com.strategyquant.lib.results

Class SQStrategy

java.lang.Object

com.strategyquant.lib.utils.FlexibleSettings

com.strategyquant.lib.results.SQStrategy

Direct Known Subclasses:

SQStandardStrategy

public class SQStrategy
extends FlexibleSettings

The Class SQStrategy.

Field Summary

Fields

Modifier and Type	Field and Description
com.strategyquant.futurelib.backtester.DataDefinition	DataDef The Data def.
static org.slf4j.Logger	Log The Constant Log.

Fields inherited from class com.strategyquant.lib.utils.FlexibleSettings

BYTE_MISSING, DOUBLE_MISSING, FLOAT_MISSING, INT_MISSING, LONG_MISSING

Constructor Summary

Constructors

Constructor and Description
SQStrategy(java.lang.String name) Instantiates a new SQ strategy.

Method Summary

Modifier and Type	Method and Description
void	applySettings(SQSettings settings) Apply settings.
int	BarsSinceEntry() Bars since entry.
double	Close(int index) Close.
double	CloseD(int index) Close d.
void	deinit() Deinit.
void	EnterLongAtLimit(double stopPrice) Enter long at limit.
void	EnterLongAtLimit(double stopPrice, double size) Enter long at limit.
void	EnterLongAtLimit(java.lang.String symbol, java.lang.String signalName, double stopPrice, double size) Enter long at limit.
void	EnterLongAtMarket() Enter long at market.
void	EnterLongAtMarket(double size) Enter long at market.
void	EnterLongAtStop(double stopPrice) Enter long at stop.
void	EnterLongAtStop(double stopPrice, double size) Enter long at stop.
void	EnterLongAtStop(java.lang.String symbol, java.lang.String signalName, double stopPrice, double size) Enter long at stop.
void	EnterShortAtLimit(double stopPrice) Enter short at limit.
void	EnterShortAtLimit(double stopPrice, double size) Enter short at limit.
void	EnterShortAtLimit(java.lang.String symbol, java.lang.String signalName, double stopPrice, double size) Enter short at limit.
void	EnterShortAtMarket() Enter short at market.
void	EnterShortAtMarket(double size) Enter short at market.
void	EnterShortAtStop(double stopPrice) Enter short at stop.
void	EnterShortAtStop(double stopPrice, double size) Enter short at stop.
void	EnterShortAtStop(java.lang.String symbol, java.lang.String signalName, double stopPrice, double size) Enter short at stop.
double	EntryPrice() returns real entry price of the last opened order.
void	ExitLong() Exit long.
void	ExitLongLimit(double priceLevel, java.lang.String signalName) Exit long limit.
void	ExitLongStop(double priceLevel, java.lang.String signalName) Exit long stop.
void	ExitShort() Exit short.
void	ExitShortLimit(double priceLevel, java.lang.String signalName) Exit short limit.
void	ExitShortStop(double priceLevel, java.lang.String signalName) Exit short stop.
void	finishTest() Finish test.
SQSettings	getSettings() Gets the settings.
java.lang.String	getStrategyName() Gets the strategy name.
java.util.ArrayList<java.lang.String>	getTradedSymbols() Gets the traded symbols.
SQOrderList	getTradesHistory() Gets the trades history.
void	init() Inits the.
void	initDataDef() Inits the data def.
int	MarketPosition() Market position.
void	onBarUpdate() called when bar is updated (new tick or bar close arrives) .
double	Open(int index) Open.
void	performOnBarUpdate() prepares the indexes and calls onBarUpdate().
void	precomputeBlocks(com.strategyquant.futurelib.backtester.DataSeries dataSeries) Precompute blocks.
java.lang.String	print() Prints the.
void	setTradeHandler(com.strategyquant.futurelib.backtester.TradeHandler tradeHandler) Sets the trade handler.
void	setTradingEngine(com.strategyquant.futurelib.engine.trading.TradingEngine tradingEngine) Sets the trading engine.
double	SubdataClose(int dataIndex, int index) Subdata close.
double	SubdataOpen(int dataIndex, int index) Subdata open.
long	SubdataTime(int dataIndex, int index) Subdata time.
com.strategyquant.futurelib.backtester.SymbolInfo	SymbolInfo() Symbol info.
long	Time(int index) Time.

