Nabble - ActiveQuant

Re: BrokerExecutorProxy

2009-11-29T19:21:13Z

Brendan,

Actually, when running backtester (i.e. MarketDataReplaySerive), there is no need for any threading proxy at all, because all quotes are ultimately executed by the thread that drives this MarketDataReplayService. Paper broker's order-related events are triggered by quotes that it consumes and therefore are executed in the thread that fires quotes (again, its the one that drives MarketDataReplayService). So for backtesting you are already thread-safe. These Proxy classes are actually for live contexts. Sorry I did not notice that you are building backtesting context from the start and probably mislead you. Just do not worry about thread safety of backtesting context. But do worry about thread safety of live trading ones.

-Mike

On Sun, Nov 29, 2009 at 9:51 PM, bboz <bb@...> wrote:

Thanks Mike, that is a big help. I had completely missed the
xxxSubscriptionSourceExecutorProxy classes. I've added the ExecutorProxys as
suggested and my Trade System's onCandle handler is being triggered again,
but for some reason the onOrderExecution handler isn't. I'll need to test it
more, once I get my head around the event mechanism.

One last question: does the MarketDataReplayService need to somehow run in
the execute() thread too?

Many thanks,
Brendan

bboz wrote:
>
> Can anybody offer some advice on using the BrokerExecutorProxy? If
> possible I would like to use it with the AccountManagingBrokerProxy and
> PaperBroker to ensure trading system event handlers are called from the
> same thread, but I can't work out how to use it. Can anybody help?
>

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Re: BrokerExecutorProxy

2009-11-29T18:51:32Z

Thanks Mike, that is a big help. I had completely missed the xxxSubscriptionSourceExecutorProxy classes. I've added the ExecutorProxys as suggested and my Trade System's onCandle handler is being triggered again, but for some reason the onOrderExecution handler isn't. I'll need to test it more, once I get my head around the event mechanism.

One last question: does the MarketDataReplayService need to somehow run in the execute() thread too?

Many thanks,
Brendan

bboz wrote:

Can anybody offer some advice on using the BrokerExecutorProxy? If possible I would like to use it with the AccountManagingBrokerProxy and PaperBroker to ensure trading system event handlers are called from the same thread, but I can't work out how to use it. Can anybody help?

Re: BrokerExecutorProxy

2009-11-29T07:31:15Z

Hi Brendan,

Just combine it with any configured broker bean. Something like this:

@Bean

Executor executor() {

return Executors.singleThreadExcutor();

}

@Bean

IBroker internalBroker() {

... your code for broker() here ...

}

@Bean

public IBean broker() {

return new BrokerExecutorProxy(internalBroker(), executor());

}

Note that only last bean is public and is seen by the TS. Also note the importance of executor() - it defines the thread that will be used to dispatch broker events. If your TS connects to subscription events, you have to use **the same** executor instance to wrap subscription sources. This way all events are issued in executor() thread. I think there should be some bean wrapper for this - look for xxxSubscriptionSourceExecutorProxy or such.

-Mike

On Sun, Nov 29, 2009 at 3:25 AM, bboz <bb@...> wrote:

Hello,

Can anybody offer some advice on using the BrokerExecutorProxy? If possible
I would like to use it with the AccountManagingBrokerProxy and PaperBroker
to ensure trading system event handlers are called from the same thread, but
I can't work out how to use it. Can anybody help?

At the moment my javaconfig looks like this:

@Bean
public IBroker broker() throws Exception {
PaperBroker paperBroker = new PaperBroker();
IQuoteSubscriptionSource qs = new
TradeIndicationToQuoteSubscriptionSourceConverter(tradeIndicationSubscriptionSource());
paperBroker.setQuoteSubscriptionSource(qs);
AccountManagingBrokerProxy ambp = new
AccountManagingBrokerProxy(paperBroker,
account().getBrokerAccount("PAPER"));
return ambp;
}

Thank you in advance,
Brendan
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BrokerExecutorProxy

2009-11-29T00:25:05Z

Hello,

Can anybody offer some advice on using the BrokerExecutorProxy? If possible I would like to use it with the AccountManagingBrokerProxy and PaperBroker to ensure trading system event handlers are called from the same thread, but I can't work out how to use it. Can anybody help?

At the moment my javaconfig looks like this:

@Bean
public IBroker broker() throws Exception {
PaperBroker paperBroker = new PaperBroker();
IQuoteSubscriptionSource qs = new TradeIndicationToQuoteSubscriptionSourceConverter(tradeIndicationSubscriptionSource());
paperBroker.setQuoteSubscriptionSource(qs);
AccountManagingBrokerProxy ambp = new AccountManagingBrokerProxy(paperBroker, account().getBrokerAccount("PAPER"));
return ambp;
}

Thank you in advance,
Brendan

asm jar no class CodeVisitor found

2009-11-26T08:43:12Z

Hi all,

after checking out aq-examples, I tried to run org.activequant.examples.tradesystem.advanced (maven 2 enabled and solved dependency), but eclipse will tell the following error log.

It seems coz cannot find CodeVisitor class, which is indeed, in org.objectweb.asm, there's no CodeVisitor class. Pls advise.

Thanks,
liang
***********************************
Exception in thread "main" java.lang.NoClassDefFoundError: org/objectweb/asm/CodeVisitor
at net.sf.cglib.core.KeyFactory$Generator.generateClass(KeyFactory.java:165)
at net.sf.cglib.core.DefaultGeneratorStrategy.generate(DefaultGeneratorStrategy.java:25)
at net.sf.cglib.core.AbstractClassGenerator.create(AbstractClassGenerator.java:216)
at net.sf.cglib.core.KeyFactory$Generator.create(KeyFactory.java:145)
at net.sf.cglib.core.KeyFactory.create(KeyFactory.java:117)
at net.sf.cglib.core.KeyFactory.create(KeyFactory.java:108)
at net.sf.cglib.core.KeyFactory.create(KeyFactory.java:104)
at net.sf.cglib.proxy.Enhancer.<clinit>(Enhancer.java:69)
at org.springframework.config.java.enhancement.cglib.CglibConfigurationEnhancer.enhanceConfiguration(CglibConfigurationEnhancer.java:119)
at org.springframework.config.java.process.ConfigurationProcessor.enhanceConfigurationClassAndUpdateBeanDefinition(ConfigurationProcessor.java:458)
at org.springframework.config.java.process.ConfigurationProcessor.processConfigurationBean(ConfigurationProcessor.java:372)
at org.springframework.config.java.process.ConfigurationPostProcessor.postProcessBeanFactory(ConfigurationPostProcessor.java:137)
at org.springframework.context.support.AbstractApplicationContext.invokeBeanFactoryPostProcessors(AbstractApplicationContext.java:501)
at org.springframework.context.support.AbstractApplicationContext.refresh(AbstractApplicationContext.java:363)
at org.springframework.config.java.context.JavaConfigApplicationContext.<init>(JavaConfigApplicationContext.java:256)
at org.springframework.config.java.context.JavaConfigApplicationContext.<init>(JavaConfigApplicationContext.java:220)
at org.activequant.examples.tradesystem.advanced.Main.main(Main.java:39)
Caused by: java.lang.ClassNotFoundException: org.objectweb.asm.CodeVisitor
at java.net.URLClassLoader$1.run(URLClassLoader.java:200)
at java.security.AccessController.doPrivileged(Native Method)
at java.net.URLClassLoader.findClass(URLClassLoader.java:188)
at java.lang.ClassLoader.loadClass(ClassLoader.java:307)
at sun.misc.Launcher$AppClassLoader.loadClass(Launcher.java:301)
at java.lang.ClassLoader.loadClass(ClassLoader.java:252)
at java.lang.ClassLoader.loadClassInternal(ClassLoader.java:320)
... 17 more
*******************************************

Re: The Indicator concept

2009-11-07T09:51:33Z

On Fri, Nov 6, 2009 at 10:43 PM, Franklin S. Dattein <franklin@...> wrote:

What is the best approach to transport the data series to the Indicators, keeping it as generic as possible?
I see at least two approaches, taking in consideration that an Indicator often needs to have access to the quotes before the current quote:
1. Adding a new eventListener on ISubscription<Candle> to fire an "onCandle event" at the Indicator class. The Indicator would have to acumulate the candles, consequently duplicating these data.
It the same way the @System classes receive their candles.

Nice.

2. The Indicator receives the instance QuoteSeries every time a calculations is needed.

Thoughts?

Indicators should work on raw numbers also. Some converters come into mind, for example QuoteBidToNumber or QuoteBidVolumeToNumber, which could become some sort of a firing cascade. Subscriptions to different data sources must be possible ... would be good if the indicators themselve can become sources of events. Talk also with mike about his aq-series project, maybe he has something already.

Regards,
ulrich

--
Ulrich B. Staudinger

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The Indicator concept

2009-11-06T13:43:16Z

Hi everyone,

almost every trading system uses the concept of the Indicators. It is something I miss on Activequant.

The calculation is usually made directly in the system code, making more difficult to reuse code and build a system based on multiple indicators.

I would like to write base classes to add Indicators support on Activequant.

Is there a reason for the lack of the Indicators concept?
Is that welcome contribution for the project?

What is the best approach to transport the data series to the Indicators, keeping it as generic as possible?
I see at least two approaches, taking in consideration that an Indicator often needs to have access to the quotes before the current quote:
1. Adding a new eventListener on ISubscription<Candle> to fire an "onCandle event" at the Indicator class. The Indicator would have to acumulate the candles, consequently duplicating these data.
It the same way the @System classes receive their candles.

2. The Indicator receives the instance QuoteSeries every time a calculations is needed.

Thoughts?

