转载须注明出处：http://blog.youkuaiyun.com/minimicall?viewmode=contents，http://cloudtrade.top/
Portfolio:组合，代表的是多个证券组合在一起为了完成某一策略 。组合中每个证券都有自己的仓位（Position）。我们的策略就是要控制组合的Position进而涉及到买卖，订单。
Portfolio代码：
package org.cryptocoinpartners.schema;
import java.util.Collection;
import java.util.Collections;
import java.util.Iterator;
import java.util.concurrent.ConcurrentHashMap;
import java.util.concurrent.ConcurrentLinkedQueue;
import javax.inject.Inject;
import javax.persistence.Cacheable;
import javax.persistence.Entity;
import javax.persistence.ManyToOne;
import javax.persistence.NoResultException;
import javax.persistence.OneToMany;
import javax.persistence.Transient;
import org.apache.commons.lang.NotImplementedException;
import org.cryptocoinpartners.enumeration.PositionType;
import org.cryptocoinpartners.enumeration.TransactionType;
import org.cryptocoinpartners.module.Context;
import org.cryptocoinpartners.service.PortfolioService;
import org.cryptocoinpartners.util.PersistUtil;
import org.cryptocoinpartners.util.Remainder;
import org.slf4j.Logger;
import com.google.inject.Singleton;
/**
* Many Owners may have Stakes in the Portfolio, but there is only one PortfolioManager, who is not necessarily an Owner. The
* Portfolio has multiple Positions.
*
* @author Tim Olson
*/
@Entity
@Singleton
@Cacheable
public class Portfolio extends EntityBase {
private static Object lock = new Object();
/** returns all Positions, whether they are tied to an open Order or not. Use getTradeablePositions() */
public @Transient
Collection<Fill> getDetailedPositions() {
Collection<Fill> allPositions = new ConcurrentLinkedQueue<Fill>();
for (Asset asset : positions.keySet()) {
for (Exchange exchange : positions.get(asset).keySet()) {
for (Listing listing : positions.get(asset).get(exchange).keySet()) {
for (TransactionType transactionType : positions.get(asset).get(exchange).get(listing).keySet()) {
for (Iterator<Position> itp = positions.get(asset).get(exchange).get(listing).get(transactionType).iterator(); itp.hasNext();) {
Position pos = itp.next();
for (Fill fill : pos.getFills()) {
allPositions.add(fill);
}
}
}
}
}
}
return allPositions;
}
protected @Transient
void persistPositions() {
for (Asset asset : positions.keySet()) {
for (Exchange exchange : positions.get(asset).keySet()) {
for (Listing listing : positions.get(asset).get(exchange).keySet()) {
for (TransactionType transactionType : positions.get(asset).get(exchange).get(listing).keySet()) {
for (Position position : positions.get(asset).get(exchange).get(listing).get(transactionType)) {
position.Merge();
}
}
}
}
}
}
public @Transient
Collection<Position> getPositions() {
ConcurrentLinkedQueue<Position> allPositions = new ConcurrentLinkedQueue<Position>();
for (Asset asset : positions.keySet()) {
for (Exchange exchange : positions.get(asset).keySet()) {
for (Listing listing : positions.get(asset).get(exchange).keySet()) {
for (TransactionType transactionType : positions.get(asset).get(exchange).get(listing).keySet()) {
Amount longVolume = DecimalAmount.ZERO;
Amount longAvgPrice = DecimalAmount.ZERO;
Amount longAvgStopPrice = DecimalAmount.ZERO;
Amount shortVolume = DecimalAmount.ZERO;
Amount shortAvgPrice = DecimalAmount.ZERO;
Amount shortAvgStopPrice = DecimalAmount.ZERO;
for (Position position : positions.get(asset).get(exchange).get(listing).get(transactionType)) {
allPositions.add(position);
// for (Fill pos : position.getFills()) {
//
// if (pos.isLong()) {
// longAvgPrice = ((longAvgPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getPrice(),
// Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN);
// if (pos.getStopPrice() != null)
// longAvgStopPrice = ((longAvgStopPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(
// pos.getStopPrice(), Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()),
// Remainder.ROUND_EVEN);
//
// longVolume = longVolume.plus(pos.getOpenVolume());
// } else if (pos.isShort()) {
// shortAvgPrice = ((shortAvgPrice.times(shortVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getPrice(),
// Remainder.ROUND_EVEN))).dividedBy(shortVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN);
// if (pos.getStopPrice() != null)
// shortAvgStopPrice = ((shortAvgStopPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(
// pos.getStopPrice(), Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()),
// Remainder.ROUND_EVEN);
//
// shortVolume = shortVolume.plus(pos.getOpenVolume());
// }
// }
}
// need to change this to just return one position that is the total, not one long and one short.
