smoothedroc.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.*;

/**
 * This sample strategy trades the S&P 500 E-mini futures (ES) using smoothed
 * rate of change as an indicator. When SmoothedROC is positive, it buys.
 * Otherwise, it sells short.
 */

public class SmoothedRoC extends Strategy {

    private final int maLength = 3;
    private final int lookBackLength = 65;
    private double smoothedROC;
    private final IndicatorHistory smoothedROCHistory;

    public SmoothedRoC() throws JSystemTraderException {
        // add strategy-specific headers to standard headers
        strategyLogHeaders.add("smoothedROC");

        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; // show indicator on a separate subchart
        smoothedROCHistory = new IndicatorHistory("SmoothedROC", subChart);
        addIndicatorHistory(smoothedROCHistory);

        // no trading interval defined: strategy may hold positions overnight
        //addTradingInterval("9:35", "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 (smoothedROC > 0) {
                decision = DECISION_LONG;
            }
            if (smoothedROC < 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 += "smoothedROC: " + nf4.format(smoothedROC) + "<br>";
        eventLog.write(msg, "Info", 1);

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

    /**
     * Called from the super class
     */
    public void updateIndicators() throws IndicatorCalculationException {

        long date = quoteHistory.getLastPriceBar().getDate();
        SmoothedROC smoothedROCInd = new SmoothedROC(date, quoteHistory, maLength, lookBackLength);
        smoothedROC = smoothedROCInd.calculate();

        smoothedROCHistory.addIndicator(smoothedROCInd);
    }
}