Java tutorial
/** * The MIT License (MIT) * * Copyright (c) 2014-2016 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 com.quant; import org.joda.time.DateTime; import org.joda.time.Period; /** * End tick of a time period. * <p> */ public class Tick { /** Time period (e.g. 1 day, 15 min, etc.) of the tick, default is 1 day */ private Period timePeriod; /** End time of the tick */ private DateTime endTime; /** Begin time of the tick */ private DateTime beginTime; /** Open price of the period */ private Decimal openPrice = null; /** Close price of the period */ private Decimal closePrice = null; /** Max price of the period */ private Decimal maxPrice = null; /** Min price of the period */ private Decimal minPrice = null; /** Traded amount during the period */ private Decimal amount = Decimal.ZERO; /** Volume of the period */ private Decimal volume = Decimal.ZERO; /** Trade count */ private int trades = 0; // Values extracted from non-transactional data source /** */ private Decimal hotVal = Decimal.ZERO; /** ?? */ private Decimal hotRank = Decimal.valueOf(Double.MAX_VALUE); // default by the maximum value /** * Constructor. * @param timePeriod the time period * @param endTime the end time of the tiHck period */ public Tick(Period timePeriod, DateTime endTime) { checkTimeArguments(timePeriod, endTime); this.timePeriod = timePeriod; this.endTime = endTime; this.beginTime = endTime.minus(timePeriod); } /** * Constructor. * @param endTime the end time of the tick period * @param openPrice the open price of the tick period * @param highPrice the highest price of the tick period * @param lowPrice the lowest price of the tick period * @param closePrice the close price of the tick period * @param volume the volume of the tick period */ public Tick(DateTime endTime, double openPrice, double highPrice, double lowPrice, double closePrice, double volume) { this(endTime, Decimal.valueOf(openPrice), Decimal.valueOf(highPrice), Decimal.valueOf(lowPrice), Decimal.valueOf(closePrice), Decimal.valueOf(volume)); } public void setClosePrice(Decimal val) { this.closePrice = val; } /** * Constructor. * @param endTime the end time of the tick period * @param openPrice the open price of the tick period * @param highPrice the highest price of the tick period * @param lowPrice the lowest price of the tick period * @param closePrice the close price of the tick period * @param volume the volume of the tick period */ public Tick(DateTime endTime, String openPrice, String highPrice, String lowPrice, String closePrice, String volume) { this(endTime, Decimal.valueOf(openPrice), Decimal.valueOf(highPrice), Decimal.valueOf(lowPrice), Decimal.valueOf(closePrice), Decimal.valueOf(volume)); } /** * Constructor. * @param endTime the end time of the tick period * @param openPrice the open price of the tick period * @param highPrice the highest price of the tick period * @param lowPrice the lowest price of the tick period * @param closePrice the close price of the tick period * @param volume the volume of the tick period */ public Tick(DateTime endTime, Decimal openPrice, Decimal highPrice, Decimal lowPrice, Decimal closePrice, Decimal volume) { this(Period.days(1), endTime, openPrice, highPrice, lowPrice, closePrice, volume); } /** * Constructor. * @param timePeriod the time period * @param endTime the end time of the tick period * @param openPrice the open price of the tick period * @param highPrice the highest price of the tick period * @param lowPrice the lowest price of the tick period * @param closePrice the close price of the tick period * @param volume the volume of the tick period */ public Tick(Period timePeriod, DateTime endTime, Decimal openPrice, Decimal highPrice, Decimal lowPrice, Decimal closePrice, Decimal volume) { checkTimeArguments(timePeriod, endTime); this.timePeriod = timePeriod; this.endTime = endTime; this.beginTime = endTime.minus(timePeriod); this.openPrice = openPrice; this.maxPrice = highPrice; this.minPrice = lowPrice; this.closePrice = closePrice; this.volume = volume; } /** * Set the