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rename *Tick classes to *TickEvent

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This commit is contained in:
Seth Ladygo
2018-05-26 22:50:05 -07:00
parent 89dd9575d0
commit 583d319ef3
8 changed files with 176 additions and 79 deletions
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6
src/main/java/CSVReader.java
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@ -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) {

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

91
src/main/java/EsperProcessor.java
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@ -24,26 +24,66 @@ 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) -> {
logger.debug("event: {}", (Object)newData);
});
addStatement("select * from TickEvent",
(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");
// 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);
// });
// log.debug("event: {}", (Object)newData);
// });
// 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();
CurrentTimeEvent timeEvent = new CurrentTimeEvent(time.getTime());
/**
* Add a single EPL statement to the Esper engine with a listener
* 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);
}

21
src/main/java/OANDATick.java → src/main/java/OANDATickEvent.java
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@ -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 Date time;
private DateTime time;
public PriceBucket[] bids;
public PriceBucket[] asks;
public BigDecimal closeoutBid;
@ -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());
}
}

26
src/main/java/Tick.java
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@ -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();
}

46
src/main/java/TickEvent.java Normal file
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@ -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();
}
}

2
src/main/java/TickProcessor.java
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@ -1,3 +1,3 @@
public interface TickProcessor {
public void process(Tick tick);
public void process(TickEvent tick);
}

59
src/main/java/TrueFXTick.java → src/main/java/TrueFXTickEvent.java
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@ -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
* file.
* TrueFXTickEvent holds a single tick read from TrueFX data archive
* 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 {
private String instrument;
public class TrueFXTickEvent extends TickEvent {
@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);
}
}