Att,
Franklin Samir Dattein

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Re: Chart with orders

2009-11-05T15:31:20Z

I am about to finish one with a scroll bar. I'll add the orders in that, too.
I keep you guys posted.

regards
Franklin Samir Dattein

On Thu, Nov 5, 2009 at 8:38 PM, Ulrich Staudinger <ustaudinger@...> wrote:

Hi,
i think you'll have to write one ...
Code submission would be greatly appreciated. :-)

Cheers,
Ulrich

On Thu, Nov 5, 2009 at 11:31 PM, Franklin S. Dattein <franklin@...> wrote:

Hello,
is there any kind of chart to easily display the data history and the orders of a system?

Thanks,
Franklin Samir Dattein

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Re: Chart with orders

2009-11-05T14:38:23Z

Hi,
i think you'll have to write one ...
Code submission would be greatly appreciated. :-)

Cheers,
Ulrich

On Thu, Nov 5, 2009 at 11:31 PM, Franklin S. Dattein <franklin@...> wrote:

Hello,
is there any kind of chart to easily display the data history and the orders of a system?

Thanks,
Franklin Samir Dattein

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Chart with orders

2009-11-05T14:31:52Z

Hello,

is there any kind of chart to easily display the data history and the orders of a system?

Thanks,
Franklin Samir Dattein

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Re: got NPE while placing orders (backtest with CSV)

2009-11-05T06:31:43Z

Hi,

Still got the NPE ( I have added the ts.setPositionService() ) which I forgot in he attached code, but:

2009-11-05 14:37:49,671 [main] INFO [ts.TradeSystemLogic] - subscribed for candles: DLR SMART USD FUTURE
java.lang.NullPointerException
at org.activequant.data.util.ReplayServiceBase.fetchSeries(ReplayServiceBase.java:189)
at org.activequant.data.util.ReplayServiceBase.addEventSink(ReplayServiceBase.java:67)
at org.activequant.data.util.ReplayServiceBase.access$000(ReplayServiceBase.java:53)
at org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.handleActivate(ReplayServiceBase.java:82)
at org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.activate(SubscriptionSourceBase.java:357)
at org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.access$200(SubscriptionSourceBase.java:324)
at org.activequant.data.retrieval.SubscriptionSourceBase$1.activate(SubscriptionSourceBase.java:259)
at org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription.handleActivate(TradeIndicationToQuoteSubscriptionSourceConverter.java:89)
at org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.activate(SubscriptionSourceBase.java:357)
at org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.access$200(SubscriptionSourceBase.java:324)
at org.activequant.data.retrieval.SubscriptionSourceBase$1.activate(SubscriptionSourceBase.java:259)
at org.activequant.broker.PaperBroker$OrderTracker.handleSubmit(PaperBroker.java:152)
at org.activequant.broker.BrokerBase$OrderTrackerBase.submit(BrokerBase.java:159)
at org.activequant.broker.AccountManagingBrokerProxy$OrderTrackerProxy.submit(AccountManagingBrokerProxy.java:93)
at org.activequant.examples.tradesystem.advanced.SimplePositionService$Tracker.<init>(SimplePositionService.java:156)
at org.activequant.examples.tradesystem.advanced.SimplePositionService.openPosition(SimplePositionService.java:182)
at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)
at ts.TradeSystemLogic.access$0(TradeSystemLogic.java:119)
at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:93)
at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:1)
at org.activequant.util.pattern.events.Event.fire(Event.java:43)
at org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:399)
at org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:91)
at org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:73)
at org.activequant.data.util.ReplayServiceBase.fire(ReplayServiceBase.java:108)
at org.activequant.data.util.MarketDataReplayService.fire(MarketDataReplayService.java:276)
at ts.MainBacktestCSV.main(MainBacktestCSV.java:45)
2009-11-05 14:37:49,702 [main] ERROR [org.activequant.data.util.MarketDataReplayService$3] - java.lang.NullPointerException

Mike Kroutikov-2 wrote:

In your ZIP file TradeSystemConfig.java does not have
ts.setPositionService() call (or I can not find it in the hurry). Where from
your quote below comes?

On Wed, Nov 4, 2009 at 4:14 PM, CriC <cristina.colonna@gmx.com> wrote:

>
> Hello Mike,
>
> Mmmm yes I don't use @Inject BUT I set the positionService in the
> TradeSystemConfig.java :
>
> @Bean
> protected IPositionService positionService() {
> SimplePositionService positionService = new
> SimplePositionService(broker());
> positionService.setTrailingDistance(99.0);
> ....
> return positionService;
> }
>
>
> @Bean
> public Object system() {
>
> TradeSystemLogic ts = new TradeSystemLogic();
> ....
> ts.setPositionService(positionService());
> ....
>
> return ts;
> }
>
>
> NOTE that with the YahooContext works perfectly fine!
> I just changed the Context, from Yahoo to CSV, that's why I think the
> Context is wrong...
> Am I missing something?
>
>
>
>
>
> Mike Kroutikov-2 wrote:
> >
> > The NPE is thrown from line 141 of TradeSystemLogic.java. It is the line
> > saying:
> >
> > // EXECUTE
> > position = positionService.openPosition(order);
> >
> > which makes me think that positionService was not injected. Did u miss
> > @Inject annotation?
> >
> > -Mike
> >
> >
> > at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)
> >
> > On Wed, Nov 4, 2009 at 10:23 AM, CriC <cristina.colonna@gmx.com> wrote:
> >
> >>
> >>
> >> Hope this helps.
> >>
> >> 1919.0 : 2009/01/05 D : 1231159500000000000 O : 30.91
> >> java.lang.RuntimeException: java.lang.NullPointerException
> >> at
> >>
> >>
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:402)
> >> at
> >>
> >>
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:91)
> >> at
> >>
> >>
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:73)
> >> at
> >>
> >>
> org.activequant.data.util.ReplayServiceBase.fire(ReplayServiceBase.java:108)
> >> at
> >>
> >>
> org.activequant.data.util.MarketDataReplayService.fire(MarketDataReplayService.java:276)
> >> at ts.MainBacktestCSV.main(MainBacktestCSV.java:45)
> >> Caused by: java.lang.NullPointerException
> >> at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)
> >> at ts.TradeSystemLogic.access$0(TradeSystemLogic.java:119)
> >> at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:93)
> >> at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:1)
> >> at org.activequant.util.pattern.events.Event.fire(Event.java:43)
> >> at
> >>
> >>
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:399)
> >> ... 5 more
> >> java.lang.RuntimeException: java.lang.NullPointerException
> >>
> >>
> >>
> >>
> >> Mike Kroutikov-2 wrote:
> >> >
> >> > CriC, what is the exception stack?
> >> >
> >> > -Mike
> >> >
> >> > On Tue, Nov 3, 2009 at 7:47 AM, CriC <cristina.colonna@gmx.com>
> wrote:
> >> >
> >> >>
> >> >>
> >> >> Can't get over this error.
> >> >> I get the NPE when I try to place an order with the CSV backtest
> >> context.
> >> >> maybe something wrong in the context file ?
> >> >>
> >> >> Please see code attached.
> >> >>
> >> >> If you comment the place order lines, it works correctly streaming
> >> >> candles
> >> >> from CSV file.
> >> >>
> >> >> Any tip?
> >> >> thank you
> >> >> CriC
> >> >>
> >> >> http://old.nabble.com/file/p26160075/csvTS.zip csvTS.zip
> >> >>
> >> >> --
> >> >> View this message in context:
> >> >>
> >>
> http://old.nabble.com/got-NPE-while-placing-orders-%28backtest-with-CSV%29-tp26160075p26160075.html
> >> >> Sent from the ActiveQuant mailing list archive at Nabble.com.
> >> >>
> >> >> _______________________________________________
> >> >> ccapi mailing list
> >> >> ccapi@activestocks.de
> >> >> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
> >> >>
> >> >
> >> > _______________________________________________
> >> > ccapi mailing list
> >> > ccapi@activestocks.de
> >> > http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
> >> >
> >> >
> >>
> >> --
> >> View this message in context:
> >>
> http://old.nabble.com/got-NPE-while-placing-orders-%28backtest-with-CSV%29-tp26160075p26198154.html
> >> Sent from the ActiveQuant mailing list archive at Nabble.com.
> >>
> >> _______________________________________________
> >> ccapi mailing list
> >> ccapi@activestocks.de
> >> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
> >>
> >
> > _______________________________________________
> > ccapi mailing list
> > ccapi@activestocks.de
> > http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
> >
> >
>
> --
> View this message in context:
> http://old.nabble.com/got-NPE-while-placing-orders-%28backtest-with-CSV%29-tp26160075p26204726.html
> Sent from the ActiveQuant mailing list archive at Nabble.com.
>
> _______________________________________________
> ccapi mailing list
> ccapi@activestocks.de
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>

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Re: got NPE while placing orders (backtest with CSV)

2009-11-04T14:04:56Z

Right, I messed up! I'll check it tomorrow morning and post here results.
Sorry :-/

Mike Kroutikov-2 wrote:

In your ZIP file TradeSystemConfig.java does not have
ts.setPositionService() call (or I can not find it in the hurry). Where from
your quote below comes?

