fixed historical data retrieval via yahoofinance-api

.classpath

@@ -0,0 +1,7 @@
+<?xml version="1.0" encoding="UTF-8"?>
+<classpath>
+	<classpathentry kind="src" path="src/main/java"/>
+	<classpathentry kind="con" path="org.eclipse.jdt.launching.JRE_CONTAINER/org.eclipse.jdt.internal.debug.ui.launcher.StandardVMType/JavaSE-1.8"/>
+	<classpathentry kind="con" path="org.eclipse.buildship.core.gradleclasspathcontainer"/>
+	<classpathentry kind="output" path="bin"/>
+</classpath>

.gitignore

@@ -79,3 +79,4 @@ com_crashlytics_export_strings.xml
 crashlytics.properties
 crashlytics-build.properties
 fabric.properties
+/bin/

.project

@@ -0,0 +1,23 @@
+<?xml version="1.0" encoding="UTF-8"?>
+<projectDescription>
+	<name>trading-backtest</name>
+	<comment></comment>
+	<projects>
+	</projects>
+	<buildSpec>
+		<buildCommand>
+			<name>org.eclipse.buildship.core.gradleprojectbuilder</name>
+			<arguments>
+			</arguments>
+		</buildCommand>
+		<buildCommand>
+			<name>org.eclipse.jdt.core.javabuilder</name>
+			<arguments>
+			</arguments>
+		</buildCommand>
+	</buildSpec>
+	<natures>
+		<nature>org.eclipse.buildship.core.gradleprojectnature</nature>
+		<nature>org.eclipse.jdt.core.javanature</nature>
+	</natures>
+</projectDescription>

.settings/org.eclipse.buildship.core.prefs

@@ -0,0 +1,2 @@
+connection.project.dir=
+eclipse.preferences.version=1

build.gradle

@@ -25,6 +25,8 @@ dependencies {
 
     compile 'org.slf4j:slf4j-api:1.7.+'
     compile 'ch.qos.logback:logback-classic:1.+'
+
+    compile group: 'com.yahoofinance-api', name: 'YahooFinanceAPI', version: '3.13.0'
 
     testCompile group: 'junit', name: 'junit', version: '4.11'
 }

src/main/java/org/lst/trading/lib/util/HistoricalPriceService.java

@@ -1,8 +1,7 @@
 package org.lst.trading.lib.util;
 
 import org.lst.trading.lib.series.DoubleSeries;
-import rx.Observable;
 
 public interface HistoricalPriceService {
-    Observable<DoubleSeries> getHistoricalAdjustedPrices(String symbol);
+    DoubleSeries getHistoricalAdjustedPrices(String symbol);
 }

src/main/java/org/lst/trading/lib/util/yahoo/YahooFinanceService.java

@@ -0,0 +1,68 @@
+package org.lst.trading.lib.util.yahoo;
+
+import java.io.FileNotFoundException;
+import java.math.BigDecimal;
+import java.net.SocketTimeoutException;
+import java.util.Calendar;
+import java.util.Date;
+import java.util.List;
+
+import org.lst.trading.lib.series.DoubleSeries;
+import org.lst.trading.lib.series.TimeSeries.Entry;
+import org.lst.trading.lib.util.HistoricalPriceService;
+import org.slf4j.Logger;
+import org.slf4j.LoggerFactory;
+
+import yahoofinance.Stock;
+import yahoofinance.YahooFinance;
+import yahoofinance.histquotes.HistoricalQuote;
+import yahoofinance.histquotes.Interval;
+
+public class YahooFinanceService implements HistoricalPriceService {
+
+    private static final Logger log = LoggerFactory.getLogger(YahooFinanceService.class);
+
+    private static final int DAYS_OF_HISTORY = 2520;
+
+    @Override 
+    public DoubleSeries getHistoricalAdjustedPrices(String symbol) {
+        return getHistory(symbol, DAYS_OF_HISTORY);
+    }
+
+	public DoubleSeries getHistory(String symbol, int daysBack) {
+		DoubleSeries doubleSeries = new DoubleSeries(symbol);
+
+		try {
+			Calendar from = Calendar.getInstance();
+			from.add(Calendar.DAY_OF_MONTH, -daysBack);
+
+			Stock stock = YahooFinance.get(symbol);
+			//[n] is the most current, [0] is the last in history
+			List<HistoricalQuote> historicalQuotes = stock.getHistory(from, Interval.DAILY);
+
+			for (HistoricalQuote historicalQuote : historicalQuotes) {
+				BigDecimal open = historicalQuote.getOpen();
+				BigDecimal high = historicalQuote.getHigh();
+				BigDecimal low = historicalQuote.getLow();
+				BigDecimal close = historicalQuote.getClose();
+				BigDecimal adjClose = historicalQuote.getAdjClose();
+				Date time = historicalQuote.getDate().getTime();
+
+				if (open == null || high == null || low == null || close == null || adjClose == null) {
+					log.error(symbol + " " + time + " has missing data: " + open + ", " + high + ", " + low + ", " + close + ", " + adjClose);
+					continue;
+				}
+
+				doubleSeries.add(new Entry<Double>(adjClose.doubleValue(), time.toInstant()));
+			}
+		} catch (FileNotFoundException e) {
+			log.error("no such symbol: " + symbol);
+		} catch (SocketTimeoutException e) {
+			log.error("network error: " + symbol);
+		} catch (Exception e) {
+			e.printStackTrace();
+		}
+
+		return doubleSeries;
+	}
+}

src/main/java/org/lst/trading/main/BacktestMain.java

@@ -1,19 +1,19 @@
 package org.lst.trading.main;
 
+import static java.lang.String.format;
+
+import java.io.IOException;
+import java.net.URISyntaxException;
+import java.util.Locale;
+
 import org.lst.trading.lib.backtest.Backtest;
 import org.lst.trading.lib.model.ClosedOrder;
 import org.lst.trading.lib.model.TradingStrategy;
 import org.lst.trading.lib.series.MultipleDoubleSeries;
 import org.lst.trading.lib.util.Util;
-import org.lst.trading.lib.util.yahoo.YahooFinance;
+import org.lst.trading.lib.util.yahoo.YahooFinanceService;
 import org.lst.trading.main.strategy.kalman.CointegrationTradingStrategy;
 
-import java.io.IOException;
-import java.net.URISyntaxException;
-import java.util.Locale;
-
-import static java.lang.String.format;
-
 public class BacktestMain {
     public static void main(String[] args) throws URISyntaxException, IOException {
         String x = "GLD";
@@ -23,8 +23,8 @@ public static void main(String[] args) throws URISyntaxException, IOException {
         TradingStrategy strategy = new CointegrationTradingStrategy(x, y);
 
         // download historical prices
-        YahooFinance finance = new YahooFinance();
-        MultipleDoubleSeries priceSeries = new MultipleDoubleSeries(finance.getHistoricalAdjustedPrices(x).toBlocking().first(), finance.getHistoricalAdjustedPrices(y).toBlocking().first());
+        YahooFinanceService finance = new YahooFinanceService();
+        MultipleDoubleSeries priceSeries = new MultipleDoubleSeries(finance.getHistoricalAdjustedPrices(x), finance.getHistoricalAdjustedPrices(y));
 
         // initialize the backtesting engine
         int deposit = 15000;