rename *Tick classes to *TickEvent

src/main/java/CSVReader.java

@@ -16,12 +16,12 @@ public class CSVReader implements TickStreamReader {
 
 	public void run(TickProcessor processor) {
 		CsvMapper mapper = new CsvMapper();
-		CsvSchema schema = mapper.schemaFor(TrueFXTick.class);
+		CsvSchema schema = mapper.schemaFor(TrueFXTickEvent.class);
 
 		try {
-			MappingIterator<TrueFXTick> it = mapper.readerFor(TrueFXTick.class).with(schema).readValues(file);
+			MappingIterator<TrueFXTickEvent> it = mapper.readerFor(TrueFXTickEvent.class).with(schema).readValues(file);
 			while (it.hasNextValue()) {
-				TrueFXTick value = it.nextValue();
+				TrueFXTickEvent value = it.nextValue();
 				processor.process(value);
 			}
 		} catch (IOException e) {

src/main/java/DebugProcessor.java

@@ -2,7 +2,7 @@
 
 public class DebugProcessor implements TickProcessor {
 
-	public void process(Tick tick) {
+	public void process(TickEvent tick) {
 		System.out.println(tick);
 	}
 }

src/main/java/EsperProcessor.java

@@ -24,27 +24,67 @@ public class EsperProcessor implements TickProcessor {
 		// sense of time.
 		Configuration config = new Configuration();
 		config.getEngineDefaults().getThreading().setInternalTimerEnabled(false);
-		engine = EPServiceProviderManager.getDefaultProvider(config);
+		config.addEventType(TickEvent.class);
+		config.addEventType(LongEntryEvent.class);
+		//config.addVariable("FOO", int.class, 12);
 
-		engine.getEPAdministrator().getConfiguration().addEventType(Tick.class);
+		config.addEventType("OHLCTick", OHLCTick.class);
+		config.addEventType("OHLCValue", OHLCValue.class);
+        config.addPlugInView("ATS", "OHLC", OHLCPlugInViewFactory.class.getName());
+
+		engine = EPServiceProviderManager.getDefaultProvider(config);
 
 		addStatements(epl);
 
-		EPStatement statement = engine.getEPAdministrator().createEPL("select *,in_trading_hours from Tick");
+		// Map<String,ConfigurationVariable> vars = config.getVariables();
+		// log.debug("VAR MAP: {}", vars);
+		// for (Map.Entry<String, ConfigurationVariable> entry : vars.entrySet()) {
+		// 	log.debug("VAR: {} = {}", entry.getKey(), entry.getValue());
+		// }
 
-		statement.addListener((newData, oldData) -> {
+		addStatement("select * from TickEvent",
-				logger.debug("event: {}", (Object)newData);
+					 (newData, oldData) -> {
-			});
+						 log.debug("Tick: {}", newData[0].getUnderlying());
+					 });
+
+		addStatement("select * from OHLCStream",
+					 (newData, oldData) -> {
+						 log.debug("OLHC: {}", newData[0].getUnderlying());
+					 // 	 DateTime t = (DateTime)newData[0].get("date");
+					 // 	 double f = (double)newData[0].get("first");
+					 // 	 double l = (double)newData[0].get("last");
+					 // 	 double x = (double)newData[0].get("max");
+					 // 	 double n = (double)newData[0].get("min");
+					 // 	 log.info("OHLCValue: {} {} {} {}", f,l,x,n);
+					 });
+
+		// addStatement("select * from TickEvent#groupwin(instrument)#ohlcbarminute(timestamp, midDouble)",
+		// 			 new OHLCUpdateListener());
+
+		// addStatement("select count(*) from TickEvent#time(4)",//"select * from TicksTimeWindow",
+		// 			 (newData, oldData) -> {
+		// 				 log.debug("TickTimeWindow: {}", (Object)newData);
+		// 			 });
+
+		// EPStatement statement = engine.getEPAdministrator().createEPL("select * from TickEvent");
 
 		// statement.addListener((newData, oldData) -> {
-		// 		Date time = (Date) newData[0].get("time");
+		// 	log.debug("event: {}", (Object)newData);
-		// 		String name = (String) newData[0].get("instrument");
+		// });
-		// 		BigDecimal bid = (BigDecimal)newData[0].get("bid");
-		// 		BigDecimal ask = (BigDecimal)newData[0].get("ask");
-		// 		logger.info("Time: {}, Instr: {}, Bid: {}, Ask: {}",
-		// 					time, name, bid, ask);
-		// 	});
 