On Wed, Nov 4, 2009 at 4:14 PM, CriC <cristina.colonna@gmx.com> wrote:

>
> Hello Mike,
>
> Mmmm yes I don't use @Inject BUT I set the positionService in the
> TradeSystemConfig.java :
>
> @Bean
> protected IPositionService positionService() {
> SimplePositionService positionService = new
> SimplePositionService(broker());
> positionService.setTrailingDistance(99.0);
> ....
> return positionService;
> }
>
>
> @Bean
> public Object system() {
>
> TradeSystemLogic ts = new TradeSystemLogic();
> ....
> ts.setPositionService(positionService());
> ....
>
> return ts;
> }
>
>
> NOTE that with the YahooContext works perfectly fine!
> I just changed the Context, from Yahoo to CSV, that's why I think the
> Context is wrong...
> Am I missing something?
>
>
>
>
>
> Mike Kroutikov-2 wrote:
> >
> > The NPE is thrown from line 141 of TradeSystemLogic.java. It is the line
> > saying:
> >
> > // EXECUTE
> > position = positionService.openPosition(order);
> >
> > which makes me think that positionService was not injected. Did u miss
> > @Inject annotation?
> >
> > -Mike
> >
> >
> > at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)
> >
> > On Wed, Nov 4, 2009 at 10:23 AM, CriC <cristina.colonna@gmx.com> wrote:
> >
> >>
> >>
> >> Hope this helps.
> >>
> >> 1919.0 : 2009/01/05 D : 1231159500000000000 O : 30.91
> >> java.lang.RuntimeException: java.lang.NullPointerException
> >> at
> >>
> >>
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:402)
> >> at
> >>
> >>
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:91)
> >> at
> >>
> >>
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:73)
> >> at
> >>
> >>
> org.activequant.data.util.ReplayServiceBase.fire(ReplayServiceBase.java:108)
> >> at
> >>
> >>
> org.activequant.data.util.MarketDataReplayService.fire(MarketDataReplayService.java:276)
> >> at ts.MainBacktestCSV.main(MainBacktestCSV.java:45)
> >> Caused by: java.lang.NullPointerException
> >> at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)
> >> at ts.TradeSystemLogic.access$0(TradeSystemLogic.java:119)
> >> at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:93)
> >> at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:1)
> >> at org.activequant.util.pattern.events.Event.fire(Event.java:43)
> >> at
> >>
> >>
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:399)
> >> ... 5 more
> >> java.lang.RuntimeException: java.lang.NullPointerException
> >>
> >>
> >>
> >>
> >> Mike Kroutikov-2 wrote:
> >> >
> >> > CriC, what is the exception stack?
> >> >
> >> > -Mike
> >> >
> >> > On Tue, Nov 3, 2009 at 7:47 AM, CriC <cristina.colonna@gmx.com>
> wrote:
> >> >
> >> >>
> >> >>
> >> >> Can't get over this error.
> >> >> I get the NPE when I try to place an order with the CSV backtest
> >> context.
> >> >> maybe something wrong in the context file ?
> >> >>
> >> >> Please see code attached.
> >> >>
> >> >> If you comment the place order lines, it works correctly streaming
> >> >> candles
> >> >> from CSV file.
> >> >>
> >> >> Any tip?
> >> >> thank you
> >> >> CriC
> >> >>
> >> >> http://old.nabble.com/file/p26160075/csvTS.zip csvTS.zip
> >> >>
> >> >> --
> >> >> View this message in context:
> >> >>
> >>
> http://old.nabble.com/got-NPE-while-placing-orders-%28backtest-with-CSV%29-tp26160075p26160075.html
> >> >> Sent from the ActiveQuant mailing list archive at Nabble.com.
> >> >>
> >> >> _______________________________________________
> >> >> ccapi mailing list
> >> >> ccapi@activestocks.de
> >> >> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
> >> >>
> >> >
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> >> > ccapi mailing list
> >> > ccapi@activestocks.de
> >> > http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
> >> >
> >> >
> >>
> >> --
> >> View this message in context:
> >>
> http://old.nabble.com/got-NPE-while-placing-orders-%28backtest-with-CSV%29-tp26160075p26198154.html
> >> Sent from the ActiveQuant mailing list archive at Nabble.com.
> >>
> >> _______________________________________________
> >> ccapi mailing list
> >> ccapi@activestocks.de
> >> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
> >>
> >
> > _______________________________________________
> > ccapi mailing list
> > ccapi@activestocks.de
> > http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
> >
> >
>
> --
> View this message in context:
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> Sent from the ActiveQuant mailing list archive at Nabble.com.
>
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Re: How to enable parameters optimization?

2009-11-04T13:44:43Z

Hi Alex,
I did a simple refactoring in the SimpleOptmizer class, just to read the @Optimize attributes and run as many Systems as the total number of combinations. Very simple and slow.

I can send you if you need.

However, Ulrich is about to release a better version.
Ulrich, if possible please include me in the "little subproject" too.

Thanks,
Franklin Samir Dattein

On Wed, Nov 4, 2009 at 7:35 PM, Ulrich Staudinger <ustaudinger@...> wrote:

Alex,
i'll include you on a little subproject ....
/u

On Wed, Nov 4, 2009 at 12:39 PM, Alexander Nowak <nowak@...> wrote:

Hi Franklin,

i also try to optimize some parameters. Did you already find a way to do so? How do you started and which optimizer do you have used?

thanks,

alex

2009/10/28 Franklin Dattein <franklin@...>

Hi Ulrich,

I've sent you an e-mail.

In the meanwhile, what is the best please to start looking?

Thanks,
Franklin

Ulrich Staudinger-2 wrote:
>
> Hi Franklin,
>
> You have to use a special optimizer, and in there make sure to handle
> these
> optimize annotations. I remember we had a very simple one in the past, but
> this feature is widely underdeveloped. However, there are some efforts to
> spend more time on these features.
>
> For your attention, we rarely do this, but consider contacting us, the
> coreteam directly, as this is something that is worked on already
> underground.
>
>
> Kind regards,
> Ulrich
>
>
> On Thu, Oct 22, 2009 at 9:03 PM, Franklin S. Dattein <
> franklin@...> wrote:
>
>> Hi list,
>>
>> I am playing with a simple SMA system and I have added the @Optimize
>> annotations to my attribute, just like in the examples.
>>
>> However, the parameters have never changed.
>> Should I use a special runner or replay service?
>>
>> Att,
>> Franklin Samir Dattein
>>
>> _______________________________________________
>> ccapi mailing list
>> ccapi@...
>> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>>
>>
>
>
> --
> Ulrich B. Staudinger
>
> _______________________________________________
> ccapi mailing list
> ccapi@...
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>
>

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Re: How to enable parameters optimization?

2009-11-04T13:35:35Z

Alex,
i'll include you on a little subproject ....
/u

On Wed, Nov 4, 2009 at 12:39 PM, Alexander Nowak <nowak@...> wrote:

Hi Franklin,

i also try to optimize some parameters. Did you already find a way to do so? How do you started and which optimizer do you have used?

thanks,

alex

2009/10/28 Franklin Dattein <franklin@...>

Hi Ulrich,

I've sent you an e-mail.

In the meanwhile, what is the best please to start looking?

Thanks,
Franklin

Ulrich Staudinger-2 wrote:
>
> Hi Franklin,
>
> You have to use a special optimizer, and in there make sure to handle
> these
> optimize annotations. I remember we had a very simple one in the past, but
> this feature is widely underdeveloped. However, there are some efforts to
> spend more time on these features.
>
> For your attention, we rarely do this, but consider contacting us, the
> coreteam directly, as this is something that is worked on already
> underground.
>
>
> Kind regards,
> Ulrich
>
>
> On Thu, Oct 22, 2009 at 9:03 PM, Franklin S. Dattein <
> franklin@...> wrote:
>
>> Hi list,
>>
>> I am playing with a simple SMA system and I have added the @Optimize
>> annotations to my attribute, just like in the examples.
>>
>> However, the parameters have never changed.
>> Should I use a special runner or replay service?
>>
>> Att,
>> Franklin Samir Dattein
>>
>> _______________________________________________
>> ccapi mailing list
>> ccapi@...
>> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>>
>>
>
>
> --
> Ulrich B. Staudinger
>
> _______________________________________________
> ccapi mailing list
> ccapi@...
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>
>

--
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Re: got NPE while placing orders (backtest with CSV)

2009-11-04T13:23:17Z

In your ZIP file TradeSystemConfig.java does not have ts.setPositionService() call (or I can not find it in the hurry). Where from your quote below comes?

On Wed, Nov 4, 2009 at 4:14 PM, CriC <cristina.colonna@...> wrote:

Hello Mike,

Mmmm yes I don't use @Inject BUT I set the positionService in the
TradeSystemConfig.java :

@Bean
protected IPositionService positionService() {
SimplePositionService positionService = new
SimplePositionService(broker());
positionService.setTrailingDistance(99.0);
....
return positionService;
}

@Bean
public Object system() {

TradeSystemLogic ts = new TradeSystemLogic();
....
ts.setPositionService(positionService());
....

return ts;
}

NOTE that with the YahooContext works perfectly fine!
I just changed the Context, from Yahoo to CSV, that's why I think the
Context is wrong...
Am I missing something?

Mike Kroutikov-2 wrote:
>
> The NPE is thrown from line 141 of TradeSystemLogic.java. It is the line
> saying:
>
> // EXECUTE
> position = positionService.openPosition(order);
>
> which makes me think that positionService was not injected. Did u miss
> @Inject annotation?
>
> -Mike
>
>
> at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)
>
> On Wed, Nov 4, 2009 at 10:23 AM, CriC <cristina.colonna@...> wrote:
>
>>
>>
>> Hope this helps.
>>
>> 1919.0 : 2009/01/05 D : 1231159500000000000 O : 30.91
>> java.lang.RuntimeException: java.lang.NullPointerException
>> at
>>
>> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:402)
>> at
>>
>> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:91)
>> at
>>
>> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:73)
>> at
>>
>> org.activequant.data.util.ReplayServiceBase.fire(ReplayServiceBase.java:108)
>> at
>>
>> org.activequant.data.util.MarketDataReplayService.fire(MarketDataReplayService.java:276)
>> at ts.MainBacktestCSV.main(MainBacktestCSV.java:45)
>> Caused by: java.lang.NullPointerException
>> at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)
>> at ts.TradeSystemLogic.access$0(TradeSystemLogic.java:119)
>> at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:93)
>> at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:1)
>> at org.activequant.util.pattern.events.Event.fire(Event.java:43)
>> at
>>
>> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:399)
>> ... 5 more
>> java.lang.RuntimeException: java.lang.NullPointerException
>>
>>
>>
>>
>> Mike Kroutikov-2 wrote:
>> >
>> > CriC, what is the exception stack?
>> >
>> > -Mike
>> >
>> > On Tue, Nov 3, 2009 at 7:47 AM, CriC <cristina.colonna@...> wrote:
>> >
>> >>
>> >>
>> >> Can't get over this error.
>> >> I get the NPE when I try to place an order with the CSV backtest
>> context.
>> >> maybe something wrong in the context file ?
>> >>
>> >> Please see code attached.
>> >>
>> >> If you comment the place order lines, it works correctly streaming
>> >> candles
>> >> from CSV file.
>> >>
>> >> Any tip?
>> >> thank you
>> >> CriC
>> >>
>> >> http://old.nabble.com/file/p26160075/csvTS.zip csvTS.zip
>> >>
>> >> --
>> >> View this message in context:
>> >>
>> http://old.nabble.com/got-NPE-while-placing-orders-%28backtest-with-CSV%29-tp26160075p26160075.html
>> >> Sent from the ActiveQuant mailing list archive at Nabble.com.
>> >>
>> >> _______________________________________________
>> >> ccapi mailing list
>> >> ccapi@...
>> >> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>> >>
>> >
>> > _______________________________________________
>> > ccapi mailing list
>> > ccapi@...
>> > http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>> >
>> >
>>
>> --
>> View this message in context:
>> http://old.nabble.com/got-NPE-while-placing-orders-%28backtest-with-CSV%29-tp26160075p26198154.html
>> Sent from the ActiveQuant mailing list archive at Nabble.com.
>>
>> _______________________________________________
>> ccapi mailing list
>> ccapi@...
>> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>>
>
> _______________________________________________
> ccapi mailing list
> ccapi@...
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>
>

