move epl files to separate directory

build.gradle

@@ -50,12 +50,12 @@ distributions {
     main {
         contents {
             into('csv') {
-                from('.') {
+                from('csv') {
                     include 'EURUSD-2017-01-*.csv'
                 }
             }
             into('epl') {
-                from('.') {
+                from('epl') {
                     include '*.epl'
                 }
             }

epl/test.epl

@@ -0,0 +1,111 @@
+-- test.epl - sample setup
+--
+-- Statements must be separated by an empty line.
+
+
+-- The time the trading logic will begin to enter trades.
+-- Exiting trades is 24/7.
+create constant variable int StartTimeHour = 9
+
+-- The time the trading logic will begin to enter trades.
+-- Exiting trades is 24/7.
+create constant variable int EndTimeHour = 17
+
+-- The time frame or tickbar count of the data to be analyzed or
+-- traded. Examples: 5s, 1m, 1h 30m, 2h, 12h, 1d.
+create constant variable string Interval = '2s'
+
+-- Amount to be traded, measured in units.
+create constant variable int TradeSize = 100000
+
+-- How many ticks to use for simple moving average calculation
+create constant variable int SMASize = 5
+
+-- How many ticks to store for Ref() access
+create constant variable int RefSize = 5
+
+
+--
+-- Trading window
+--
+
+-- InTradingHours will be set to true when the current time is between
+-- StartTime and EndTime.
+create variable bool InTradingHours = false
+
+-- Update on each tick
+-- NOTE: see "timer:within" pattern for possible alternate formulation
+on TickEvent as t set InTradingHours =
+  (EPLHelpers.getHour(t.time) >= StartTimeHour and
+   EPLHelpers.getHour(t.time) < EndTimeHour)
+
+
+--
+-- A stream of OHLC values calculated from TickEvents
+--
+
+create variant schema OneMinuteOHLCStream as OHLCEvent
+
+insert into OneMinuteOHLCStream
+  select * from TickEvent#OHLC(Interval, time, midDouble)
+
+
+--
+-- Simple moving average streams
+--
+
+-- Average the most recent OHLC close values and create events that
+-- contain open, high, low, close and SMA(close).  The number of
+-- OHLC events used in the SMA calc is set by SMASize.
+create schema SMACloseStream as ats.plugin.OHLCValueEvent
+
+insert into SMACloseStream
+  select new ats.plugin.OHLCValueEvent(time, open, high, low, close, Avg(close))
+    from OneMinuteOHLCStream#length(SMASize)
+
+
+--
+-- ValueWhen calculations
+--
+
+-- A stream that feeds B1 and B2
+create schema BStream as (low double)
+
+-- Find a bar with a lower close than its neighbors.
+-- Add that low value to the stream.
+insert into BStream
+  select prev(1, low) as low from SMACloseStream#length(RefSize)
+    where prev(0, value) > prev(1, value)
+      and prev(1, value) < prev(2, value)
+
+create schema B1 (low double)
+
+insert into B1 select prev(0, low) as low
+  from BStream#length(RefSize)
+
+create schema B2 (low double)
+
+insert into B2 select prev(1, low) as low
+  from BStream#length(RefSize)
+
+
+
+-- A stream that feeds P1 and P2
+create schema PStream as (low double)
+
+-- Find a bar with a higher close than its neighbors.
+-- Add that low value to the stream.
+insert into PStream
+  select prev(1, low) as low from SMACloseStream#length(RefSize)
+    where prev(0, value) < prev(1, value)
+      and prev(1, value) > prev(2, value)
+
+create schema P1 (low double)
+
+insert into P1 select prev(0, low) as low
+  from PStream#length(RefSize)
+
+create schema P2 (low double)
+
+insert into P2 select prev(1, low) as low
+  from PStream#length(RefSize)

