# HG changeset patch # User Marcus Williford # Date 1357729599 28800 # Branch CL # Node ID a48620581b31cef73b78f74201e9749d3dab7e97 # Parent a4c433f149b6de7a99014882312cfe19f52f743c adding CL src files diff -r a4c433f149b6 -r a48620581b31 source/com/jbooktrader/platform/test/NYMEXMostLiquidTest.java --- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/source/com/jbooktrader/platform/test/NYMEXMostLiquidTest.java Wed Jan 09 03:06:39 2013 -0800 @@ -0,0 +1,105 @@ +package com.jbooktrader.platform.test; + +import com.jbooktrader.platform.util.NYMEXMostLiquid; + +import java.util.Calendar; +import static org.junit.Assert.*; +import org.junit.*; + +/** + * Created with IntelliJ IDEA. + * User: marcus + * Date: 1/9/13 + * Time: 12:31 AM + * To change this template use File | Settings | File Templates. + */ +public class NYMEXMostLiquidTest { + + @Test + public void backupToBusinessDay1() { + Calendar aSaturday = Calendar.getInstance(); + aSaturday.set(Calendar.YEAR,2013); + aSaturday.set(Calendar.MONTH,Calendar.JANUARY); + aSaturday.set(Calendar.DATE,5); + + assert(aSaturday.get(Calendar.DAY_OF_WEEK) == Calendar.SATURDAY); + NYMEXMostLiquid.backupToBusinessDay(aSaturday); // should back up to Friday + assert(aSaturday.get(Calendar.DAY_OF_WEEK) == Calendar.FRIDAY); + NYMEXMostLiquid.backupToBusinessDay(aSaturday); + assert(aSaturday.get(Calendar.DAY_OF_WEEK) == Calendar.FRIDAY); // should still be Friday + + } + + // http://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_product_calendar_futures.html + @Test + public void getExpireDayForMonthYearTest() { + // test some real NYMEX dates from the CL (Light Sweet Crude index futures + + int janExpire = NYMEXMostLiquid.getExpireDateForMonthYear(1,2013); // actually this is called the Feb delivery future, exprires in Jan though + assert(janExpire == 22); + int febExpire = NYMEXMostLiquid.getExpireDateForMonthYear(2,2013); + assert(febExpire == 20); + int marExpire = NYMEXMostLiquid.getExpireDateForMonthYear(3,2013); + assert(marExpire == 20); + int aprExpire = NYMEXMostLiquid.getExpireDateForMonthYear(4,2013); + assert(aprExpire == 22); + int mayExpire = NYMEXMostLiquid.getExpireDateForMonthYear(5,2013); + assert(mayExpire == 21); + int junExpire = NYMEXMostLiquid.getExpireDateForMonthYear(6,2013); + assert(junExpire == 20); + int julExpire = NYMEXMostLiquid.getExpireDateForMonthYear(7,2013); + assert(julExpire == 22); + + } + + @Test + public void getMostLiquidNymexExpiryTest1() { + Calendar mydate = Calendar.getInstance(); + mydate.set(Calendar.YEAR, 2013); + mydate.set(Calendar.MONTH, Calendar.JANUARY); + mydate.set(Calendar.DATE, 5); + + String expiry = NYMEXMostLiquid.getMostLiquidExpiry(mydate); + assertTrue("expiration of contract not correct", expiry.equals("201302")); // note, this is called the Feburary Contract, but expries on Jan 22 + + } + + @Test + public void getMostLiquidNymexExpiryTestDecRolltoNewyear() { + Calendar mydate = Calendar.getInstance(); + mydate.set(Calendar.YEAR, 2012); + mydate.set(Calendar.MONTH, Calendar.DECEMBER); + mydate.set(Calendar.DATE, 18); + + String expiry = NYMEXMostLiquid.getMostLiquidExpiry(mydate); + assertEquals("expiration of contract not correct", "201302",expiry); // note, this is called the Feburary Contract, but expries on Jan 22 + + } + + @Test + public void getMostLiquidNymexExpiryTestDecnoRollover() { + Calendar mydate = Calendar.getInstance(); + mydate.set(Calendar.YEAR, 2012); + mydate.set(Calendar.MONTH, Calendar.DECEMBER); + mydate.set(Calendar.DATE, 8); + + String expiry = NYMEXMostLiquid.getMostLiquidExpiry(mydate); + assertEquals("expiration of contract not correct", "201301",expiry); // note, this is called the Feburary Contract, but expries on Jan 22 + + } + + @Test + public void getMostLiquidNymexExpiryTestTooClose() { + Calendar mydate = Calendar.getInstance(); + mydate.set(Calendar.YEAR, 2013); + mydate.set(Calendar.MONTH, Calendar.JANUARY); + mydate.set(Calendar.DATE, 22); + + String expiry = NYMEXMostLiquid.getMostLiquidExpiry(mydate); + assertEquals("expiration of contract not correct", "201303",expiry); // note, this is called the Feburary Contract, but expries on Jan 22 + + } + +} + + diff -r a4c433f149b6 -r a48620581b31 source/com/jbooktrader/platform/util/ContractFactory.java --- a/source/com/jbooktrader/platform/util/ContractFactory.java Mon Jan 09 17:41:25 2012 -0500 +++ b/source/com/jbooktrader/platform/util/ContractFactory.java Wed Jan 09 03:06:39 2013 -0800 @@ -39,6 +39,10 @@ return makeFutureContract(symbol, exchange, MostLiquidContract.getMostLiquid()); } + public static Contract makeNYMEXFutureContract(String symbol,String exchange) { + return makeFutureContract(symbol, exchange, NYMEXMostLiquid.getMostLiquid()); + } + public static Contract makeCashContract(String symbol, String currency) { return makeContract(symbol, "CASH", "IDEALPRO", null, currency); } diff -r a4c433f149b6 -r a48620581b31 source/com/jbooktrader/platform/util/NYMEXMostLiquid.java --- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/source/com/jbooktrader/platform/util/NYMEXMostLiquid.java Wed Jan 09 03:06:39 2013 -0800 @@ -0,0 +1,101 @@ +package com.jbooktrader.platform.util; + +import java.text.SimpleDateFormat; +import java.util.Calendar; + +/** + * Created with IntelliJ IDEA. + * User: marcus + * Date: 1/8/13 + * Time: 11:26 PM + * To change this template use File | Settings | File Templates. + */ +public class NYMEXMostLiquid { + + public static final int VOLUME_CROSSOVER_BEFORE_EXP = 8; // in business days before expiration + + /** + * Given a month, what is the expiration day, based on the following rule + * - 3 business days prior to the 25th + * - If the 25th falls on a weekend, 3 business days not counting this weekend + * + * - not sure about holidays yet, TBD + * + * @param month Integer month 1-12 + * @return day of expiration + */ + public static int getExpireDateForMonthYear(int month, int year) { + Calendar cal = Calendar.getInstance(); + cal.set(Calendar.MONTH,month-1); + cal.set(Calendar.YEAR,year); + cal.set(Calendar.DATE,25); // using this 25th as a rule here + + // get to first non weekend day, prior to the 25th + backupToBusinessDay(cal); + // now, we should subtract 3 business days + for (int i = 0; i < 3; i++) { + backupToBusinessDay(cal); + cal.add(Calendar.DATE, -1); // subtract a day, which don't be on a weekend + } + + return cal.get(Calendar.DATE); + + } + + public static void backupToBusinessDay(Calendar cal) { + while (!isBusinessDay(cal)) { + cal.add(Calendar.DATE, -1); // subtract a day + } + } + + public static boolean isBusinessDay(Calendar cal) { + return (cal.get(Calendar.DAY_OF_WEEK) != Calendar.SATURDAY && cal.get(Calendar.DAY_OF_WEEK) != Calendar.SUNDAY); + } + + + public static String getMostLiquidExpiry(Calendar mydate) { + Calendar contract = Calendar.getInstance(); + contract.setTime(mydate.getTime()); + + // start by selecting current month, and see if it is ok + int myMonth = mydate.get(Calendar.MONTH) + 1; + int myYear = mydate.get(Calendar.YEAR); + int dateExp = getExpireDateForMonthYear(myMonth,myYear); + + Calendar cutoffDate = Calendar.getInstance(); + cutoffDate.set(Calendar.YEAR,mydate.get(Calendar.YEAR)); + cutoffDate.set(Calendar.MONTH,mydate.get(Calendar.MONTH)); + cutoffDate.set(Calendar.DATE,dateExp); + + for (int i = 0; i < VOLUME_CROSSOVER_BEFORE_EXP; i++) { + backupToBusinessDay(cutoffDate); + cutoffDate.add(Calendar.DATE, -1); + } + + // check to see if we are far enough away to use this month + + if (mydate.compareTo(cutoffDate) < 0) { // we can use this month + contract.set(Calendar.DATE,dateExp); + } else { + // need to use next months + contract.add(Calendar.MONTH, 1); // next month + dateExp = getExpireDateForMonthYear( // replace date with exp date for that month + contract.get(Calendar.MONTH)+1, + contract.get(Calendar.YEAR) + ); + contract.set(Calendar.DATE,dateExp); + } + + // return contract as a string as required by tws + // note, nominal feb contract would have expire date in Jan, and we think tws expects jan expire date for Feb nominal contract + contract.add(Calendar.MONTH,1); // contract is called by the month after's name for NYMEX + // update: we need to send normal month info, per this link: http://www.interactivebrokers.com/en/trading/expirationLabel.html + SimpleDateFormat df = new SimpleDateFormat("yyyyMM"); + return