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Re: got NPE while placing orders (backtest with CSV)

2009-11-04T13:14:01Z

Hello Mike,

Mmmm yes I don't use @Inject BUT I set the positionService in the TradeSystemConfig.java :

@Bean
protected IPositionService positionService() {
SimplePositionService positionService = new SimplePositionService(broker());
positionService.setTrailingDistance(99.0);
....
return positionService;
}

@Bean
public Object system() {

TradeSystemLogic ts = new TradeSystemLogic();
....
ts.setPositionService(positionService());
....

return ts;
}

NOTE that with the YahooContext works perfectly fine!
I just changed the Context, from Yahoo to CSV, that's why I think the Context is wrong...
Am I missing something?

Mike Kroutikov-2 wrote:

The NPE is thrown from line 141 of TradeSystemLogic.java. It is the line
saying:

// EXECUTE
position = positionService.openPosition(order);

which makes me think that positionService was not injected. Did u miss
@Inject annotation?

-Mike

at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)

On Wed, Nov 4, 2009 at 10:23 AM, CriC <cristina.colonna@gmx.com> wrote:

>
>
> Hope this helps.
>
> 1919.0 : 2009/01/05 D : 1231159500000000000 O : 30.91
> java.lang.RuntimeException: java.lang.NullPointerException
> at
>
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:402)
> at
>
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:91)
> at
>
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:73)
> at
>
> org.activequant.data.util.ReplayServiceBase.fire(ReplayServiceBase.java:108)
> at
>
> org.activequant.data.util.MarketDataReplayService.fire(MarketDataReplayService.java:276)
> at ts.MainBacktestCSV.main(MainBacktestCSV.java:45)
> Caused by: java.lang.NullPointerException
> at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)
> at ts.TradeSystemLogic.access$0(TradeSystemLogic.java:119)
> at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:93)
> at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:1)
> at org.activequant.util.pattern.events.Event.fire(Event.java:43)
> at
>
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:399)
> ... 5 more
> java.lang.RuntimeException: java.lang.NullPointerException
>
>
>
>
> Mike Kroutikov-2 wrote:
> >
> > CriC, what is the exception stack?
> >
> > -Mike
> >
> > On Tue, Nov 3, 2009 at 7:47 AM, CriC <cristina.colonna@gmx.com> wrote:
> >
> >>
> >>
> >> Can't get over this error.
> >> I get the NPE when I try to place an order with the CSV backtest
> context.
> >> maybe something wrong in the context file ?
> >>
> >> Please see code attached.
> >>
> >> If you comment the place order lines, it works correctly streaming
> >> candles
> >> from CSV file.
> >>
> >> Any tip?
> >> thank you
> >> CriC
> >>
> >> http://old.nabble.com/file/p26160075/csvTS.zip csvTS.zip
> >>
> >> --
> >> View this message in context:
> >>
> http://old.nabble.com/got-NPE-while-placing-orders-%28backtest-with-CSV%29-tp26160075p26160075.html
> >> Sent from the ActiveQuant mailing list archive at Nabble.com.
> >>
> >> _______________________________________________
> >> ccapi mailing list
> >> ccapi@activestocks.de
> >> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
> >>
> >
> > _______________________________________________
> > ccapi mailing list
> > ccapi@activestocks.de
> > http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
> >
> >
>
> --
> View this message in context:
> http://old.nabble.com/got-NPE-while-placing-orders-%28backtest-with-CSV%29-tp26160075p26198154.html
> Sent from the ActiveQuant mailing list archive at Nabble.com.
>
> _______________________________________________
> ccapi mailing list
> ccapi@activestocks.de
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>

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Re: got NPE while placing orders (backtest with CSV)

2009-11-04T11:45:18Z

The NPE is thrown from line 141 of TradeSystemLogic.java. It is the line saying:

// EXECUTE

position = positionService.openPosition(order);

which makes me think that positionService was not injected. Did u miss @Inject annotation?

-Mike

at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)

On Wed, Nov 4, 2009 at 10:23 AM, CriC <cristina.colonna@...> wrote:

Hope this helps.

1919.0 : 2009/01/05 D : 1231159500000000000 O : 30.91
java.lang.RuntimeException: java.lang.NullPointerException
at
org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:402)
at
org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:91)
at
org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:73)
at
org.activequant.data.util.ReplayServiceBase.fire(ReplayServiceBase.java:108)
at
org.activequant.data.util.MarketDataReplayService.fire(MarketDataReplayService.java:276)
at ts.MainBacktestCSV.main(MainBacktestCSV.java:45)
Caused by: java.lang.NullPointerException
at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)
at ts.TradeSystemLogic.access$0(TradeSystemLogic.java:119)
at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:93)
at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:1)
at org.activequant.util.pattern.events.Event.fire(Event.java:43)
at
org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:399)
... 5 more
java.lang.RuntimeException: java.lang.NullPointerException

Mike Kroutikov-2 wrote:
>
> CriC, what is the exception stack?
>
> -Mike
>
> On Tue, Nov 3, 2009 at 7:47 AM, CriC <cristina.colonna@...> wrote:
>
>>
>>
>> Can't get over this error.
>> I get the NPE when I try to place an order with the CSV backtest context.
>> maybe something wrong in the context file ?
>>
>> Please see code attached.
>>
>> If you comment the place order lines, it works correctly streaming
>> candles
>> from CSV file.
>>
>> Any tip?
>> thank you
>> CriC
>>
>> http://old.nabble.com/file/p26160075/csvTS.zip csvTS.zip
>>
>> --
>> View this message in context:
>> http://old.nabble.com/got-NPE-while-placing-orders-%28backtest-with-CSV%29-tp26160075p26160075.html
>> Sent from the ActiveQuant mailing list archive at Nabble.com.
>>
>> _______________________________________________
>> ccapi mailing list
>> ccapi@...
>> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>>
>
> _______________________________________________
> ccapi mailing list
> ccapi@...
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>
>

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Re: got NPE while placing orders (backtest with CSV)

2009-11-04T07:23:28Z

Hope this helps.

1919.0 : 2009/01/05 D : 1231159500000000000 O : 30.91 java.lang.RuntimeException: java.lang.NullPointerException
at org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:402)
at org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:91)
at org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(ReplayServiceBase.java:73)
at org.activequant.data.util.ReplayServiceBase.fire(ReplayServiceBase.java:108)
at org.activequant.data.util.MarketDataReplayService.fire(MarketDataReplayService.java:276)
at ts.MainBacktestCSV.main(MainBacktestCSV.java:45)
Caused by: java.lang.NullPointerException
at ts.TradeSystemLogic.onCandle(TradeSystemLogic.java:141)
at ts.TradeSystemLogic.access$0(TradeSystemLogic.java:119)
at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:93)
at ts.TradeSystemLogic$1.eventFired(TradeSystemLogic.java:1)
at org.activequant.util.pattern.events.Event.fire(Event.java:43)
at org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(SubscriptionSourceBase.java:399)
... 5 more
java.lang.RuntimeException: java.lang.NullPointerException

Mike Kroutikov-2 wrote:

CriC, what is the exception stack?

-Mike

On Tue, Nov 3, 2009 at 7:47 AM, CriC <cristina.colonna@gmx.com> wrote:

>
>
> Can't get over this error.
> I get the NPE when I try to place an order with the CSV backtest context.
> maybe something wrong in the context file ?
>
> Please see code attached.
>
> If you comment the place order lines, it works correctly streaming candles
> from CSV file.
>
> Any tip?
> thank you
> CriC
>
> http://old.nabble.com/file/p26160075/csvTS.zip csvTS.zip
>
> --
> View this message in context:
> http://old.nabble.com/got-NPE-while-placing-orders-%28backtest-with-CSV%29-tp26160075p26160075.html
> Sent from the ActiveQuant mailing list archive at Nabble.com.
>
> _______________________________________________
> ccapi mailing list
> ccapi@activestocks.de
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>

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Re: How to enable parameters optimization?

2009-11-04T03:39:22Z

Hi Franklin,

i also try to optimize some parameters. Did you already find a way to do so? How do you started and which optimizer do you have used?

thanks,

alex

2009/10/28 Franklin Dattein <franklin@...>

Hi Ulrich,

I've sent you an e-mail.

In the meanwhile, what is the best please to start looking?

