Replace OHLCValueEvent

epl/trading_system_1.epl

@@ -108,18 +108,21 @@ insert into TBHKStream
 -- Simple moving average streams
 --
 
--- SMACloseStream contains OHLCValueEvents.  These are like
+-- SMACloseStream bundles a simple moving average of the close values
--- OHLCEvents, but add an extra field for an arbitrary value.  In this
+-- with the values of the OHLCStream.
--- stream, that extra value will contain the average of OHLC close
+create schema SMACloseStream as (time DateTime,
--- values.
+                                 open double,
-create schema SMACloseStream as ats.plugin.OHLCValueEvent
+                                 high double,
+                                 low double,
+                                 close double,
+                                 averageClose double)
 
 -- Average the most recent OHLC close values from OHLCStream and
 -- post an event that contains open, high, low, close, and
 -- SMA(close).  The number of OHLC events used in the SMA calc is set
 -- by the SMASize variable.
 insert into SMACloseStream
-  select new ats.plugin.OHLCValueEvent(time, open, high, low, close, Avg(close))
+  select time, open, high, low, close, Avg(close) as averageClose
     from OHLCStream#length(SMASize)
 
 
@@ -134,13 +137,11 @@ create schema BStream as (low double, time DateTime)
 
 -- Listen to the last "RefSize" number of SMACloseStream events. Look
 -- for an OHLC bar with a lower average close than its neighbors.  Add
--- that bar's low value and its timestamp to the stream.  As described
+-- that bar's low value and its timestamp to the stream.
--- in SMACloseStream, "value" in the query below represents
--- SMA(close).
 insert into BStream
   select prev(1, low) as low, prev(1, time) as time from SMACloseStream#length(RefSize)
-    where prev(0, value) > prev(1, value)
+    where prev(0, averageClose) > prev(1, averageClose)
-      and prev(1, value) < prev(2, value)
+      and prev(1, averageClose) < prev(2, averageClose)
 
 
 -- Define B1 to contain the same fields as BStream
@@ -168,8 +169,8 @@ create schema PStream as (low double, time DateTime)
 -- Add that low value and its timestamp to the stream.
 insert into PStream
   select prev(1, low) as low, prev(1, time) as time from SMACloseStream#length(RefSize)
-    where prev(0, value) < prev(1, value)
+    where prev(0, averageClose) < prev(1, averageClose)
-      and prev(1, value) > prev(2, value)
+      and prev(1, averageClose) > prev(2, averageClose)
 
 -- P1 contains the most recent low value and time from PStream.
 -- This is the last time an average close was higher

src/main/java/EsperProcessor.java

@@ -16,7 +16,6 @@ import org.slf4j.LoggerFactory;
 import ats.orders.MarketOrderRequest;
 import ats.plugin.OHLCEvent;
 import ats.plugin.OHLCPlugInViewFactory;
-import ats.plugin.OHLCValueEvent;
 
 
 public class EsperProcessor implements TickProcessor {
@@ -36,7 +35,6 @@ public class EsperProcessor implements TickProcessor {
         // register event types defined in java classes
         config.addEventType(TickEvent.class);
         config.addEventType(OHLCEvent.class);
-        config.addEventType(OHLCValueEvent.class);
         config.addEventType(DateTime.class);
 
         // add OHLC plugin

src/main/java/ats/plugin/OHLCValueEvent.java

@@ -1,42 +0,0 @@
-package ats.plugin;
-
-import org.joda.time.DateTime;
-
-/**
- * OHLCValueEvent stores one bar of OHLC info.
- */
-public class OHLCValueEvent extends OHLCEvent {
-    private double value;
-
-
-    public OHLCValueEvent() {
-        this(null, 0, 0, 0, 0, 0);
-    }
-
-    public OHLCValueEvent(DateTime time,
-                          double open, double high,
-                          double low, double close,
-                          double value)
-    {
-        super(time, open, high, low, close);
-        this.value = value;
-    }
-
-    public static OHLCValueEvent make(DateTime time,
-                                      double open, double high,
-                                      double low, double close,
-                                      double value)
-    {
-        return new OHLCValueEvent(time, open, high, low, close, value);
-    }
-
-    public Double getValue() { return value; }
-
-    /**
-     * Return a human readable representation of this event.
-     */
-    public String toString() {
-        return String.format("OHLCValueEvent[%s, open=%.3f, high=%.3f, low=%.3f, close=%.3f, value=%.3f]",
-                             getTime(), getOpen(), getHigh(), getLow(), getClose(), value);
-    }
-}