+
+		// EPStatement statement = engine.getEPAdministrator().createEPL("select * from TickEvent");
+
+		// statement.addListener((newData, oldData) -> {
+		// 	log.debug("event: {}", (Object)newData);
+		// });
+
+		// addStatement("select count(*) as count from TickEvent#time(4 sec)",
+		// 			 (newData, oldData) -> {
+		// 				 long count = (long)newData[0].get("count");
+		// 				 log.info("Tick Count: {}", count);
+		// 			 });
+					 
 	}
 
 	/**
@@ -90,9 +130,28 @@ public class EsperProcessor implements TickProcessor {
 		return engine.getEPAdministrator().createEPL(epl);
 	}
 
-	public void process(Tick tick) {
+	/**
-		Date time = tick.getTime();
+	 * Add a single EPL statement to the Esper engine with a listener
-		CurrentTimeEvent timeEvent = new CurrentTimeEvent(time.getTime());
+	 * to respond to the Statement.
+	 */
+	private EPStatement addStatement(String epl, StatementAwareUpdateListener listener) {
+		// log.debug("Adding statement aware statement: {}", epl);
+
+		EPStatement statement = engine.getEPAdministrator().createEPL(epl);
+
+		if (listener != null) {
+			statement.addListener(listener);
+		}
+
+		return statement;
+	}
+
+	/**
+	 * Send a single TickEvent to Esper.
+	 */
+	public void process(TickEvent tick) {
+		DateTime time = tick.getTime();
+		CurrentTimeEvent timeEvent = new CurrentTimeEvent(time.getMillis());
 		engine.getEPRuntime().sendEvent(timeEvent);
 		engine.getEPRuntime().sendEvent(tick);
 	}

src/main/java/OANDATickEvent.java

@@ -1,6 +1,6 @@
-
 import java.math.BigDecimal;
 import java.util.Date;
+import org.joda.time.DateTime;
 
 import com.fasterxml.jackson.annotation.JsonFormat;
 
@@ -9,10 +9,9 @@ import com.fasterxml.jackson.annotation.JsonFormat;
  *
  * {"type":"PRICE","time":"2018-04-05T20:35:20.983907480Z","bids":[{"price":"1.22376","liquidity":10000000}],"asks":[{"price":"1.22386","liquidity":10000000}],"closeoutBid":"1.22361","closeoutAsk":"1.22401","status":"tradeable","tradeable":true,"instrument":"EUR_USD"}
  */
-public class OANDATick implements Tick {
+public class OANDATickEvent extends TickEvent {
 	public String type;
-	@JsonFormat(pattern="yyyy-MM-dd'T'HH:mm:ss.SSS'Z'")
+	private DateTime time;
-	private Date time;
 	public PriceBucket[] bids;
 	public PriceBucket[] asks;
 	public BigDecimal closeoutBid;
@@ -21,7 +20,7 @@ public class OANDATick implements Tick {
 	public boolean tradeable;
 	private String instrument;
 
-	
+
 	/**
 	 * @return the instrument
 	 */
@@ -41,14 +40,14 @@ public class OANDATick implements Tick {
 	 * @return the time
 	 */
 	@Override
-	public Date getTime() {
+	public DateTime getTime() {
 		return time;
 	}
 
 	/**
 	 * @param time the time to set
 	 */
-	public void setTime(Date time) {
+	public void setTime(DateTime time) {
 		this.time = time;
 	}
 
@@ -68,7 +67,15 @@ public class OANDATick implements Tick {
 		return asks[0].price;
 	}
 
