alx/ATS_Esper
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add trading managers

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This commit is contained in:
Seth Ladygo
2018-09-21 10:09:18 -07:00
parent aef74dfa59
commit 6edc589248
8 changed files with 151 additions and 17 deletions
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15
src/main/java/EsperProcessor.java
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@ -12,6 +12,7 @@ import com.espertech.esper.client.time.CurrentTimeEvent;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import ats.orders.MarketOrderRequest;
import ats.plugin.OHLCEvent;
import ats.plugin.OHLCPlugInViewFactory;
import ats.plugin.OHLCValueEvent;
@ -20,9 +21,11 @@ import ats.plugin.OHLCValueEvent;
public class EsperProcessor implements TickProcessor {
final Logger log = LoggerFactory.getLogger(EsperProcessor.class);
EPServiceProvider engine;
TradingManager trader;
public EsperProcessor(String epl) {
public EsperProcessor(String epl, TradingManager trader) {
this.trader = trader;
Configuration config = new Configuration();
// disable esper's internal clock. we use tick data for our
@ -39,8 +42,6 @@ public class EsperProcessor implements TickProcessor {
engine = EPServiceProviderManager.getDefaultProvider(config);
//engine.getEPRuntime().setVariableValue("FOO", 12d);
addStatements(epl);
// addLogStatement("TickEvent");
@ -50,7 +51,13 @@ public class EsperProcessor implements TickProcessor {
// respond to long entry events
addStatement("select * from LongEntryDistinct",
(newData, oldData) -> {
log.debug("Long entry triggered: {} at {}",
String instrument = (String)newData[0].get("instrument");
Integer units = (Integer)newData[0].get("units");
trader.placeOrder(new MarketOrderRequest(instrument, units));
log.debug("Long entry triggered: {} of {} at price {} at time {}",
units,
instrument,
newData[0].get("current"),
newData[0].get("time"));
});