// if (!shortVolume.isZero() || !longVolume.isZero()) {
// Market market = Market.findOrCreate(exchange, listing);
// Fill pos = new Fill();
// pos.setPortfolio(this);
// pos.setMarket(market);
//
// pos.setPriceCount(longAvgPrice.toBasis(market.getPriceBasis(), Remainder.ROUND_EVEN).getCount());
// pos.setVolumeCount(longVolume.toBasis(market.getPriceBasis(), Remainder.ROUND_EVEN).getCount());
// Position position = new Position(pos);
// allPositions.add(position);
// }
}
}
}
}
return allPositions;
}
public @Transient
Position getPosition(Asset asset, Market market) {
//ArrayList<Position> allPositions = new ArrayList<Position>();
Position position = null;
//TODO need to add these per portfoio, portoflio should not be null
// Position position = new Position(null, market.getExchange(), market, asset, DecimalAmount.ZERO, DecimalAmount.ZERO);
// new ConcurrentLinkedQueue<Transaction>();
Collection<Fill> fills = new ConcurrentLinkedQueue<Fill>();
for (TransactionType transactionType : positions.get(asset).get(market.getExchange()).get(market.getListing()).keySet()) {
// Amount longVolume = DecimalAmount.ZERO;
// Amount longAvgPrice = DecimalAmount.ZERO;
// Amount longAvgStopPrice = DecimalAmount.ZERO;
// Amount shortVolume = DecimalAmount.ZERO;
// Amount shortAvgPrice = DecimalAmount.ZERO;
// Amount shortAvgStopPrice = DecimalAmount.ZERO;
for (Position detailedPosition : positions.get(asset).get(market.getExchange()).get(market.getListing()).get(transactionType)) {
for (Fill pos : detailedPosition.getFills()) {
fills.add(pos);
// if (pos.isLong()) {
// longAvgPrice = ((longAvgPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getPrice(),
// Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN);
// if (pos.getStopPrice() != null)
// longAvgStopPrice = ((longAvgStopPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getStopPrice(),
// Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN);
//
// longVolume = longVolume.plus(pos.getOpenVolume());
// } else if (pos.isShort()) {
// shortAvgPrice = ((shortAvgPrice.times(shortVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getPrice(),
// Remainder.ROUND_EVEN))).dividedBy(shortVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN);
// if (pos.getStopPrice() != null)
// shortAvgStopPrice = ((shortAvgStopPrice.times(longVolume, Remainder.ROUND_EVEN)).plus(pos.getOpenVolume().times(pos.getStopPrice(),
// Remainder.ROUND_EVEN))).dividedBy(longVolume.plus(pos.getOpenVolume()), Remainder.ROUND_EVEN);
//
// shortVolume = shortVolume.plus(pos.getOpenVolume());
}
}
}
// need to change this to just return one position that is the total, not one long and one short.
//
// if (!shortVolume.isZero() || !longVolume.isZero()) {
// Fill pos = new Fill();
// pos.setPortfolio(this);
// pos.setMarket(market);
//
// pos.setPriceCount(longAvgPrice.toBasis(market.getPriceBasis(), Remainder.ROUND_EVEN).getCount());
// pos.setVolumeCount(longVolume.toBasis(market.getVolumeBasis(), Remainder.ROUND_EVEN).getCount());
// position = new Position(pos);
// //allPositions.add(position);
// }
return new Position(fills);
// return position;
}
public @Transient
Collection<Position> getPositions(Asset asset, Exchange exchange) {
Collection<Position> allPositions = new ConcurrentLinkedQueue<Position>();
if (positions.get(asset) != null && positions.get(asset).get(exchange) != null) {
synchronized (lock) {
for (Iterator<Listing> itl = positions.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) {
Listing listing = itl.next();
for (Iterator<TransactionType> itt = positions.get(asset).get(exchange).get(listing).keySet().iterator(); itt.hasNext();) {
TransactionType transactionType = itt.next();
for (Iterator<Position> itp = positions.get(asset).get(exchange).get(listing).get(transactionType).iterator(); itp.hasNext();) {
Position pos = itp.next();
allPositions.add(pos);
}
}
}
}
}
return allPositions;
}
public @Transient
ConcurrentHashMap<Asset, Amount> getRealisedPnLs() {
ConcurrentHashMap<Asset, Amount> allPnLs = new ConcurrentHashMap<Asset, Amount>();
synchronized (lock) {
for (Iterator<Asset> it = realisedProfits.keySet().iterator(); it.hasNext();) {
Asset asset = it.next();
for (Iterator<Exchange> ite = realisedProfits.get(asset).keySet().iterator(); ite.hasNext();) {
Exchange exchange = ite.next();
for (Iterator<Listing> itl = realisedProfits.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) {
Listing listing = itl.next();
Amount realisedPnL = realisedProfits.get(asset).get(exchange).get(listing);
if (allPnLs.get(asset) == null) {
allPnLs.put(asset, realisedPnL);
} else {
allPnLs.put(asset, allPnLs.get(asset).plus(realisedPnL));
}
}
}
}
}
return allPnLs;
}
public @Transient
Amount getRealisedPnL(Asset asset) {
Amount realisedPnL = DecimalAmount.ZERO;
for (Iterator<Exchange> ite = realisedProfits.get(asset).keySet().iterator(); ite.hasNext();) {
Exchange exchange = ite.next();
for (Iterator<Listing> itl = realisedProfits.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) {
Listing listing = itl.next();
realisedPnL = realisedPnL.plus(realisedProfits.get(asset).get(exchange).get(listing));
}
}
return realisedPnL;
}
public @Transient
ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, Amount>>> getRealisedPnL() {
return realisedProfits;
}
public @Transient
