optimizedroc.java

网上期货交易的外挂原码,可实现自动交易功能,自动添加模块

package com.jsystemtrader.strategy;

import com.ib.client.*;
import com.jsystemtrader.indicator.*;
import com.jsystemtrader.platform.*;
import com.jsystemtrader.util.*;

public class OptimizedRoC extends Strategy {
    private final int longPeriodLength = 72, shortPeriodLength = 36;
    private final IndicatorHistory rateOfChangeLongHistory, rateOfChangeShortHistory;
    private double rateOfChangeLong, rateOfChangeShort;


    public OptimizedRoC() throws JSystemTraderException {
        // add strategy-specific headers to standard headers
        strategyLogHeaders.add("RoC-Long");
        strategyLogHeaders.add("RoC-Short");

        Contract contract = ContractFactory.makeContract("ES", "FUT", "GLOBEX", MostLiquidContract.getMostLiquid(), null);
        setStrategy(contract, PriceBar.BAR_5_MINUTE, true, 1);

        /*
         Create indicator histories, so that they can be shown on the
         strategy performance chart for the subsequent analysis.
         */
        int subChart = 1; // separate subchart from the price chart
        rateOfChangeLongHistory = new IndicatorHistory("RoC-Long", subChart);
        rateOfChangeShortHistory = new IndicatorHistory("RoC-Short", subChart);

        addIndicatorHistory(rateOfChangeLongHistory);
        addIndicatorHistory(rateOfChangeShortHistory);

        addTradingInterval("9:40", "15:55", 5);
    }

    /**
     * This method is invoked when a new bar is completed.
     */
    public void onBar() {
        // First, let the super strategy decide if we can trade at all
        super.onBar();

        if (decision == DECISION_NONE) { // the super strategy has no objections
            if (rateOfChangeLong > 0 && rateOfChangeShort > 0) {
                decision = DECISION_LONG;
            } else if (rateOfChangeLong < 0 && rateOfChangeShort < 0) {
                decision = DECISION_SHORT;
            }
        }
    }

    /**
     * This method is invoked when a new tick comes in.
     */
    public void onTick() {
        super.onTick();

        double lastTick = quoteHistory.getLast();
        // do something
    }


    /**
     * Instance of NumberFormat is shared by multiple threads,
     * so the access must be synchronized.
     */
    public void updateState() {
        super.updateState();
        String msg = this.getName() + ": state updated" + "<br>";
        msg += "Last PriceBar:  " + quoteHistory.getLastPriceBar() + "<br>";
        msg += "RoC-Long: " + nf4.format(rateOfChangeLong) + " RoC-Short: " + nf4.format(rateOfChangeShort) + "<br>";
        eventLog.write(msg, "Info", 1);

        strategyLogColumns.add(nf4.format(rateOfChangeLong));
        strategyLogColumns.add(nf4.format(rateOfChangeShort));
        strategyLog.write(strategyLogColumns, getCalendar(), "Info", 1);
    }

    /**
     * Called from the super class
     */
    public void updateIndicators() throws IndicatorCalculationException {
        PriceBar lastPriceBar = quoteHistory.getLastPriceBar();
        long date = lastPriceBar.getDate();

        // calculate long and short rate of change indicators
        ROC longROC = new ROC(date, quoteHistory, longPeriodLength);
        ROC shortROC = new ROC(date, quoteHistory, shortPeriodLength);

        rateOfChangeLong = longROC.calculate();
        rateOfChangeShort = shortROC.calculate();

        rateOfChangeLongHistory.addIndicator(longROC);
        rateOfChangeShortHistory.addIndicator(shortROC);
    }
}