df.format(contract.getTime()); + + } + + public static String getMostLiquid() { + return getMostLiquidExpiry(Calendar.getInstance()); + } +} diff -r a4c433f149b6 -r a48620581b31 source/com/jbooktrader/strategy/SampleCL.java --- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/source/com/jbooktrader/strategy/SampleCL.java Wed Jan 09 03:06:39 2013 -0800 @@ -0,0 +1,70 @@ +package com.jbooktrader.strategy; + +import com.jbooktrader.indicator.balance.BalanceVelocity; +import com.jbooktrader.indicator.price.PriceKalman; +import com.jbooktrader.indicator.price.PriceVelocity; +import com.jbooktrader.platform.indicator.Indicator; +import com.jbooktrader.platform.model.JBookTraderException; +import com.jbooktrader.platform.optimizer.StrategyParams; +import com.jbooktrader.strategy.base.StrategyCL; +import com.jbooktrader.strategy.base.StrategyES; + + +/** + * + */ +public class SampleCL extends StrategyCL { + + // Technical indicators + private Indicator balanceVelocityInd, priceVelocityInd, kalmanInd; + + // Strategy parameters names + private static final String PERIOD = "Period"; + private static final String SCALE = "Scale"; + private static final String ENTRY = "Entry"; + private static final String EXIT = "Exit"; + private static final String NOISE = "Noise"; + + // Strategy parameters values + private final int entry, exit, scale, noise; + + + public SampleCL(StrategyParams optimizationParams) throws JBookTraderException { + super(optimizationParams); + + entry = getParam(ENTRY); + exit = getParam(EXIT); + scale = getParam(SCALE); + noise = getParam(NOISE); + } + + @Override + public void setParams() { + addParam(PERIOD, 2200, 3600, 5, 3515); + addParam(SCALE, 5, 25, 1, 25); + addParam(ENTRY, 55, 120, 1, 95); + addParam(EXIT, -50, 0, 1, 0); + addParam(NOISE, 1, 50 , 1 , 2); + } + + @Override + public void setIndicators() { + balanceVelocityInd = addIndicator(new BalanceVelocity(1, getParam(PERIOD))); + priceVelocityInd = addIndicator(new PriceVelocity(1, getParam(PERIOD))); + kalmanInd = addIndicator(new PriceKalman(getParam(NOISE))); + + } + + @Override + public void onBookSnapshot() { + double balanceVelocity = balanceVelocityInd.getValue(); + double priceVelocity = priceVelocityInd.getValue(); + + double force = balanceVelocity - scale * priceVelocity; + if (force >= entry && balanceVelocity > 0 && priceVelocity < 0) { + setPosition(1); + } else if (force <= -exit) { + setPosition(0); + } + } +} \ No newline at end of file diff -r a4c433f149b6 -r a48620581b31 source/com/jbooktrader/strategy/base/StrategyCL.java --- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/source/com/jbooktrader/strategy/base/StrategyCL.java Wed Jan 09 03:06:39 2013 -0800 @@ -0,0 +1,36 @@ +package com.jbooktrader.strategy.base; + +import com.ib.client.Contract; +import com.jbooktrader.platform.commission.Commission; +import com.jbooktrader.platform.commission.CommissionFactory; +import com.jbooktrader.platform.model.JBookTraderException; +import com.jbooktrader.platform.optimizer.StrategyParams; +import com.jbooktrader.platform.schedule.TradingSchedule; +import com.jbooktrader.platform.strategy.Strategy; +import com.jbooktrader.platform.util.ContractFactory; + +/** + * + */ +public abstract class StrategyCL extends Strategy { + /* + * MARGIN REQUIREMENTS for CL: GLOBEX as of 8-Jan-2013 + * Source: http://www.interactivebrokers.com/en/index.php?f=margin&p=fut + * + * Initial Intra-day: $3,188 + * Intra-day Maintenance: $2,550 + * Initial Overnight: $6,375 + * Overnight Maintenance: $5,100 + */ + protected StrategyCL(StrategyParams optimizationParams) throws JBookTraderException { + super(optimizationParams); + // Specify the contract to trade + Contract contract = ContractFactory.makeNYMEXFutureContract("CL", "NYMEX"); + // Define trading schedule + TradingSchedule tradingSchedule = new TradingSchedule("10:35", "14:55", "America/New_York"); + int multiplier = 1000;// contract 1000 barrels + double bidAskSpread = 0.01; // prevalent spread between best bid and best ask + Commission commission = CommissionFactory.getBundledNorthAmericaFutureCommission(); + setStrategy(contract, tradingSchedule, multiplier, commission, bidAskSpread); + } +}