DiscreteAmount getLongPosition(Asset asset, Exchange exchange) {
long longVolumeCount = 0;
synchronized (lock) {
if (positions.get(asset) != null && positions.get(asset).get(exchange) != null) {
for (Iterator<Listing> itl = positions.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) {
Listing listing = itl.next();
for (Position itpos : positions.get(asset).get(exchange).get(listing).get(TransactionType.BUY)) {
for (Iterator<Fill> itp = itpos.getFills().iterator(); itp.hasNext();) {
Fill pos = itp.next();
longVolumeCount += pos.getOpenVolumeCount();
}
}
}
}
}
return new DiscreteAmount(longVolumeCount, asset.getBasis());
}
public @Transient
DiscreteAmount getNetPosition(Asset asset, Exchange exchange) {
long netVolumeCount = 0;
Fill pos = null;
synchronized (lock) {
if (positions.get(asset) != null && positions.get(asset).get(exchange) != null) {
for (Iterator<Listing> itl = positions.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) {
Listing listing = itl.next();
for (Iterator<TransactionType> itt = positions.get(asset).get(exchange).get(listing).keySet().iterator(); itt.hasNext();) {
TransactionType transactionType = itt.next();
for (Position itpos : positions.get(asset).get(exchange).get(listing).get(transactionType)) {
for (Iterator<Fill> itp = itpos.getFills().iterator(); itp.hasNext();) {
pos = itp.next();
netVolumeCount += pos.getOpenVolumeCount();
}
}
}
}
}
}
return new DiscreteAmount(netVolumeCount, asset.getBasis());
}
public @Transient
DiscreteAmount getShortPosition(Asset asset, Exchange exchange) {
long shortVolumeCount = 0;
synchronized (lock) {
if (positions.get(asset) != null && positions.get(asset).get(exchange) != null) {
for (Iterator<Listing> itl = positions.get(asset).get(exchange).keySet().iterator(); itl.hasNext();) {
Listing listing = itl.next();
for (Position itpos : positions.get(asset).get(exchange).get(listing).get(TransactionType.SELL)) {
for (Iterator<Fill> itp = itpos.getFills().iterator(); itp.hasNext();) {
Fill pos = itp.next();
shortVolumeCount += pos.getOpenVolumeCount();
}
}
}
}
}
return new DiscreteAmount(shortVolumeCount, asset.getBasis());
}
// public @OneToMany ConcurrentHashMap<BalanceType, List<Wallet>> getBalances() { return balances; }
/**
* Returns all Positions in the Portfolio which are not reserved as payment for an open Order
*/
@Transient
public Collection<Position> getTradeableBalance(Exchange exchange) {
throw new NotImplementedException();
}
@Transient
public Collection<Transaction> getTransactions() {
ConcurrentLinkedQueue<Transaction> allTransactions = new ConcurrentLinkedQueue<Transaction>();
for (Iterator<Asset> it = transactions.keySet().iterator(); it.hasNext();) {
Asset asset = it.next();
for (Iterator<Exchange> ite = transactions.get(asset).keySet().iterator(); ite.hasNext();) {
Exchange exchange = ite.next();
for (Iterator<TransactionType> itt = transactions.get(asset).get(exchange).keySet().iterator(); itt.hasNext();) {
TransactionType type = itt.next();
for (Iterator<Transaction> ittr = transactions.get(asset).get(exchange).get(type).iterator(); ittr.hasNext();) {
Transaction tran = ittr.next();
allTransactions.add(tran);
}
}
}
}
return allTransactions;
}
@Transient
public void removeTransaction(Transaction reservation) {
if (transactions.get(reservation.getCurrency()) == null)
return;
if (transactions.get(reservation.getCurrency()).get(reservation.getExchange()) == null)
return;
if (transactions.get(reservation.getCurrency()).get(reservation.getExchange()).get(reservation.getType()) == null)
return;
synchronized (lock) {
transactions.get(reservation.getCurrency()).get(reservation.getExchange()).get(reservation.getType()).remove(reservation);
// Iterator<Transaction> it = transactions.get(reservation.getCurrency()).get(reservation.getExchange()).get(reservation.getType()).iterator();
// while (it.hasNext()) {
// Transaction transaction = it.next();
// if (transaction != null && reservation != null && transaction.equals(reservation))
// it.remove();
// }
}
}
/**
* This is the main way for a Strategy to determine what assets it has available for trading
*/
@Transient
public Collection<Position> getReservedBalances(Exchange exchange) {
throw new NotImplementedException();
}
/**
* This is the main way for a Strategy to determine how much of a given asset it has available for trading
* @param f
* @return
*/
@Transient
public Collection<Position> getTradeableBalanceOf(Exchange exchange, Asset asset) {
throw new NotImplementedException();
}
/**
* Finds a Position in the Portfolio which has the same Asset as p, then breaks it into the amount p requires
* plus an unreserved amount. The resevered Position is then associated with the given order, while
* the unreserved remainder of the Position has getOrder()==null. To un-reserve the Position, call release(order)
*
* @param order the order which will be placed
* @param p the cost of the order. could be a different fungible than the order's quote fungible
* @throws IllegalArgumentException
*/
@Transient
public void reserve(SpecificOrder order, Position p) throws IllegalArgumentException {
throw new NotImplementedException();
}
@Transient
public void release(SpecificOrder order) {
throw new NotImplementedException();
}
@Transient
public boolean addTransaction(Transaction transaction) {
portfolioService.resetBalances();