Thanks,
Franklin

Ulrich Staudinger-2 wrote:
>
> Hi Franklin,
>
> You have to use a special optimizer, and in there make sure to handle
> these
> optimize annotations. I remember we had a very simple one in the past, but
> this feature is widely underdeveloped. However, there are some efforts to
> spend more time on these features.
>
> For your attention, we rarely do this, but consider contacting us, the
> coreteam directly, as this is something that is worked on already
> underground.
>
>
> Kind regards,
> Ulrich
>
>
> On Thu, Oct 22, 2009 at 9:03 PM, Franklin S. Dattein <
> franklin@...> wrote:
>
>> Hi list,
>>
>> I am playing with a simple SMA system and I have added the @Optimize
>> annotations to my attribute, just like in the examples.
>>
>> However, the parameters have never changed.
>> Should I use a special runner or replay service?
>>
>> Att,
>> Franklin Samir Dattein
>>
>> _______________________________________________
>> ccapi mailing list
>> ccapi@...
>> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>>
>>
>
>
> --
> Ulrich B. Staudinger
>
> _______________________________________________
> ccapi mailing list
> ccapi@...
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>
>

--
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Re: got NPE while placing orders (backtest with CSV)

2009-11-03T05:45:37Z

CriC, what is the exception stack?

-Mike

On Tue, Nov 3, 2009 at 7:47 AM, CriC <cristina.colonna@...> wrote:

Can't get over this error.
I get the NPE when I try to place an order with the CSV backtest context.
maybe something wrong in the context file ?

Please see code attached.

If you comment the place order lines, it works correctly streaming candles
from CSV file.

Any tip?
thank you
CriC

http://old.nabble.com/file/p26160075/csvTS.zip csvTS.zip

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got NPE while placing orders (backtest with CSV)

2009-11-03T03:47:03Z

Can't get over this error.
I get the NPE when I try to place an order with the CSV backtest context.
maybe something wrong in the context file ?

Please see code attached.

If you comment the place order lines, it works correctly streaming candles from CSV file.

Any tip?
thank you
CriC

csvTS.zip

.. introduction of extensions of InstrumentSpecification

2009-11-03T00:38:36Z

Hi,

I think about adding some extensions to InstrumentSpecifications, as well as some slimming it.
The goal would be to have different InstrumentSpec types, for example OptionInstrumentSpec, FutureInstrumentSpec, WarrantInstrumentSpec, etc. That way, we would remove some fields from the base instrument specification and keep only those that are shared among them. Beside that, the hibernate would still store everything into one big table, that would make it very easy to query.

Objections, opinions ?

Kind regards,
Ulrich

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Calendars for instruments

2009-11-03T00:33:42Z

Hey there,
i am reviewing the calendar package a bit at the moment with the goal

to link the calendar to the instruments.

As far as I see, the best approach would be to add an ICalendar to the InstrumentSpecifications and then to persist this one.

Does anyone have an opinion or objections ?

Kind regards,
Ulrich

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Re: PaperBroker STOP_LIMIT Order support

2009-11-02T00:45:52Z

Looks alright. Will be added later as well !

On Sun, Nov 1, 2009 at 11:26 PM, Dimitri Misev <mikistip@...> wrote:

Hi
I was looking to add a STOP_LIMIT Order support in the
org.activequant.broker.PaperBroker class

Looks like I just need to add this one case to the switch statement in
the void checkOrder(Quote quote) method in the same class:

case STOP_LIMIT:
if(localOrder.getOrderSide() == OrderSide.BUY) {
if(price >= localOrder.getStopPrice()&&price <=
localOrder.getLimitPrice()) {
fireExecution(quantity, price);
}
} else {
if(price <= localOrder.getStopPrice()&&price >=
localOrder.getLimitPrice()) {
fireExecution(quantity, price);
}
}
break;

Does anyone see a problem with this?
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PaperBroker STOP_LIMIT Order support

2009-11-01T14:26:54Z

Hi
I was looking to add a STOP_LIMIT Order support in the org.activequant.broker.PaperBroker class

Looks like I just need to add this one case to the switch statement in
the void checkOrder(Quote quote) method in the same class:

case STOP_LIMIT:
if(localOrder.getOrderSide() == OrderSide.BUY) {
if(price >= localOrder.getStopPrice()&&price <= localOrder.getLimitPrice()) {
fireExecution(quantity, price);
}
} else {
if(price <= localOrder.getStopPrice()&&price >= localOrder.getLimitPrice()) {
fireExecution(quantity, price);
}
}
break;

Does anyone see a problem with this?

Read Only User on AQ Instrument database on aq.org

2009-11-01T03:51:24Z

Hey there,
i am happy to announce that we have added read only user to the activequant.org master database:

> grant select on activequant.* to 'reader'@'%' identified by 'reader';

You can use this to synchronize for example your instrument tables with the master instrument tables. Over the time of the next months, this database will slowly fill. In case you want to have instruments added and updated or want to take over maintaining a list of instruments, ie. up-to-date futures for CME, let me know.

Kind regards,
Ulrich

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Re: How to enable parameters optimization?

2009-10-28T04:17:43Z

Hi Ulrich,

I've sent you an e-mail.

In the meanwhile, what is the best please to start looking?

Thanks,
Franklin

Ulrich Staudinger-2 wrote:

Hi Franklin,

You have to use a special optimizer, and in there make sure to handle these
optimize annotations. I remember we had a very simple one in the past, but
this feature is widely underdeveloped. However, there are some efforts to
spend more time on these features.

For your attention, we rarely do this, but consider contacting us, the
coreteam directly, as this is something that is worked on already
underground.

Kind regards,
Ulrich

On Thu, Oct 22, 2009 at 9:03 PM, Franklin S. Dattein <
franklin@portaljava.com> wrote:

> Hi list,
>
> I am playing with a simple SMA system and I have added the @Optimize
> annotations to my attribute, just like in the examples.
>
> However, the parameters have never changed.
> Should I use a special runner or replay service?
>
> Att,
> Franklin Samir Dattein
>
> _______________________________________________
> ccapi mailing list
> ccapi@activestocks.de
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>
>

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Account.getBalanceBook returning zero as the current balance.

2009-10-23T10:33:23Z

Hello,

I've set an BalanceBook to start with a balance of 10.00, as the example in the XML below.
<bean id="balanceBook" class="org.activequant.core.domainmodel.account.BalanceBook">
        <property name="currentBalance" value="10000"/>
    </bean>
    <bean id="brokerAccount" class="org.activequant.core.domainmodel.account.BrokerAccount" >
        <property name="balanceBook" ref="balanceBook"/>
    </bean>

I've noticed that when a run a System without any order, the method Account.getBalanceBook creates a new instance of BalanceBook, copy all BalanceEntry from all acounts, but doesn't copy the currentBalance property.
It might sound weird a system without orders, but that is one of my use cases. I would like to see that my logic was not good and my balance remains untouched.

Am I doing something wrong?

If not, I would suggest the following change in the Account class.

public BalanceBook getBalanceBook() {
        if (brokerAccounts.size() > 0) {
            BalanceBook ret = new BalanceBook();
            for(BrokerAccount brokerAccount : brokerAccounts){
                for(BalanceEntry be : brokerAccount.getBalanceBook().getBalanceEntries()){
                    ret.addBalanceEntry(be.getValue(), be.getTimeStamp());
                }
                ret.setCurrentBalance(ret.getCurrentBalance() + brokerAccount.getBalanceBook().getCurrentBalance());
            }
            return ret;
        }
        return new BalanceBook();
    }
Att,
Franklin Samir Dattein

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Re: input dates are out-of-order Exception

2009-10-23T07:20:42Z

These are two different (mutually exclusive) approaches.

With MarketTradeSystemBase style ("old style"), on every new candle system used to update "market" (which contains the whole history: all candles for all series up to and including current time) and pass this market object to the trading system.

With ReplayService style ("new backtester style"), trading system is in charge of keeping history (if it needs it). Backtester only distributes candles (trading system gets onCandle notification). New style is more scalable, but requires TS to configure data subscriptions (in onStart() method).

Hope this helps.

Cheers,

-Mike

On Fri, Oct 23, 2009 at 9:27 AM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,

thanks for the advice.
I have made some changes on that example, to be more similar to the Cric's example, in the attachment.

After this changes the problem noticed in the beginning of this thread has gone, probably because that exceptions was happening on a SeriesSpecification and the Cric's sampel doesn't not use series.

However, it brings me a few questions:
The examples under tradesystem.systems derives from MarketTradeSystemBase, which fires onMarket and deal with CandleSries
Cric's sample and some other examples do not derives from MarketTradeSystemBase, consequently they fire onCandle instead of onMarket, and they deal with InstrumentSpecification instead of SeriesSpecification.

I don't quite understand the differences between these two approaches and when to use one or another. Could you give me an overview or point some documentation, please?

Thanks in advance,
Franklin Samir Dattein

On Thu, Oct 22, 2009 at 7:58 PM, Mike Kroutikov <pgmmpk@...> wrote:
Franklin, I am somewhat puzzled by your code.
It seems to me that Henry's problem was quite different (and he did not post his code, btw).

Yes, MainBacktest, etc classes are familiar. I believe they were submitted by CriC as an example for some bug research.

Yet your code is VERY different. I see that you extend MarketTradeSystemBase, use @Optimize annotations, etc. And apparently expect something to happen in "onMarket" method. Shortly, I do not believe your code has anything to do with aq examples or CriC's sample. Therefore, its incorrect to suggest that aq has a bug. Most likely there is a problem in your code. I suggest starting from existing example (with possible minor changes) and move step-by-step toward the functionality that you need. This way I and others on the list will have a chance to be more helpful.

Regards,

-Mike

On Thu, Oct 22, 2009 at 11:50 AM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,

the exception is the one in the beggining of this email thread:

Exception in thread "main" java.lang.AssertionError: input dates are
out-of-order at org.activequant.util.tools.UniqueDateGenerator.generate(UnknownSource)

I could not found the example on Nabble and I don't remember if the author was you. I still have the code here, it is composed by 4 classes:
MainBacktest
TradeSystemConfig
TradeSystemLogic
YahooBacktestContextConfig.