epl/trading_system_1.epl

@@ -0,0 +1,161 @@
+-- test.epl - sample setup
+--
+-- Statements must be separated by an empty line.
+
+
+-- The time the trading logic will begin to enter trades.
+-- Exiting trades is 24/7.
+create constant variable int StartTimeHour = 9
+
+-- The time the trading logic will begin to enter trades.
+-- Exiting trades is 24/7.
+create constant variable int EndTimeHour = 17
+
+-- The time frame or tickbar count of the data to be analyzed or
+-- traded. Examples: 5s, 1m, 1h 30m, 2h, 12h, 1d.
+create constant variable string Interval = '2s'
+
+-- Amount to be traded, measured in units.
+create constant variable int TradeSize = 100000
+
+-- How many ticks to use for simple moving average calculation
+create constant variable int SMASize = 5
+
+-- How many ticks to store for Ref() access
+create constant variable int RefSize = 5
+
+
+--
+-- Trading window
+--
+
+-- InTradingHours will be set to true when the current time is between
+-- StartTime and EndTime.
+create variable bool InTradingHours = false
+
+-- Update on each tick
+-- NOTE: see "timer:within" pattern for possible alternate formulation
+on TickEvent as t set InTradingHours =
+  (EPLHelpers.getHour(t.time) >= StartTimeHour and
+   EPLHelpers.getHour(t.time) < EndTimeHour)
+
+
+--
+-- A stream of OHLC values calculated from TickEvents
+--
+
+create variant schema OneMinuteOHLCStream as OHLCEvent
+
+insert into OneMinuteOHLCStream
+  select * from TickEvent#OHLC(Interval, time, midDouble)
+
+
+--
+-- Simple moving average streams
+--
+
+-- Average the most recent OHLC close values and create events that
+-- contain open, high, low, close and SMA(close).  The number of
+-- OHLC events used in the SMA calc is set by SMASize.
+create schema SMACloseStream as ats.plugin.OHLCValueEvent
+
+insert into SMACloseStream
+  select new ats.plugin.OHLCValueEvent(time, open, high, low, close, Avg(close))
+    from OneMinuteOHLCStream#length(SMASize)
+
+
+--
+-- ValueWhen calculations
+--
+
+-- A stream that feeds B1 and B2
+create schema BStream as (low double, time org.joda.time.DateTime)
+
+-- Find a bar with a lower close than its neighbors.
+-- Add that low value to the stream.
+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)
+      and prev(1, value) < prev(2, value)
+
+create schema B1 (low double, time org.joda.time.DateTime)
+
+insert into B1 select prev(0, low) as low, prev(0, time) as time
+  from BStream#length(RefSize)
+
+create schema B2 (low double, time org.joda.time.DateTime)
+
+insert into B2 select prev(1, low) as low, prev(1, time) as time
+  from BStream#length(RefSize)
+
+
+-- A stream that feeds P1 and P2
+create schema PStream as (low double, time org.joda.time.DateTime)
+
+-- Find a bar with a higher close than its neighbors.
+-- Add that low value 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)
+      and prev(1, value) > prev(2, value)
+
+create schema P1 (low double, time org.joda.time.DateTime)
+
+insert into P1 select prev(0, low) as low, prev(0, time) as time
+  from PStream#length(RefSize)
+
+create schema P2 (low double, time org.joda.time.DateTime)
+
+insert into P2 select prev(1, low) as low, prev(1, time) as time
+  from PStream#length(RefSize)
+
+
+--
+-- Long entry
+--
+
+create schema LongEntryStream as (low 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)
+
+-- LE = C > HHV(High,3)
+--      and B1 < B2
+--      and P1 < P2
+--      and BT1 > PT1
+--      and BT2 > PT2
+--      and PT1 > BT2
+
+
+--
+-- Event logging
+--
+
+create schema LogStream as (stream string, event string)
+
+-- Enable logging specific stream events by uncommenting individual
+-- lines below:
+
+-- insert into LogStream select 'TickEvent' as stream, EPLHelpers.str(*) as event from TickEvent
+
+-- insert into LogStream select 'OneMinuteOHLCStream' as stream, EPLHelpers.str(*) as event from OneMinuteOHLCStream
+
+-- insert into LogStream select 'BStream' as stream, EPLHelpers.str(*) as event from BStream
+
+-- insert into LogStream select 'PStream' as stream, EPLHelpers.str(*) as event from PStream
+
+insert into LogStream select 'B1' as stream, EPLHelpers.str(*) as event from B1
+
+insert into LogStream select 'B2' as stream, EPLHelpers.str(*) as event from B2
+
+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

test.epl

@@ -1,70 +0,0 @@
--- test.epl - sample setup
---
--- Statements must be separated by an empty line.
-
-
--- The time the trading logic will begin to enter trades.
--- Exiting trades is 24/7.
-create constant variable int StartTimeHour = 9
-
--- The time the trading logic will begin to enter trades.
--- Exiting trades is 24/7.
-create constant variable int EndTimeHour = 17
-
--- The time frame or tickbar count of the data to be analyzed or
--- traded. Examples: 5s, 1m, 1h 30m, 2h, 12h, 1d.
-create constant variable string Interval = '15s'
-
--- Amount to be traded, measured in units.
-create constant variable int TradeSize = 100000
-
--- InTradingHours will be set to true if the current time is between
--- StartTime and EndTime.
-create variable bool InTradingHours = false
-
--- Update on each tick
-on TickEvent as t set InTradingHours =
-  (EPLHelpers.getHour(t.time) >= StartTimeHour and
-   EPLHelpers.getHour(t.time) < EndTimeHour)
-
--- A stream of OHLC values
-create variant schema OHLCStream as OHLCEvent
-
-insert into OHLCStream
-    select * from TickEvent#OHLC(Interval, time, midDouble)
-
-
---
--- testing/debug/WIP below
---
-
--- create window LongEntryTimeWindow#time(60 min) as
---     select * from LongEntryEvent
-
--- 
--- create window TicksTimeWindow#time(30 sec) as
---     select * from TickEvent
-
--- on TickEvent insert into TicksTimeWindow select * from TickEvent
-
--- on TickEvent as t merge TicksTimeWindow as win
---     where win.time 
--- insert into OrdersWindow select * from MerchandiseProductEvent
--- set InTradingHours =
---   (EPLHelpers.getHour(t.time) >= StartTimeHour and
---    EPLHelpers.getHour(t.time) < EndTimeHour)
-
-
---  LECount = (1,clock,60 min)  == only allow one long entry per clock hour example: one LE between 1:00pm to 1:59pm
-
---  B1 = ValueWhen( (ref(sma(5,c),-1)>ref(sma(5,c),-2)<ref(sma(5,c),-3)), Ref(Low,-2), 1 )
-
--- something like "insert into CountPerSec select count(*) as cnt from XYZ.win:time_batch(1)" "select sum(cnt) from CountPerSec.win:time(1 hour)" for example, this has 1 second resolution of counts, define as you like
-
--- 1)   String stmt = "insert into WebEventTotalCount select count(*) as cnt from " +
---                 "WebEvent.win:firstlength(1) A where A.page.pageName is not null ";
-
--- 2)   String stmt = "update istream WebEventTotalCount set cnt = cnt + ( select count(*) as cnt from " +
---                 "WebEvent.win:time(1) A where A.page.pageName is not null ) "                 ;
-
--- 3)   String stmt = " select cnt from WebEventTotalCount ";