ConcurrentHashMap<Exchange, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>> assetTransactions = transactions.get(transaction
.getCurrency());
if (assetTransactions == null) {
ConcurrentLinkedQueue<Transaction> transactionList = new ConcurrentLinkedQueue<Transaction>();
assetTransactions = new ConcurrentHashMap<Exchange, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>>();
transactionList.add(transaction);
ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>> transactionGroup = new ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>();
transactionGroup.put(transaction.getType(), transactionList);
assetTransactions.put(transaction.getExchange(), transactionGroup);
transactions.put(transaction.getCurrency(), assetTransactions);
return true;
} else {
//asset is present, so check the market
ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>> exchangeTransactions = assetTransactions.get(transaction.getExchange());
if (exchangeTransactions == null) {
ConcurrentLinkedQueue<Transaction> transactionList = new ConcurrentLinkedQueue<Transaction>();
transactionList.add(transaction);
ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>> transactionGroup = new ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>();
transactionGroup.put(transaction.getType(), transactionList);
assetTransactions.put(transaction.getExchange(), transactionGroup);
return true;
} else {
ConcurrentLinkedQueue<Transaction> transactionList = exchangeTransactions.get(transaction.getType());
if (transactionList == null) {
transactionList = new ConcurrentLinkedQueue<Transaction>();
transactionList.add(transaction);
exchangeTransactions.put(transaction.getType(), transactionList);
return true;
} else {
transactionList.add(transaction);
exchangeTransactions.put(transaction.getType(), transactionList);
return true;
}
}
}
}
/**
* finds other Positions in this portfolio which have the same Exchange and Asset and merges this position's
* amount into the found position's amount, thus maintaining only one Position for each Exchange/Asset pair.
* this method does not remove the position from the positions list.
* @return true iff another position was found and merged
*/
protected void publishPositionUpdate(Position position, PositionType lastType, Market market) {
PositionType mergedType = (position.isShort()) ? PositionType.SHORT : (position.isLong()) ? PositionType.LONG : PositionType.FLAT;
context.route(new PositionUpdate(position, market, lastType, mergedType));
}
@Transient
public void insert(Position position) {
TransactionType transactionType = (position.isLong()) ? TransactionType.BUY : TransactionType.SELL;
ConcurrentLinkedQueue<Position> detailPosition = new ConcurrentLinkedQueue<Position>();
//Position detPosition = new Position(fill);
//detPosition.Persit();
detailPosition.add(position);
ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>> positionType = new ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>();
positionType.put(transactionType, detailPosition);
ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>> listingPosition = new ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>();
listingPosition.put(position.getMarket().getListing(), positionType);
ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>> assetPositions = new ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>>();
assetPositions.put(position.getMarket().getExchange(), listingPosition);
positions.put(position.getMarket().getBase(), assetPositions);
}
@Transient
private boolean merge(Fill fill) {
//synchronized (lock) {
// We need to have a queue of buys and a queue of sells ( two array lists), ensure the itterator is descendingIterator for LIFO,
// when we get a new trade coem in we add it to the buy or sell queue
// 1) caluate price difference
// 2) times price diff by min(trade quantity or the position) and add to relasied PnL
// 3) update the quaitity of the postion and remove from queue if zero
// 4) move onto next postion until the qty =0
// https://github.com/webpat/jquant-core/blob/173d5ca79b318385a3754c8e1357de79ece47be4/src/main/java/org/jquant/portfolio/Portfolio.java
TransactionType transactionType = (fill.isLong()) ? TransactionType.BUY : TransactionType.SELL;
TransactionType openingTransactionType = (transactionType.equals(TransactionType.BUY)) ? TransactionType.SELL : TransactionType.BUY;
ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>> assetPositions = positions
.get(fill.getMarket().getBase());
ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>> listingPosition = new ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>();
//ConcurrentHashMap<Listing, ArrayList<Position>> listingPosition = new ConcurrentHashMap<Listing, ArrayList<Position>>();
ConcurrentHashMap<Listing, Amount> marketRealisedProfits;
ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, Amount>> assetRealisedProfits = realisedProfits.get(fill.getMarket().getTradedCurrency());
if (assetRealisedProfits != null) {
marketRealisedProfits = assetRealisedProfits.get(fill.getMarket().getListing());
}
if (assetPositions == null) {
ConcurrentLinkedQueue<Position> detailPosition = new ConcurrentLinkedQueue<Position>();
Position detPosition = new Position(fill);
detPosition.Persit();
detailPosition.add(detPosition);
ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>> positionType = new ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>();
positionType.put(transactionType, detailPosition);
listingPosition.put(fill.getMarket().getListing(), positionType);
assetPositions = new ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>>();
assetPositions.put(fill.getMarket().getExchange(), listingPosition);
positions.put(fill.getMarket().getBase(), assetPositions);
Amount profits = DecimalAmount.ZERO;
if (assetRealisedProfits == null) {
assetRealisedProfits = new ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, Amount>>();
marketRealisedProfits = new ConcurrentHashMap<Listing, Amount>();
marketRealisedProfits.put(fill.getMarket().getListing(), profits);
assetRealisedProfits.put(fill.getMarket().getExchange(), marketRealisedProfits);
realisedProfits.put(fill.getMarket().getTradedCurrency(), assetRealisedProfits);
}
publishPositionUpdate(getPosition(fill.getMarket().getBase(), fill.getMarket()), PositionType.FLAT, fill.getMarket());
return true;
} else {
//asset is present, so check the market
ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>> exchangePositions = assetPositions.get(fill
.getMarket().getExchange());
// Amount exchangeRealisedProfits = realisedProfits.get(position.getMarket().getTradedCurrency()).get(position.getExchange())
// .get(position.getMarket().getListing());
if (exchangePositions == null) {
ConcurrentLinkedQueue<Position> detailPosition = new ConcurrentLinkedQueue<Position>();
ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>> positionType = new ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>();
Position detPosition = new Position(fill);
detPosition.Persit();
detailPosition.add(detPosition);
positionType.put(transactionType, detailPosition);
listingPosition.put(fill.getMarket().getListing(), positionType);
assetPositions.put(fill.getMarket().getExchange(), listingPosition);
Amount profits = DecimalAmount.ZERO;
if (realisedProfits.get(fill.getMarket().getTradedCurrency()).get(fill.getMarket().getExchange()).get(fill.getMarket().getListing()) == null) {
marketRealisedProfits = new ConcurrentHashMap<Listing, Amount>();
marketRealisedProfits.put(fill.getMarket().getListing(), profits);
realisedProfits.get(fill.getMarket().getTradedCurrency()).put(fill.getMarket().getExchange(), marketRealisedProfits);
}
publishPositionUpdate(getPosition(fill.getMarket().getBase(), fill.getMarket()), PositionType.FLAT, fill.getMarket());
return true;
} else {
//ConcurrentHashMap<TransactionType, ArrayList<Position>> listingPositions = exchangePositions.get(position.getMarket().getListing());
//asset is present, so check the market
// need yo vhnage this to have tne cocnurrent hashmap on here
//ConcurrentHashMap<TransactionType, ArrayList<Position>> listingPositions = exchangePositions.get(position.getMarket().getListing());
ConcurrentLinkedQueue<Position> listingPositions = exchangePositions.get(fill.getMarket().getListing()).get(transactionType);
ConcurrentLinkedQueue<Position> openingListingPositions = exchangePositions.get(fill.getMarket().getListing()).get(openingTransactionType);
if (listingPositions == null) {
ConcurrentLinkedQueue<Position> listingsDetailPosition = new ConcurrentLinkedQueue<Position>();
Position detPosition = new Position(fill);
detPosition.Persit();
listingsDetailPosition.add(detPosition);
exchangePositions.get(fill.getMarket().getListing()).put(transactionType, listingsDetailPosition);
listingPositions = exchangePositions.get(fill.getMarket().getListing()).get(transactionType);
Amount listingProfits = DecimalAmount.ZERO;
if (realisedProfits.get(fill.getMarket().getTradedCurrency()) == null
|| realisedProfits.get(fill.getMarket().getTradedCurrency()).get(fill.getMarket().getExchange()) == null
|| realisedProfits.get(fill.getMarket().getTradedCurrency()).get(fill.getMarket().getExchange()).get(fill.getMarket().getListing()) == null) {
marketRealisedProfits = new ConcurrentHashMap<Listing, Amount>();
marketRealisedProfits.put(fill.getMarket().getListing(), listingProfits);
realisedProfits.get(fill.getMarket().getTradedCurrency()).put(fill.getMarket().getExchange(), marketRealisedProfits);
}
} else {
if (!listingPositions.isEmpty() || listingPositions.peek() != null) {
listingPositions.peek().addFill(fill);
// listingPositions.peek().Merge();
// TODO need to persit the updated postitions
//PersistUtil.merge(listingPositions.peek());
} else {
Position detPosition = new Position(fill);
// detPosition.addFill(fill);
listingPositions.add(detPosition);
detPosition.Persit();
// PersistUtil.insert(detPosition);
}
}
if (openingListingPositions != null && !(openingListingPositions.isEmpty())) {
// ArrayList<Position> positions = listingPositions.get(transactionType);
//somethign is up with the poistions calcuation for partial closeouts
// example 454 lots, closed out 421 lots, then added another 411 lots, total of 444 lots, but the average prices are not correct.
// need to update this .
Amount realisedPnL = DecimalAmount.ZERO;
long closingVolumeCount = 0;
//position.getVolumeCount()
Iterator<Position> itPos = listingPositions.iterator();
while (itPos.hasNext()) {
// closing position
Position pos = itPos.next();
Iterator<Fill> itP = pos.getFills().iterator();
while (itP.hasNext() && pos.hasFills()) {
//closing fill
// smoething is not righgt here.
