Examples with TimeRange suite.trade.TimeRange used on opensource projects

Example 1 with TimeRange

use of suite.trade.TimeRange in project suite by stupidsing.

the class DailyMain method alloc.

private Result alloc(String tag, float fund, BackAllocator backAllocator, Streamlet<Asset> assets) {
    TimeRange period = TimeRange.daysBefore(64);
    Simulate sim = BackAllocTester.of(cfg, period, assets, backAllocator, log).simulate(fund);
    Account account0 = Account.ofPortfolio(cfg.queryHistory().filter(r -> String_.equals(r.strategy, tag)));
    Account account1 = sim.account;
    Map<String, Integer> assets0 = account0.assets();
    Map<String, Integer> assets1 = account1.assets();
    Set<String> symbols = Set_.union(assets0.keySet(), assets1.keySet());
    Map<String, Float> priceBySymbol = cfg.quote(symbols);
    List<Trade> trades = Trade_.diff(Trade.NA, assets0, assets1, priceBySymbol::get).toList();
    sb.append("\nstrategy = " + tag + ", " + sim.conclusion());
    return new Result(tag, trades);
}

Example 2 with TimeRange

use of suite.trade.TimeRange in project suite by stupidsing.

the class Yahoo method dataSourceYql.

public DataSource dataSourceYql(String symbol, TimeRange period) {
    String yql = // 
    "select *" + // 
    " from yahoo.finance.historicaldata" + " where symbol = \"" + symbol + // 
    "\"" + " and startDate = \"" + period.from.ymd() + // 
    "\"" + " and endDate = \"" + period.to.ymd() + "\"";
    String urlString = // 
    "http://query.yahooapis.com/v1/public/yql" + "?q=" + // 
    encode(yql) + // 
    "&format=json" + // 
    "&diagnostics=true" + // 
    "&env=store%3A%2F%2Fdatatables.org%2Falltableswithkeys" + "&callback=";
    return Rethrow.ex(() -> {
        try (InputStream is = Singleton.me.storeCache.http(urlString).collect(To::inputStream)) {
            JsonNode json = mapper.readTree(is);
            Streamlet<JsonNode> quotes = // 
            Read.each(json).flatMap(// 
            json_ -> json_.path("query")).flatMap(// 
            json_ -> json_.path("results")).flatMap(// 
            json_ -> json_.path("quote")).collect(As::streamlet);
            Streamlet<String[]> arrays = // 
            quotes.map(json_ -> new String[] { // 
            json_.path("Date").textValue(), // 
            json_.path("Open").textValue(), // 
            json_.path("Close").textValue(), // 
            json_.path("Low").textValue(), // 
            json_.path("High").textValue() }).collect(As::streamlet);
            long[] ts = arrays.collect(Obj_Lng.lift(array -> closeTs(array[0]))).toArray();
            float[] opens = arrays.collect(Obj_Flt.lift(array -> Float.parseFloat(array[1]))).toArray();
            float[] closes = arrays.collect(Obj_Flt.lift(array -> Float.parseFloat(array[2]))).toArray();
            float[] lows = arrays.collect(Obj_Flt.lift(array -> Float.parseFloat(array[3]))).toArray();
            float[] highs = arrays.collect(Obj_Flt.lift(array -> Float.parseFloat(array[4]))).toArray();
            float[] volumes = new float[ts.length];
            return DataSource.ofOhlcv(ts, opens, closes, lows, highs, volumes);
        }
    });
}

Example 3 with TimeRange

use of suite.trade.TimeRange in project suite by stupidsing.

the class FactorLr method ols.

private LinearRegression ols(DataSource rds0, TimeRange period) {
    DataSource ys = rds0.range(period);
    float[][] returns_ = // 
    Read.from(// 
    indexPrices).map(// 
    prices -> DataSource.of(timestamps, prices).range(period).alignBeforePrices(ys.ts).returns()).toArray(float[].class);
    float[][] xs = mtx.transpose(returns_);
    return stat.linearRegression(xs, ys.returns(), indexSymbols.toArray(String.class));
}

Example 4 with TimeRange

use of suite.trade.TimeRange in project suite by stupidsing.

the class BackTestMain method run.

@Override
protected boolean run(String[] args) {
    // BEGIN
    // END
    String arg0 = 0 < args.length ? args[0] : "";
    String arg1 = 1 < args.length ? args[1] : "";
    String arg2 = 2 < args.length ? args[2] : "";
    Streamlet<String> strategyMatches = !arg0.isEmpty() ? Read.from(arg0.split(",")) : null;
    Streamlet<Integer> years = !arg1.isEmpty() ? // 
    Read.from(// 
    arg1.split(",")).concatMap(s -> {
        Pair<String, String> pair = ParseUtil.search(s, "-", Assoc.RIGHT);
        return // 
        pair != null ? // 
        Ints_.range(Integer.valueOf(pair.t0), Integer.valueOf(pair.t1)).map(i -> i) : Read.each(Integer.valueOf(s));
    }) : // 
    Ints_.range(2007, Trade_.thisYear).map(i -> i);
    Fun<Time, Streamlet<Asset>> fun = // 
    !arg2.isEmpty() ? // 
    time -> Read.from(arg2.split(",")).map(cfg::queryCompany).collect(As::streamlet) : cfg::queryCompaniesByMarketCap;
    BackAllocConfigurations bac_ = new BackAllocConfigurations(cfg, fun);
    Streamlet2<String, BackAllocConfiguration> bacByTag = bac_.bacs().bacByName;
    Streamlet2<String, Simulate> simulationByKey = // 
    bacByTag.filterKey(// 
    n -> strategyMatches == null || strategyMatches.isAny(sm -> Wildcard.match(sm, n) != null)).map(// 
    Pair::of).join2(// 
    years.sort(Object_::compare).map(TimeRange::ofYear)).map2((pair, period) -> pair.t0, (pair, period) -> {
        BackAllocConfiguration bac = pair.t1;
        Streamlet<Asset> assets = bac.assetsFun.apply(period.from);
        return runner.backTest(bac.backAllocator, period, assets);
    }).collect(As::streamlet2);
    String content0 = // 
    Read.bytes(// 
    Paths.get("src/main/java/" + getClass().getName().replace('.', '/') + ".java")).collect(// 
    As::utf8decode).map(// 
    Chars::toString).collect(As::joined);
    String content1 = ParseUtil.fit(content0, "// BEGIN", "// END")[1];
    System.out.println(content1);
    System.out.println(runner.conclude(simulationByKey));
    return true;
}

Example 5 with TimeRange

use of suite.trade.TimeRange in project suite by stupidsing.

the class DataSourceView method get.

public V get(String symbol, int index) {
    TimeRange period = period(index);
    Map<TimeRange, V> m = viewByKey.get(symbol);
    return m != null ? m.get(period) : null;
}