Methods inherited from class com.strategyquant.lib.utils.FlexibleSettings

clearAll, clone, contains, get, get, getAll, getAllKeys, getBoolean, getBoolean, getByte, getByte, getDouble, getDouble, getFloat, getFloat, getInt, getInt, getLong, getLong, getString, getString, hetKeyType, remove, set, set, setAll

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

Log

public static final org.slf4j.Logger Log

The Constant Log.

DataDef

public com.strategyquant.futurelib.backtester.DataDefinition DataDef

The Data def.

Constructor Detail

SQStrategy

public SQStrategy(java.lang.String name)

Instantiates a new SQ strategy.

Parameters:

name - the name

Method Detail

applySettings

public void applySettings(SQSettings settings)

Apply settings.

Parameters:

settings - the settings

getSettings

public SQSettings getSettings()

Gets the settings.

Returns:

the settings

onBarUpdate

public void onBarUpdate()

called when bar is updated (new tick or bar close arrives) .

init

public void init()

Inits the.

initDataDef

public void initDataDef()

Inits the data def.

deinit

public void deinit()

Deinit.

EnterLongAtMarket

public void EnterLongAtMarket()

Enter long at market.

EnterLongAtMarket

public void EnterLongAtMarket(double size)

Enter long at market.

Parameters:

size - the size

EnterShortAtMarket

public void EnterShortAtMarket()

Enter short at market.

EnterShortAtMarket

public void EnterShortAtMarket(double size)

Enter short at market.

Parameters:

size - the size

ExitLong

public void ExitLong()

Exit long.

ExitShort

public void ExitShort()

Exit short.

EnterLongAtStop

public void EnterLongAtStop(double stopPrice)

Enter long at stop.

Parameters:

stopPrice - the stop price

EnterLongAtStop

public void EnterLongAtStop(double stopPrice,
                            double size)

Enter long at stop.

Parameters:

stopPrice - the stop price

size - the size

EnterLongAtStop

public void EnterLongAtStop(java.lang.String symbol,
                            java.lang.String signalName,
                            double stopPrice,
                            double size)

Enter long at stop.

Parameters:

symbol - the symbol

signalName - the signal name

stopPrice - the stop price

size - the size

EnterShortAtStop

public void EnterShortAtStop(double stopPrice)

Enter short at stop.

Parameters:

stopPrice - the stop price

EnterShortAtStop

public void EnterShortAtStop(double stopPrice,
                             double size)

Enter short at stop.

Parameters:

stopPrice - the stop price

size - the size

EnterShortAtStop

public void EnterShortAtStop(java.lang.String symbol,
                             java.lang.String signalName,
                             double stopPrice,
                             double size)

Enter short at stop.

Parameters:

symbol - the symbol

signalName - the signal name

stopPrice - the stop price

size - the size

EnterLongAtLimit

public void EnterLongAtLimit(double stopPrice)

Enter long at limit.

Parameters:

stopPrice - the stop price

EnterLongAtLimit

public void EnterLongAtLimit(double stopPrice,
                             double size)

Enter long at limit.

Parameters:

stopPrice - the stop price

size - the size

EnterLongAtLimit

public void EnterLongAtLimit(java.lang.String symbol,
                             java.lang.String signalName,
                             double stopPrice,
                             double size)

Enter long at limit.

Parameters:

symbol - the symbol

signalName - the signal name

stopPrice - the stop price

size - the size

EnterShortAtLimit

public void EnterShortAtLimit(double stopPrice)

Enter short at limit.

