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Merging final changes to main
2 parents b9142dd + 65c539d commit 7815aea

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Lines changed: 425 additions & 28 deletions

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‎algo-exercise/algo/src/main/java/codingblackfemales/sotw/SimpleAlgoState.java‎

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@@ -20,4 +20,6 @@ public interface SimpleAlgoState {
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public List<ChildOrder> getActiveChildOrders();
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public long getInstrumentId();
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}

‎algo-exercise/getting-started/README.md‎

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‎algo-exercise/getting-started/src/main/java/codingblackfemales/gettingstarted/MyAlgoLogic.java‎

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package codingblackfemales.gettingstarted;
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import codingblackfemales.action.Action;
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import codingblackfemales.action.CancelChildOrder;
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import codingblackfemales.action.CreateChildOrder;
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import codingblackfemales.action.NoAction;
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import codingblackfemales.algo.AlgoLogic;
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import codingblackfemales.sotw.ChildOrder;
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import codingblackfemales.sotw.SimpleAlgoState;
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import codingblackfemales.sotw.marketdata.AskLevel;
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import codingblackfemales.sotw.marketdata.BidLevel;
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import codingblackfemales.util.Util;
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import messages.order.Side;
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import org.slf4j.Logger;
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import org.slf4j.LoggerFactory;
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import java.util.Iterator;
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public class MyAlgoLogic implements AlgoLogic {
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private static final Logger logger = LoggerFactory.getLogger(MyAlgoLogic.class);
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// Thresholds for buy and sell actions
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private static long buyThreshold = 95; // Minimum acceptable bid price for a buy order
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private static long sellThreshold = 115; // Minimum acceptable ask price for a sell order
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private static long spreadThreshold = -3; // Minimum spread threshold for action
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@Override
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public Action evaluate(SimpleAlgoState state) {
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var orderBookAsString = Util.orderBookToString(state);
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//shows current state of order book and current state of active orders
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logger.info("[MYALGO] The state of the order book is:\n" + orderBookAsString);
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logger.info("Active Orders:" + state.getActiveChildOrders().toString());
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var totalOrderCount = state.getChildOrders().size();
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//make sure we have an exit condition...
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if (totalOrderCount > 10) {
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return NoAction.NoAction;
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}
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final BidLevel bidlevel = state.getBidAt(0);
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final long bestBidPrice = bidlevel.price;
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final long bidQuantity = bidlevel.quantity;
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final AskLevel asklevel = state.getAskAt(0);
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final long bestAskPrice = asklevel.price;
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final long askQuantity = asklevel.quantity;
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//calculate the spread
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final long spread = bestAskPrice - bestBidPrice;
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logger.info("[MYALGO] Spread between ask and bid " + spread);
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//calculate the midPrice
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final long midPrice =(bestBidPrice + bestBidPrice)/2;
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logger.info("[MYALGO] Mid-price calculated:" + midPrice);
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//Calculate the spread as a percentage of the mid-price
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final double spreadPercentage = (double) spread / midPrice * 100;
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logger.info("[MYALGO] Spread percentage: " + spreadPercentage + "%");
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// Check for matching orders
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matchOrders(state, bestBidPrice, bestAskPrice);
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// not to create or cancel orders because spread is small
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if (spread < spreadThreshold) {
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logger.info("[MYALGO] The spread is small " + spread + " No Action");
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return NoAction.NoAction;
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}
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//count the buy and sell orders
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long buyOrdersCount = state.getChildOrders().stream().filter(ChildOrder -> ChildOrder.getSide() == Side.BUY).count();
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long sellOrdersCount = state.getChildOrders().stream().filter(ChildOrder -> ChildOrder.getSide() == Side.SELL).count();
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//create new buy orders if there are less than 5 orders
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if (buyOrdersCount < 5 ) {
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return createBuyOrder(state, buyOrdersCount, bidQuantity, bestBidPrice);
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}
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/********
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*
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* Add your logic here....
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*
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*/
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//create new sell orders if there are less than 5 order
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if (sellOrdersCount < 5 ) {
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return createSellOrder(state, sellOrdersCount, askQuantity, bestAskPrice);
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}
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//cancel orders that don't match the best price
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return cancelOrders(state, bestBidPrice, bestAskPrice);
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}
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private void matchOrders(SimpleAlgoState state, long bestBidPrice, long bestAskPrice) {
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Iterator<ChildOrder> iterator = state.getActiveChildOrders().iterator();
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while (iterator.hasNext()) {
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ChildOrder order = iterator.next();
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if (order.getSide() == Side.BUY && order.getPrice() >= bestAskPrice) {
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logger.info("[MYALGO] Matched BUY order: Order ID: #" + order.getOrderId() +", Side: " + order.getSide() + ", Price: " + order.getPrice() + ", Quantity: " + order.getQuantity());
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iterator.remove(); // Remove matched order
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} else if (order.getSide() == Side.SELL && order.getPrice() <= bestBidPrice) {
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logger.info("[MYALGO] Matched SELL order: Order ID: #" + order.getOrderId() +", Side: " + order.getSide() + ", Price: " + order.getPrice() + ", Quantity: " + order.getQuantity());
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iterator.remove(); // Remove matched order
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}
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}
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}
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//create method to create new buy order
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public Action createBuyOrder(SimpleAlgoState state, long buyOrdersCount, long bidQuantity, long bestBidPrice) {
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logger.info("[MYALGO] Creating new buy order: " + state.getChildOrders().size() + " orders and add to new buy order " + bidQuantity + " @ " + bestBidPrice);
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logger.info(state.getActiveChildOrders().toString());
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logger.info("Buy order count is:" + buyOrdersCount);
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//creates a new child order
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return new CreateChildOrder(Side.BUY, bidQuantity, bestBidPrice);
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}
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// create a method to create a new sell order
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public Action createSellOrder(SimpleAlgoState state, long sellOrdersCount, long askQuantity, long bestAskPrice) {
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logger.info("[MYALGO] Creating new sell order:" + state.getChildOrders().size() + " orders and add to new sell order " + askQuantity + " @ " + bestAskPrice);
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logger.info("Sell order count is:" + sellOrdersCount);
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//creates a new child order
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return new CreateChildOrder(Side.SELL, askQuantity, bestAskPrice);
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}
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//create a method to cancel orders that don't match best price or fall below thresholds
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public Action cancelOrders(SimpleAlgoState state, long bestBidPrice, long bestAskPrice){
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for (ChildOrder order : state.getActiveChildOrders()){
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logger.info("Order ID: #" + order.getOrderId() + ", Side: " + order.getSide() + ", Price: " + order.getPrice() + ", Quantity: " + order.getQuantity());
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boolean buyOrder = order.getSide() ==Side.BUY;
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boolean notBuyThreshold = order.getPrice() != buyThreshold;
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boolean lessThanBuyThreshold = order.getPrice() < buyThreshold;
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// Cancel buy orders not matching the best price or below the buy threshold
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if (buyOrder && (notBuyThreshold || lessThanBuyThreshold)) {
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logger.info(String.format("The buy Threshold is %d", + buyThreshold ));
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logger.info(String.format("[MYALGO] Cancel BUY order %d with price %d and quantity %d. The current best bid price is %d." ,+ order.getOrderId(), + order.getPrice(), + order.getQuantity(), + bestBidPrice));
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return new CancelChildOrder(order);
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}
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boolean sellTheOrder = order.getSide() ==Side.SELL;
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boolean notSellThreshold = order.getPrice() != sellThreshold;
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boolean lessThanSellThreshold = order.getPrice() < sellThreshold;
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// Cancel sell orders not matching the best price or below the sell threshold
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if (sellTheOrder && (notSellThreshold || lessThanSellThreshold)) {
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logger.info(String.format("The sell Threshold is %d", + sellThreshold ));
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logger.info(String.format("[MYALGO] Cancel SELL order %d with price %d and quantity %d. The current best ask price is %d." ,+ order.getOrderId(), + order.getPrice(), + order.getQuantity(), + bestAskPrice));
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return new CancelChildOrder(order);
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}
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}
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return NoAction.NoAction;
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}
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}
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‎algo-exercise/getting-started/src/test/java/codingblackfemales/gettingstarted/AbstractAlgoBackTest.java‎

