_wrap.strategy(MarketData, ['Market data'],
""" A Strategy that allows to drive the asset price based on historical market data
by creating large volume orders for the given price.
Every time step of 1 in the simulation corresponds to a 1 day in the market data.
At each time step the previous Limit Buy/Sell orders are cancelled and new ones
are created based on the next price of the market data.
|ticker|
Ticker of the asset
|start|
Start date in DD-MM-YYYY format
|end|
End date in DD-MM-YYYY format
|delta|
Price difference between orders placed and underlying quotes
|volume|
Volume of Buy/Sell orders. Should be large compared to the volumes of other traders.
""",
[ ('ticker', '"^GSPC"', 'str'),
('start', '"2001-1-1"', 'str'),
('end', '"2010-1-1"', 'str'),
('delta', '1', 'positive'),
('volume', '1000', 'Volume')], globals())
class MarketMaker(types.ISingleAssetStrategy):
def getImpl(self):
volumeTraded = observable.VolumeTraded(trader.SingleProxy())
return Array([
Generic(
order.factory.Iceberg(
ops.constant(10),
order.factory.FloatingPrice(
BreaksAtChanges(
observable.OnEveryDt(
0.9,
parts.price.SafeSidePrice(Queue(orderbook.OfTrader(), ops.constant(side)), ops.constant(100 + sign))\
/ ops.Exp(ops.Atan(volumeTraded) / 1000)
)),
order._limit.Price_Factory(
side = const(side),
volume = const(self.volume * 1000000)))),
event.After(ops.constant(0)))\
for side, sign in {Side.Buy : -1, Side.Sell : 1}.iteritems()
])
_wrap.strategy(MarketMaker, ['Market maker'],
"""
|volume|
Volume of Buy/Sell orders. Should be large compared to the volumes of other traders.
""",
[ ('volume', '20.', 'Volume') ], globals())
