Java tutorial
/* * Copyright 2015 Shekhar Varshney * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at * * http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ package com.precioustech.fxtrading.tradingbot.strategies; import static org.junit.Assert.assertEquals; import static org.junit.Assert.assertTrue; import static org.mockito.Matchers.eq; import static org.mockito.Mockito.mock; import static org.mockito.Mockito.when; import java.util.Collection; import java.util.Map; import java.util.concurrent.BlockingQueue; import java.util.concurrent.LinkedBlockingQueue; import org.joda.time.DateTime; import org.junit.Test; import org.springframework.social.twitter.api.Tweet; import com.google.common.collect.Lists; import com.google.common.collect.Maps; import com.precioustech.fxtrading.TradingDecision; import com.precioustech.fxtrading.TradingSignal; import com.precioustech.fxtrading.instrument.TradeableInstrument; import com.precioustech.fxtrading.marketdata.CurrentPriceInfoProvider; import com.precioustech.fxtrading.marketdata.Price; import com.precioustech.fxtrading.tradingbot.TradingAppTestConstants; import com.precioustech.fxtrading.tradingbot.social.twitter.CloseFXTradeTweet; import com.precioustech.fxtrading.tradingbot.social.twitter.NewFXTradeTweet; import com.precioustech.fxtrading.tradingbot.social.twitter.tweethandler.FXTweetHandler; @SuppressWarnings("unchecked") public class CopyTwitterStrategyTest { private static final double ZERO = 0.0; private String userIdfoo = "foo"; private String userIdbar = "bar"; @Test public void harvestNewTradeTest() { CopyTwitterStrategy<String> copyTwitterStrategy = new CopyTwitterStrategy<String>(); FXTweetHandler<String> tweetHandlerFoo = createTweetHandlerFoo(copyTwitterStrategy); Collection<NewFXTradeTweet<String>> newTradeTweets = copyTwitterStrategy.harvestNewTradeTweets(userIdbar); assertTrue(newTradeTweets.isEmpty()); Tweet tweet1 = mock(Tweet.class); Tweet tweet2 = mock(Tweet.class); Collection<Tweet> footweets = Lists.newArrayList(tweet1, tweet2); when(tweetHandlerFoo.findNewTweets()).thenReturn(footweets); when(tweetHandlerFoo.handleTweet(tweet1)).thenReturn(mock(CloseFXTradeTweet.class)); when(tweetHandlerFoo.handleTweet(tweet2)).thenReturn(mock(NewFXTradeTweet.class)); newTradeTweets = copyTwitterStrategy.harvestNewTradeTweets(userIdfoo); assertEquals(1, newTradeTweets.size()); } private FXTweetHandler<String> createTweetHandlerFoo(CopyTwitterStrategy<String> copyTwitterStrategy) { Map<String, FXTweetHandler<String>> tweetHandlerMap = Maps.newHashMap(); FXTweetHandler<String> tweetHandlerFoo = mock(FXTweetHandler.class); tweetHandlerMap.put(userIdfoo, tweetHandlerFoo); copyTwitterStrategy.tweetHandlerMap = tweetHandlerMap; return tweetHandlerFoo; } @Test public void harvestAndTradeTest() throws InterruptedException { CopyTwitterStrategy<String> copyTwitterStrategy = new CopyTwitterStrategy<String>(); FXTweetHandler<String> tweetHandlerFoo = createTweetHandlerFoo(copyTwitterStrategy); BlockingQueue<TradingDecision<String>> orderQueue = new LinkedBlockingQueue<TradingDecision<String>>(); copyTwitterStrategy.orderQueue = orderQueue; copyTwitterStrategy.init(); Tweet tweet1 = mock(Tweet.class); Collection<Tweet> footweets = Lists.newArrayList(tweet1); NewFXTradeTweet<String> newTrade = mock(NewFXTradeTweet.class); when(tweetHandlerFoo.findNewTweets()).thenReturn(footweets); when(tweetHandlerFoo.handleTweet(tweet1)).thenReturn(newTrade); when(newTrade.getAction()).thenReturn(TradingSignal.SHORT); TradeableInstrument<String> euraud = new TradeableInstrument<String>("EUR_AUD"); when(newTrade.getInstrument()).thenReturn(euraud); double[] profits = { 11.32, 17.7, 8.2, 19.0, 44.5, -11.0, 10, 25.5 }; Collection<CloseFXTradeTweet<String>> closedTrades = createClosedTrades(profits); footweets = Lists.newArrayList(); for (CloseFXTradeTweet<String> closeTradeTweet : closedTrades) { Tweet tweet = mock(Tweet.class); when(tweetHandlerFoo.handleTweet(tweet)).thenReturn(closeTradeTweet); footweets.add(tweet); } when(tweetHandlerFoo.findHistoricPnlTweetsForInstrument(euraud)).thenReturn(footweets); copyTwitterStrategy.harvestAndTrade(); TradingDecision<String> decision = orderQueue.take(); assertEquals(TradingSignal.SHORT, decision.getSignal()); assertEquals(euraud, decision.getInstrument()); } @Test public void harvestHistoricTradeTweetsTest() { CopyTwitterStrategy<String> copyTwitterStrategy = new CopyTwitterStrategy<String>(); FXTweetHandler<String> tweetHandlerFoo = createTweetHandlerFoo(copyTwitterStrategy); TradeableInstrument<String> gbpusd = new TradeableInstrument<String>("GBP_USD"); Collection<CloseFXTradeTweet<String>> closeTradeTweets = copyTwitterStrategy .harvestHistoricTradeTweets(userIdbar, gbpusd); assertTrue(closeTradeTweets.isEmpty()); Tweet tweet1 = mock(Tweet.class); Tweet tweet2 = mock(Tweet.class); Collection<Tweet> footweets = Lists.newArrayList(tweet1, tweet2); when(tweetHandlerFoo.findHistoricPnlTweetsForInstrument(gbpusd)).thenReturn(footweets); when(tweetHandlerFoo.handleTweet(tweet1)).thenReturn(mock(CloseFXTradeTweet.class)); when(tweetHandlerFoo.handleTweet(tweet2)).thenReturn(mock(CloseFXTradeTweet.class)); closeTradeTweets = copyTwitterStrategy.harvestHistoricTradeTweets(userIdfoo, gbpusd); assertEquals(2, closeTradeTweets.size()); } @Test public void analyseHistoricTweetsTest() { CopyTwitterStrategy<String> copyTwitterStrategy = new CopyTwitterStrategy<String>(); double[] profits = { 13.45, 11.54, -8.9, 12.09, 21.67, 2.76, -3.5, 11.67, 9.21 }; Collection<CloseFXTradeTweet<String>> closedTrades = createClosedTrades(profits); double takeProfit = 0.9812; double stopLoss = 0.949; double price = 0.9735; NewFXTradeTweet<String> newTrade = mock(NewFXTradeTweet.class); TradeableInstrument<String> usdchf = new TradeableInstrument<String>("USD_CHF"); when(newTrade.getAction()).thenReturn(TradingSignal.LONG); when(newTrade.getInstrument()).thenReturn(usdchf); when(newTrade.getTakeProfit()).thenReturn(takeProfit); when(newTrade.getStopLoss()).thenReturn(stopLoss); when(newTrade.getPrice()).thenReturn(price); TradingDecision<String> tradingDecision = copyTwitterStrategy .analyseHistoricClosedTradesForInstrument(closedTrades, newTrade); assertEquals(TradingSignal.LONG, tradingDecision.getSignal()); assertEquals(TradingDecision.SRCDECISION.SOCIAL_MEDIA, tradingDecision.getTradeSource()); assertEquals(usdchf, tradingDecision.getInstrument()); assertEquals(takeProfit, tradingDecision.getTakeProfitPrice(), ZERO); assertEquals(stopLoss, tradingDecision.getStopLossPrice(), ZERO); assertEquals(price, tradingDecision.getLimitPrice(), ZERO); double profits2[] = { -23.9, -10, -56.0, -12.9, -11.5, 8.5 }; closedTrades = createClosedTrades(profits2); tradingDecision = copyTwitterStrategy.analyseHistoricClosedTradesForInstrument(closedTrades, newTrade); assertEquals(TradingSignal.SHORT, tradingDecision.getSignal()); assertEquals(TradingDecision.SRCDECISION.SOCIAL_MEDIA, tradingDecision.getTradeSource()); assertEquals(usdchf, tradingDecision.getInstrument()); assertEquals(0.9658, tradingDecision.getTakeProfitPrice(), TradingAppTestConstants.precision); assertEquals(0.998, tradingDecision.getStopLossPrice(), TradingAppTestConstants.precision); assertEquals(price, tradingDecision.getLimitPrice(), ZERO); stopLoss = 1.1125; takeProfit = 1.0705; price = 1.0895; TradeableInstrument<String> eurchf = new TradeableInstrument<String>("EUR_CHF"); NewFXTradeTweet<String> newTrade2 = mock(NewFXTradeTweet.class); when(newTrade2.getAction()).thenReturn(TradingSignal.SHORT); when(newTrade2.getInstrument()).thenReturn(eurchf); when(newTrade2.getTakeProfit()).thenReturn(takeProfit); when(newTrade2.getStopLoss()).thenReturn(stopLoss); when(newTrade2.getPrice()).thenReturn(price); tradingDecision = copyTwitterStrategy.analyseHistoricClosedTradesForInstrument(closedTrades, newTrade2); assertEquals(TradingSignal.LONG, tradingDecision.getSignal()); assertEquals(TradingDecision.SRCDECISION.SOCIAL_MEDIA, tradingDecision.getTradeSource()); assertEquals(eurchf, tradingDecision.getInstrument()); assertEquals(1.1085, tradingDecision.getTakeProfitPrice(), TradingAppTestConstants.precision); assertEquals(1.0665, tradingDecision.getStopLossPrice(), TradingAppTestConstants.precision); assertEquals(price, tradingDecision.getLimitPrice(), ZERO); stopLoss = 15.0545; takeProfit = 15.0985; price = 0.0; TradeableInstrument<String> usdzar = new TradeableInstrument<>("USD_ZAR"); NewFXTradeTweet<String> newTrade3 = mock(NewFXTradeTweet.class); when(newTrade3.getAction()).thenReturn(TradingSignal.LONG); when(newTrade3.getInstrument()).thenReturn(usdzar); when(newTrade3.getTakeProfit()).thenReturn(takeProfit); when(newTrade3.getStopLoss()).thenReturn(stopLoss); when(newTrade3.getPrice()).thenReturn(price); closedTrades = createClosedTrades(profits2); CurrentPriceInfoProvider<String> currPriceInfoProvider = mock(CurrentPriceInfoProvider.class); copyTwitterStrategy.currentPriceInfoProvider = currPriceInfoProvider; Map<TradeableInstrument<String>, Price<String>> priceMap = Maps.newHashMap(); Price<String> usdzarPrice = new Price<>(usdzar, 15.0715, 15.0727, DateTime.now()); priceMap.put(usdzar, usdzarPrice); when(currPriceInfoProvider.getCurrentPricesForInstruments(eq(Lists.newArrayList(usdzar)))) .thenReturn(priceMap); tradingDecision = copyTwitterStrategy.analyseHistoricClosedTradesForInstrument(closedTrades, newTrade3); assertEquals(TradingSignal.SHORT, tradingDecision.getSignal()); assertEquals(TradingDecision.SRCDECISION.SOCIAL_MEDIA, tradingDecision.getTradeSource()); assertEquals(usdzar, tradingDecision.getInstrument()); assertEquals(15.0445, tradingDecision.getTakeProfitPrice(), TradingAppTestConstants.precision); assertEquals(15.0885, tradingDecision.getStopLossPrice(), TradingAppTestConstants.precision); assertEquals(15.0715, tradingDecision.getLimitPrice(), ZERO); } private Collection<CloseFXTradeTweet<String>> createClosedTrades(double[] profits) { Collection<CloseFXTradeTweet<String>> closedTrades = Lists.newArrayList(); for (double profit : profits) { CloseFXTradeTweet<String> closeTrade = mock(CloseFXTradeTweet.class); when(closeTrade.getProfit()).thenReturn(profit); closedTrades.add(closeTrade); } return closedTrades; } }