Add long exit (LX) code

epl/trading_system_1.epl

@@ -25,6 +25,9 @@ create constant variable int OHLCTicks = 100
 -- Amount to be traded, measured in units.
 create constant variable int TradeSize = 10
 
+-- How large is a pip?
+create constant variable BigDecimal PipSize = new BigDecimal(0.0001)
+
 -- How many events to use for simple moving average calculation
 create constant variable int SMASize = 5
 
@@ -306,6 +309,40 @@ create schema LongEntryPreEntryBarPrevLow (low double)
 insert into LongEntryPreEntryBarPrevLow select prev(1, low) as low
   from LongEntryPreEntryBar#length(2)
 
+
+--
+-- Long exit
+--
+
+-- Long exit event definition
+create schema LongExitStream
+  as (current BigDecimal,
+      time DateTime,
+      instrument String,
+      units int)
+
+-- The long exit calc below is translated from this entry in the
+-- spreadsheet:
+--
+-- LX = (LESBC <= 60 and C < MIN(PreEntrybar(Low,1), (LongEntryPrice - 10 pips)))
+--      or
+--      (LESBC>60 and C<(EntryPrice + 2 pips)
+
+insert into LongExitStream
+  select C.mid as current,
+         C.time as time,
+         C.instrument as instrument,
+         0 - TradeSize as units -- negative for "sell"
+    from CurrentTick as C,
+         LongEntryPreEntryBarPrevLow#lastevent as L
+    where ((LongEntryStopBarCount <= 60 and C.mid < min(L.low, LongEntryPrice - (10 * PipSize))) or
+           (LongEntryStopBarCount > 60 and C.mid < LongEntryPrice + (2 * PipSize)))
+      and InLongEntry
+
+-- Register the long position as closed
+on LongExitStream as lx set InLongEntry = false
+
+
 --
 -- Event logging
 --

src/main/java/EsperProcessor.java

@@ -61,6 +61,20 @@ public class EsperProcessor implements TickProcessor {
                                    newData[0].get("current"),
                                    newData[0].get("time"));
                      });
+
+        // respond to long exit events
+        addStatement("select * from LongExitStream",
+                     (newData, oldData) -> {
+                         String instrument = (String)newData[0].get("instrument");
+                         Integer units = (Integer)newData[0].get("units");
+                         trader.placeOrder(new MarketOrderRequest(instrument, units));
+
+                         log.debug("Long exit triggered: {} of {} at price {} at time {}",
+                                   units,
+                                   instrument,
+                                   newData[0].get("current"),
+                                   newData[0].get("time"));
+                     });
     }
 
     /**