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Original file line numberDiff line numberDiff line change
@@ -55,7 +55,7 @@ public Sequencer getSequencer() {
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public abstract AlgoLogic createAlgoLogic();
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protected UnsafeBuffer createTick(){
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protected UnsafeBuffer createTick() {
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final MessageHeaderEncoder headerEncoder = new MessageHeaderEncoder();
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final BookUpdateEncoder encoder = new BookUpdateEncoder();
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return directBuffer;
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}
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protected UnsafeBuffer createTick2(){
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protected UnsafeBuffer createTick2() {
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final MessageHeaderEncoder headerEncoder = new MessageHeaderEncoder();
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final BookUpdateEncoder encoder = new BookUpdateEncoder();
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return directBuffer;
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}
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protected UnsafeBuffer createTickWithHighThreshold() {
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final MessageHeaderEncoder headerEncoder = new MessageHeaderEncoder();
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final BookUpdateEncoder encoder = new BookUpdateEncoder();
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final ByteBuffer byteBuffer = ByteBuffer.allocateDirect(1024);
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final UnsafeBuffer directBuffer = new UnsafeBuffer(byteBuffer);
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// Encode the message
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encoder.wrapAndApplyHeader(directBuffer, 0, headerEncoder);
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// Set a high spread by configuring ask and bid levels
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encoder.venue(Venue.XLON);
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encoder.instrumentId(123L);
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// Here, we’ll set a very high ask and a much lower bid.
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encoder.askBookCount(1).next().price(150L).size(300L); // High ask price
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encoder.bidBookCount(1).next().price(100L).size(300L); // Low bid price
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encoder.instrumentStatus(InstrumentStatus.CONTINUOUS);
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encoder.source(Source.STREAM);
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return directBuffer;
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}
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protected UnsafeBuffer createTickWithIncreasingVolume() {
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final MessageHeaderEncoder headerEncoder = new MessageHeaderEncoder();
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final BookUpdateEncoder encoder = new BookUpdateEncoder();
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final ByteBuffer byteBuffer = ByteBuffer.allocateDirect(1024);
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final UnsafeBuffer directBuffer = new UnsafeBuffer(byteBuffer);
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encoder.wrapAndApplyHeader(directBuffer, 0, headerEncoder);
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encoder.venue(Venue.XLON);
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encoder.instrumentId(123L);
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encoder.askBookCount(1)
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.next().price(110L).size(1000L); // Higher ask quantity
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encoder.bidBookCount(1)
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.next().price(108L).size(900L); // Higher bid quantity
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encoder.instrumentStatus(InstrumentStatus.CONTINUOUS);
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encoder.source(Source.STREAM);
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return directBuffer;
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}
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}