Fill p = itP.next();
//Fill p = itp.next();
//while (p.getVolumeCount() != 0 && itp.hasNext()) {
//if (p.getExchange().equals(position.getExchange()) && p.getAsset().equals(position.getAsset())) {
Amount entryPrice = DecimalAmount.ZERO;
Amount exitPrice = DecimalAmount.ZERO;
// now need to get opposit side
// for (Position openPos : openingListingPositions) {
Iterator<Position> itOlp = openingListingPositions.iterator();
while (itOlp.hasNext() && pos.hasFills()) {
// openg postion
Position openPos = itOlp.next();
Iterator<Fill> itOp = openPos.getFills().iterator();
while (itOp.hasNext() && pos.hasFills()) {
//open fill
Fill openPosition = itOp.next();
if (Math.abs(p.getOpenVolumeCount()) > 0) {
if ((Long.signum(openPosition.getOpenVolumeCount()) + Long.signum(p.getOpenVolumeCount())) != 0) {
if (Math.abs(p.getOpenVolumeCount()) == 0 || Math.abs(openPosition.getOpenVolumeCount()) == 0)
// openingListingPositions.(openPosition);
itOp.remove();
openPos.removeFill(openPosition);
if (!openPos.hasFills())
itOlp.remove();
//openingListingPositions.remove(openPos);
// itOp.remove();
// openPos.removeFill(openPosition);
// if (Math.abs(openPosition.getOpenVolumeCount()) == 0)
// openPos.removeFill(openPosition);
// openingListingPositions.remove(openPosition);
// PersistUtil.merge(openPos);
// openingListingPositions.remove(openPos);
break;
}
}
//Math signum();
entryPrice = p.getPrice();
exitPrice = openPosition.getPrice();
if (p.getMarket().getTradedCurrency() == p.getMarket().getBase()) {
// need to invert and revrese the prices if the traded ccy is not the quote ccy
entryPrice = openPosition.getPrice().invert();
exitPrice = p.getPrice().invert();
//shortExitPrice = position.getShortAvgPrice().invert();
//longEntryPrice = p.getLongAvgPrice().invert();
//longExitPrice = position.getLongAvgPrice().invert();
//shortEntryPrice = p.getShortAvgPrice().invert();
} else if (p.getMarket().getTradedCurrency() != p.getMarket().getQuote()) {
throw new NotImplementedException("Listings traded in neither base or quote currency are not supported");
}
// need to calcuate teh volume here
// we have opposite postions, so if I am long,
// tests
// long - postions =10, net =-5 -> neet ot take 5 max(), postion =10, net =-10 net to take 10 (max), psotis =10, net =-20 net to take (Min)10
// short postion =-10, net =5 neet to take 5, Max) postions = -10, net =10 need to take 10, postion =-10, net =20 net to take min 10
// need to srt out closing postions here
// as we use negative numbers not long ans short numbers
// 10,-5 () my volume is 5
// 5,-10 my voulme is 5
// -10,5 my volume is -5
// -5,10 my volume is -5
// 10,-10 my voulme is 10
//Math.abs(a)
closingVolumeCount = (openingTransactionType.equals(TransactionType.SELL)) ? (Math.min(
Math.abs(openPosition.getOpenVolumeCount()), Math.abs(p.getOpenVolumeCount())))
* -1 : (Math.min(Math.abs(openPosition.getOpenVolumeCount()), Math.abs(p.getOpenVolumeCount())));
// need to think hwere as one if negative and one is postive, nwee to work out what is the quanity to update on currrnet and the passed position
//when p=43 and open postion =-42
if (Math.abs(p.getOpenVolumeCount()) >= Math.abs(openPosition.getOpenVolumeCount())) {
long updatedVolumeCount = p.getOpenVolumeCount() + closingVolumeCount;
//updatedVolumeCount = (p.isShort()) ? updatedVolumeCount * -1 : updatedVolumeCount;
p.setOpenVolumeCount(updatedVolumeCount);
PersistUtil.merge(p);
// pos.Merge();
if (Math.abs(updatedVolumeCount) == 0) {
//itPos.remove();
itP.remove();
pos.removeFill(p);
//pos.Merge();
if (!pos.hasFills())
itPos.remove();
//listingPositions.remove(pos);
// itP.remove();
// PersistUtil.merge(pos);
//listingPositions.remove(pos);
}
// listingPositions.remove(p);
itOp.remove();
openPosition.setOpenVolumeCount(0);
PersistUtil.merge(openPosition);
//openPos.Merge();
//itOp.remove();
//
openPos.removeFill(openPosition);
//openPos.Merge();
//openPos.removeFill(openPosition)
// PersistUtil.merge(openPos);
if (!openPos.hasFills())
itOlp.remove();
// openingListingPositions.remove(openPos);
// itOlp.remove();
//
// openingListingPositions.remove(openPos);
//openingListingPositions.remove(openPosition);
} else {
long updatedVolumeCount = openPosition.getOpenVolumeCount() + p.getOpenVolumeCount();
openPosition.setOpenVolumeCount(updatedVolumeCount);
PersistUtil.merge(openPosition);
// openPos.Merge();
if (Math.abs(updatedVolumeCount) == 0) {
itOp.remove();
openPos.removeFill(openPosition);
if (!openPos.hasFills())
itOlp.remove();
// openingListingPositions.remove(openPos);
//
//
// openPos.removeFill(openPosition);