Do you recognize it?

Thanks,
Franklin Samir Dattein

On Thu, Oct 22, 2009 at 11:09 AM, Mike Kroutikov <pgmmpk@...> wrote:
What is the exception stack?

Can you also add a link to the "Mike's sample posted here in the mailing list"?

-Mike

On Wed, Oct 21, 2009 at 10:14 AM, Franklin S. Dattein <franklin@...> wrote:

Follow the example.

It is based in one of Mike's sample posted here in the mailing list.
I have changed that example to be configured by XML instead of Java and added two stock symbols instead of only one.

Thanks
Franklin Samir Dattein

On Wed, Oct 21, 2009 at 11:58 AM, Mike Kroutikov <pgmmpk@...> wrote:
yes, sources would help

On Wed, Oct 21, 2009 at 8:57 AM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,
Yes, I am putting both series in an ArrayList. That is the code that is causing the exception:

    <bean id="specs" class="java.util.ArrayList">
        <constructor-arg>
            <list>
                <bean id="series1" class="org.activequant.core.domainmodel.SeriesSpecification">
                    <constructor-arg>
                        <bean class="org.activequant.core.domainmodel.InstrumentSpecification">
                            <property name="symbol" value="LAME4.SA" />
                    ...
                        </bean>
                    </constructor-arg>
                    <constructor-arg value="1d"/>
                </bean>
                <bean id="series2" class="org.activequant.core.domainmodel.SeriesSpecification">
                    <constructor-arg>
                        <bean class="org.activequant.core.domainmodel.InstrumentSpecification">
                            <property name="symbol" value="PETR4.SA" />
                   ...
                        </bean>
                    </constructor-arg>
                    <constructor-arg value="1d"/>
                </bean>
            </list>
        </constructor-arg>
    </bean>
##################

After removing one of the SeriesSpecification above, the system works fine.
The data source is YahooCandleSeriesSource.
Could it be caused by an error in the data that comes from Yahoo?

I can zip the system if you think it would help.

Thanks,
Franklin Samir Dattein

On Tue, Oct 20, 2009 at 7:52 PM, Mike Kroutikov <pgmmpk@...> wrote:

Hmm, that is the whole point of the backtester - to cross-sort data coming from different streams (each stream is assumed sorted). I am pretty sure backtester works correctly. This leaves us with the only one possibility - your data is bad. This kind of exception means that one of the streams is not sorted. Are you putting both series in one ArrayList?

-Mike

On Tue, Oct 20, 2009 at 3:41 PM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,
I am running a back test with two SeriesSpecification. My code is based on the DualMovingAverageSystem example.

If the ArrayList contains only one SeriesSpecification there is no trouble. It only happens when I have more than one SeriesSpecification.

By reading the past mail thread I couldn't understand if that is expected. Is that the expected behavior or a bug?

Thanks,
Franklin Samir Dattein

On Tue, Oct 20, 2009 at 5:33 PM, Mike Kroutikov <pgmmpk@...> wrote:
Franklin, what exactly are you doing? Backtester will refuse to merge data streams if any stream has out-of-order items (check your data). If you are trying to re-start the same backtester instance, it also won't work as you have to discard and re-create it after each run....

-Mike

On Tue, Oct 20, 2009 at 2:31 PM, Franklin Dattein <franklin@...> wrote:

I am also facing this error. Since this message is from 2008, I think it has
been already fixed and I am doing something wrong.

Thoughts?

Thanks,
Franklin Dattein

H. Canterburry wrote:
>
> I am running some back tests right now that loop optimization code. It
> seems like I cannot complete a single pass without the following
> exception:
>
> I am streaming everything from a database.
>
> Exception in thread "main" java.lang.AssertionError: input dates are
> out-of-order
> at org.activequant.util.tools.UniqueDateGenerator.generate(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.fireExecution(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.checkOrder(Unknown Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.access$300(Unknown Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker$1.eventFired(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker$1.eventFired(Unknown
> Source)2008-03-05 15:55:22,906 [main] INFO
> [org.activequant.data.util.converter.CandleToTradeIndicationConverter] -
> one candle D : 943070400000000000 O : 42.94 H : 43.0 L : 39.81 C :
> 40.38 V : 1.08971E7 generated 61 trade indications
>
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription.access$200(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription$1.eventFired(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription$1.eventFired(Unknown
> Source)
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription.access$100(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription$1.eventFired(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription$1.eventFired(Unknown
> Source)
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(Unknown
> Source)
> at
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(Unknown
> Source)
> at org.activequant.data.util.ReplayServiceBase.fire(Unknown Source)
> at org.activequant.data.util.MarketDataReplayService.fire(Unknown
> Source)
> at org.activequant.data.util.MarketDataReplayService.fire(Unknown
> Source)
> ...
>
> _______________________________________________
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>
>

> -----
> -HC
>

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Re: input dates are out-of-order Exception

2009-10-23T06:27:31Z

Hi Mike,

thanks for the advice.
I have made some changes on that example, to be more similar to the Cric's example, in the attachment.

After this changes the problem noticed in the beginning of this thread has gone, probably because that exceptions was happening on a SeriesSpecification and the Cric's sampel doesn't not use series.

However, it brings me a few questions:
The examples under tradesystem.systems derives from MarketTradeSystemBase, which fires onMarket and deal with CandleSries
Cric's sample and some other examples do not derives from MarketTradeSystemBase, consequently they fire onCandle instead of onMarket, and they deal with InstrumentSpecification instead of SeriesSpecification.

I don't quite understand the differences between these two approaches and when to use one or another. Could you give me an overview or point some documentation, please?

Thanks in advance,
Franklin Samir Dattein

On Thu, Oct 22, 2009 at 7:58 PM, Mike Kroutikov <pgmmpk@...> wrote:

Franklin, I am somewhat puzzled by your code.
It seems to me that Henry's problem was quite different (and he did not post his code, btw).

Yes, MainBacktest, etc classes are familiar. I believe they were submitted by CriC as an example for some bug research.

Yet your code is VERY different. I see that you extend MarketTradeSystemBase, use @Optimize annotations, etc. And apparently expect something to happen in "onMarket" method. Shortly, I do not believe your code has anything to do with aq examples or CriC's sample. Therefore, its incorrect to suggest that aq has a bug. Most likely there is a problem in your code. I suggest starting from existing example (with possible minor changes) and move step-by-step toward the functionality that you need. This way I and others on the list will have a chance to be more helpful.

Regards,

-Mike

On Thu, Oct 22, 2009 at 11:50 AM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,

the exception is the one in the beggining of this email thread:

Exception in thread "main" java.lang.AssertionError: input dates are
out-of-order at org.activequant.util.tools.UniqueDateGenerator.generate(UnknownSource)

I could not found the example on Nabble and I don't remember if the author was you. I still have the code here, it is composed by 4 classes:
MainBacktest
TradeSystemConfig
TradeSystemLogic
YahooBacktestContextConfig.

Do you recognize it?

Thanks,
Franklin Samir Dattein

On Thu, Oct 22, 2009 at 11:09 AM, Mike Kroutikov <pgmmpk@...> wrote:
What is the exception stack?

Can you also add a link to the "Mike's sample posted here in the mailing list"?

-Mike

On Wed, Oct 21, 2009 at 10:14 AM, Franklin S. Dattein <franklin@...> wrote:

Follow the example.

It is based in one of Mike's sample posted here in the mailing list.
I have changed that example to be configured by XML instead of Java and added two stock symbols instead of only one.

Thanks
Franklin Samir Dattein

On Wed, Oct 21, 2009 at 11:58 AM, Mike Kroutikov <pgmmpk@...> wrote:
yes, sources would help

On Wed, Oct 21, 2009 at 8:57 AM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,
Yes, I am putting both series in an ArrayList. That is the code that is causing the exception:

    <bean id="specs" class="java.util.ArrayList">
        <constructor-arg>
            <list>
                <bean id="series1" class="org.activequant.core.domainmodel.SeriesSpecification">
                    <constructor-arg>
                        <bean class="org.activequant.core.domainmodel.InstrumentSpecification">
                            <property name="symbol" value="LAME4.SA" />
                    ...
                        </bean>
                    </constructor-arg>
                    <constructor-arg value="1d"/>
                </bean>
                <bean id="series2" class="org.activequant.core.domainmodel.SeriesSpecification">
                    <constructor-arg>
                        <bean class="org.activequant.core.domainmodel.InstrumentSpecification">
                            <property name="symbol" value="PETR4.SA" />
                   ...
                        </bean>
                    </constructor-arg>
                    <constructor-arg value="1d"/>
                </bean>
            </list>
        </constructor-arg>
    </bean>
##################

After removing one of the SeriesSpecification above, the system works fine.
The data source is YahooCandleSeriesSource.
Could it be caused by an error in the data that comes from Yahoo?

I can zip the system if you think it would help.

Thanks,
Franklin Samir Dattein

On Tue, Oct 20, 2009 at 7:52 PM, Mike Kroutikov <pgmmpk@...> wrote:

Hmm, that is the whole point of the backtester - to cross-sort data coming from different streams (each stream is assumed sorted). I am pretty sure backtester works correctly. This leaves us with the only one possibility - your data is bad. This kind of exception means that one of the streams is not sorted. Are you putting both series in one ArrayList?

-Mike

On Tue, Oct 20, 2009 at 3:41 PM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,
I am running a back test with two SeriesSpecification. My code is based on the DualMovingAverageSystem example.

If the ArrayList contains only one SeriesSpecification there is no trouble. It only happens when I have more than one SeriesSpecification.

By reading the past mail thread I couldn't understand if that is expected. Is that the expected behavior or a bug?

Thanks,
Franklin Samir Dattein

On Tue, Oct 20, 2009 at 5:33 PM, Mike Kroutikov <pgmmpk@...> wrote:
Franklin, what exactly are you doing? Backtester will refuse to merge data streams if any stream has out-of-order items (check your data). If you are trying to re-start the same backtester instance, it also won't work as you have to discard and re-create it after each run....

