www.pudn.com > JSystemTrader.zip > BackTestFileReader.java

package com.jsystemtrader.backtest; 
 
import java.io.*; 
import java.text.*; 
import java.util.*; 
 
import com.jsystemtrader.platform.*; 
 
/** 
 * Reads and validates a data file containing historical price bars. Used for 
 * backtesting of trading strategies. 
 */ 
public class BackTestFileReader { 
    private final List priceBars = new ArrayList (); 
    private final Properties properties = new Properties(); 
    private int columns; 
    private Date currentDateTime; 
 
    public List getPriceBars() { 
        return priceBars; 
    } 
 
    public BackTestFileReader(String fileName) throws JSystemTraderException { 
        int lineNumber = 0; 
        String line = ""; 
 
        try { 
            properties.load(new FileInputStream(fileName)); 
        } catch (IllegalArgumentException e) { 
            String msg = "Problem loading file " + fileName + ": binary format was detected. "; 
            msg += e.getMessage(); 
            throw new JSystemTraderException(msg); 
        } catch (Exception e) { 
            String msg = "Problem loading file " + fileName + ": " + e.getMessage(); 
            throw new JSystemTraderException(msg); 
        } 
 
        try { 
            columns = getPropAsInt("columns"); 
            int dateColumn = getPropAsColumn("dateColumn"); 
            int timeColumn = getPropAsColumn("timeColumn"); 
            int openColumn = getPropAsColumn("openColumn"); 
            int highColumn = getPropAsColumn("highColumn"); 
            int lowColumn = getPropAsColumn("lowColumn"); 
            int closeColumn = getPropAsColumn("closeColumn"); 
 
            boolean hasVolume = exists("volumeColumn"); 
            int volumeColumn = hasVolume ? getPropAsColumn("volumeColumn") : 0; 
 
            String separator = getPropAsString("separator"); 
            String dateFormat = getPropAsString("dateFormat"); 
            String timeFormat = getPropAsString("timeFormat"); 
            String timeZone = getPropAsString("timeZone"); 
 
            SimpleDateFormat simpleDateFormat = new SimpleDateFormat(dateFormat + timeFormat + "z"); 
 
            // Enforce strict interpretation of date and time formats 
            simpleDateFormat.setLenient(false); 
 
            BufferedReader reader = new BufferedReader(new FileReader(fileName)); 
            Account.getLogger().write("Loading historical data file", "Info", 1); 
 
            while ( (line = reader.readLine()) != null) { 
                lineNumber++; 
                boolean isComment = line.startsWith("#"); 
                boolean isProperty = line.contains("="); 
                boolean isBlankLine = (line.trim().length() == 0); 
 
                if (isComment || isProperty || isBlankLine) { 
                    continue; 
                } 
                StringTokenizer st = new StringTokenizer(line, separator); 
 
                int tokenCount = st.countTokens(); 
                if (tokenCount != columns) { 
                    String msg = "The descriptor defined " + columns + " columns, "; 
                    msg += "but line #" + lineNumber + " contains " + tokenCount + " columns"; 
                    throw new JSystemTraderException(msg); 
                } 
 
                int tokenNumber = 0; 
                Map tokens = new HashMap (); 
                while (st.hasMoreTokens()) { 
                    tokenNumber++; 
                    tokens.put(tokenNumber, st.nextToken()); 
                } 
 
                String dateToken = tokens.get(dateColumn); 
                String timeToken = tokens.get(timeColumn); 
 
                Date dateTime = simpleDateFormat.parse(dateToken + timeToken + timeZone); 
                double open = Double.parseDouble(tokens.get(openColumn)); 
                double high = Double.parseDouble(tokens.get(highColumn)); 
                double low = Double.parseDouble(tokens.get(lowColumn)); 
                double close = Double.parseDouble(tokens.get(closeColumn)); 
                int volume = hasVolume ? Integer.parseInt(tokens.get(volumeColumn)) : 0; 
 
                if (currentDateTime != null) { 
                    if (dateTime.before(currentDateTime)) { 
                        String msg = "Date/time of this bar is before the date/time of the previous bar."; 
                        throw new JSystemTraderException(msg); 
                    } 
                } 
 
                boolean isInvalidPriceBar = (open <= 0) || (high <= 0) || (low <= 0) || (close <= 0); 
 
                if (isInvalidPriceBar) { 
                    throw new JSystemTraderException("Open, High, Low, and Close must be greater than zero."); 
                } 
 
                if (low > high) { 
                    throw new JSystemTraderException("Low must be less or equal to high."); 
                } 
 
                if (close < low || close > high) { 
                    throw new JSystemTraderException("Close must be between low and high."); 
                } 
 
                if (open < low || open > high) { 
                    throw new JSystemTraderException("Open must be between low and high."); 
                } 
 
                long date = dateTime.getTime(); 
                TimeZone tz = TimeZone.getTimeZone(timeZone); 
                if (tz.inDaylightTime(dateTime)) { 
                    date = date - tz.getDSTSavings(); 
                } 
 
                PriceBar priceBar = new PriceBar(date, open, high, low, close, volume); 
                priceBars.add(priceBar); 
                currentDateTime = dateTime; 
 
            } 
            reader.close(); 
 
        } catch (Exception e) { 
            String lineSep = System.getProperty("line.separator"); 
            String msg = ""; 
            if (lineNumber > 0) { 
                msg = "Problem parsing line #" + lineNumber + ": " + line + lineSep; 
            } 
 
            String description = e.getMessage(); 
            if (description == null) { 
                description = e.toString(); 
            } 
            msg += description; 
            throw new JSystemTraderException(msg); 
        } 
    } 
 
    private String getPropAsString(String property) throws JSystemTraderException { 
        String propValue = (String) properties.get(property); 
        if (propValue == null) { 
            String msg = "Could not load historical data file: " + "Property \"" + property + "\" is not defined."; 
            throw new JSystemTraderException(msg); 
        } 
 
        return propValue; 
    } 
 
 
    private int getPropAsInt(String property) throws JSystemTraderException { 
        String propValue = getPropAsString(property); 
        int value = 0; 
        try { 
            value = Integer.parseInt(propValue); 
        } catch (NumberFormatException nfe) { 
            String msg = "Value " + propValue + " of property " + property + " is not an integer."; 
            throw new JSystemTraderException(msg); 
        } 
 
        return value; 
    } 
 
 
    private int getPropAsColumn(String property) throws JSystemTraderException { 
        int column = getPropAsInt(property); 
        if (column > columns) { 
            String msg = "Total number of columns is " + columns + ", "; 
            msg += "but property \"" + property + "\" specifies column " + column; 
            throw new JSystemTraderException(msg); 
        } 
 
        return column; 
    } 
 
    private boolean exists(String property) throws JSystemTraderException { 
        String propValue = (String) properties.get(property); 
        return propValue != null; 
    } 
 
 
}