+	/**
+	 * @return the midprice between bid and ask
+	 */
+	@Override
+	public BigDecimal getMid() {
+		return getMid(asks[0].price, bids[0].price);
+	}
+
 	public String toString() {
-		return String.format("OANDATick[%s,%s]", getInstrument(), getBid());
+		return String.format("OANDATickEvent[%s,%s,%s]", getTime(), getInstrument(), getBid());
 	}
 }

src/main/java/Tick.java

@@ -1,26 +0,0 @@
-
-import java.math.BigDecimal;
-import java.util.Date;
-
-public interface Tick {
-	
-	/**
-	 * @return the instrument
-	 */
-	public String getInstrument();
-
-	/**
-	 * @return the time
-	 */
-	public Date getTime();
-
-	/**
-	 * @return the bid
-	 */
-	public BigDecimal getBid();
-	
-	/**
-	 * @return the ask
-	 */
-	public BigDecimal getAsk();
-}

src/main/java/TickEvent.java

@@ -0,0 +1,46 @@
+import java.math.BigDecimal;
+import java.util.Date;
+import org.joda.time.DateTime;
+
+public abstract class TickEvent {
+
+	/**
+	 * @return the tick time
+	 */
+	public abstract DateTime getTime();
+
+	/**
+	 * @return the trading instrument
+	 */
+	public abstract String getInstrument();
+
+	/**
+	 * @return the bid price
+	 */
+	public abstract BigDecimal getBid();
+
+	/**
+	 * @return the ask price
+	 */
+	public abstract BigDecimal getAsk();
+
+	/**
+	 * @return the midprice between bid and ask
+	 */
+	public abstract BigDecimal getMid();
+
+	/**
+	 * Calculate the midpoint between two values.
+	 */
+	public static BigDecimal getMid(BigDecimal a, BigDecimal b) {
+		BigDecimal diff = a.subtract(b).abs();
+		return a.min(b).add(diff.divide(new BigDecimal(2)));
+	}
+
+	/**
+	 * Calculate the midpoint between two values.
+	 */
+	public double getMidDouble() {
+		return getMid().doubleValue();
+	}
+}

src/main/java/TickProcessor.java

@@ -1,3 +1,3 @@
 public interface TickProcessor {
-	public void process(Tick tick);
+	public void process(TickEvent tick);
 }

src/main/java/TrueFXTickEvent.java

@@ -1,27 +1,38 @@
 import java.math.BigDecimal;
 import java.util.Date;
-
 import com.fasterxml.jackson.annotation.JsonFormat;
 import com.fasterxml.jackson.annotation.JsonPropertyOrder;
+import org.joda.time.DateTime;
 
 /**
- * TrueFXTick holds a single tick read from TrueFX data archive csv
+ * TrueFXTickEvent holds a single tick read from TrueFX data archive
- * file.
+ * csv file.
  *
  * A line looks like:
- * 	 EUR/USD,20170102 00:00:00.803,1.0523,1.05307
+ *   EUR/USD,20170102 00:00:00.803,1.0523,1.05307
  */
 @JsonPropertyOrder({ "instrument", "time", "bid", "ask" })
-public class TrueFXTick implements Tick {
+public class TrueFXTickEvent extends TickEvent {
-	private String instrument;
 	@JsonFormat(pattern="yyyyMMdd HH:mm:ss.SSS")
-	private Date time;
+	private DateTime time;
+	private String instrument;
 	private BigDecimal bid;
 	private BigDecimal ask;
 
 
-	public String toString() {
+	/**
-		return String.format("TrueFXTick[%s,%s,%s,%s]", instrument, time, bid, ask);
+	 * @return the time
+	 */
+	@Override
+	public DateTime getTime() {
+		return time;
+	}
+
+	/**
+	 * @param time the time to set
+	 */
+	public void setTime(DateTime time) {
+		this.time = time;
 	}
 
 	/**
@@ -39,21 +50,6 @@ public class TrueFXTick implements Tick {
 		this.instrument = instrument;
 	}
 
-	/**
-	 * @return the time
-	 */
-	@Override
-	public Date getTime() {
-		return time;
-	}
-
-	/**
-	 * @param time the time to set
-	 */
-	public void setTime(Date time) {
-		this.time = time;
-	}
-
 	/**
 	 * @return the bid
 	 */
@@ -83,4 +79,19 @@ public class TrueFXTick implements Tick {
 	public void setAsk(BigDecimal ask) {
 		this.ask = ask;
 	}
+
+	/**
+	 * @return the midprice between bid and ask
+	 */
+	@Override
+	public BigDecimal getMid() {
+		return getMid(ask, bid);
+	}
+
+	/**
+	 * Return a human readable representation of this event.
+	 */
+	public String toString() {
+		return String.format("TrueFXTickEvent[%s,%s,%s,%s]", time, instrument, bid, ask);
+	}
 }