hot value * @param hotVal the hot value */ public void setHotVal(Decimal hotVal) { this.hotVal = hotVal; } /** * Set the hot rank * @param hotRank the hot rank */ public void setHotRank(Decimal hotRank) { this.hotRank = hotRank; } /** * @return the hot value */ public Decimal getHotVal() { return hotVal; } /** * @return the hot ranking */ public Decimal getHotRank() { return hotRank; } /** * @return the close price of the period */ public Decimal getClosePrice() { return closePrice; } /** * @return the open price of the period */ public Decimal getOpenPrice() { return openPrice; } /** * @return the number of trades in the period */ public int getTrades() { return trades; } /** * @return the max price of the period */ public Decimal getMaxPrice() { return maxPrice; } /** * @return the whole traded amount of the period */ public Decimal getAmount() { return amount; } /** * @return the whole traded volume in the period */ public Decimal getVolume() { return volume; } /** * Adds a trade at the end of tick period. * @param tradeAmount the tradable amount * @param tradePrice the price */ public void addTrade(double tradeAmount, double tradePrice) { addTrade(Decimal.valueOf(tradeAmount), Decimal.valueOf(tradePrice)); } /** * Adds a trade at the end of tick period. * @param tradeAmount the tradable amount * @param tradePrice the price */ public void addTrade(String tradeAmount, String tradePrice) { addTrade(Decimal.valueOf(tradeAmount), Decimal.valueOf(tradePrice)); } /** * Adds a trade at the end of tick period. * @param tradeAmount the tradable amount * @param tradePrice the price */ public void addTrade(Decimal tradeAmount, Decimal tradePrice) { if (openPrice == null) { openPrice = tradePrice; } closePrice = tradePrice; if (maxPrice == null) { maxPrice = tradePrice; } else { maxPrice = maxPrice.isLessThan(tradePrice) ? tradePrice : maxPrice; } if (minPrice == null) { minPrice = tradePrice; } else { minPrice = minPrice.isGreaterThan(tradePrice) ? tradePrice : minPrice; } amount = amount.plus(tradeAmount); volume = volume.plus(tradeAmount.multipliedBy(tradePrice)); trades++; } /** * @return the min price of the period */ public Decimal getMinPrice() { return minPrice; } /** * @return the time period of the tick */ public Period getTimePeriod() { return timePeriod; } /** * @return the begin timestamp of the tick period */ public DateTime getBeginTime() { return beginTime; } /** * @return the end timestamp of the tick period */ public DateTime getEndTime() { return endTime; } @Override public String toString() { return String.format("[time: %1$td/%1$tm/%1$tY %1$tH:%1$tM:%1$tS, close price: %2$f]", endTime.toGregorianCalendar(), closePrice.toDouble()); } /** * @param timestamp a timestamp * @return true if the provided timestamp is between the begin time and the end time of the current period, false otherwise */ public boolean inPeriod(DateTime timestamp) { return timestamp != null && !timestamp.isBefore(beginTime) && timestamp.isBefore(endTime); } /** * @return true if this is a bearish tick, false otherwise */ public boolean isBearish() { return (openPrice != null) && (closePrice != null) && closePrice.isLessThan(openPrice); } /** * @return true if this is a bullish tick, false otherwise */ public boolean isBullish() { return (openPrice != null) && (closePrice != null) && openPrice.isLessThan(closePrice); } /** * @return a human-friendly string of the end timestamp */ public String getDateName() { return endTime.toString("hh:mm dd/MM/yyyy"); } /** * @return a even more human-friendly string of the end timestamp */ public String getSimpleDateName() { return endTime.toString("dd/MM/yyyy"); } /** * @param timePeriod the time period * @param endTime the end time of the tick * @throws IllegalArgumentException if one of the arguments is null */ private void checkTimeArguments(Period timePeriod, DateTime endTime) { if (timePeriod == null) { throw new IllegalArgumentException("Time period cannot be null"); } if (endTime == null) { throw new IllegalArgumentException("End time cannot be null"); } } }