/* ===========================================================
* TradeManager : An application to trade strategies for the Java(tm) platform
* ===========================================================
*
* (C) Copyright 2011-2011, by Simon Allen and Contributors.
*
* Project Info: org.trade
*
* This library is free software; you can redistribute it and/or modify it
* under the terms of the GNU Lesser General Public License as published by
* the Free Software Foundation; either version 2.1 of the License, or
* (at your option) any later version.
*
* This library is distributed in the hope that it will be useful, but
* WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY
* or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public
* License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* License along with this library; if not, write to the Free Software
* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301,
* USA.
*
* [Java is a trademark or registered trademark of Oracle, Inc.
* in the United States and other countries.]
*
* (C) Copyright 2011-2011, by Simon Allen and Contributors.
*
* Original Author: Simon Allen;
* Contributor(s): -;
*
* Changes
* -------
*
*/
package org.trade.strategy;
import java.time.ZonedDateTime;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.trade.broker.BrokerModel;
import org.trade.core.util.TradingCalendar;
import org.trade.core.valuetype.Money;
import org.trade.dictionary.valuetype.Action;
import org.trade.dictionary.valuetype.OrderStatus;
import org.trade.dictionary.valuetype.Side;
import org.trade.dictionary.valuetype.TradestrategyStatus;
import org.trade.persistent.dao.TradeOrder;
import org.trade.strategy.data.CandleSeries;
import org.trade.strategy.data.StrategyData;
import org.trade.strategy.data.candle.CandleItem;
/**
* @author Simon Allen
*
* @version $Revision: 1.0 $
*/
public class Vwap5MinSideGapBarStrategy extends AbstractStrategyRule {
/**
*
*/
private static final long serialVersionUID = -2138009534354123773L;
private final static Logger _log = LoggerFactory.getLogger(Vwap5MinSideGapBarStrategy.class);
private Integer openPositionOrderKey = null;
/**
* Default Constructor Note if you use class variables remember these will
* need to be initialized if the strategy is restarted i.e. if they are
* created on startup under a constraint you must find a way to populate
* that value if the strategy were to be restarted and the constraint is not
* met.
*
* @param brokerManagerModel
* BrokerModel
* @param strategyData
* StrategyData
* @param idTradestrategy
* Integer
*/
public Vwap5MinSideGapBarStrategy(BrokerModel brokerManagerModel, StrategyData strategyData,
Integer idTradestrategy) {
super(brokerManagerModel, strategyData, idTradestrategy);
}
/*
* Enter over/under the 9:35am 5min bar if the bar is in the direction of
* the Tradestrategy side and the Vwap is also in that direction. Note the
* strategy will run until either: 1/ The above conditions are not met,
* cancel this strategy. 2/ The open position is filled, cancel this
* strategy. 3/ 10:30 comes cancel open position and cancel this strategy.
* 4/ Open position is filled, cancel this strategy.
*
* @param candleSeries the series of candles that has been updated.
*
* @param newBar has a new bar just started.
*/
/**
* Method runStrategy.
*
* @param candleSeries
* CandleSeries
* @param newBar
* boolean
* @see org.trade.strategy.StrategyRule#runStrategy(CandleSeries, boolean)
*/
public void runStrategy(CandleSeries candleSeries, boolean newBar) {
try {
/*
* Get the current candle
*/
CandleItem currentCandleItem = this.getCurrentCandle();
// AbstractStrategyRule.logCandle(this,
// currentCandleItem.getCandle());
ZonedDateTime startPeriod = currentCandleItem.getPeriod().getStart();
/*
* Trade is open kill this Strategy as its job is done.
*/
if (this.isThereOpenPosition()) {
_log.info("Strategy complete open position filled symbol: " + getSymbol() + " startPeriod: "
+ startPeriod);
/*
* If the order is partial filled chaeck and if the risk goes
* beyond 1 risk unit cancel the openPositionOrder this will
* cause it to be marked as filled.
