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

package com.jsystemtrader.backtest; 
 
import java.util.*; 
 
import com.jsystemtrader.platform.*; 
 
/** 
 * Runs a trading strategy in the backtesting mode using a data file containing 
 * historical price bars. There is a one-to-one map between the strategy class 
 * and the strategy runner. That is, if 5 strategies are selected to run, 
 * there will be 5 instances of the StrategyRunner created. 
 */ 
public class BackTestStrategyRunner extends Thread { 
    private static Calendar lastDateInFile; 
 
    private final Trader trader; 
    private final Strategy strategy; 
    private final HTMLLog eventlogger; 
    private BackTestTraderAssistant backTestAssistant; 
 
    public BackTestStrategyRunner(Strategy strategy) throws JSystemTraderException { 
        this.strategy = strategy; 
        eventlogger = Account.getLogger(); 
        trader = Account.getTrader(); 
        trader.getAssistant().addStrategy(strategy); 
 
        backTestAssistant = (BackTestTraderAssistant) trader.getAssistant(); 
 
        PriceBar priceBar = backTestAssistant.priceBars.get(backTestAssistant.priceBars.size() - 1); 
        priceBar.getDate(); 
        lastDateInFile = Calendar.getInstance(); 
        lastDateInFile.setTimeInMillis(priceBar.getDate()); 
 
        eventlogger.write("Started monitoring " + strategy.getName(), "Info", 1); 
        Account.fireModelChanged(ModelListener.STRATEGY_ADDED, strategy); 
 
        start(); // kick off the thread right from the constructor 
    } 
 
 
    public void run() { 
        try { 
            strategy.init(); 
            QuoteHistory qh = strategy.getQuoteHistory(); 
            PositionManager positionManager = strategy.getPositionManager(); 
 
            int currentBar = 0; 
            while (strategy.getDecision() != Strategy.DECISION_EXIT) { 
                PriceBar priceBar = backTestAssistant.priceBars.get(currentBar); 
                qh.addHistoricalPriceBar(priceBar); 
 
                Calendar calendar = strategy.getCalendar(); 
                long date = priceBar.getDate(); 
                calendar.setTimeInMillis(date); 
 
                strategy.onBar(); 
                positionManager.trade(strategy.getDecision()); 
                positionManager.updatePosition(); 
                strategy.updateState(); 
                Account.fireModelChanged(ModelListener.TRADING_DECISION, strategy); 
 
                currentBar++; 
            } 
 
            eventlogger.write(strategy.getName() + ": is now inactive.", "Info", 1); 
 
        } 
 
        catch (Throwable t) { 
            /* Exceptions should never happen. If an exception of any type 
             * occurs, it would indicate a serious JSystemTrader bug, and there 
             * is nothing we can do to recover at runtime. Log the error for the 
             * "after-run" analysis. 
             */ 
            eventlogger.write(t); 
        } 
    } 
}