backtestfilereader.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.backtest;

import java.io.*;
import java.text.*;
import java.util.*;

import com.jsystemtrader.platform.*;

/**
 * Reads and validates a data file containing historical price bars. Used for
 * backtesting of trading strategies.
 */
public class BackTestFileReader {
    private final List<PriceBar> priceBars = new ArrayList<PriceBar> ();
    private final Properties properties = new Properties();
    private int columns;
    private Date currentDateTime;

    public List<PriceBar> getPriceBars() {
        return priceBars;
    }

    public BackTestFileReader(String fileName) throws JSystemTraderException {
        int lineNumber = 0;
        String line = "";

        try {
            properties.load(new FileInputStream(fileName));
        } catch (IllegalArgumentException e) {
            String msg = "Problem loading file " + fileName + ": binary format was detected. ";
            msg += e.getMessage();
            throw new JSystemTraderException(msg);
        } catch (Exception e) {
            String msg = "Problem loading file " + fileName + ": " + e.getMessage();
            throw new JSystemTraderException(msg);
        }

        try {
            columns = getPropAsInt("columns");
            int dateColumn = getPropAsColumn("dateColumn");
            int timeColumn = getPropAsColumn("timeColumn");
            int openColumn = getPropAsColumn("openColumn");
            int highColumn = getPropAsColumn("highColumn");
            int lowColumn = getPropAsColumn("lowColumn");
            int closeColumn = getPropAsColumn("closeColumn");

            boolean hasVolume = exists("volumeColumn");
            int volumeColumn = hasVolume ? getPropAsColumn("volumeColumn") : 0;

            String separator = getPropAsString("separator");
            String dateFormat = getPropAsString("dateFormat");
            String timeFormat = getPropAsString("timeFormat");
            String timeZone = getPropAsString("timeZone");

            SimpleDateFormat simpleDateFormat = new SimpleDateFormat(dateFormat + timeFormat + "z");

            // Enforce strict interpretation of date and time formats
            simpleDateFormat.setLenient(false);

            BufferedReader reader = new BufferedReader(new FileReader(fileName));
            Account.getLogger().write("Loading historical data file", "Info", 1);

            while ( (line = reader.readLine()) != null) {
                lineNumber++;
                boolean isComment = line.startsWith("#");
                boolean isProperty = line.contains("=");
                boolean isBlankLine = (line.trim().length() == 0);

                if (isComment || isProperty || isBlankLine) {
                    continue;
                }
                StringTokenizer st = new StringTokenizer(line, separator);

                int tokenCount = st.countTokens();
                if (tokenCount != columns) {
                    String msg = "The descriptor defined " + columns + " columns, ";
                    msg += "but line #" + lineNumber + " contains " + tokenCount + " columns";
                    throw new JSystemTraderException(msg);
                }

                int tokenNumber = 0;
                Map<Integer, String> tokens = new HashMap<Integer, String> ();
                while (st.hasMoreTokens()) {
                    tokenNumber++;
                    tokens.put(tokenNumber, st.nextToken());
                }

                String dateToken = tokens.get(dateColumn);
                String timeToken = tokens.get(timeColumn);

                Date dateTime = simpleDateFormat.parse(dateToken + timeToken + timeZone);
                double open = Double.parseDouble(tokens.get(openColumn));
                double high = Double.parseDouble(tokens.get(highColumn));
                double low = Double.parseDouble(tokens.get(lowColumn));
                double close = Double.parseDouble(tokens.get(closeColumn));
                int volume = hasVolume ? Integer.parseInt(tokens.get(volumeColumn)) : 0;

                if (currentDateTime != null) {
                    if (dateTime.before(currentDateTime)) {
                        String msg = "Date/time of this bar is before the date/time of the previous bar.";
                        throw new JSystemTraderException(msg);
                    }
                }

                boolean isInvalidPriceBar = (open <= 0) || (high <= 0) || (low <= 0) || (close <= 0);

                if (isInvalidPriceBar) {
                    throw new JSystemTraderException("Open, High, Low, and Close must be greater than zero.");
                }

                if (low > high) {
                    throw new JSystemTraderException("Low must be less or equal to high.");
                }

                if (close < low || close > high) {
                    throw new JSystemTraderException("Close must be between low and high.");
                }

                if (open < low || open > high) {
                    throw new JSystemTraderException("Open must be between low and high.");
                }

                long date = dateTime.getTime();
                TimeZone tz = TimeZone.getTimeZone(timeZone);
                if (tz.inDaylightTime(dateTime)) {
                    date = date - tz.getDSTSavings();
                }

                PriceBar priceBar = new PriceBar(date, open, high, low, close, volume);
                priceBars.add(priceBar);
                currentDateTime = dateTime;

            }
            reader.close();

        } catch (Exception e) {
            String lineSep = System.getProperty("line.separator");
            String msg = "";
            if (lineNumber > 0) {
                msg = "Problem parsing line #" + lineNumber + ": " + line + lineSep;
            }

            String description = e.getMessage();
            if (description == null) {
                description = e.toString();
            }
            msg += description;
            throw new JSystemTraderException(msg);
        }
    }

    private String getPropAsString(String property) throws JSystemTraderException {
        String propValue = (String) properties.get(property);
        if (propValue == null) {
            String msg = "Could not load historical data file: " + "Property \"" + property + "\" is not defined.";
            throw new JSystemTraderException(msg);
        }

        return propValue;
    }


    private int getPropAsInt(String property) throws JSystemTraderException {
        String propValue = getPropAsString(property);
        int value = 0;
        try {
            value = Integer.parseInt(propValue);
        } catch (NumberFormatException nfe) {
            String msg = "Value " + propValue + " of property " + property + " is not an integer.";
            throw new JSystemTraderException(msg);
        }

        return value;
    }


    private int getPropAsColumn(String property) throws JSystemTraderException {
        int column = getPropAsInt(property);
        if (column > columns) {
            String msg = "Total number of columns is " + columns + ", ";
            msg += "but property \"" + property + "\" specifies column " + column;
            throw new JSystemTraderException(msg);
        }

        return column;
    }

    private boolean exists(String property) throws JSystemTraderException {
        String propValue = (String) properties.get(property);
        return propValue != null;
    }


}