ta4jexamples.bots.TradingBotOnMovingTimeSeries Maven / Gradle / Ivy
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/**
* 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 ta4jexamples.bots;
import eu.verdelhan.ta4j.BaseStrategy;
import eu.verdelhan.ta4j.BaseTick;
import eu.verdelhan.ta4j.BaseTradingRecord;
import eu.verdelhan.ta4j.Decimal;
import eu.verdelhan.ta4j.Order;
import eu.verdelhan.ta4j.Strategy;
import eu.verdelhan.ta4j.Tick;
import eu.verdelhan.ta4j.TimeSeries;
import eu.verdelhan.ta4j.TradingRecord;
import eu.verdelhan.ta4j.indicators.helpers.ClosePriceIndicator;
import eu.verdelhan.ta4j.indicators.SMAIndicator;
import eu.verdelhan.ta4j.trading.rules.OverIndicatorRule;
import eu.verdelhan.ta4j.trading.rules.UnderIndicatorRule;
import java.time.ZonedDateTime;
import ta4jexamples.loaders.CsvTradesLoader;
/**
* This class is an example of a dummy trading bot using ta4j.
*
*/
public class TradingBotOnMovingTimeSeries {
/** Close price of the last tick */
private static Decimal LAST_TICK_CLOSE_PRICE;
/**
* Builds a moving time series (i.e. keeping only the maxTickCount last ticks)
* @param maxTickCount the number of ticks to keep in the time series (at maximum)
* @return a moving time series
*/
private static TimeSeries initMovingTimeSeries(int maxTickCount) {
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
System.out.print("Initial tick count: " + series.getTickCount());
// Limitating the number of ticks to maxTickCount
series.setMaximumTickCount(maxTickCount);
LAST_TICK_CLOSE_PRICE = series.getTick(series.getEndIndex()).getClosePrice();
System.out.println(" (limited to " + maxTickCount + "), close price = " + LAST_TICK_CLOSE_PRICE);
return series;
}
/**
* @param series a time series
* @return a dummy strategy
*/
private static Strategy buildStrategy(TimeSeries series) {
if (series == null) {
throw new IllegalArgumentException("Series cannot be null");
}
ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
SMAIndicator sma = new SMAIndicator(closePrice, 12);
// Signals
// Buy when SMA goes over close price
// Sell when close price goes over SMA
Strategy buySellSignals = new BaseStrategy(
new OverIndicatorRule(sma, closePrice),
new UnderIndicatorRule(sma, closePrice)
);
return buySellSignals;
}
/**
* Generates a random decimal number between min and max.
* @param min the minimum bound
* @param max the maximum bound
* @return a random decimal number between min and max
*/
private static Decimal randDecimal(Decimal min, Decimal max) {
Decimal randomDecimal = null;
if (min != null && max != null && min.isLessThan(max)) {
randomDecimal = max.minus(min).multipliedBy(Decimal.valueOf(Math.random())).plus(min);
}
return randomDecimal;
}
/**
* Generates a random tick.
* @return a random tick
*/
private static Tick generateRandomTick() {
final Decimal maxRange = Decimal.valueOf("0.03"); // 3.0%
Decimal openPrice = LAST_TICK_CLOSE_PRICE;
Decimal minPrice = openPrice.minus(openPrice.multipliedBy(maxRange.multipliedBy(Decimal.valueOf(Math.random()))));
Decimal maxPrice = openPrice.plus(openPrice.multipliedBy(maxRange.multipliedBy(Decimal.valueOf(Math.random()))));
Decimal closePrice = randDecimal(minPrice, maxPrice);
LAST_TICK_CLOSE_PRICE = closePrice;
return new BaseTick(ZonedDateTime.now(), openPrice, maxPrice, minPrice, closePrice, Decimal.ONE);
}
public static void main(String[] args) throws InterruptedException {
System.out.println("********************** Initialization **********************");
// Getting the time series
TimeSeries series = initMovingTimeSeries(20);
// Building the trading strategy
Strategy strategy = buildStrategy(series);
// Initializing the trading history
TradingRecord tradingRecord = new BaseTradingRecord();
System.out.println("************************************************************");
/**
* We run the strategy for the 50 next ticks.
*/
for (int i = 0; i < 50; i++) {
// New tick
Thread.sleep(30); // I know...
Tick newTick = generateRandomTick();
System.out.println("------------------------------------------------------\n"
+ "Tick "+i+" added, close price = " + newTick.getClosePrice().toDouble());
series.addTick(newTick);
int endIndex = series.getEndIndex();
if (strategy.shouldEnter(endIndex)) {
// Our strategy should enter
System.out.println("Strategy should ENTER on " + endIndex);
boolean entered = tradingRecord.enter(endIndex, newTick.getClosePrice(), Decimal.TEN);
if (entered) {
Order entry = tradingRecord.getLastEntry();
System.out.println("Entered on " + entry.getIndex()
+ " (price=" + entry.getPrice().toDouble()
+ ", amount=" + entry.getAmount().toDouble() + ")");
}
} else if (strategy.shouldExit(endIndex)) {
// Our strategy should exit
System.out.println("Strategy should EXIT on " + endIndex);
boolean exited = tradingRecord.exit(endIndex, newTick.getClosePrice(), Decimal.TEN);
if (exited) {
Order exit = tradingRecord.getLastExit();
System.out.println("Exited on " + exit.getIndex()
+ " (price=" + exit.getPrice().toDouble()
+ ", amount=" + exit.getAmount().toDouble() + ")");
}
}
}
}
}