/**
* The MIT License (MIT)
*
* Copyright (c) 2014-2017 Marc de Verdelhan & respective authors (see AUTHORS)
*
* Permission is hereby granted, free of charge, to any person obtaining a copy of
* this software and associated documentation files (the "Software"), to deal in
* the Software without restriction, including without limitation the rights to
* use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
* the Software, and to permit persons to whom the Software is furnished to do so,
* subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in all
* copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
* FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
* COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
* IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
* CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
package eu.verdelhan.ta4j;
import eu.verdelhan.ta4j.Order.OrderType;
import java.io.Serializable;
import java.util.ArrayList;
import java.util.List;
/**
* A history/record of a trading session.
* <p>
* Holds the full trading record when running a {@link Strategy strategy}.
* It is used to:
* <ul>
* <li>check to satisfaction of some trading rules (when running a strategy)
* <li>analyze the performance of a trading strategy
* </ul>
*/
public class TradingRecord implements Serializable {
private static final long serialVersionUID = -4436851731855891220L;
/** The recorded orders */
private List<Order> orders = new ArrayList<Order>();
/** The recorded BUY orders */
private List<Order> buyOrders = new ArrayList<Order>();
/** The recorded SELL orders */
private List<Order> sellOrders = new ArrayList<Order>();
/** The recorded entry orders */
private List<Order> entryOrders = new ArrayList<Order>();
/** The recorded exit orders */
private List<Order> exitOrders = new ArrayList<Order>();
/** The recorded trades */
private List<Trade> trades = new ArrayList<Trade>();
/** The entry type (BUY or SELL) in the trading session */
private OrderType startingType;
/** The current non-closed trade (there's always one) */
private Trade currentTrade;
/**
* Constructor.
*/
public TradingRecord() {
this(OrderType.BUY);
}
/**
* Constructor.
* @param entryOrderType the {@link OrderType order type} of entries in the trading session
*/
public TradingRecord(OrderType entryOrderType) {
if (entryOrderType == null) {
throw new IllegalArgumentException("Starting type must not be null");
}
this.startingType = entryOrderType;
currentTrade = new Trade(entryOrderType);
}
/**
* Constructor.
* @param orders the orders to be recorded (cannot be empty)
*/
public TradingRecord(Order... orders) {
this(orders[0].getType());
for (Order o : orders) {
boolean newOrderWillBeAnEntry = currentTrade.isNew();
if (newOrderWillBeAnEntry && o.getType() != startingType) {
// Special case for entry/exit types reversal
// E.g.: BUY, SELL,
// BUY, SELL,
// SELL, BUY,
// BUY, SELL
currentTrade = new Trade(o.getType());
}
Order newOrder = currentTrade.operate(o.getIndex(), o.getPrice(), o.getAmount());
recordOrder(newOrder, newOrderWillBeAnEntry);
}
}
/**
* @return the current trade
*/
public Trade getCurrentTrade() {
return currentTrade;
}
/**
* Operates an order in the trading record.
* @param index the index to operate the order
*/
public final void operate(int index) {
operate(index, Decimal.NaN, Decimal.NaN);
}
/**
* Operates an order in the trading record.
* @param index the index to operate the order
* @param price the price of the order
* @param amount the amount to be ordered
*/
public final void operate(int index, Decimal price, Decimal amount) {
if (currentTrade.isClosed()) {
// Current trade closed, should not occur
throw new IllegalStateException("Current trade should not be closed");
}
boolean newOrderWillBeAnEntry = currentTrade.isNew();
Order newOrder = currentTrade.operate(index, price, amount);
recordOrder(newOrder, newOrderWillBeAnEntry);
}
/**
* Operates an entry order in the trading record.
* @param index the index to operate the entry
* @return true if the entry has been operated, false otherwise
*/
public final boolean enter(int index) {
return enter(index, Decimal.NaN, Decimal.NaN);
}
/**
* Operates an entry order in the trading record.
* @param index the index to operate the entry
* @param price the price of the order
* @param amount the amount to be ordered
* @return true if the entry has been operated, false otherwise
*/
public final boolean enter(int index, Decimal price, Decimal amount) {
if (currentTrade.isNew()) {
operate(index, price, amount);
return true;
}
return false;
}
/**
* Operates an exit order in the trading record.
* @param index the index to operate the exit
* @return true if the exit has been operated, false otherwise
*/
public final boolean exit(int index) {
return exit(index, Decimal.NaN, Decimal.NaN);
}
/**
* Operates an exit order in the trading record.
* @param index the index to operate the exit
* @param price the price of the order
* @param amount the amount to be ordered
* @return true if the exit has been operated, false otherwise
*/
public final boolean exit(int index, Decimal price, Decimal amount) {
if (currentTrade.isOpened()) {
operate(index, price, amount);
return true;
}
return false;
}
/**
* @return true if no trade is open, false otherwise
*/
public boolean isClosed() {
return !currentTrade.isOpened();
}
/**
* @return the recorded trades
*/
public List<Trade> getTrades() {
return trades;
}
/**
* @return the number of recorded trades
*/
public int getTradeCount() {
return trades.size();
}
/**
* @return the last trade recorded
*/
public Trade getLastTrade() {
if (!trades.isEmpty()) {
return trades.get(trades.size() - 1);
}
return null;
}
/**
* @return the last order recorded
*/
public Order getLastOrder() {
if (!orders.isEmpty()) {
return orders.get(orders.size() - 1);
}
return null;
}
/**
* @param orderType the type of the order to get the last of
* @return the last order (of the provided type) recorded
*/
public Order getLastOrder(OrderType orderType) {
if (OrderType.BUY.equals(orderType) && !buyOrders.isEmpty()) {
return buyOrders.get(buyOrders.size() - 1);
} else if (OrderType.SELL.equals(orderType) && !sellOrders.isEmpty()) {
return sellOrders.get(sellOrders.size() - 1);
}
return null;
}
/**
* @return the last entry order recorded
*/
public Order getLastEntry() {
if (!entryOrders.isEmpty()) {
return entryOrders.get(entryOrders.size() - 1);
}
return null;
}
/**
* @return the last exit order recorded
*/
public Order getLastExit() {
if (!exitOrders.isEmpty()) {
return exitOrders.get(exitOrders.size() - 1);
}
return null;
}
/**
* Records an order and the corresponding trade (if closed).
* @param order the order to be recorded
* @param isEntry true if the order is an entry, false otherwise (exit)
*/
private void recordOrder(Order order, boolean isEntry) {
if (order == null) {
throw new IllegalArgumentException("Order should not be null");
}
// Storing the new order in entries/exits lists
if (isEntry) {
entryOrders.add(order);
} else {
exitOrders.add(order);
}
// Storing the new order in orders list
orders.add(order);
if (OrderType.BUY.equals(order.getType())) {
// Storing the new order in buy orders list
buyOrders.add(order);
} else if (OrderType.SELL.equals(order.getType())) {
// Storing the new order in sell orders list
sellOrders.add(order);
}
// Storing the trade if closed
if (currentTrade.isClosed()) {
trades.add(currentTrade);
currentTrade = new Trade(startingType);
}
}
}