Examples with DataSource suite.trade.data.DataSource used on opensource projects

Example 1 with DataSource

use of suite.trade.data.DataSource in project suite by stupidsing.

the class BackAllocatorUtil method stop.

public default BackAllocator stop(double stopLoss, double stopGain) {
    return (akds, indices) -> {
        OnDateTime onDateTime = allocate(akds, indices);
        Map<String, DataSource> dsBySymbol = akds.dsByKey.toMap();
        Mutable<Map<String, Double>> mutable = Mutable.of(new HashMap<>());
        Map<String, List<DblFltPair>> entriesBySymbol = new HashMap<>();
        return index -> {
            int last = index - 1;
            List<Pair<String, Double>> potentialBySymbol = onDateTime.onDateTime(index);
            Map<String, Double> potentialBySymbol0 = mutable.get();
            Map<String, Double> potentialBySymbol1 = Read.from2(potentialBySymbol).toMap();
            // find out the transactions
            Map<String, Double> diffBySymbol = // 
            Read.from(// 
            Set_.union(potentialBySymbol0.keySet(), potentialBySymbol1.keySet())).map2(symbol -> {
                double potential0 = potentialBySymbol0.getOrDefault(symbol, 0d);
                double potential1 = potentialBySymbol1.getOrDefault(symbol, 0d);
                return potential1 - potential0;
            }).toMap();
            // check on each stock symbol
            for (Entry<String, Double> e : diffBySymbol.entrySet()) {
                String symbol = e.getKey();
                double diff = e.getValue();
                int bs = Quant.sign(diff);
                float price = dsBySymbol.get(symbol).prices[last];
                List<DblFltPair> entries0 = entriesBySymbol.getOrDefault(symbol, new ArrayList<>());
                List<DblFltPair> entries1 = new ArrayList<>();
                Collections.sort(entries0, (pair0, pair1) -> -bs * Float.compare(pair0.t1, pair1.t1));
                for (DblFltPair entry0 : entries0) {
                    double potential0 = entry0.t0;
                    float entryPrice = entry0.t1;
                    double cancellation;
                    // a recent buy would cancel out the lowest price sell
                    if (bs == -1)
                        cancellation = min(0, max(diff, -potential0));
                    else if (bs == 1)
                        cancellation = max(0, min(diff, -potential0));
                    else
                        cancellation = 0d;
                    double potential1 = potential0 + cancellation;
                    diff -= cancellation;
                    double min = entryPrice * (potential1 < 0 ? stopGain : stopLoss);
                    double max = entryPrice * (potential1 < 0 ? stopLoss : stopGain);
                    // drop entries that got past their stopping prices
                    if (min < price && price < max)
                        entries1.add(DblFltPair.of(potential1, entryPrice));
                }
                if (diff != 0d)
                    entries1.add(DblFltPair.of(diff, price));
                entriesBySymbol.put(symbol, entries1);
            }
            mutable.update(potentialBySymbol1);
            // re-assemble the entries into current profile
            return // 
            Read.multimap(// 
            entriesBySymbol).groupBy(// 
            entries -> entries.toDouble(Obj_Dbl.sum(pair -> pair.t0))).toList();
        };
    };
}

Example 2 with DataSource

use of suite.trade.data.DataSource in project suite by stupidsing.

the class Factor method project.

private double project(DataSource irds0, DataSource rds0, TimeRange period) {
    DataSource rds1 = rds0.range(period);
    DataSource irds1 = irds0.range(period).alignBeforePrices(rds1.ts);
    return stat.project(irds1.returns(), rds1.returns());
}

Example 3 with DataSource

use of suite.trade.data.DataSource 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 DataSource

use of suite.trade.data.DataSource in project suite by stupidsing.

the class PairTest method test.

private void test(TimeRange period, String symbol0, String symbol1) {
    DataSource ds0 = cfg.dataSource(symbol0, period);
    DataSource ds1 = cfg.dataSource(symbol1, period);
    LngStreamlet ts0 = Longs_.of(ds0.ts);
    LngStreamlet ts1 = Longs_.of(ds1.ts);
    long[] tradeTimes = Longs_.concat(ts0, ts1).distinct().sort().toArray();
    float[] prices0 = ds0.alignBeforePrices(tradeTimes).prices;
    float[] prices1 = ds1.alignBeforePrices(tradeTimes).prices;
    int length = prices0.length;
    LinearRegression lr = statistic.linearRegression(// 
    Ints_.range(// 
    length).map(i -> FltObjPair.of(prices1[i], new float[] { prices0[i], 1f })));
    System.out.println(symbol0 + " -> " + symbol1 + lr);
    assertTrue(.4d < lr.r2);
}

Example 5 with DataSource

use of suite.trade.data.DataSource in project suite by stupidsing.

the class StatisticalArbitrageTest method testMarketDirection.

@Test
public void testMarketDirection() {
    DataSource ds = cfg.dataSource(Asset.hsiSymbol).cleanse();
    int[] flagsArray = mt.time(ds.prices);
    String flags0 = "-----";
    for (int i = 0; i < ds.ts.length; i++) {
        String flags = // 
        String_.right("00000" + Integer.toBinaryString(flagsArray[i]), // 
        -5).replace('0', // 
        '-').replace('1', 'M');
        if (!String_.equals(flags0, flags))
            System.out.println(Time.ofEpochSec(ds.ts[i]).ymd() + " " + flags);
        flags0 = flags;
    }
}