285 lines
9.8 KiB
Plaintext
285 lines
9.8 KiB
Plaintext
-- trading_system_1.epl
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--
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-- Statements must be separated by an empty line.
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--
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-- Setup variables
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--
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-- The time the trading logic will begin to enter trades.
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-- Exiting trades is 24/7.
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create constant variable DateTime TradingStartTime = EPLHelpers.parseTime("00:00")
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-- The time the trading logic will no longer enter trades.
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-- Exiting trades is 24/7.
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create constant variable DateTime TradingEndTime = EPLHelpers.parseTime("23:59")
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-- The time frame for OHLC calculation.
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-- Example values: '5s', '1m', '1h 30m', '2h', '12h', '1d'.
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create constant variable string OHLCInterval = '10s'
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-- The number of ticks for OHLC TB calculation.
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create constant variable int OHLCTicks = 100
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-- Amount to be traded, measured in units.
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create constant variable int TradeSize = 10
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-- How many events to use for simple moving average calculation
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create constant variable int SMASize = 5
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-- How many events to store for Ref() access
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create constant variable int RefSize = 5
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--
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-- A named window that contains the current tick
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--
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-- Define the window as length 1, using the structure of the TickEvent
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-- java class to describe what the window contains.
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create window CurrentTick#length(1) as TickEvent
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-- Describe how events get added to the window. This runs every time
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-- a new TickEvent is posted.
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insert into CurrentTick select * from TickEvent
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--
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-- Trading window
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--
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-- InTradingHours will be set to true when the current time is between
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-- TradingStartTime and TradingEndTime.
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create variable bool InTradingHours = false
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-- Update on each tick
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on TickEvent as t
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set InTradingHours = EPLHelpers.inTimeRange(t.time, TradingStartTime, TradingEndTime)
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--
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-- A stream of OHLC values calculated from TickEvents
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--
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-- Send every TickEvent to the OHLC plugin. The plugin will post an
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-- OHLCEvent to OHLCStream every OHLCInterval amount of time. It uses
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-- TickEvent.time ("time") as the source of the timestamp, and uses
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-- TickEvent.midDouble() as the value to use in the OHLC calculation.
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create variant schema OHLCStream as OHLCEvent
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insert into OHLCStream
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select * from TickEvent#OHLC("OHLC", "time", OHLCInterval, time, midDouble)
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-- Send every TickEvent to the OHLC plugin. The plugin will post an
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-- OHLCEvent using Heikin-Ashi calculations to HKStream every
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-- OHLCInterval amount of time. It uses TickEvent.midDouble() as the
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-- value to use in the OHLC calculation.
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create variant schema HKStream as OHLCEvent
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insert into HKStream
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select * from TickEvent#OHLC("HeikinAshi", "time", OHLCInterval, time, midDouble)
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-- Send every TickEvent to the OHLC plugin. The plugin will post an
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-- OHLCEvent to TBStream every OHLCTicks ticks. It uses
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-- TickEvent.time ("time") as the source of the timestamp, and uses
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-- TickEvent.midDouble() as the value to use in the OHLC calculation.
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create variant schema TBStream as OHLCEvent
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insert into TBStream
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select * from TickEvent#OHLC("HeikinAshi", "ticks", OHLCTicks, time, midDouble)
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-- Send every TickEvent to the OHLC plugin. The plugin will post an
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-- OHLCEvent using Heikin-Ashi calculations to TBHKStream every
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-- OHLCTicks ticks. It uses TickEvent.midDouble() as the value to use
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-- in the OHLC calculation.
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create variant schema TBHKStream as OHLCEvent
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insert into TBHKStream
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select * from TickEvent#OHLC("HeikinAshi", "ticks", OHLCTicks, time, midDouble)
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--
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-- Simple moving average streams
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--
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-- SMACloseStream bundles a simple moving average of the close values
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-- with the values of the OHLCStream.
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create schema SMACloseStream as (time DateTime,
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open double,
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high double,
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low double,
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close double,
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averageClose double)
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-- Average the most recent OHLC close values from OHLCStream and
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-- post an event that contains open, high, low, close, and
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-- SMA(close). The number of OHLC events used in the SMA calc is set
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-- by the SMASize variable.
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insert into SMACloseStream
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select time, open, high, low, close, Avg(close) as averageClose
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from OHLCStream#length(SMASize)
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--
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-- ValueWhen calculations
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--
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-- A stream that feeds B1 and B2. Each event contains a double
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-- precision floating point value "low", and a timestamp called
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-- "time".
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create schema BStream as (low double, time DateTime)
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-- Listen to the last "RefSize" number of SMACloseStream events. Look
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-- for an OHLC bar with a lower average close than its neighbors. Add
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-- that bar's low value and its timestamp to the stream.
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insert into BStream
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select prev(1, low) as low, prev(1, time) as time from SMACloseStream#length(RefSize)
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where prev(0, averageClose) > prev(1, averageClose)
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and prev(1, averageClose) < prev(2, averageClose)
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-- Define B1 to contain the same fields as BStream
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create schema B1 (low double, time DateTime)
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-- B1 contains the most recent low value and time from BStream.
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-- This is the last time an average close was lower
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-- than the ones before and after.
