@TimOlson: I got the same problem, too. I can execute drools rule sets with included java to access a depth, or so. But I'd like to get rid of this java for several reasons. The syntax (especially for the BigDecimal based prices and amounts) is ugly. I wanted use (and started just a bit) an antlr grammar for a trading language. I thought the advantage would be, that it's not just a definition of a language, but you can use it immediately to create your own compiler just by adding statements to the production to create code for esper or drools. I have to admit, that I've not heard about esper before your posting, so I cannot really comment yet how good it is for this purpose.

@benjyz: in my solution this class is a TradeSite

https://github.com/ReAzem/cryptocoin-tradelib/blob/master/core/src/de/andreas_rueckert/trade/site/TradeSite.java

but: you should never access a trade site directly! Most of them have strict rules how often you are allowed to make requests per second/minute/. Problem is, that you might have x bots running and you don't know what bot requests which data at which time. That's why I have a central ChartProvider class (not complete though), that controls those requests and also caches the results, so 2 bots requesting the depth for pair ab might actually only trigger 1 request to the actual exchange.

I also have situations in which a strategy applies to x exchanges or loops over all the exchanges to check for a certain condition.