程序员的量化交易之路（32）--Cointrade之Portfolio组合（19）
来源：互联网 发布：广州数据分析培训班 编辑：程序博客网 时间：2024/06/11 16:51
转载须注明出处：http://blog.csdn.net/minimicall?viewmode=contents，http://cloudtrade.top/
Portfolio:组合，代表的是多个证券组合在一起为了完成某一策略 。组合中每个证券都有自己的仓位（Position）。我们的策略就是要控制组合的Position进而涉及到买卖，订单。
Portfolio代码：
package org.cryptocoinpartners.schema;import java.util.Collection;import java.util.Collections;import java.util.Iterator;import java.util.concurrent.ConcurrentHashMap;import java.util.concurrent.ConcurrentLinkedQueue;import javax.inject.Inject;import javax.persistence.Cacheable;import javax.persistence.Entity;import javax.persistence.ManyToOne;import javax.persistence.NoResultException;import javax.persistence.OneToMany;import javax.persistence.Transient;import org.apache.commons.lang.NotImplementedException;import org.cryptocoinpartners.enumeration.PositionType;import org.cryptocoinpartners.enumeration.TransactionType;import org.cryptocoinpartners.module.Context;import org.cryptocoinpartners.service.PortfolioService;import org.cryptocoinpartners.util.PersistUtil;import org.cryptocoinpartners.util.Remainder;import org.slf4j.Logger;import com.google.inject.Singleton;/** * Many Owners may have Stakes in the Portfolio, but there is only one PortfolioManager, who is not necessarily an Owner. The * Portfolio has multiple Positions. * * @author Tim Olson */@Entity@Singleton@Cacheablepublic class Portfolio extends EntityBase { private static Object lock = new Object(); /** returns all Positions, whether they are tied to an open Order or not. Use getTradeablePositions() */ public @Transient Collection<Fill> getDetailedPositions() { Collection<Fill> allPositions = new ConcurrentLinkedQueue<Fill>(); for (Asset asset : positions.keySet()) { for (Exchange exchange : positions.get(asset).keySet()) { for (Listing listing : positions.get(asset).get(exchange).keySet()) { for (TransactionType transactionType : positions.get(asset).get(exchange).get(listing).keySet()) { for (Iterator<Position> itp = positions.get(asset).get(exchange).get(listing).get(transactionType).iterator(); itp.hasNext();) { Position pos = itp.next(); for (Fill fill : pos.getFills()) { allPositions.add(fill); } } } } } } return allPositions; } protected @Transient void persistPositions() { for (Asset asset : positions.keySet()) { for (Exchange exchange : positions.get(asset).keySet()) { for (Listing listing : positions.get(asset).get(exchange).keySet()) { for (TransactionType transactionType : positions.get(asset).get(exchange).get(listing).keySet()) { for (Position position : positions.get(asset).get(exchange).get(listing).get(transactionType)) { position.Merge(); } } } } } } public @Transient Collection<Position> getPositions() { ConcurrentLinkedQueue<Position> allPositions = new ConcurrentLinkedQueue<Position>(); for (Asset asset : positions.keySet()) { for (Exchange exchange : positions.get(asset).keySet()) { for (Listing listing : positions.get(asset).get(exchange).keySet()) { for (TransactionType transactionType : positions.get(asset).get(exchange).get(listing).keySet()) { Amount longVolume = DecimalAmount.ZERO; Amount longAvgPrice = DecimalAmount.ZERO; Amount longAvgStopPrice = DecimalAmount.ZERO; Amount shortVolume = DecimalAmount.ZERO; Amount shortAvgPrice = DecimalAmount.ZERO; Amount shortAvgStopPrice = DecimalAmount.ZERO; for (Position position : positions.get(asset).get(exchange).get(listing).get(transactionType)) { allPositions.add(position); // for (Fill pos : position.getFills()) { // // if (pos.isLong()) { // longAvgPrice = ((longAvgPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getPrice(), // Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN); // if (pos.getStopPrice() != null) // longAvgStopPrice = ((longAvgStopPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times( // pos.getStopPrice(), Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()), // Remainder.ROUND_EVEN); // // longVolume = longVolume.plus(pos.getOpenVolume()); // } else if (pos.isShort()) { // shortAvgPrice = ((shortAvgPrice.times(shortVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getPrice(), // Remainder.ROUND_EVEN))).dividedBy(shortVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN); // if (pos.getStopPrice() != null) // shortAvgStopPrice = ((shortAvgStopPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times( // pos.getStopPrice(), Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()), // Remainder.ROUND_EVEN); // // shortVolume = shortVolume.plus(pos.getOpenVolume()); // } // } } // need to change this to just return one position that is the total, not one long and one short. // if (!shortVolume.isZero() || !longVolume.isZero()) { // Market market = Market.findOrCreate(exchange, listing); // Fill pos = new Fill(); // pos.setPortfolio(this); // pos.setMarket(market); // // pos.setPriceCount(longAvgPrice.toBasis(market.getPriceBasis(), Remainder.ROUND_EVEN).getCount()); // pos.setVolumeCount(longVolume.toBasis(market.getPriceBasis(), Remainder.ROUND_EVEN).getCount()); // Position position = new