From 648b14eda936adf8fa7d96993ea383a5c534ec86 Mon Sep 17 00:00:00 2001
From: Seth Ladygo <alx-gitlab@arclight.industries>
Date: Mon, 23 Jul 2018 01:26:42 -0700
Subject: [PATCH] improve long entry calculation

---
 epl/trading_system_1.epl          | 45 ++++++++++++++++++++++++-------
 src/main/java/EsperProcessor.java |  8 ++++++
 2 files changed, 43 insertions(+), 10 deletions(-)

diff --git a/epl/trading_system_1.epl b/epl/trading_system_1.epl
index e7c49fb..dac2b53 100644
--- a/epl/trading_system_1.epl
+++ b/epl/trading_system_1.epl
@@ -123,17 +123,14 @@ insert into P2 select prev(1, low) as low, prev(1, time) as time
 -- Long entry
 --
 
-create schema LongEntryStream as (low double)
+-- keep track of the highest OHLC high value from the most recent three
+create window MaxHigh3Window#length(1) as (high double)
 
-insert into LongEntryStream
-  select B1.low as low
-    from B1#lastevent, B2#lastevent, P1#lastevent, P2#lastevent
-    where B1.low < B2.low
-      and P1.low < P2.low
-      and EPLHelpers.laterThan(B1.time, P1.time)
-      and EPLHelpers.laterThan(B2.time, P2.time)
-      and EPLHelpers.laterThan(P1.time, B2.time)
+insert into MaxHigh3Window
+  select max(high) as high from OHLCStream#length(3)
 
+-- LE calc below is translated from:
+--
 -- LE = C > HHV(High,3)
 --      and B1 < B2
 --      and P1 < P2
@@ -141,11 +138,35 @@ insert into LongEntryStream
 --      and BT2 > PT2
 --      and PT1 > BT2
 
+create schema LongEntryStream as (current BigDecimal, time org.joda.time.DateTime)
+
+insert into LongEntryStream
+  select C.mid as current, C.time as time
+    from CurrentTickWindow as C,
+         MaxHigh3Window as T,
+         B1#lastevent, B2#lastevent,
+         P1#lastevent, P2#lastevent
+    where C.mid > T.high
+      and B1.low < B2.low
+      and P1.low < P2.low
+      and EPLHelpers.laterThan(B1.time, P1.time)
+      and EPLHelpers.laterThan(B2.time, P2.time)
+      and EPLHelpers.laterThan(P1.time, B2.time)
+
+create schema LongEntryDistinct as (current BigDecimal, time org.joda.time.DateTime)
+
+insert into LongEntryDistinct
+  select le.current as current, le.time as time
+    from pattern [every-distinct(le.time) le=LongEntryStream]
+
+
 
 --
 -- Event logging
 --
 
+-- TODO: look into LogSink http://esper.espertech.com/release-7.1.0/esper-reference/html/dataflow.html#dataflow-reference-logsink
+
 create schema LogStream as (stream string, event string)
 
 -- Enable logging specific stream events by uncommenting individual
@@ -167,4 +188,8 @@ insert into LogStream select 'P1' as stream, EPLHelpers.str(*) as event from P1
 
 insert into LogStream select 'P2' as stream, EPLHelpers.str(*) as event from P2
 
-insert into LogStream select 'LongEntryStream' as stream, EPLHelpers.str(*) as event from LongEntryStream
+-- insert into LogStream select 'MaxHigh3Window' as stream, EPLHelpers.str(*) as event from MaxHigh3Window
+
+-- insert into LogStream select 'LongEntryStream' as stream, EPLHelpers.str(*) as event from LongEntryStream
+
+-- insert into LogStream select 'LongEntryDistinct' as stream, EPLHelpers.str(*) as event from LongEntryDistinct
diff --git a/src/main/java/EsperProcessor.java b/src/main/java/EsperProcessor.java
index 1ad226c..1fdfc69 100644
--- a/src/main/java/EsperProcessor.java
+++ b/src/main/java/EsperProcessor.java
@@ -59,6 +59,14 @@ public class EsperProcessor implements TickProcessor {
         // addLogStatement("LogStream");
 
         addLogStreamHandler();
+
+        // respond to long entry events
+        addStatement("select * from LongEntryDistinct",
+                     (newData, oldData) -> {
+                         log.debug("Long entry triggered: {} at {}",
+                                   newData[0].get("current"),
+                                   newData[0].get("time"));
+                     });
     }
 
     /**