheduleHandleCallback() {
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public void scheduledTrigger(EngineLevelExtensionServicesContext esc) {
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handle = null; // clear out schedule handle
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OHLCPlugInView.this.postData();
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}
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};
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handle = new EPStatementHandleCallback(agentContext.getEpStatementAgentInstanceHandle(), callback);
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sched.add(callbackTime, handle, scheduleSlot);
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}
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/**
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* Update listeners with our new value.
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*/
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private void postData() {
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if (open == null) return;
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OHLCValue value = new OHLCValue(windowStartTime, open, high, low, close);
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// send
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EventAdapterService service = agentContext.getStatementContext().getEventAdapterService();
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EventBean[] newBeans = new EventBean[] {service.adapterForBean(value)};
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updateChildren(newBeans, lastData);
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// reset for next post
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lastData = newBeans;
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open = null;
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close = null;
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high = null;
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low = null;
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}
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//
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// for the EventCollection interface
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//
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/**
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* Provides metadata information about the type of object the
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* event collection contains.
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*/
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@Override
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public EventType getEventType() {
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return getEventType(agentContext.getStatementContext().getEventAdapterService());
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}
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protected static EventType getEventType(EventAdapterService service)
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{
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return service.addBeanType(OHLCValue.class.getName(),
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OHLCValue.class,
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false, false, false);
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}
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/**
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* (Don't) allow iteration through all elements in this event collection.
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*/
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@Override
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public Iterator<EventBean> iterator() {
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throw new UnsupportedOperationException("Can't iterate.");
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}
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}
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106
src/main/java/ats/plugin/OHLCPlugInViewFactory.java
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106
src/main/java/ats/plugin/OHLCPlugInViewFactory.java
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@ -0,0 +1,106 @@
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package ats.plugin;
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import com.espertech.esper.client.EventType;
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import com.espertech.esper.core.context.util.AgentInstanceViewFactoryChainContext;
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import com.espertech.esper.core.service.StatementContext;
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import com.espertech.esper.epl.expression.core.ExprNode;
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import com.espertech.esper.event.EventAdapterService;
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import com.espertech.esper.view.View;
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import com.espertech.esper.view.ViewFactory;
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import com.espertech.esper.view.ViewFactoryContext;
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import com.espertech.esper.view.ViewFactorySupport;
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import com.espertech.esper.view.ViewParameterException;
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import java.math.BigDecimal;
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import java.util.Date;
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import java.util.List;
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import org.joda.time.DateTime;
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/**
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* OHLCPlugInViewFactory manages creation of OHLC plugin views.
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*/
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public class OHLCPlugInViewFactory extends ViewFactorySupport {
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private EventAdapterService eventAdapterService;
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private List<ExprNode> params;
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private ExprNode interval;
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private ExprNode timestamp;
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private ExprNode value;
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/**
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* Pass in EPL query view params.
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*/
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public void setViewParameters(ViewFactoryContext context,
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List<ExprNode> params)
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throws ViewParameterException
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{
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eventAdapterService = context.getEventAdapterService();
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if (params.size() != 3) {
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throw new ViewParameterException("OHLC view takes three parameters: time interval, timestamp expression, and mid price expression.");
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}
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this.params = params;
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}
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/**
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* Attach the factory to a parent event type such that the
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* factory can validate attach requirements and determine an event
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* type for resulting views.
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*/
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public void attach(EventType parentEventType,
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StatementContext statementContext,
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ViewFactory optionalParentFactory,
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List<ViewFactory> parentViewFactories)
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throws ViewParameterException
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{
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ExprNode[] validatedNodes = ViewFactorySupport.validate(getViewName(),
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parentEventType,
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statementContext,
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params, true);
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interval = validatedNodes[0];
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timestamp = validatedNodes[1];
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value = validatedNodes[2];
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Class intervalClass = interval.getForge().getEvaluationType();
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if ((intervalClass != String.class))
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{
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throw new ViewParameterException("OHLC view needs String-typed interval value for parameter 1.");
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}
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Class timestampClass = timestamp.getForge().getEvaluationType();
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if ((timestampClass != DateTime.class))
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{
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throw new ViewParameterException("OHLC view needs DateTime typed timestamp values for parameter 2");
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}
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Class valueClass = value.getForge().getEvaluationType();
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if ((valueClass != double.class) &&
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(valueClass != Double.class) &&
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(valueClass != BigDecimal.class))
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{
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throw new ViewParameterException("OHLC view needs double or BigDecimal values for parameter 3");
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}
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}
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/**
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* Create a new view using already-passed context and params.
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*/
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public View makeView(AgentInstanceViewFactoryChainContext agentContext) {
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return new OHLCPlugInView(agentContext, interval, timestamp, value);
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}
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/**
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* Returns the event type that the view that is created by the
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* view factory would create for events posted by the view.