Position(pos); // allPositions.add(position); // } } } } } return allPositions; } public @Transient Position getPosition(Asset asset, Market market) { //ArrayList<Position> allPositions = new ArrayList<Position>(); Position position = null; //TODO need to add these per portfoio, portoflio should not be null // Position position = new Position(null, market.getExchange(), market, asset, DecimalAmount.ZERO, DecimalAmount.ZERO); // new ConcurrentLinkedQueue<Transaction>(); Collection<Fill> fills = new ConcurrentLinkedQueue<Fill>(); for (TransactionType transactionType : positions.get(asset).get(market.getExchange()).get(market.getListing()).keySet()) { // Amount longVolume = DecimalAmount.ZERO; // Amount longAvgPrice = DecimalAmount.ZERO; // Amount longAvgStopPrice = DecimalAmount.ZERO; // Amount shortVolume = DecimalAmount.ZERO; // Amount shortAvgPrice = DecimalAmount.ZERO; // Amount shortAvgStopPrice = DecimalAmount.ZERO; for (Position detailedPosition : positions.get(asset).get(market.getExchange()).get(market.getListing()).get(transactionType)) { for (Fill pos : detailedPosition.getFills()) { fills.add(pos); // if (pos.isLong()) { // longAvgPrice = ((longAvgPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getPrice(), // Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN); // if (pos.getStopPrice() != null) // longAvgStopPrice = ((longAvgStopPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getStopPrice(), // Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN); // // longVolume = longVolume.plus(pos.getOpenVolume()); // } else if (pos.isShort()) { // shortAvgPrice = ((shortAvgPrice.times(shortVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getPrice(), // Remainder.ROUND_EVEN))).dividedBy(shortVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN); // if (pos.getStopPrice() != null) // shortAvgStopPrice = ((shortAvgStopPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getStopPrice(), // Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN); // // shortVolume = shortVolume.plus(pos.getOpenVolume()); } } } // need to change this to just return one position that is the total, not one long and one short. // // if (!shortVolume.isZero() || !longVolume.isZero()) { // Fill pos = new Fill(); // pos.setPortfolio(this); // pos.setMarket(market); // // pos.setPriceCount(longAvgPrice.toBasis(market.getPriceBasis(), Remainder.ROUND_EVEN).getCount()); // pos.setVolumeCount(longVolume.toBasis(market.getVolumeBasis(), Remainder.ROUND_EVEN).getCount()); // position = new Position(pos); // //allPositions.add(position); // } return new Position(fills); // return position; } public @Transient Collection<Position> getPositions(Asset asset, Exchange exchange) { Collection<Position> allPositions = new ConcurrentLinkedQueue<Position>(); if (positions.get(asset) != null && positions.get(asset).get(exchange) != null) { synchronized (lock) { for (Iterator<Listing> itl = positions.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) { Listing listing = itl.next(); for (Iterator<TransactionType> itt = positions.get(asset).get(exchange).get(listing).keySet().iterator(); itt.hasNext();) { TransactionType transactionType = itt.next(); for (Iterator<Position> itp = positions.get(asset).get(exchange).get(listing).get(transactionType).iterator(); itp.hasNext();) { Position pos = itp.next(); allPositions.add(pos); } } } } } return allPositions; } public @Transient ConcurrentHashMap<Asset, Amount> getRealisedPnLs() { ConcurrentHashMap<Asset, Amount> allPnLs = new ConcurrentHashMap<Asset, Amount>(); synchronized (lock) { for (Iterator<Asset> it = realisedProfits.keySet().iterator(); it.hasNext();) { Asset asset = it.next(); for (Iterator<Exchange> ite = realisedProfits.get(asset).keySet().iterator(); ite.hasNext();) { Exchange exchange = ite.next(); for (Iterator<Listing> itl = realisedProfits.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) { Listing listing = itl.next(); Amount realisedPnL = realisedProfits.get(asset).get(exchange).get(listing); if (allPnLs.get(asset) == null) { allPnLs.put(asset, realisedPnL); } else { allPnLs.put(asset, allPnLs.get(asset).plus(realisedPnL)); } } } } } return allPnLs; } public @Transient Amount getRealisedPnL(Asset asset) { Amount realisedPnL = DecimalAmount.ZERO; for (Iterator<Exchange> ite = realisedProfits.get(asset).keySet().iterator(); ite.hasNext();) { Exchange exchange = ite.next(); for (Iterator<Listing> itl = realisedProfits.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) { Listing listing = itl.next(); realisedPnL = realisedPnL.plus(realisedProfits.get(asset).get(exchange).get(listing)); } } return realisedPnL; } public @Transient ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, Amount>>> getRealisedPnL() { return realisedProfits; } public @Transient DiscreteAmount getLongPosition(Asset asset, Exchange exchange) { long longVolumeCount = 0; synchronized (lock) { if (positions.get(asset) != null && positions.get(asset).get(exchange) != null) { for (Iterator<Listing> itl = positions.