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OrderEventListener
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How to use
OrderEventListener
in
com.activequant.backtesting

Best Java code snippets using com.activequant.backtesting.OrderEventListener (Showing top 6 results out of 315)

origin: activequant/aq2o

public void generateReport(String localTargetFolder, String localTemplateFolder) throws IOException {
  HTMLReportGen h = new HTMLReportGen(localTargetFolder, localTemplateFolder);
  if(oelistener.getFillEvents().size()>0){
    h.genReport(algoConfigs, oelistener, pnlMonitor, btConfig);
  }
  else{
    log.warn("No trades were generated!");
    System.out.println("No trades were generated.");
  }
  
}

origin: activequant/aq2o

public void populateOrderStats(OrderEventListener oel) {
  for (String id : instrumentIDs) {
    statistics.put(id + ".TOTALPLACED", oel.getPlaced().get(id));
    statistics.put(id + ".TOTALFILLS", oel.getFills().get(id));
    statistics.put(id + ".TOTALORDERUPDS", oel.getUpdates().get(id));
    statistics.put(id + ".TOTALORDERCNCL", oel.getCancellations().get(id));
    if (oel.getFills().get(id) != null) {
      Double finalPnl = (Double) statistics.get(id + ".FINALPNL");
      statistics.put(id + ".PNLPERTRADE", finalPnl / oel.getFills().get(id));
    }
  }
}
origin: activequant/aq2o

OrderEventListener oel = new OrderEventListener();
IBFXFeeCalculator feeCalculator = new IBFXFeeCalculator();
oel.setFeeCalculator(feeCalculator);
    oel.eventFired(ofe);
    PNLChangeEvent pce = prc.execution(ofe.getTimeStamp(), ofe.getOptionalInstId(),
        ofe.getFillPrice(), ofe.getSide().getSide() * ofe.getFillAmount());
    ofe.setFillPrice(o.getClose());
    ofe.setTimeStamp(o.getTimeStamp());
    oel.eventFired(ofe);
fillExporter.export(targetFolder, oel.getFillEvents());
TSContainer2 posDeltaOverTime = oel.getChangeOverTime();
TSContainer2 executionPricesOverTime = oel.getExecutionOverTime();
TSContainer2 deltaCashPositionsOverTime = calcCashPositions(posDeltaOverTime, executionPricesOverTime);
if (oel.getFeeCalculator() != null) {
  c = new CSVExporter(fout, oel.getFeeCalculator().feesSeries());
  c.write();
  fout.close();
  TSContainer2 feesPerRepUnit = tcm.resampleWithSum(oel.getFeeCalculator().feesSeries(),
      timeFrame.getNanoseconds());
    ChartUtils.getStepChart("Position", oel.getPositionOverTime()), 800, 600);
origin: activequant/aq2o

@Override
public void eventFired(OrderEvent event) {
  if (event instanceof OrderFillEvent) {
    OrderFillEvent ofe = (OrderFillEvent) event;
    if(ofe.getFillAmount()!=0.0)fillEvents.add(ofe);
    trackFill(ofe.getOptionalInstId(), ofe.getTimeStamp(), ofe.getFillAmount()
        * (ofe.getSide().equals(OrderSide.BUY) ? 1.0 : -1.0), ofe.getFillPrice());
    countFill(ofe.getOptionalInstId());
  } else if (event instanceof OrderCancelledEvent) {
    countCancellation(((OrderCancelledEvent) event).getOptionalInstId());
  } else if (event instanceof OrderAcceptedEvent) {
    countAccepted(((OrderAcceptedEvent) event).getOptionalInstId());
  }
  if(feeCalculator != null)
    feeCalculator.track(event);
}
origin: activequant/aq2o

TSContainerMethods tcm = new TSContainerMethods();
new File(targetFolder).mkdirs();
fillExporter.export(targetFolder, oelistener.getFillEvents());
    pnlMonitor.getStaticChart(), 800, 600);
TSContainer2 posSeries = oelistener.getPositionOverTime();
tcm.overwriteNull(posSeries, 0.0);
try {
bs.setReportId(new SimpleDateFormat("yyyyMMdd").format(new Date()));
bs.calcPNLStats(pnlContainer);
bs.calcPosStats(oelistener.getPositionOverTime());
bs.populateOrderStats(oelistener);
origin: activequant/aq2o

public SimulationReport generateReport(String targetFolder) throws IOException {
  SimulationReport sr = new SimulationReport();
  
  TSContainerMethods tcm = new TSContainerMethods();
  TSContainer2 pnlContainer = pnlMonitor.getCumulatedTSContainer();        
  tcm.overwriteNull(pnlContainer);
  tcm.overwriteNull(pnlContainer, 0.0);
  sr.setPnlSeries(pnlContainer);
  
  // 
  
  HTMLReportGen h = new HTMLReportGen(targetFolder, templateFolder);
  if(oelistener.getFillEvents().size()>0){
    h.genReport(algoConfigs, oelistener, pnlMonitor, btConfig);
  }
  else{
    log.warn("No trades were generated!");
    System.out.println("No trades were generated.");
  }
  
  // fill the sr
  
  return sr; 
}
com.activequant.backtestingOrderEventListener

Most used methods

  • getFillEvents
  • getPositionOverTime
  • <init>
  • countAccepted
  • countCancellation
  • countFill
  • eventFired
  • getCancellations
  • getChangeOverTime
  • getExecutionOverTime
  • getFeeCalculator
  • getFills
  • getFeeCalculator,
  • getFills,
  • getPlaced,
  • getUpdates,
  • setFeeCalculator,
  • trackFill

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