// PersistUtil.merge(openPosition);
// openingListingPositions.remove(openPos);
//openPos.Merge();
}
// openingListingPositions.remove(openPosition);
itP.remove();
p.setOpenVolumeCount(0);
PersistUtil.merge(p);
pos.removeFill(p);
if (!pos.hasFills())
itPos.remove();
// listingPositions.remove(pos);
// pos.Merge();
//itPos.remove();
// if (itP != null)
//if (itPos.hasNext())
//
// pos.Merge();
//pos.removeFill(p) itP.remove();
// pos.removeFill(p);
// PersistUtil.merge(openPosition);
// itPos.remove();
//listingPositions.remove(pos);
// listingPositions.remove(p);
}
DiscreteAmount volDiscrete = new DiscreteAmount(closingVolumeCount, p.getMarket().getListing().getVolumeBasis());
realisedPnL = realisedPnL.plus(((entryPrice.minus(exitPrice)).times(volDiscrete, Remainder.ROUND_EVEN)).times(p.getMarket()
.getContractSize(), Remainder.ROUND_EVEN));
// need to confonvert to deiscreete amount
//LongRealisedPnL = ((exitPrice.minus(entryPrice)).times(volDiscrete, Remainder.ROUND_EVEN)).times(position.getMarket()
// .getContractSize(), Remainder.ROUND_EVEN);
// ShortRealisedPnL = (position.getShortAvgPrice().minus(p.getLongAvgPrice())).times(position.getShortVolume().negate(),
// Remainder.ROUND_EVEN);
// LongRealisedPnL = (position.getLongAvgPrice().minus(p.getShortAvgPrice())).times(position.getLongVolume().negate(),
// Remainder.ROUND_EVEN);
}
}
Amount RealisedPnL = realisedPnL.toBasis(p.getMarket().getTradedCurrency().getBasis(), Remainder.ROUND_EVEN);
Amount PreviousPnL = (realisedProfits.get(p.getMarket().getTradedCurrency()) == null
|| realisedProfits.get(p.getMarket().getTradedCurrency()).get(p.getMarket().getExchange()) == null || realisedProfits
.get(p.getMarket().getTradedCurrency()).get(p.getMarket().getExchange()).get(p.getMarket().getListing()) == null) ? DecimalAmount.ZERO
: realisedProfits.get(p.getMarket().getTradedCurrency()).get(p.getMarket().getExchange()).get(p.getMarket().getListing());
if (!RealisedPnL.isZero()) {
Amount TotalRealisedPnL = RealisedPnL.plus(realisedProfits.get(p.getMarket().getTradedCurrency())
.get(p.getMarket().getExchange()).get(p.getMarket().getListing()));
realisedProfits.get(p.getMarket().getTradedCurrency()).get(p.getMarket().getExchange())
.put(p.getMarket().getListing(), TotalRealisedPnL);
Transaction trans = new Transaction(this, p.getMarket().getExchange(), p.getMarket().getTradedCurrency(),
TransactionType.REALISED_PROFIT_LOSS, RealisedPnL, new DiscreteAmount(0, p.getMarket().getTradedCurrency().getBasis()));
context.route(trans);
PersistUtil.insert(trans);
// manager.getPortfolioService().CreateTransaction(position.getExchange(), position.getMarket().getQuote(),
// TransactionType.REALISED_PROFIT_LOSS, TotalRealisedPnL.minus(PreviousPnL), DecimalAmount.ZERO);
}
// if (!totalQuantity.isZero()) {
// //generate PnL
// //Update postion Quanitty
// //Recculate Avaerge Price
// Amount avgPrice = ((p.getAvgPrice().times(p.getVolume(), Remainder.ROUND_EVEN)).plus(position.getLongVolume().times(
// position.getAvgPrice(), Remainder.ROUND_EVEN))).dividedBy(p.getVolume().plus(position.getLongVolume()),
// Remainder.ROUND_EVEN);
// p.setAvgPrice(avgPrice);
// }
// if (!position.getLongVolume().isZero()) {
// // i.e long position
// Amount vol = (p.getLongAvgPrice().isZero()) ? position.getLongVolume() : p.getLongVolume().plus(position.getLongVolume());
// if (!vol.isZero()) {
// longExitPrice = ((p.getLongAvgPrice().times(p.getLongVolume(), Remainder.ROUND_EVEN)).plus(position.getLongVolume().times(
// position.getLongAvgPrice(), Remainder.ROUND_EVEN))).dividedBy(vol, Remainder.ROUND_EVEN);
// p.setLongAvgPrice(longExitPrice);
// }
// }
// if (!position.getShortVolume().isZero()) {
// // i.e short position
// //this does not work when we net out the postion as we have a divid by zero error
// Amount vol = (p.getShortAvgPrice().isZero()) ? position.getShortVolume() : p.getShortVolume().plus(position.getShortVolume());
// if (vol.isZero()) {
// shortExitPrice = ((p.getShortAvgPrice().times(p.getShortVolume(), Remainder.ROUND_EVEN)).plus(position.getShortVolume()
// .times(position.getShortAvgPrice(), Remainder.ROUND_EVEN))).dividedBy(vol, Remainder.ROUND_EVEN);
// p.setShortAvgPrice(shortExitPrice);
// }
// }
//p.setLongVolumeCount(p.getLongVolumeCount() + position.getLongVolumeCount());
//p.setShortVolumeCount(p.getShortVolumeCount() + position.getShortVolumeCount());
// Long avgPriceCount = (long) avgPrice.divide(BigDecimal.valueOf(p.getMarket().getPriceBasis()), Remainder.ROUND_EVEN).asDouble();
//avgPrice = new DiscreteAmount(avgPriceCount, p.getMarket().getPriceBasis());