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) { Listing listing = itl.next(); for (Position itpos : positions.get(asset).get(exchange).get(listing).get(TransactionType.BUY)) { for (Iterator<Fill> itp = itpos.getFills().iterator(); itp.hasNext();) { Fill pos = itp.next(); longVolumeCount += pos.getOpenVolumeCount(); } } } } } return new DiscreteAmount(longVolumeCount, asset.getBasis()); } public @Transient DiscreteAmount getNetPosition(Asset asset, Exchange exchange) { long netVolumeCount = 0; Fill pos = null; synchronized (lock) { if (positions.get(asset) != null && positions.get(asset).get(exchange) != null) { for (Iterator<Listing> itl = positions.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) { Listing listing = itl.next(); for (Iterator<TransactionType> itt = positions.get(asset).get(exchange).get(listing).keySet().iterator(); itt.hasNext();) { TransactionType transactionType = itt.next(); for (Position itpos : positions.get(asset).get(exchange).get(listing).get(transactionType)) { for (Iterator<Fill> itp = itpos.getFills().iterator(); itp.hasNext();) { pos = itp.next(); netVolumeCount += pos.getOpenVolumeCount(); } } } } } } return new DiscreteAmount(netVolumeCount, asset.getBasis()); } public @Transient DiscreteAmount getShortPosition(Asset asset, Exchange exchange) { long shortVolumeCount = 0; synchronized (lock) { if (positions.get(asset) != null && positions.get(asset).get(exchange) != null) { for (Iterator<Listing> itl = positions.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) { Listing listing = itl.next(); for (Position itpos : positions.get(asset).get(exchange).get(listing).get(TransactionType.SELL)) { for (Iterator<Fill> itp = itpos.getFills().iterator(); itp.hasNext();) { Fill pos = itp.next(); shortVolumeCount += pos.getOpenVolumeCount(); } } } } } return new DiscreteAmount(shortVolumeCount, asset.getBasis()); } // public @OneToMany ConcurrentHashMap<BalanceType, List<Wallet>> getBalances() { return balances; } /** * Returns all Positions in the Portfolio which are not reserved as payment for an open Order */ @Transient public Collection<Position> getTradeableBalance(Exchange exchange) { throw new NotImplementedException(); } @Transient public Collection<Transaction> getTransactions() { ConcurrentLinkedQueue<Transaction> allTransactions = new ConcurrentLinkedQueue<Transaction>(); for (Iterator<Asset> it = transactions.keySet().iterator(); it.hasNext();) { Asset asset = it.next(); for (Iterator<Exchange> ite = transactions.get(asset).keySet().iterator(); ite.hasNext();) { Exchange exchange = ite.next(); for (Iterator<TransactionType> itt = transactions.get(asset).get(exchange).keySet().iterator(); itt.hasNext();) { TransactionType type = itt.next(); for (Iterator<Transaction> ittr = transactions.get(asset).get(exchange).get(type).iterator(); ittr.hasNext();) { Transaction tran = ittr.next(); allTransactions.add(tran); } } } } return allTransactions; } @Transient public void removeTransaction(Transaction reservation) { if (transactions.get(reservation.getCurrency()) == null) return; if (transactions.get(reservation.getCurrency()).get(reservation.getExchange()) == null) return; if (transactions.get(reservation.getCurrency()).get(reservation.getExchange()).get(reservation.getType()) == null) return; synchronized (lock) { transactions.get(reservation.getCurrency()).get(reservation.getExchange()).get(reservation.getType()).remove(reservation); // Iterator<Transaction> it = transactions.get(reservation.getCurrency()).get(reservation.getExchange()).get(reservation.getType()).iterator(); // while (it.hasNext()) { // Transaction transaction = it.next(); // if (transaction != null && reservation != null && transaction.equals(reservation)) // it.remove(); // } } } /** * This is the main way for a Strategy to determine what assets it has available for trading */ @Transient public Collection<Position> getReservedBalances(Exchange exchange) { throw new NotImplementedException(); } /** * This is the main way for a Strategy to determine how much of a given asset it has available for trading * @param f * @return */ @Transient public Collection<Position> getTradeableBalanceOf(Exchange exchange, Asset asset) { throw new NotImplementedException(); } /** * Finds a Position in the Portfolio which has the same Asset as p, then breaks it into the amount p requires * plus an unreserved amount. The resevered Position is then associated with the given order, while * the unreserved remainder of the Position has getOrder()==null. To un-reserve the Position, call release(order) * * @param order the order which will be placed * @param p the cost of the order. could be a different fungible than the order's quote fungible * @throws IllegalArgumentException */ @Transient public void reserve(SpecificOrder order, Position p) throws IllegalArgumentException { throw new NotImplementedException(); } @Transient public void release(SpecificOrder order) { throw new NotImplementedException(); } @Transient public boolean addTransaction(Transaction transaction) { portfolioService.resetBalances(); ConcurrentHashMap<Exchange, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>> assetTransactions = transactions.get(transaction .getCurrency()); if (assetTransactions == null) { ConcurrentLinkedQueue<Transaction> transactionList = new ConcurrentLinkedQueue<Transaction>(); assetTransactions = new ConcurrentHashMap<Exchange, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>>(); transactionList.add(transaction); ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>> transactionGroup = new ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>(); transactionGroup.put(transaction.getType(), transactionList); assetTransactions.put(transaction.getExchange(), transactionGroup); transactions.put(transaction.getCurrency(), assetTransactions); return true; } else { //asset is present, so check the market ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>> exchangeTransactions = assetTransactions.get(transaction.getExchange()); if (exchangeTransactions == null) { ConcurrentLinkedQueue<Transaction> transactionList = new ConcurrentLinkedQueue<Transaction>(); transactionList.add(transaction); ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>> transactionGroup = new ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>(); transactionGroup.put(transaction.getType(), transactionList); assetTransactions.put(transaction.getExchange(), transactionGroup); return true; } else { ConcurrentLinkedQueue<Transaction> transactionList = exchangeTransactions.get(transaction.getType()); if (transactionList == null) { transactionList = new ConcurrentLinkedQueue<Transaction>(); transactionList.add(transaction); exchangeTransactions.put(transaction.getType(), transactionList); return true; } else { transactionList.add(transaction); exchangeTransactions.put(transaction.getType(), transactionList); return true; } } } } /** * finds other Positions in this portfolio which have the same Exchange and Asset and merges this position's * amount into the found position's amount, thus maintaining only one Position for each Exchange/Asset pair. * this method does not remove the position from the positions list. * @return true iff another position was found and merged */ protected void publishPositionUpdate(Position position, PositionType lastType, Market market) { PositionType mergedType = (position.isShort()) ? PositionType.SHORT : (position.isLong()) ? PositionType.LONG : PositionType.FLAT; context.route(new PositionUpdate(position, market, lastType, mergedType)); } @Transient public void insert(Position position) { TransactionType transactionType = (position.isLong()) ? TransactionType.BUY : TransactionType.SELL; ConcurrentLinkedQueue<Position> detailPosition = new ConcurrentLinkedQueue<Position>(); //Position detPosition = new Position(fill); //detPosition.Persit(); detailPosition.add(position); ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>> positionType = new ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>(); positionType.put(transactionType, detailPosition); ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>> listingPosition = new ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>(); listingPosition.put(position.getMarket().getListing(), positionType); ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>> assetPositions = new ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>>(); assetPositions.put(position.getMarket().getExchange(), listingPosition); positions.put(position.getMarket().getBase(), assetPositions); } @Transient private boolean merge(Fill fill) { //synchronized (lock) { // We need to have a queue of buys and a queue of sells ( two array lists), ensure the itterator is descendingIterator for LIFO, // when we get a new trade coem in we add it to the buy or sell queue // 1) caluate price difference // 2) times price diff by min(trade quantity or the position) and add to relasied PnL // 3) update the quaitity of the postion and remove from queue if zero // 4) move onto next postion until the qty =0 // https://github.com/webpat/jquant-core/blob/173d5ca79b318385a3754c8e1357de79ece47be4/src/main/java/org/jquant/portfolio/Portfolio.java TransactionType transactionType = (fill.isLong()) ? TransactionType.BUY : TransactionType.SELL; TransactionType openingTransactionType = (transactionType.equals(TransactionType.BUY)) ? TransactionType.SELL : TransactionType.BUY; ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>> assetPositions = positions .get(fill.getMarket().getBase()); ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>> listingPosition = new ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>(); //ConcurrentHashMap<Listing, ArrayList<Position>> listingPosition = new ConcurrentHashMap<Listing, ArrayList<Position>>(); ConcurrentHashMap<Listing, Amount> marketRealisedProfits; ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, Amount>> assetRealisedProfits = realisedProfits.get(fill.getMarket().getTradedCurrency()); if (assetRealisedProfits != null) { marketRealisedProfits = assetRealisedProfits.get(fill.getMarket().getListing()); } if (assetPositions == null) { ConcurrentLinkedQueue<Position> detailPosition = new ConcurrentLinkedQueue<Position>(); Position detPosition = new Position(fill); detPosition.Persit(); detailPosition.add(detPosition); ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>> positionType = new ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>(); positionType.put(transactionType, detailPosition); listingPosition.put(fill.getMarket().getListing(), positionType); assetPositions = new ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>>(); assetPositions.put(fill.getMarket().getExchange(), listingPosition); positions.put(fill.getMarket().getBase(), assetPositions); Amount profits = DecimalAmount.ZERO; if (assetRealisedProfits == null) { assetRealisedProfits = new ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, Amount>>(); marketRealisedProfits = new ConcurrentHashMap<Listing, Amount>(); marketRealisedProfits.put(fill.getMarket().getListing(), profits); assetRealisedProfits.put(fill.getMarket().getExchange(), marketRealisedProfits); realisedProfits.put(fill.getMarket().getTradedCurrency(), assetRealisedProfits); } publishPositionUpdate(getPosition(fill.getMarket().getBase(), fill.getMarket()), PositionType.FLAT, fill.getMarket()); return true; } else { //asset is present, so check the market ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>> exchangePositions = assetPositions.get(fill .getMarket().getExchange()); //Amount exchangeRealisedProfits = realisedProfits.get(position.getMarket().getTradedCurrency()).get(position.getExchange()) //.get(position.getMarket().getListing()); if (exchangePositions == null) { ConcurrentLinkedQueue<Position> detailPosition = new ConcurrentLinkedQueue<Position>(); ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>> positionType = new ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>(); Position detPosition = new Position(fill); detPosition.Persit(); detailPosition.add(detPosition); positionType.put(transactionType, detailPosition); listingPosition.put(fill.getMarket().getListing(), positionType); assetPositions.put(fill.getMarket().getExchange(), listingPosition); Amount profits = DecimalAmount.ZERO; if (realisedProfits.get(fill.getMarket().getTradedCurrency()).get(fill.getMarket().getExchange()).get(fill.getMarket().getListing()) == null) { marketRealisedProfits = new ConcurrentHashMap<Listing, Amount>(); marketRealisedProfits.put(fill.getMarket().getListing(), profits); realisedProfits.get(fill.getMarket().getTradedCurrency()).put(fill.getMarket().getExchange(), marketRealisedProfits); } publishPositionUpdate(getPosition(fill.getMarket().getBase(), fill.getMarket()), PositionType.FLAT, fill.getMarket()); return true; } else { //ConcurrentHashMap<TransactionType, ArrayList<Position>> listingPositions = exchangePositions.get(position.getMarket().getListing()); //asset is present, so check the market // need yo vhnage this to have tne cocnurrent hashmap on here //ConcurrentHashMap<TransactionType, ArrayList<Position>> listingPositions = exchangePositions.get(position.getMarket().getListing()); ConcurrentLinkedQueue<Position> listingPositions = exchangePositions.get(fill.getMarket().getListing()).get(transactionType); ConcurrentLinkedQueue<Position> openingListingPositions = exchangePositions.get(fill.getMarket().getListing()).get(openingTransactionType); if (listingPositions == null) { ConcurrentLinkedQueue<Position> listingsDetailPosition = new ConcurrentLinkedQueue<Position>(); Position detPosition = new Position(fill); detPosition.Persit(); listingsDetailPosition.add(detPosition); exchangePositions.get(fill.getMarket().getListing()).put(transactionType, listingsDetailPosition); listingPositions = exchangePositions.get(fill.getMarket().getListing()).get(transactionType); Amount listingProfits = DecimalAmount.ZERO; if (realisedProfits.get(fill.getMarket().getTradedCurrency()) == null || realisedProfits.get(fill.getMarket().getTradedCurrency()).get(fill.getMarket().getExchange()) == null || realisedProfits.get(fill.getMarket().getTradedCurrency()).get(fill.getMarket().getExchange()).get(fill.getMarket().getListing()) == null) { marketRealisedProfits = new ConcurrentHashMap<Listing, Amount>(); marketRealisedProfits.put(fill.getMarket().getListing(), listingProfits); realisedProfits.get(fill.getMarket().getTradedCurrency()).put(fill.getMarket().getExchange(), marketRealisedProfits); } } else { if (!listingPositions.isEmpty() || listingPositions.peek() != null) { listingPositions.peek().addFill(fill); // listingPositions.peek().Merge(); // TODO need to persit the updated postitions //PersistUtil.merge(listingPositions.peek()); } else { Position detPosition = new Position(fill); // detPosition.addFill(fill); listingPositions.add(detPosition); detPosition.Persit(); // PersistUtil.insert(detPosition); } } if (openingListingPositions != null && !