‎algo-exercise/getting-started/src/test/java/codingblackfemales/gettingstarted/AbstractAlgoTest.java‎

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Original file line numberDiff line numberDiff line change
@@ -75,6 +75,73 @@ protected UnsafeBuffer createTick(){
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return directBuffer;
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}
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protected UnsafeBuffer createTickWithHighThreshold() {
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final MessageHeaderEncoder headerEncoder = new MessageHeaderEncoder();
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final BookUpdateEncoder encoder = new BookUpdateEncoder();
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final ByteBuffer byteBuffer = ByteBuffer.allocateDirect(1024);
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final UnsafeBuffer directBuffer = new UnsafeBuffer(byteBuffer);
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encoder.wrapAndApplyHeader(directBuffer, 0, headerEncoder);
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encoder.venue(Venue.XLON);
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encoder.instrumentId(123L);
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// Here, we’ll set a very high ask and a much lower bid.
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encoder.askBookCount(1).next().price(150L).size(300L); // High ask price
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encoder.bidBookCount(1).next().price(100L).size(300L); // Low bid price
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encoder.instrumentStatus(InstrumentStatus.CONTINUOUS);
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encoder.source(Source.STREAM);
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return directBuffer;
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}
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protected UnsafeBuffer createTickWithLowThreshold() {
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final MessageHeaderEncoder headerEncoder = new MessageHeaderEncoder();
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final BookUpdateEncoder encoder = new BookUpdateEncoder();
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final ByteBuffer byteBuffer = ByteBuffer.allocateDirect(1024);
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final UnsafeBuffer directBuffer = new UnsafeBuffer(byteBuffer);
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encoder.wrapAndApplyHeader(directBuffer, 0, headerEncoder);
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encoder.venue(Venue.XLON);
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encoder.instrumentId(123L);
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encoder.askBookCount(1)
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.next().price(100L).size(200L); // Ask price close to bid
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encoder.bidBookCount(1)
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.next().price(90L).size(200L); // Bid price close to ask
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encoder.instrumentStatus(InstrumentStatus.CONTINUOUS);
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encoder.source(Source.STREAM);
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return directBuffer;
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}
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protected UnsafeBuffer createTickWithIncreasingVolume() {
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final MessageHeaderEncoder headerEncoder = new MessageHeaderEncoder();
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final BookUpdateEncoder encoder = new BookUpdateEncoder();
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final ByteBuffer byteBuffer = ByteBuffer.allocateDirect(1024);
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final UnsafeBuffer directBuffer = new UnsafeBuffer(byteBuffer);
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encoder.wrapAndApplyHeader(directBuffer, 0, headerEncoder);
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encoder.venue(Venue.XLON);
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encoder.instrumentId(123L);
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encoder.askBookCount(1)
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.next().price(110L).size(1000L); // Higher ask quantity
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encoder.bidBookCount(1)
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.next().price(108L).size(900L); // Higher bid quantity
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encoder.instrumentStatus(InstrumentStatus.CONTINUOUS);
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encoder.source(Source.STREAM);
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return directBuffer;
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}
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}

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