//DiscreteAmount avgDiscretePrice = new DiscreteAmount((long) avgPrice.times(p.getMarket().getPriceBasis(), Remainder.ROUND_EVEN)
// .asDouble(), (long) (p.getMarket().getPriceBasis()));
// I need to net the amounts
// if the long and short volumes are zero we can remove the position
//if (p.getShortVolumeCount() * -1 == p.getLongVolumeCount()) {
//listingPositions.remove(p);
// publish realised PnL for the long and short posiotion
//TODO: we are merging postions based on the order they were creted (FIFO), might want to have a comparator to merge using LIFO, or some other algo
//}
//return true;
//}
}
}
}
//listingPositions.add(position);
//// true;
if (getPosition(fill.getMarket().getBase(), fill.getMarket()) == null) {
Position detPosition = new Position(fill);
detPosition.Persit();
publishPositionUpdate(detPosition, PositionType.FLAT, fill.getMarket());
} else {
PositionType lastType = (openingTransactionType == TransactionType.BUY) ? PositionType.LONG : PositionType.SHORT;
publishPositionUpdate(getPosition(fill.getMarket().getBase(), fill.getMarket()), lastType, fill.getMarket());
}
return true;
}//else {
//listingPositions.add(position);
//return true;
//}
//return true;
}
// }
}
public Portfolio(String name, PortfolioManager manager) {
this.name = name;
this.manager = manager;
}
private String name;
public String getName() {
return name;
}
@OneToMany
public Collection<Stake> getStakes() {
return stakes;
}
@ManyToOne
public Asset getBaseAsset() {
return baseAsset;
}
@Transient
public PortfolioManager getManager() {
return manager;
}
/**
* Adds the given position to this Portfolio. Must be authorized.
* @param position
* @param authorization
*/
@Transient
protected void modifyPosition(Fill fill, Authorization authorization) {
assert authorization != null;
assert fill != null;
boolean modifiedExistingPosition = false;
merge(fill);
persistPositions();
// if
// for (Position curPosition : positions) {
// if (curPosition.merge(position)) {
// modifiedExistingPosition = true;
// break;
// }
// }
// if (!modifiedExistingPosition)
// positions.add(position);
}
@Override
public String toString() {
return getName();
}
// JPA
public Portfolio() {
this.positions = new ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>>>();
this.realisedProfits = new ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, Amount>>>();
this.balances = new ConcurrentLinkedQueue<>();
this.transactions = new ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>>>();
}
protected void setPositions(
ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>>> positions) {
this.positions = positions;
}
protected void setBalances(Collection<Balance> balances) {
this.balances = balances;
}
public void setBaseAsset(Asset baseAsset) {
this.baseAsset = baseAsset;
}
protected void setTransactions(
ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>>> transactions) {
this.transactions = transactions;
}
public void setName(String name) {
this.name = name;
}
protected void setStakes(Collection<Stake> stakes) {
this.stakes = stakes;
}
public static Portfolio findOrCreate(String portfolioName) {
final String queryStr = "select p from Portfolio p where name=?1";
try {
return PersistUtil.queryOne(Portfolio.class, queryStr, portfolioName);
} catch (NoResultException e) {
// context.getInjector().getInstance(Portfolio.class);
// PersistUtil.insert(portfolio);
return null;
}
}
protected void setManager(PortfolioManager manager) {
this.manager = manager;
}
public static final class Factory {
/**
* Constructs a new instance of {@link Tick}.
* @return new TickImpl()
*/
public static Portfolio newInstance() {
return new Portfolio();
}
public static Portfolio newInstance(String name, PortfolioManager manager) {
final Portfolio entity = new Portfolio(name, manager);
return entity;
}
// HibernateEntity.vsl merge-point
}
private PortfolioManager manager;
@Inject
private Logger log;
@Inject
protected Context context;
@Inject
protected PortfolioService portfolioService;
private Asset baseAsset;
private ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Position>>>>> positions;
private ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<Listing, Amount>>> realisedProfits;
private Collection<Balance> balances = Collections.emptyList();
private ConcurrentHashMap<Asset, ConcurrentHashMap<Exchange, ConcurrentHashMap<TransactionType, ConcurrentLinkedQueue<Transaction>>>> transactions;
private Collection<Stake> stakes = Collections.emptyList();
private final Collection<Balance> trades = Collections.emptyList();
}
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