DemoStrategy.java

package org.cryptocoinpartners.module;

import java.math.BigDecimal;

import javax.annotation.Nullable;
import javax.inject.Inject;

import org.apache.commons.configuration.Configuration;
import org.cryptocoinpartners.esper.annotation.When;
import org.cryptocoinpartners.schema.Book;
import org.cryptocoinpartners.schema.DiscreteAmount;
import org.cryptocoinpartners.schema.Fill;
import org.cryptocoinpartners.schema.Market;
import org.cryptocoinpartners.schema.Offer;
import org.cryptocoinpartners.schema.Order;
import org.cryptocoinpartners.schema.OrderBuilder;
import org.cryptocoinpartners.schema.OrderBuilder.CommonOrderBuilder;

/**
 * This simple Strategy first waits for Book data to arrive about the target Market, then it places a buy order
 * at demostrategy.spread below the current bestAsk.  Once it enters the trade, it places a sell order at
 * demostrategy.spread above the current bestBid.
 * This strategy ignores the available Positions in the Portfolio and always trades the amount set by demostrategy.volume on
 * the Market specified by demostrategy.market
 *
 * @author Tim Olson
 */
@SuppressWarnings("UnusedDeclaration")
public class DemoStrategy extends SimpleStatefulStrategy {

    @Inject
    public DemoStrategy(Context context, Configuration config) {

        // String marketSymbol = config.getString("demostrategy.market","BITFINEX:BTC.USD");
        String marketSymbol = ("BITFINEX:BTC.USD");

        market = context.getInjector().getInstance(Market.class).forSymbol(marketSymbol);
        if (market == null)
            throw new Error("Could not find Market for symbol " + marketSymbol);
        BigDecimal volumeBD = new BigDecimal("1");// 100 satoshis
        volumeCount = DiscreteAmount.roundedCountForBasis(volumeBD, market.getVolumeBasis());
    }

    @When("select * from Book")
    void handleBook(Book b) {

        if (b.getMarket().equals(market)) {

            bestBid = b.getBestBid();
            bestAsk = b.getBestAsk();
            //          if (bestBid != null && bestAsk != null) {
            //              ready();
            //              enterTrade();
            //              exitTrade();
            //              log.info("Portfolio: " + portfolio + " Total Value (" + portfolio.getBaseAsset() + "):"
            //                      + portfolioService.getCashBalance().plus(portfolioService.getMarketValue()) + " (Cash Balance:" + portfolioService.getCashBalance()
            //                      + " Open Trade Equity:" + portfolioService.getMarketValue() + ")");
            //          }
        }

    }

    @Override
    @SuppressWarnings("ConstantConditions")
    protected OrderBuilder.CommonOrderBuilder buildEntryOrder() {
        if (bestAsk == null)
            return null;
        DiscreteAmount limitPrice = bestBid.getPrice().decrement();
        return order.create(context.getTime(), market, volumeCount).withLimitPrice(limitPrice);
    }

    @Override
    @SuppressWarnings("ConstantConditions")
    protected OrderBuilder.CommonOrderBuilder buildExitOrder(Order entryOrder) {
        if (bestBid == null)
            return null;
        DiscreteAmount limitPrice = bestAsk.getPrice().increment();
        return order.create(context.getTime(), market, -volumeCount).withLimitPrice(limitPrice);
    }

    //
    private Offer bestBid;
    private Offer bestAsk;
    private final Market market;
    private final long volumeCount;

    @Override
    @Nullable
    protected CommonOrderBuilder buildStopOrder(Fill fill) {
        // TODO Auto-generated method stub
        return null;
    }
}