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Provides examples that demonstrate how to use ta4j
/*
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.loaders;
import com.opencsv.CSVReader;
import org.ta4j.core.Bar;
import org.ta4j.core.BaseBar;
import org.ta4j.core.BaseTimeSeries;
import org.ta4j.core.TimeSeries;
import java.io.IOException;
import java.io.InputStream;
import java.io.InputStreamReader;
import java.nio.charset.Charset;
import java.time.Duration;
import java.time.Instant;
import java.time.ZoneId;
import java.time.ZonedDateTime;
import java.util.ArrayList;
import java.util.Collections;
import java.util.List;
import java.util.logging.Level;
import java.util.logging.Logger;
/**
* This class builds a Ta4j time series from a CSV file containing trades.
*/
public class CsvTradesLoader {
/**
* @return a time series from Bitstamp (bitcoin exchange) trades
*/
public static TimeSeries loadBitstampSeries() {
// Reading all lines of the CSV file
InputStream stream = CsvTradesLoader.class.getClassLoader().getResourceAsStream("bitstamp_trades_from_20131125_usd.csv");
CSVReader csvReader = null;
List lines = null;
try {
csvReader = new CSVReader(new InputStreamReader(stream, Charset.forName("UTF-8")), ',');
lines = csvReader.readAll();
lines.remove(0); // Removing header line
} catch (IOException ioe) {
Logger.getLogger(CsvTradesLoader.class.getName()).log(Level.SEVERE, "Unable to load trades from CSV", ioe);
} finally {
if (csvReader != null) {
try {
csvReader.close();
} catch (IOException ioe) {
ioe.printStackTrace();
}
}
}
List bars = null;
if ((lines != null) && !lines.isEmpty()) {
// Getting the first and last trades timestamps
ZonedDateTime beginTime = ZonedDateTime.ofInstant(Instant.ofEpochMilli(Long.parseLong(lines.get(0)[0]) * 1000), ZoneId.systemDefault());
ZonedDateTime endTime = ZonedDateTime.ofInstant(Instant.ofEpochMilli(Long.parseLong(lines.get(lines.size() - 1)[0]) * 1000), ZoneId.systemDefault());
if (beginTime.isAfter(endTime)) {
Instant beginInstant = beginTime.toInstant();
Instant endInstant = endTime.toInstant();
beginTime = ZonedDateTime.ofInstant(endInstant, ZoneId.systemDefault());
endTime = ZonedDateTime.ofInstant(beginInstant, ZoneId.systemDefault());
// Since the CSV file has the most recent trades at the top of the file, we'll reverse the list to feed the List correctly.
Collections.reverse(lines);
}
// build the list of populated bars
bars = buildBars(beginTime, endTime, 300, lines);
}
return new BaseTimeSeries("bitstamp_trades", bars);
}
/**
* Builds a list of populated bars from csv data.
* @param beginTime the begin time of the whole period
* @param endTime the end time of the whole period
* @param duration the bar duration (in seconds)
* @param lines the csv data returned by CSVReader.readAll()
* @return the list of populated bars
*/
private static List buildBars(ZonedDateTime beginTime, ZonedDateTime endTime, int duration, List lines) {
List bars = new ArrayList<>();
Duration barDuration = Duration.ofSeconds(duration);
ZonedDateTime barEndTime = beginTime;
// line number of trade data
int i = 0;
do {
// build a bar
barEndTime = barEndTime.plus(barDuration);
Bar bar = new BaseBar(barDuration, barEndTime);
do {
// get a trade
String[] tradeLine = lines.get(i);
ZonedDateTime tradeTimeStamp = ZonedDateTime.ofInstant(Instant.ofEpochMilli(Long.parseLong(tradeLine[0]) * 1000), ZoneId.systemDefault());
// if the trade happened during the bar
if (bar.inPeriod(tradeTimeStamp)) {
// add the trade to the bar
double tradePrice = Double.parseDouble(tradeLine[1]);
double tradeAmount = Double.parseDouble(tradeLine[2]);
bar.addTrade(tradeAmount, tradePrice);
} else {
// the trade happened after the end of the bar
// go to the next bar but stay with the same trade (don't increment i)
// this break will drop us after the inner "while", skipping the increment
break;
}
i++;
} while (i < lines.size());
// if the bar has any trades add it to the bars list
// this is where the break drops to
if (bar.getTrades() > 0) {
bars.add(bar);
}
} while (barEndTime.isBefore(endTime));
return bars;
}
public static void main(String[] args) {
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
System.out.println("Series: " + series.getName() + " (" + series.getSeriesPeriodDescription() + ")");
System.out.println("Number of bars: " + series.getBarCount());
System.out.println("First bar: \n"
+ "\tVolume: " + series.getBar(0).getVolume() + "\n"
+ "\tNumber of trades: " + series.getBar(0).getTrades() + "\n"
+ "\tClose price: " + series.getBar(0).getClosePrice());
}
}