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

Example 11 with DataSource

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

the class Summarize method summarize.

public <K> SummarizeByStrategy<K> summarize(Fun<Trade, K> fun) {
    Streamlet2<K, Summarize_> summaryByKey = // 
    trades.groupBy(fun, // 
    trades_ -> summarize_(trades_, priceBySymbol, s -> null)).filterKey(// 
    key -> key != null).collect(As::streamlet2);
    Map<String, Map<K, Integer>> nSharesByKeyBySymbol = // 
    summaryByKey.concatMap((key, summary) -> // 
    summary.account.portfolio().map(// 
    (symbol, n) -> Fixie.of(symbol, key, n))).groupBy(Fixie3::get0, fixies0 -> // 
    fixies0.groupBy(Fixie3::get1, fixies1 -> // 
    fixies1.map(Fixie3::get2).uniqueResult()).toMap()).toMap();
    Map<String, Float> acquiredPrices = trades.collect(Trade_::collectBrokeredTrades).collect(Trade_::collectAcquiredPrices);
    Time now = Time.now();
    Summarize_ overall = summarize_(trades, priceBySymbol, symbol -> {
        boolean isMarketOpen = // 
        false || // 
        HkexUtil.isMarketOpen(now) || HkexUtil.isMarketOpen(now.addHours(1));
        DataSource ds = cfg.dataSource(symbol);
        // acquisition price
        float price0 = acquiredPrices.get(symbol);
        // previous close
        float price1 = ds.get(isMarketOpen ? -1 : -2).t1;
        // now
        float pricex = isMarketOpen ? priceBySymbol.get(symbol) : ds.get(-1).t1;
        String keys = // 
        Read.from2(// 
        nSharesByKeyBySymbol.getOrDefault(symbol, Map.ofEntries())).keys().map(// 
        Object::toString).sort(// 
        String_::compare).collect(As.joinedBy("/"));
        return // 
        percent(price1, pricex) + ", " + // 
        percent(price0, pricex) + (!keys.isEmpty() ? ", " + keys : "");
    });
    Map<K, String> outByKey = summaryByKey.mapValue(Summarize_::out0).toMap();
    StringBuilder sb = new StringBuilder();
    Sink<String> log = sb::append;
    for (Entry<K, String> e : outByKey.entrySet()) log.sink("\nFor strategy " + e.getKey() + ":" + e.getValue());
    log.sink(FormatUtil.tablize("\nOverall:\t" + Time.now().ymdHms() + overall.out1()));
    // profit and loss
    Map<K, Double> pnlByKey = // 
    sellAll(trades, priceBySymbol).groupBy(fun, // 
    t -> (double) Account.ofHistory(t).cash()).toMap();
    return new SummarizeByStrategy<>(sb.toString(), overall.account, pnlByKey);
}

Example 12 with DataSource

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

the class BackAllocatorUtil method byRiskOfReturn.

public default BackAllocator byRiskOfReturn() {
    Statistic stat = new Statistic();
    int nDays = 32;
    return (akds, indices) -> {
        Map<String, float[]> returnsByKey = akds.dsByKey.mapValue(DataSource::returns).toMap();
        OnDateTime ba0 = allocate(akds, indices);
        return index -> // 
        Read.from2(// 
        ba0.onDateTime(index)).map2((symbol, potential) -> {
            float[] returns = Arrays.copyOfRange(returnsByKey.get(symbol), index - nDays, index);
            return potential / stat.variance(returns);
        }).toList();
    };
}

Example 13 with DataSource

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

the class BackAllocatorUtil method filterByIndexReturn.

public default BackAllocator filterByIndexReturn(Configuration cfg, String indexSymbol) {
    DataSource indexDataSource = cfg.dataSource(indexSymbol);
    return (akds, indices) -> {
        OnDateTime onDateTime = allocate(akds, indices);
        return index -> {
            Time date = Time.ofEpochSec(akds.ts[index - 1]).date();
            long t0 = date.addDays(-7).epochSec();
            long tx = date.epochSec();
            DataSource ids = indexDataSource.range(t0, tx);
            double indexPrice0 = ids.get(-1).t1;
            double indexPricex = ids.get(-2).t1;
            double indexReturn = Quant.return_(indexPrice0, indexPricex);
            return // 
            -.03f < indexReturn ? // 
            onDateTime.onDateTime(index) : List.of();
        };
    };
}

Example 14 with DataSource

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

the class TimeSeriesTest method testSharpeRatio.

@Test
public void testSharpeRatio() {
    TimeRange period = TimeRange.of(Time.of(2016, 1, 1), Time.of(2017, 5, 1));
    DataSource ds = cfg.dataSource("0002.HK").range(period);
    double sharpe = ts.returnsStatDailyAnnualized(ds.prices).sharpeRatio();
    System.out.println("sharpe = " + sharpe);
    assertTrue(.04d < sharpe);
}

Example 15 with DataSource

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

the class StatisticalArbitrageTest method testAutoRegressivePowersOfTwo.

@Test
public void testAutoRegressivePowersOfTwo() {
    int power = 6;
    DataSource ds = cfg.dataSource(Asset.hsiSymbol).cleanse();
    float[] prices = ds.prices;
    float[][] mas = To.array(power, float[].class, p -> ma.movingAvg(prices, 1 << p));
    float[] returns = ts.returns(prices);
    LinearRegression lr = stat.linearRegression(// 
    Ints_.range(1 << power, // 
    prices.length).map(i -> FltObjPair.of(returns[i], Floats_.toArray(power, p -> mas[p][i - (1 << p)]))));
    System.out.println(lr);
}