Examples with UpdatePortfolio suite.trade.Trade_.UpdatePortfolio used on opensource projects

Example 1 with UpdatePortfolio

use of suite.trade.Trade_.UpdatePortfolio in project suite by stupidsing.

the class WalkForwardAllocTester method tick.

public String tick(Time time, Map<String, Float> priceBySymbol) {
    int last = windowSize - 1;
    System.arraycopy(times, 0, times, 1, last);
    times[last] = time.epochSec();
    for (Entry<String, DataSource> e : dsBySymbol.entrySet()) {
        String symbol = e.getKey();
        float[] prices = e.getValue().prices;
        System.arraycopy(prices, 0, prices, 1, last);
        prices[last] = priceBySymbol.get(symbol);
    }
    AlignKeyDataSource<String> akds = new AlignKeyDataSource<>(times, Read.from2(dsBySymbol));
    List<Pair<String, Double>> ratioBySymbol = wfa.allocate(akds, windowSize);
    UpdatePortfolio up = Trade_.updatePortfolio(time.ymdHms(), account, ratioBySymbol, assetBySymbol, Read.from2(priceBySymbol).mapValue(Eod::of).toMap());
    float valuation_;
    valuations.append(valuation_ = up.valuation0);
    for (Pair<String, Float> e : up.val0.streamlet()) holdBySymbol.compute(e.t0, (s, h) -> e.t1 / valuation_ + (h != null ? h : 0d));
    List<Trade> trades_ = up.trades;
    String actions;
    if (windowSize <= valuations.size())
        actions = play(trades_);
    else
        actions = "wait";
    return // 
    time.ymdHms() + ", valuation = " + // 
    valuation_ + ", portfolio = " + // 
    account + ", actions = " + actions;
}