*/
if (OrderStatus.PARTIALFILLED.equals(this.getOpenPositionOrder().getStatus())) {
if (isRiskViolated(currentCandleItem.getClose(), this.getTradestrategy().getRiskAmount(),
this.getOpenPositionOrder().getQuantity(),
this.getOpenPositionOrder().getAverageFilledPrice())) {
this.cancelOrder(this.getOpenPositionOrder());
}
}
this.cancel();
return;
}
/*
* Open position order was cancelled kill this Strategy as its job
* is done.
*/
if (null != openPositionOrderKey && !this.getTradeOrder(openPositionOrderKey).isActive()) {
_log.info("Strategy complete open position cancelled symbol: " + getSymbol() + " startPeriod: "
+ startPeriod);
updateTradestrategyStatus(TradestrategyStatus.CANCELLED);
this.cancel();
return;
}
/*
* Is it the the 9:35 candle? and we have not created an open
* position trade.
*/
if (startPeriod.equals(this.getTradestrategy().getTradingday().getOpen()
.plusMinutes(this.getTradestrategy().getBarSize() / 60)) && newBar) {
/*
* Is the candle in the direction of the Tradestrategy side i.e.
* a long play should have a green 5min candle
*/
CandleItem prevCandleItem = null;
if (getCurrentCandleCount() > 0) {
prevCandleItem = (CandleItem) candleSeries.getDataItem(getCurrentCandleCount() - 1);
// AbstractStrategyRule
// .logCandle(this, prevCandleItem.getCandle());
}
if (prevCandleItem.isSide(getTradestrategy().getSide())) {
if ((Side.BOT.equals(getTradestrategy().getSide())
&& prevCandleItem.getVwap() < currentCandleItem.getVwap())
|| (Side.SLD.equals(getTradestrategy().getSide())
&& prevCandleItem.getVwap() > currentCandleItem.getVwap())) {
/*
* Based on the prev bar create the stop, entry price
* using the 9:35 5min bar high/low.
*/
Money price = new Money(prevCandleItem.getHigh());
Money priceStop = new Money(prevCandleItem.getLow());
String action = Action.BUY;
if (Side.SLD.equals(getTradestrategy().getSide())) {
price = new Money(prevCandleItem.getLow());
priceStop = new Money(prevCandleItem.getHigh());
action = Action.SELL;
}
/*
* Create an open position order.
*/
TradeOrder tradeOrder = createRiskOpenPosition(action, price, priceStop, true, null, null, null,
null);
openPositionOrderKey = tradeOrder.getOrderKey();
} else {
_log.info("Rule Vwap 5 min Side Gap bar. Vwap not in direction of side. Symbol: " + getSymbol()
+ " Time: " + startPeriod);
if (Side.SLD.equals(getTradestrategy().getSide())) {
this.updateTradestrategyStatus(TradestrategyStatus.GB);
} else {
this.updateTradestrategyStatus(TradestrategyStatus.RB);
}
// Cancel this process we are done!
this.cancel();
}
} else {
_log.info("Rule 5 min Red/Green bar opposite to trade direction. Symbol: " + getSymbol() + " Time: "
+ startPeriod);
if (Side.SLD.equals(getTradestrategy().getSide())) {
this.updateTradestrategyStatus(TradestrategyStatus.GB);
} else {
this.updateTradestrategyStatus(TradestrategyStatus.RB);
}
// Cancel this process we are done!
this.cancel();
}
} else if (!startPeriod.isBefore(TradingCalendar.getDateAtTime(startPeriod, 10, 30, 0))) {
if (!this.isThereOpenPosition()
&& !TradestrategyStatus.CANCELLED.equals(getTradestrategy().getStatus())) {
this.updateTradestrategyStatus(TradestrategyStatus.TO);
this.cancelAllOrders();
// No trade we timed out
_log.info("Rule 10:30:00 bar, time out unfilled open position Symbol: " + getSymbol() + " Time: "
+ startPeriod);
}
this.cancel();
}
} catch (StrategyRuleException ex) {
_log.error("Error runRule exception: " + ex.getMessage(), ex);
error(1, 20, "Error runRule exception: " + ex.getMessage());
}
}
}