-Mike

On Tue, Oct 20, 2009 at 2:31 PM, Franklin Dattein <franklin@...> wrote:

I am also facing this error. Since this message is from 2008, I think it has
been already fixed and I am doing something wrong.

Thoughts?

Thanks,
Franklin Dattein

H. Canterburry wrote:
>
> I am running some back tests right now that loop optimization code. It
> seems like I cannot complete a single pass without the following
> exception:
>
> I am streaming everything from a database.
>
> Exception in thread "main" java.lang.AssertionError: input dates are
> out-of-order
> at org.activequant.util.tools.UniqueDateGenerator.generate(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.fireExecution(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.checkOrder(Unknown Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.access$300(Unknown Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker$1.eventFired(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker$1.eventFired(Unknown
> Source)2008-03-05 15:55:22,906 [main] INFO
> [org.activequant.data.util.converter.CandleToTradeIndicationConverter] -
> one candle D : 943070400000000000 O : 42.94 H : 43.0 L : 39.81 C :
> 40.38 V : 1.08971E7 generated 61 trade indications
>
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription.access$200(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription$1.eventFired(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription$1.eventFired(Unknown
> Source)
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription.access$100(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription$1.eventFired(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription$1.eventFired(Unknown
> Source)
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(Unknown
> Source)
> at
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(Unknown
> Source)
> at org.activequant.data.util.ReplayServiceBase.fire(Unknown Source)
> at org.activequant.data.util.MarketDataReplayService.fire(Unknown
> Source)
> at org.activequant.data.util.MarketDataReplayService.fire(Unknown
> Source)
> ...
>
> _______________________________________________
> ccapi mailing list
> ccapi@...
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>
>

> -----
> -HC
>

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aqt-example.zip (7K) Download Attachment

Re: How to enable parameters optimization?

2009-10-22T22:47:19Z

Hi Franklin,

You have to use a special optimizer, and in there make sure to handle these optimize annotations. I remember we had a very simple one in the past, but this feature is widely underdeveloped. However, there are some efforts to spend more time on these features.

For your attention, we rarely do this, but consider contacting us, the coreteam directly, as this is something that is worked on already underground.

Kind regards,
Ulrich

On Thu, Oct 22, 2009 at 9:03 PM, Franklin S. Dattein <franklin@...> wrote:

Hi list,

I am playing with a simple SMA system and I have added the @Optimize annotations to my attribute, just like in the examples.

However, the parameters have never changed.
Should I use a special runner or replay service?

Att,
Franklin Samir Dattein

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Re: input dates are out-of-order Exception

2009-10-22T14:58:39Z

Franklin, I am somewhat puzzled by your code.

It seems to me that Henry's problem was quite different (and he did not post his code, btw).

Yes, MainBacktest, etc classes are familiar. I believe they were submitted by CriC as an example for some bug research.

Yet your code is VERY different. I see that you extend MarketTradeSystemBase, use @Optimize annotations, etc. And apparently expect something to happen in "onMarket" method. Shortly, I do not believe your code has anything to do with aq examples or CriC's sample. Therefore, its incorrect to suggest that aq has a bug. Most likely there is a problem in your code. I suggest starting from existing example (with possible minor changes) and move step-by-step toward the functionality that you need. This way I and others on the list will have a chance to be more helpful.

Regards,

-Mike

On Thu, Oct 22, 2009 at 11:50 AM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,

the exception is the one in the beggining of this email thread:

Exception in thread "main" java.lang.AssertionError: input dates are
out-of-order at org.activequant.util.tools.UniqueDateGenerator.generate(UnknownSource)

I could not found the example on Nabble and I don't remember if the author was you. I still have the code here, it is composed by 4 classes:
MainBacktest
TradeSystemConfig
TradeSystemLogic
YahooBacktestContextConfig.

Do you recognize it?

Thanks,
Franklin Samir Dattein

On Thu, Oct 22, 2009 at 11:09 AM, Mike Kroutikov <pgmmpk@...> wrote:
What is the exception stack?

Can you also add a link to the "Mike's sample posted here in the mailing list"?

-Mike

On Wed, Oct 21, 2009 at 10:14 AM, Franklin S. Dattein <franklin@...> wrote:

Follow the example.

It is based in one of Mike's sample posted here in the mailing list.
I have changed that example to be configured by XML instead of Java and added two stock symbols instead of only one.

Thanks
Franklin Samir Dattein

On Wed, Oct 21, 2009 at 11:58 AM, Mike Kroutikov <pgmmpk@...> wrote:
yes, sources would help

On Wed, Oct 21, 2009 at 8:57 AM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,
Yes, I am putting both series in an ArrayList. That is the code that is causing the exception:

    <bean id="specs" class="java.util.ArrayList">
        <constructor-arg>
            <list>
                <bean id="series1" class="org.activequant.core.domainmodel.SeriesSpecification">
                    <constructor-arg>
                        <bean class="org.activequant.core.domainmodel.InstrumentSpecification">
                            <property name="symbol" value="LAME4.SA" />
                    ...
                        </bean>
                    </constructor-arg>
                    <constructor-arg value="1d"/>
                </bean>
                <bean id="series2" class="org.activequant.core.domainmodel.SeriesSpecification">
                    <constructor-arg>
                        <bean class="org.activequant.core.domainmodel.InstrumentSpecification">
                            <property name="symbol" value="PETR4.SA" />
                   ...
                        </bean>
                    </constructor-arg>
                    <constructor-arg value="1d"/>
                </bean>
            </list>
        </constructor-arg>
    </bean>
##################

After removing one of the SeriesSpecification above, the system works fine.
The data source is YahooCandleSeriesSource.
Could it be caused by an error in the data that comes from Yahoo?

I can zip the system if you think it would help.

Thanks,
Franklin Samir Dattein

On Tue, Oct 20, 2009 at 7:52 PM, Mike Kroutikov <pgmmpk@...> wrote:

Hmm, that is the whole point of the backtester - to cross-sort data coming from different streams (each stream is assumed sorted). I am pretty sure backtester works correctly. This leaves us with the only one possibility - your data is bad. This kind of exception means that one of the streams is not sorted. Are you putting both series in one ArrayList?

-Mike

On Tue, Oct 20, 2009 at 3:41 PM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,
I am running a back test with two SeriesSpecification. My code is based on the DualMovingAverageSystem example.

If the ArrayList contains only one SeriesSpecification there is no trouble. It only happens when I have more than one SeriesSpecification.

By reading the past mail thread I couldn't understand if that is expected. Is that the expected behavior or a bug?

Thanks,
Franklin Samir Dattein

On Tue, Oct 20, 2009 at 5:33 PM, Mike Kroutikov <pgmmpk@...> wrote:
Franklin, what exactly are you doing? Backtester will refuse to merge data streams if any stream has out-of-order items (check your data). If you are trying to re-start the same backtester instance, it also won't work as you have to discard and re-create it after each run....

-Mike

On Tue, Oct 20, 2009 at 2:31 PM, Franklin Dattein <franklin@...> wrote:

I am also facing this error. Since this message is from 2008, I think it has
been already fixed and I am doing something wrong.

Thoughts?

Thanks,
Franklin Dattein

H. Canterburry wrote:
>
> I am running some back tests right now that loop optimization code. It
> seems like I cannot complete a single pass without the following
> exception:
>
> I am streaming everything from a database.
>
> Exception in thread "main" java.lang.AssertionError: input dates are
> out-of-order
> at org.activequant.util.tools.UniqueDateGenerator.generate(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.fireExecution(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.checkOrder(Unknown Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.access$300(Unknown Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker$1.eventFired(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker$1.eventFired(Unknown
> Source)2008-03-05 15:55:22,906 [main] INFO
> [org.activequant.data.util.converter.CandleToTradeIndicationConverter] -
> one candle D : 943070400000000000 O : 42.94 H : 43.0 L : 39.81 C :
> 40.38 V : 1.08971E7 generated 61 trade indications
>
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription.access$200(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription$1.eventFired(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription$1.eventFired(Unknown
> Source)
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription.access$100(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription$1.eventFired(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription$1.eventFired(Unknown
> Source)
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(Unknown
> Source)
> at
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(Unknown
> Source)
> at org.activequant.data.util.ReplayServiceBase.fire(Unknown Source)
> at org.activequant.data.util.MarketDataReplayService.fire(Unknown
> Source)
> at org.activequant.data.util.MarketDataReplayService.fire(Unknown
> Source)
> ...
>
> _______________________________________________
> ccapi mailing list
> ccapi@...
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>
>

> -----
> -HC
>

--
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How to enable parameters optimization?

2009-10-22T12:03:19Z

Hi list,

I am playing with a simple SMA system and I have added the @Optimize annotations to my attribute, just like in the examples.

However, the parameters have never changed.
Should I use a special runner or replay service?

Att,
Franklin Samir Dattein

_______________________________________________
ccapi mailing list
ccapi@...
http://activestocks.de/cgi-bin/mailman/listinfo/ccapi

Re: input dates are out-of-order Exception

2009-10-22T08:50:31Z

Hi Mike,

the exception is the one in the beggining of this email thread:
Exception in thread "main" java.lang.AssertionError: input dates are
out-of-order at org.activequant.util.tools.UniqueDateGenerator.generate(UnknownSource)

I could not found the example on Nabble and I don't remember if the author was you. I still have the code here, it is composed by 4 classes:
MainBacktest
TradeSystemConfig
TradeSystemLogic
YahooBacktestContextConfig.

Do you recognize it?

Thanks,
Franklin Samir Dattein

On Thu, Oct 22, 2009 at 11:09 AM, Mike Kroutikov <pgmmpk@...> wrote:

What is the exception stack?

Can you also add a link to the "Mike's sample posted here in the mailing list"?