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*/
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public EventType getEventType() {
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return OHLCPlugInView.getEventType(eventAdapterService);
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}
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/**
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* Return the pretty name of our view type.
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*/
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public String getViewName() {
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return OHLCPlugInView.class.getSimpleName();
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}
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}
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47
src/main/java/ats/plugin/OHLCTick.java
Normal file
47
src/main/java/ats/plugin/OHLCTick.java
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@ -0,0 +1,47 @@
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/*
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***************************************************************************************
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* Copyright (C) 2006 EsperTech, Inc. All rights reserved. *
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* http://www.espertech.com/esper *
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* http://www.espertech.com *
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* ---------------------------------------------------------------------------------- *
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* The software in this package is published under the terms of the GPL license *
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* a copy of which has been included with this distribution in the license.txt file. *
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***************************************************************************************
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*/
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package ats.plugin;
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import java.util.Date;
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public class OHLCTick {
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private String ticker;
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private double price;
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private long timestamp;
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public OHLCTick(String ticker, double price, long timestamp) {
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this.ticker = ticker;
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this.price = price;
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this.timestamp = timestamp;
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}
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public String getTicker() {
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return ticker;
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}
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public double getPrice() {
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return price;
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}
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public long getTimestamp() {
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return timestamp;
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}
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public String toString() {
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return "ticker " + ticker +
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" price " + price +
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" timestamp " + printTime(timestamp);
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}
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private String printTime(long timestamp) {
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return new Date(timestamp).toString();
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}
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}
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50
src/main/java/ats/plugin/OHLCUpdateListener.java
Normal file
50
src/main/java/ats/plugin/OHLCUpdateListener.java
Normal file
@ -0,0 +1,50 @@
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/*
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***************************************************************************************
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* Copyright (C) 2006 EsperTech, Inc. All rights reserved. *
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* http://www.espertech.com/esper *
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* http://www.espertech.com *
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* ---------------------------------------------------------------------------------- *
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* The software in this package is published under the terms of the GPL license *
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* a copy of which has been included with this distribution in the license.txt file. *
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***************************************************************************************
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*/
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package ats.plugin;
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import com.espertech.esper.client.EPServiceProvider;
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import com.espertech.esper.client.EPStatement;
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import com.espertech.esper.client.EventBean;
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import com.espertech.esper.client.StatementAwareUpdateListener;
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import org.slf4j.Logger;
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import org.slf4j.LoggerFactory;
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import java.util.Date;
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public class OHLCUpdateListener implements StatementAwareUpdateListener {
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private final static Logger log = LoggerFactory.getLogger(OHLCUpdateListener.class);
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public void update(EventBean[] newData, EventBean[] oldData, EPStatement epStatement, EPServiceProvider epServiceProvider) {
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for (int i = 0; i < newData.length; i++) {
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//if (log.isInfoEnabled()) {
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log.info("Statement " + String.format("%s", epStatement.getName()) + " produced: " + getProperties(newData[i]));
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//}
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}
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}
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private String getProperties(EventBean theEvent) {
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StringBuilder buf = new StringBuilder();
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for (String name : theEvent.getEventType().getPropertyNames()) {
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Object value = theEvent.get(name);
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buf.append(name);
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buf.append("=");
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if (name.contains("timestamp")) {
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buf.append(new Date((Long) value));
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} else {
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buf.append(value);
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}
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buf.append(" ");
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}
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return buf.toString();
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}
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}
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54
src/main/java/ats/plugin/OHLCValue.java
Normal file
54
src/main/java/ats/plugin/OHLCValue.java
Normal file
@ -0,0 +1,54 @@
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package ats.plugin;
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import org.joda.time.DateTime;
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/**
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* OHLCValue stores one bar of OHLC info.
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||||
*/
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||||
public class OHLCValue {
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||||
private DateTime time;
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||||
private double open;
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||||
private double high;
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||||
private double low;
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||||
private double close;
|
||||
|
||||
|
||||
public OHLCValue(DateTime time,
|
||||
double open, double high,
|
||||
double low, double close)
|
||||
{
|
||||
this.time = time;
|
||||
this.open = open;
|
||||
this.high = high;
|
||||
this.low = low;
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||||
this.close = close;
|
||||
}
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||||
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||||
public DateTime getTime() {
|
||||
return time;
|
||||
}
|
||||
|
||||
public Double getOpen() {
|
||||
return open;
|
||||
}
|
||||
|
||||
public Double getHigh() {
|
||||
return high;
|
||||
}
|
||||
|
||||
public Double getLow() {
|
||||
return low;
|
||||
}
|
||||
|
||||
public Double getClose() {
|
||||
return close;
|
||||
}
|
||||
|
||||
/**
|
||||
* Return a human readable representation of this event.
|
||||
*/
|
||||
public String toString() {
|
||||
return String.format("OHLCValue[%s,open=%s,high=%s,low=%s,close=%s]",
|
||||
time, open, high, low, close);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user