(openingListingPositions.isEmpty())) { //ArrayList<Position> positions = listingPositions.get(transactionType); //somethign is up with the poistions calcuation for partial closeouts // example 454 lots, closed out 421 lots, then added another 411 lots, total of 444 lots, but the average prices are not correct. // need to update this . Amount realisedPnL = DecimalAmount.ZERO; long closingVolumeCount = 0; //position.getVolumeCount() Iterator<Position> itPos = listingPositions.iterator(); while (itPos.hasNext()) { // closing position Position pos = itPos.next(); Iterator<Fill> itP = pos.getFills().iterator(); while (itP.hasNext() && pos.hasFills()) { //closing fill // smoething is not righgt here. Fill p = itP.next(); //Fill p = itp.next(); //while (p.getVolumeCount() != 0 && itp.hasNext()) { //if (p.getExchange().equals(position.getExchange()) && p.getAsset().equals(position.getAsset())) { Amount entryPrice = DecimalAmount.ZERO; Amount exitPrice = DecimalAmount.ZERO; // now need to get opposit side // for (Position openPos : openingListingPositions) { Iterator<Position> itOlp = openingListingPositions.iterator(); while (itOlp.hasNext() && pos.hasFills()) { // openg postion Position openPos = itOlp.next(); Iterator<Fill> itOp = openPos.getFills().iterator(); while (itOp.hasNext() && pos.hasFills()) { //open fill Fill openPosition = itOp.next(); if (Math.abs(p.getOpenVolumeCount()) > 0) { if ((Long.signum(openPosition.getOpenVolumeCount()) + Long.signum(p.getOpenVolumeCount())) != 0) { if (Math.abs(p.getOpenVolumeCount()) == 0 || Math.abs(openPosition.getOpenVolumeCount()) == 0) // openingListingPositions.(openPosition); itOp.remove(); openPos.removeFill(openPosition); if (!openPos.hasFills()) itOlp.remove(); //openingListingPositions.remove(openPos); // itOp.remove(); // openPos.removeFill(openPosition); // if (Math.abs(openPosition.getOpenVolumeCount()) == 0) // openPos.removeFill(openPosition); // openingListingPositions.remove(openPosition); // PersistUtil.merge(openPos); // openingListingPositions.remove(openPos); break; } } //Math signum(); entryPrice = p.getPrice(); exitPrice = openPosition.getPrice(); if (p.getMarket().getTradedCurrency() == p.getMarket().getBase()) { // need to invert and revrese the prices if the traded ccy is not the quote ccy entryPrice = openPosition.getPrice().invert(); exitPrice = p.getPrice().invert(); //shortExitPrice = position.getShortAvgPrice().invert(); //longEntryPrice = p.getLongAvgPrice().invert(); //longExitPrice = position.getLongAvgPrice().invert(); //shortEntryPrice = p.getShortAvgPrice().invert(); } else if (p.getMarket().getTradedCurrency() != p.getMarket().getQuote()) { throw new NotImplementedException("Listings traded in neither base or quote currency are not supported"); } // need to calcuate teh volume here // we have opposite postions, so if I am long, // tests // long - postions =10, net =-5 -> neet ot take 5 max(), postion =10, net =-10 net to take 10 (max), psotis =10, net =-20 net to take (Min)10 // short postion =-10, net =5 neet to take 5, Max) postions = -10, net =10 need to take 10, postion =-10, net =20 net to take min 10 // need to srt out closing postions here // as we use negative numbers not long ans short numbers //10,-5 () my volume is 5 //5,-10 my voulme is 5 //-10,5 my volume is -5 //-5,10 my volume is -5 //10,-10 my voulme is 10 //Math.abs(a) closingVolumeCount = (openingTransactionType.equals(TransactionType.SELL)) ? (Math.min( Math.abs(openPosition.getOpenVolumeCount()), Math.abs(p.getOpenVolumeCount()))) * -1 : (Math.min(Math.abs(openPosition.getOpenVolumeCount()), Math.abs(p.getOpenVolumeCount()))); // need to think hwere as one if negative and one is postive, nwee to work out what is the quanity to update on currrnet and the passed position //when p=43 and open postion =-42 if (Math.abs(p.getOpenVolumeCount()) >= Math.abs(openPosition.getOpenVolumeCount())) { long updatedVolumeCount = p.getOpenVolumeCount() + closingVolumeCount; //updatedVolumeCount = (p.isShort()) ? updatedVolumeCount * -1 : updatedVolumeCount; p.setOpenVolumeCount(updatedVolumeCount); PersistUtil.merge(p); // pos.Merge(); if (Math.abs(updatedVolumeCount) == 0) { //itPos.remove(); itP.remove(); pos.removeFill(p); //pos.Merge(); if (!pos.hasFills()) itPos.remove(); //listingPositions.remove(pos); // itP.remove(); // PersistUtil.merge(pos); //listingPositions.remove(pos); } // listingPositions.remove(p); itOp.remove(); openPosition.setOpenVolumeCount(0); PersistUtil.merge(openPosition); //openPos.Merge(); //itOp.remove(); // openPos.removeFill(openPosition); //openPos.Merge(); //openPos.removeFill(openPosition) // PersistUtil.merge(openPos); if (!openPos.hasFills()) itOlp.remove(); // openingListingPositions.remove(openPos); // itOlp.remove(); // // openingListingPositions.remove(openPos); //openingListingPositions.remove(openPosition); } else { long updatedVolumeCount = openPosition.getOpenVolumeCount() + p.getOpenVolumeCount(); openPosition.setOpenVolumeCount(updatedVolumeCount); PersistUtil.merge(openPosition); // openPos.Merge(); if (Math.abs(updatedVolumeCount) == 0) { itOp.remove(); openPos.removeFill(openPosition); if (!openPos.hasFills()) itOlp.remove(); // openingListingPositions.remove(openPos); // // // openPos.removeFill(openPosition); // PersistUtil.merge(openPosition); // openingListingPositions.remove(openPos); //openPos.Merge(); } // openingListingPositions.remove(openPosition); itP.remove(); p.setOpenVolumeCount(0); PersistUtil.merge(p); pos.removeFill(p); if (!pos.hasFills()) itPos.remove(); // listingPositions.remove(pos); // pos.Merge(); //itPos.remove(); // if (itP != null) //if (itPos.hasNext()) // // pos.Merge(); //pos.removeFill(p) itP.remove(); // pos.removeFill(p); // PersistUtil.merge(openPosition); // itPos.remove(); //listingPositions.remove(pos); // listingPositions.remove(p); } DiscreteAmount volDiscrete = new DiscreteAmount(closingVolumeCount, p.getMarket().getListing().getVolumeBasis()); realisedPnL = realisedPnL.plus(((entryPrice.minus(exitPrice)).times(volDiscrete, Remainder.ROUND_EVEN)).times(p.getMarket() .getContractSize(), Remainder.ROUND_EVEN)); // need to confonvert to deiscreete amount //LongRealisedPnL = ((exitPrice.minus(entryPrice)).times(volDiscrete, Remainder.ROUND_EVEN)).times(position.getMarket() //.getContractSize(), Remainder.ROUND_EVEN); //ShortRealisedPnL = (position.getShortAvgPrice().minus(p.getLongAvgPrice())).times(position.getShortVolume().negate(), //Remainder.ROUND_EVEN); //LongRealisedPnL = (position.getLongAvgPrice().minus(p.getShortAvgPrice())).times(position.getLongVolume().negate(), //Remainder.ROUND_EVEN); } } Amount RealisedPnL = realisedPnL.toBasis(p.getMarket().getTradedCurrency().getBasis(), Remainder.ROUND_EVEN); Amount PreviousPnL = (realisedProfits.get(p.getMarket().getTradedCurrency()) == null || realisedProfits.get(p.getMarket().getTradedCurrency()).get(p.getMarket().getExchange()) == null || realisedProfits .get(p.getMarket().getTradedCurrency()).get(p.getMarket().getExchange()).get(p.getMarket().getListing()) == null) ? DecimalAmount.ZERO : realisedProfits.get(p.getMarket().getTradedCurrency()).get(p.getMarket().getExchange()).get(p.getMarket().getListing()); if (!RealisedPnL.isZero()) { Amount TotalRealisedPnL = RealisedPnL.plus(realisedProfits.get(p.getMarket().getTradedCurrency()) .get(p.getMarket().getExchange()).get(p.getMarket().getListing())); realisedProfits.get(p.getMarket().getTradedCurrency()).get(p.getMarket().getExchange()) .put(p.getMarket().getListing(), TotalRealisedPnL); Transaction trans = new Transaction(this, p.getMarket().getExchange(), p.getMarket().getTradedCurrency(), TransactionType.REALISED_PROFIT_LOSS, RealisedPnL, new DiscreteAmount(0, p.getMarket().getTradedCurrency().getBasis())); context.route(trans); PersistUtil.insert(trans); //manager.getPortfolioService().CreateTransaction(position.getExchange(), position.getMarket().getQuote(), //TransactionType.REALISED_PROFIT_LOSS, TotalRealisedPnL.minus(PreviousPnL), DecimalAmount.ZERO); } //if (!totalQuantity.isZero()) { ////generate PnL ////Update postion Quanitty ////Recculate Avaerge Price //Amount avgPrice = ((p.getAvgPrice().times(p.getVolume(), Remainder.ROUND_EVEN)).plus(position.getLongVolume().times( //position.getAvgPrice(), Remainder.ROUND_EVEN))).dividedBy(p.getVolume().plus(position.getLongVolume()), //Remainder.ROUND_EVEN); //p.setAvgPrice(avgPrice); //} //if (!position.getLongVolume().isZero()) { //// i.e long position //Amount vol = (p.getLongAvgPrice().isZero()) ? position.getLongVolume() : p.getLongVolume().plus(position.getLongVolume()); //if (!vol.isZero()) { //longExitPrice = ((p.getLongAvgPrice().times(p.getLongVolume(), Remainder.ROUND_EVEN)).plus(position.getLongVolume().times( //position.getLongAvgPrice(), Remainder.ROUND_EVEN))).dividedBy(vol, Remainder.ROUND_EVEN); //p.setLongAvgPrice(longExitPrice); //} //} //if (!position.getShortVolume().isZero()) { //// i.e short position ////this does not work when we net out the postion as we have a divid by zero error //Amount vol = (p.getShortAvgPrice().isZero()) ? position.getShortVolume() : p.getShortVolume().plus(position.getShortVolume()); //if (vol.isZero()) { //shortExitPrice = ((p.getShortAvgPrice().times(p.getShortVolume(), Remainder.ROUND_EVEN)).plus(position.getShortVolume() //.times(position.getShortAvgPrice(), Remainder.ROUND_EVEN))).dividedBy(vol, Remainder.ROUND_EVEN); //p.setShortAvgPrice(shortExitPrice); //} //} //p.setLongVolumeCount(p.getLongVolumeCount() + position.getLongVolumeCount()); //p.setShortVolumeCount(p.getShortVolumeCount() + position.getShortVolumeCount()); //Long avgPriceCount = (long) avgPrice.divide(BigDecimal.valueOf(p.getMarket().getPriceBasis()), Remainder.ROUND_EVEN).asDouble(); //avgPrice = new DiscreteAmount(avgPriceCount, p.getMarket().getPriceBasis()); //DiscreteAmount avgDiscretePrice = new DiscreteAmount((long) avgPrice.times(p.getMarket().getPriceBasis(), Remainder.ROUND_EVEN) //.asDouble(), (long) (p.getMarket().getPriceBasis())); // I need to net the amounts // if the long and short volumes are zero we can remove the position //if (p.getShortVolumeCount() * -1 == p.getLongVolumeCount()) { //listingPositions.remove(p); // publish realised PnL for the long and short posiotion //TODO: we are merging postions based on the order they were creted (FIFO), might want