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-- Since the time is included in the event, no separate BT1 is needed.
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insert into B1 select prev(0, low) as low, prev(0, time) as time
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from BStream#length(RefSize)
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-- B2 contains the *second* most recent occurrence in BStream, but is
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-- otherwise the same as B1.
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create schema B2 (low double, time DateTime)
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insert into B2 select prev(1, low) as low, prev(1, time) as time
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from BStream#length(RefSize)
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-- A stream that feeds P1 and P2.
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create schema PStream as (low double, time DateTime)
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-- Find an OHLC bar with a higher average close than its neighbors.
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-- Add that low value and its timestamp to the stream.
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insert into PStream
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select prev(1, low) as low, prev(1, time) as time from SMACloseStream#length(RefSize)
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where prev(0, averageClose) < prev(1, averageClose)
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and prev(1, averageClose) > prev(2, averageClose)
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-- P1 contains the most recent low value and time from PStream.
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-- This is the last time an average close was higher
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-- than the ones before and after.
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-- Since the time is included in the event, no separate PT1 is needed.
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create schema P1 (low double, time DateTime)
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insert into P1 select prev(0, low) as low, prev(0, time) as time
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from PStream#length(RefSize)
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-- P2 contains the second most recent occurrence in PStream.
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create schema P2 (low double, time DateTime)
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insert into P2 select prev(1, low) as low, prev(1, time) as time
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from PStream#length(RefSize)
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--
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-- Long entry
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--
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-- A helper for LE calc. Keep track of the highest OHLC high value.
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create window MaxHigh3Window#length(1) as (high double)
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-- Post the largest high value on OHLCStream from the most recent
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-- three bars.
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insert into MaxHigh3Window
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select max(high) as high from OHLCStream#length(3)
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-- Long entry events contain the current tick's midpoint value,
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-- timestamp, and instrument name.
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create schema LongEntryStream as (current BigDecimal, time DateTime, instrument String)
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-- The long entry calc below is translated from this entry in the
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-- spreadsheet:
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--
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-- LE = C > HHV(High,3)
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-- and B1 < B2
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-- and P1 < P2
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-- and BT1 > PT1
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-- and BT2 > PT2
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-- and PT1 > BT2
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insert into LongEntryStream
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select C.mid as current, C.time as time, C.instrument as instrument
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from CurrentTick as C,
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MaxHigh3Window as T,
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B1#lastevent, B2#lastevent,
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P1#lastevent, P2#lastevent
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where C.mid > T.high
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and B1.low < B2.low
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and P1.low < P2.low
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and EPLHelpers.laterThan(B1.time, P1.time)
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and EPLHelpers.laterThan(B2.time, P2.time)
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and EPLHelpers.laterThan(P1.time, B2.time)
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and InTradingHours
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-- Because multiple streams feed LongEntryStream (CurrentTick,
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-- MaxHigh3Window, B1, B2...), an event on any of those streams causes
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-- the LongEntryStream logic above to be triggered. This often causes
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-- multiple LongEntryStream events to be generated for a single tick
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-- when several of the feeder streams are updated at the same time.
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--
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-- LongEntryDistinct filters out duplicate LongEntryStream events,
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-- leaving a maximum of one event per tick.
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create schema LongEntryDistinct as (current BigDecimal, time DateTime,
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instrument String, units int)
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insert into LongEntryDistinct
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select le.current as current, le.time as time,
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le.instrument as instrument, TradeSize as units
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from pattern [every-distinct(le.time) le=LongEntryStream]
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--
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-- Event logging
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--
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-- Log events consist of the stream name and an event description.
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create schema LogStream as (stream string, event string)
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-- Enable logging the events on specific streams by uncommenting
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-- individual lines below. Depending on ongoing debugging needs, some
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-- of these can be either helpful or too noisy. Comment/uncomment as
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-- you see fit.
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insert into LogStream select 'TickEvent' as stream, EPLHelpers.str(*) as event from TickEvent
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insert into LogStream select 'OHLCStream' as stream, EPLHelpers.str(*) as event from OHLCStream
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-- insert into LogStream select 'BStream' as stream, EPLHelpers.str(*) as event from BStream
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-- insert into LogStream select 'PStream' as stream, EPLHelpers.str(*) as event from PStream
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insert into LogStream select 'B1' as stream, EPLHelpers.str(*) as event from B1
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insert into LogStream select 'B2' as stream, EPLHelpers.str(*) as event from B2
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insert into LogStream select 'P1' as stream, EPLHelpers.str(*) as event from P1
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insert into LogStream select 'P2' as stream, EPLHelpers.str(*) as event from P2
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-- insert into LogStream select 'MaxHigh3Window' as stream, EPLHelpers.str(*) as event from MaxHigh3Window
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-- insert into LogStream select 'LongEntryStream' as stream, EPLHelpers.str(*) as event from LongEntryStream
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-- insert into LogStream select 'LongEntryDistinct' as stream, EPLHelpers.str(*) as event from LongEntryDistinct
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-- TODO (for Seth): look into LogSink http://esper.espertech.com/release-7.1.0/esper-reference/html/dataflow.html#dataflow-reference-logsink
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