-Mike

On Wed, Oct 21, 2009 at 10:14 AM, Franklin S. Dattein <franklin@...> wrote:

Follow the example.

It is based in one of Mike's sample posted here in the mailing list.
I have changed that example to be configured by XML instead of Java and added two stock symbols instead of only one.

Thanks
Franklin Samir Dattein

On Wed, Oct 21, 2009 at 11:58 AM, Mike Kroutikov <pgmmpk@...> wrote:
yes, sources would help

On Wed, Oct 21, 2009 at 8:57 AM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,
Yes, I am putting both series in an ArrayList. That is the code that is causing the exception:

    <bean id="specs" class="java.util.ArrayList">
        <constructor-arg>
            <list>
                <bean id="series1" class="org.activequant.core.domainmodel.SeriesSpecification">
                    <constructor-arg>
                        <bean class="org.activequant.core.domainmodel.InstrumentSpecification">
                            <property name="symbol" value="LAME4.SA" />
                    ...
                        </bean>
                    </constructor-arg>
                    <constructor-arg value="1d"/>
                </bean>
                <bean id="series2" class="org.activequant.core.domainmodel.SeriesSpecification">
                    <constructor-arg>
                        <bean class="org.activequant.core.domainmodel.InstrumentSpecification">
                            <property name="symbol" value="PETR4.SA" />
                   ...
                        </bean>
                    </constructor-arg>
                    <constructor-arg value="1d"/>
                </bean>
            </list>
        </constructor-arg>
    </bean>
##################

After removing one of the SeriesSpecification above, the system works fine.
The data source is YahooCandleSeriesSource.
Could it be caused by an error in the data that comes from Yahoo?

I can zip the system if you think it would help.

Thanks,
Franklin Samir Dattein

On Tue, Oct 20, 2009 at 7:52 PM, Mike Kroutikov <pgmmpk@...> wrote:

Hmm, that is the whole point of the backtester - to cross-sort data coming from different streams (each stream is assumed sorted). I am pretty sure backtester works correctly. This leaves us with the only one possibility - your data is bad. This kind of exception means that one of the streams is not sorted. Are you putting both series in one ArrayList?

-Mike

On Tue, Oct 20, 2009 at 3:41 PM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,
I am running a back test with two SeriesSpecification. My code is based on the DualMovingAverageSystem example.

If the ArrayList contains only one SeriesSpecification there is no trouble. It only happens when I have more than one SeriesSpecification.

By reading the past mail thread I couldn't understand if that is expected. Is that the expected behavior or a bug?

Thanks,
Franklin Samir Dattein

On Tue, Oct 20, 2009 at 5:33 PM, Mike Kroutikov <pgmmpk@...> wrote:
Franklin, what exactly are you doing? Backtester will refuse to merge data streams if any stream has out-of-order items (check your data). If you are trying to re-start the same backtester instance, it also won't work as you have to discard and re-create it after each run....

-Mike

On Tue, Oct 20, 2009 at 2:31 PM, Franklin Dattein <franklin@...> wrote:

I am also facing this error. Since this message is from 2008, I think it has
been already fixed and I am doing something wrong.

Thoughts?

Thanks,
Franklin Dattein

H. Canterburry wrote:
>
> I am running some back tests right now that loop optimization code. It
> seems like I cannot complete a single pass without the following
> exception:
>
> I am streaming everything from a database.
>
> Exception in thread "main" java.lang.AssertionError: input dates are
> out-of-order
> at org.activequant.util.tools.UniqueDateGenerator.generate(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.fireExecution(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.checkOrder(Unknown Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.access$300(Unknown Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker$1.eventFired(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker$1.eventFired(Unknown
> Source)2008-03-05 15:55:22,906 [main] INFO
> [org.activequant.data.util.converter.CandleToTradeIndicationConverter] -
> one candle D : 943070400000000000 O : 42.94 H : 43.0 L : 39.81 C :
> 40.38 V : 1.08971E7 generated 61 trade indications
>
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription.access$200(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription$1.eventFired(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription$1.eventFired(Unknown
> Source)
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription.access$100(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription$1.eventFired(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription$1.eventFired(Unknown
> Source)
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(Unknown
> Source)
> at
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(Unknown
> Source)
> at org.activequant.data.util.ReplayServiceBase.fire(Unknown Source)
> at org.activequant.data.util.MarketDataReplayService.fire(Unknown
> Source)
> at org.activequant.data.util.MarketDataReplayService.fire(Unknown
> Source)
> ...
>
> _______________________________________________
> ccapi mailing list
> ccapi@...
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>
>

> -----
> -HC
>

--
View this message in context: http://www.nabble.com/input-dates-are-out-of-order-Exception-tp15861447p25980196.html
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Re: input dates are out-of-order Exception

2009-10-22T06:09:01Z

What is the exception stack?

Can you also add a link to the "Mike's sample posted here in the mailing list"?

-Mike

On Wed, Oct 21, 2009 at 10:14 AM, Franklin S. Dattein <franklin@...> wrote:

Follow the example.

It is based in one of Mike's sample posted here in the mailing list.
I have changed that example to be configured by XML instead of Java and added two stock symbols instead of only one.

Thanks
Franklin Samir Dattein

On Wed, Oct 21, 2009 at 11:58 AM, Mike Kroutikov <pgmmpk@...> wrote:
yes, sources would help

On Wed, Oct 21, 2009 at 8:57 AM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,
Yes, I am putting both series in an ArrayList. That is the code that is causing the exception:

    <bean id="specs" class="java.util.ArrayList">
        <constructor-arg>
            <list>
                <bean id="series1" class="org.activequant.core.domainmodel.SeriesSpecification">
                    <constructor-arg>
                        <bean class="org.activequant.core.domainmodel.InstrumentSpecification">
                            <property name="symbol" value="LAME4.SA" />
                    ...
                        </bean>
                    </constructor-arg>
                    <constructor-arg value="1d"/>
                </bean>
                <bean id="series2" class="org.activequant.core.domainmodel.SeriesSpecification">
                    <constructor-arg>
                        <bean class="org.activequant.core.domainmodel.InstrumentSpecification">
                            <property name="symbol" value="PETR4.SA" />
                   ...
                        </bean>
                    </constructor-arg>
                    <constructor-arg value="1d"/>
                </bean>
            </list>
        </constructor-arg>
    </bean>
##################

After removing one of the SeriesSpecification above, the system works fine.
The data source is YahooCandleSeriesSource.
Could it be caused by an error in the data that comes from Yahoo?

I can zip the system if you think it would help.

Thanks,
Franklin Samir Dattein

On Tue, Oct 20, 2009 at 7:52 PM, Mike Kroutikov <pgmmpk@...> wrote:

Hmm, that is the whole point of the backtester - to cross-sort data coming from different streams (each stream is assumed sorted). I am pretty sure backtester works correctly. This leaves us with the only one possibility - your data is bad. This kind of exception means that one of the streams is not sorted. Are you putting both series in one ArrayList?

-Mike

On Tue, Oct 20, 2009 at 3:41 PM, Franklin S. Dattein <franklin@...> wrote:

Hi Mike,
I am running a back test with two SeriesSpecification. My code is based on the DualMovingAverageSystem example.

If the ArrayList contains only one SeriesSpecification there is no trouble. It only happens when I have more than one SeriesSpecification.

By reading the past mail thread I couldn't understand if that is expected. Is that the expected behavior or a bug?

Thanks,
Franklin Samir Dattein

On Tue, Oct 20, 2009 at 5:33 PM, Mike Kroutikov <pgmmpk@...> wrote:
Franklin, what exactly are you doing? Backtester will refuse to merge data streams if any stream has out-of-order items (check your data). If you are trying to re-start the same backtester instance, it also won't work as you have to discard and re-create it after each run....

-Mike

On Tue, Oct 20, 2009 at 2:31 PM, Franklin Dattein <franklin@...> wrote:

I am also facing this error. Since this message is from 2008, I think it has
been already fixed and I am doing something wrong.

Thoughts?

Thanks,
Franklin Dattein

H. Canterburry wrote:
>
> I am running some back tests right now that loop optimization code. It
> seems like I cannot complete a single pass without the following
> exception:
>
> I am streaming everything from a database.
>
> Exception in thread "main" java.lang.AssertionError: input dates are
> out-of-order
> at org.activequant.util.tools.UniqueDateGenerator.generate(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.fireExecution(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.checkOrder(Unknown Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker.access$300(Unknown Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker$1.eventFired(Unknown
> Source)
> at
> org.activequant.broker.PaperBroker$OrderTracker$1.eventFired(Unknown
> Source)2008-03-05 15:55:22,906 [main] INFO
> [org.activequant.data.util.converter.CandleToTradeIndicationConverter] -
> one candle D : 943070400000000000 O : 42.94 H : 43.0 L : 39.81 C :
> 40.38 V : 1.08971E7 generated 61 trade indications
>
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription.access$200(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription$1.eventFired(Unknown
> Source)
> at
> org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter$QuoteSubscription$1.eventFired(Unknown
> Source)
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription.access$100(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription$1.eventFired(Unknown
> Source)
> at
> org.activequant.data.util.converter.CandleToTradeIndicationConverter$CandleSubscription$1.eventFired(Unknown
> Source)
> at org.activequant.util.pattern.events.Event.fire(Unknown Source)
> at
> org.activequant.data.retrieval.SubscriptionSourceBase$Subscription.fireEvent(Unknown
> Source)
> at
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(Unknown
> Source)
> at
> org.activequant.data.util.ReplayServiceBase$DispatchingSubscription.fire(Unknown
> Source)
> at org.activequant.data.util.ReplayServiceBase.fire(Unknown Source)
> at org.activequant.data.util.MarketDataReplayService.fire(Unknown
> Source)
> at org.activequant.data.util.MarketDataReplayService.fire(Unknown
> Source)
> ...
>
> _______________________________________________
> ccapi mailing list
> ccapi@...
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>
>

> -----
> -HC
>

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