to have a comparator to merge using LIFO, or some other algo //} //return true; //} } } } //listingPositions.add(position); //// true; if (getPosition(fill.getMarket().getBase(), fill.getMarket()) == null) { Position detPosition = new Position(fill); detPosition.Persit(); publishPositionUpdate(detPosition, PositionType.FLAT, fill.getMarket()); } else { PositionType lastType = (openingTransactionType == TransactionType.BUY) ? PositionType.LONG : PositionType.SHORT; publishPositionUpdate(getPosition(fill.getMarket().getBase(), fill.getMarket()), lastType, fill.getMarket()); } return true; }//else { //listingPositions.add(position); //return true; //} //return true; } // } } public Portfolio(String name, PortfolioManager manager) { this.name = name; this.manager = manager; } private String name; public String getName() { return name; } @OneToMany public Collection<Stake> getStakes() { return stakes; } @ManyToOne public Asset getBaseAsset() { return baseAsset; } @Transient public PortfolioManager getManager() { return manager; } /** * Adds the given position to this Portfolio. Must be authorized. * @param position * @param authorization */ @Transient protected void modifyPosition(Fill fill, Authorization authorization) { assert authorization != null; assert fill != null; boolean modifiedExistingPosition = false; merge(fill); persistPositions(); // if //for (Position curPosition : positions) { //if (curPosition.merge(position)) { //modifiedExistingPosition = true; //break; //} //} //if (!modifiedExistingPosition) //positions.add(position); } @Override public String toString() { return getName(); } // JPA public Portfolio() { this.positions = new ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>>>(); this.realisedProfits = new ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, Amount>>>(); this.balances = new ConcurrentLinkedQueue<>(); this.transactions = new ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>>>(); } protected void setPositions( ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>>> positions) { this.positions = positions; } protected void setBalances(Collection<Balance> balances) { this.balances = balances; } public void setBaseAsset(Asset baseAsset) { this.baseAsset = baseAsset; } protected void setTransactions( ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>>> transactions) { this.transactions = transactions; } public void setName(String name) { this.name = name; } protected void setStakes(Collection<Stake> stakes) { this.stakes = stakes; } public static Portfolio findOrCreate(String portfolioName) { final String queryStr = "select p from Portfolio p where name=?1"; try { return PersistUtil.queryOne(Portfolio.class, queryStr, portfolioName); } catch (NoResultException e) { // context.getInjector().getInstance(Portfolio.class); // PersistUtil.insert(portfolio); return null; } } protected void setManager(PortfolioManager manager) { this.manager = manager; } public static final class Factory { /** * Constructs a new instance of {@link Tick}. * @return new TickImpl() */ public static Portfolio newInstance() { return new Portfolio(); } public static Portfolio newInstance(String name, PortfolioManager manager) { final Portfolio entity = new Portfolio(name, manager); return entity; } // HibernateEntity.vsl merge-point } private PortfolioManager manager; @Inject private Logger log; @Inject protected Context context; @Inject protected PortfolioService portfolioService; private Asset baseAsset; private ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>>> positions; private ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, Amount>>> realisedProfits; private Collection<Balance> balances = Collections.emptyList(); private ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>>> transactions; private Collection<Stake> stakes = Collections.emptyList(); private final Collection<Balance> trades = Collections.emptyList();} 0 0
- 程序员的量化交易之路（32）--Cointrade之Portfolio组合（19）
- 程序员的量化交易之路（1）----规划开篇
- 程序员的量化交易之路（19）--Cointrader之Bar实体（7）
- 程序员的量化交易之路（4）--Esper之事件（3）
- 程序员的量化交易之路（5）--Esper之Map事件（4）
- 程序员的量化交易之路（6）-Esper之处理模型（5）
- 程序员的量化交易之路（15）--Cointrader之EntityBase类（3）
- 程序员的量化交易之路（17）--Cointrader之Temporal实体（5）
- 程序员的量化交易之路（18）--Cointrader之Event实体（6）
- 程序员的量化交易之路（20）--Cointrader之Assert实体（8）
- 程序员的量化交易之路（21）--Cointrader之Currency货币实体（9）
- 程序员的量化交易之路（24）--Cointrader之RemoteEvent远程事件实体（11）
- 程序员的量化交易之路（25）--Cointrader之MarketData市场数据实体（12）
- 程序员的量化交易之路（26）--Cointrader之Listing挂牌实体（13）
- 程序员的量化交易之路（27）--Cointrader之PriceData价格数据（14）
- 程序员的量化交易之路（28）--Cointrader之Offer报价实体（15）
- 程序员的量化交易之路（29）--Cointrader之Tick实体（16）
- 程序员的量化交易之路（30）--Cointrader之ConfigUtil（17）
- 使用VisualSVN Server搭建SVN服务器
- SAP常用BASIS技巧整理
- sed 与 awk 专题( 鸟哥 )
- #java从头再来# Servlet+JSP
- iOS类别(Category)与扩展(Extension)
- 程序员的量化交易之路（32）--Cointrade之Portfolio组合（19）
- Java基础---java线程unchecked异常的处理UncaughtExceptionHandler
- mac 10.09之后文件的显示隐藏终端命令
- 如何给SAP打补丁(ABAP&JAVA)
- Android's 2D Canvas Rendering Pipeline
- Android中触摸事件传递过程
- C# 装箱和拆箱[整理]
- leetcode Balanced Binary Tree
- Underscore.js 1.3.3 中文解释