Parameters:

stopPrice - the stop price

EnterShortAtLimit

public void EnterShortAtLimit(double stopPrice,
                              double size)

Enter short at limit.

Parameters:

stopPrice - the stop price

size - the size

EnterShortAtLimit

public void EnterShortAtLimit(java.lang.String symbol,
                              java.lang.String signalName,
                              double stopPrice,
                              double size)

Enter short at limit.

Parameters:

symbol - the symbol

signalName - the signal name

stopPrice - the stop price

size - the size

MarketPosition

public int MarketPosition()

Market position.

Returns:

the int

BarsSinceEntry

public int BarsSinceEntry()

Bars since entry.

Returns:

the int

Time

public long Time(int index)

Time.

Parameters:

index - the index

Returns:

the long

SubdataTime

public long SubdataTime(int dataIndex,
                        int index)

Subdata time.

Parameters:

dataIndex - the data index

index - the index

Returns:

the long

Open

public double Open(int index)

Open.

Parameters:

index - the index

Returns:

the double

SubdataOpen

public double SubdataOpen(int dataIndex,
                          int index)

Subdata open.

Parameters:

dataIndex - the data index

index - the index

Returns:

the double

Close

public double Close(int index)

Close.

Parameters:

index - the index

Returns:

the double

CloseD

public double CloseD(int index)

Close d.

Parameters:

index - the index

Returns:

the double

SubdataClose

public double SubdataClose(int dataIndex,
                           int index)

Subdata close.

Parameters:

dataIndex - the data index

index - the index

Returns:

the double

getTradesHistory

public SQOrderList getTradesHistory()
                             throws java.lang.Exception

Gets the trades history.

Returns:

the trades history

Throws:

java.lang.Exception - the exception

getTradedSymbols

public java.util.ArrayList<java.lang.String> getTradedSymbols()

Gets the traded symbols.

Returns:

the traded symbols

getStrategyName

public java.lang.String getStrategyName()

Gets the strategy name.

Returns:

the strategy name

setTradeHandler

public void setTradeHandler(com.strategyquant.futurelib.backtester.TradeHandler tradeHandler)

Sets the trade handler.

Parameters:

tradeHandler - the new trade handler

performOnBarUpdate

public void performOnBarUpdate()
                        throws java.lang.Exception

prepares the indexes and calls onBarUpdate().

Throws:

java.lang.Exception - the exception

finishTest

public void finishTest()
                throws java.lang.Exception

Finish test.

Throws:

java.lang.Exception - the exception

precomputeBlocks

public void precomputeBlocks(com.strategyquant.futurelib.backtester.DataSeries dataSeries)

Precompute blocks.

Parameters:

dataSeries - the data series

EntryPrice

public double EntryPrice()

returns real entry price of the last opened order.

Returns:

the double

ExitLongStop

public void ExitLongStop(double priceLevel,
                         java.lang.String signalName)

Exit long stop.

Parameters:

priceLevel - the price level

signalName - the signal name

ExitLongLimit

public void ExitLongLimit(double priceLevel,
                          java.lang.String signalName)

Exit long limit.

Parameters:

priceLevel - the price level

signalName - the signal name

ExitShortStop

public void ExitShortStop(double priceLevel,
                          java.lang.String signalName)

Exit short stop.

Parameters:

priceLevel - the price level

signalName - the signal name

ExitShortLimit

public void ExitShortLimit(double priceLevel,
                           java.lang.String signalName)

Exit short limit.

Parameters:

priceLevel - the price level

signalName - the signal name

print

public java.lang.String print()

Prints the.

Returns:

the string

setTradingEngine

public void setTradingEngine(com.strategyquant.futurelib.engine.trading.TradingEngine tradingEngine)

Sets the trading engine.

Parameters:

tradingEngine - the new trading engine

SymbolInfo

public com.strategyquant.futurelib.backtester.SymbolInfo SymbolInfo()

Symbol info.

Returns:

the symbol info