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run.py
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run.py
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from BSE import market_session
from BSE import Trader
import math,sys,pdb
from utils.trader_utils import wipe_trader_files
from utils import simulation_utils
store_traders = False
dump_all = False
vary_parameters = False
tests = False
evolution = False
knock_out = True
store_profits = False
store_trader_orders = False
store_lob_orders = False
start_time = 0
# For simulation
n_rnds = 2
durationmodes = {'short':150,'medium':450,'long':700}
dmodes = ['short','medium','long']
stepmodes = ['fixed', 'random', 'jittered']
timemodes = ['periodic', 'drip-fixed', 'drip-jitter','drip-poisson']
default = [['GVWY','SHVR','ZIC','ZIP','AA','AAA'],10,5,durationmodes['medium'],'jittered','drip-fixed']
# schedule_offsetfn returns time-dependent offset on schedule prices
def schedule_offsetfn(t):
pi2 = math.pi * 2
c = math.pi * 3000
wavelength = t / c
gradient = 100 * t / (c / pi2)
amplitude = 100 * t / (c / pi2)
offset = gradient + amplitude * math.sin(wavelength * t)
return int(round(offset, 0))
def run_standard_simulation(n_trials,end_time, traders_spec, order_sched,m):
wipe_trader_files(evolution)
tdump=open('output/avg_balance'+str(m)+'.csv','w')
#tdump.write(end_time, order_sched['sup'][0]['stepmode'], order_sched['timemode'])
trial = 1
while (trial<(n_trials+1)):
trial_id = 'trial%04d' % trial
market_session(trial_id, start_time, end_time, traders_spec, order_sched, tdump, dump_all,store_traders,store_profits,store_lob_orders,store_trader_orders)
tdump.flush()
trial = trial + 1
print trial_id + " done!"
tdump.close()
#sys.exit('Done Now')
def run_evolution_simulation(n_trials,end_time, traders_spec, order_sched, knock_out,rnd):
wipe_trader_files(evolution)
tdump=open('output/avg_balance.csv','w')
trader_types = []
counts = []
for (trader,count) in traders_spec['buyers']:
trader_types.append(trader)
counts.append(count)
evolution_output = [counts]
trial = 1
while (trial<(n_trials+1)):
trial_id = 'trial%04d' % trial
traders = market_session(trial_id, start_time, end_time, traders_spec, order_sched, tdump, dump_all,store_traders,store_profits,store_lob_orders,store_trader_orders)
best_balance = -float('inf')
worst_balance = float('inf')
for trader in traders.values():
if trader.balance > best_balance:
best_trader = trader.tid
best_balance = trader.balance
elif trader.balance < worst_balance:
worst_trader = trader.tid
worst_balance = trader.balance
i = 0
counts = []
number_still_in = 0
for (trader,count) in traders_spec['buyers']:
if not knock_out and trader == traders[best_trader].ttype:
count += 1
if trader == traders[worst_trader].ttype:
count -= 1
if count > 0:
number_still_in += 1
traders_spec['buyers'][i] = (trader,count)
counts.append(count)
i += 1
evolution_output.append(counts)
if number_still_in == 1:
break
traders_spec['sellers'] = traders_spec['buyers']
# traders_spec = {'sellers':sellers_spec, 'buyers':buyers_spec}
# tdump.flush()
print str(trial) + " done!"
trial = trial + 1
simulation_utils.store_simulation_data(trader_types,evolution_output,rnd)
tdump.close()
def runAAvsAll():
traders = ['GVWY','SHVR','ZIP','AA']
trader_count = 9
n_trials = 1
end_time = durationmodes['medium']
stepmode = 'jittered'
timemode = 'drip-fixed'
settings = (traders, trader_count, n_trials, end_time, stepmode, timemode)
run_with_settings(settings,1)
def runAAvsAA():
traders = ['AA']
trader_count = 9
n_trials = 1
end_time = durationmodes['medium']
stepmode = 'jittered'
timemode = 'drip-fixed'
settings = (traders, trader_count, n_trials, end_time, stepmode, timemode)
run_with_settings(settings,1)
def runAAAvsAAA():
traders = ['AAA']
trader_count = 9
n_trials = 1
end_time = durationmodes['medium']
stepmode = 'jittered'
timemode = 'drip-fixed'
settings = (traders, trader_count, n_trials, end_time, stepmode, timemode)
run_with_settings(settings,1)
def runAAAvsAll():
traders = ['GVWY','SHVR','ZIP','AAA']
trader_count = 9
n_trials = 1
end_time = durationmodes['medium']
stepmode = 'jittered'
timemode = 'drip-fixed'
settings = (traders, trader_count, n_trials, end_time, stepmode, timemode)
run_with_settings(settings,1)
def runtest1():
traders = ['GVWY','SHVR','ZIP','AA']
trader_count = 30
n_trials = 25
end_time = 150
stepmode = 'fixed'
timemode = 'periodic'
settings = (traders, trader_count, n_trials, end_time, stepmode, timemode)
run_with_settings(settings,1)
def runtest6():
traders = ['GVWY','SHVR','ZIP','AA','AAA']
trader_count = 30
n_trials = 25
end_time = 150
stepmode = 'fixed'
timemode = 'periodic'
settings = (traders, trader_count, n_trials, end_time, stepmode, timemode)
run_with_settings(settings,6)
def runtest7():
traders = ['GVWY','SHVR','ZIP','AA','AAA']
trader_count = 30
n_trials = 25
end_time = 450
stepmode = 'random'
timemode = 'drip-jitter'
settings = (traders, trader_count, n_trials, end_time, stepmode, timemode)
run_with_settings(settings,7)
def runtest8():
traders = ['GVWY','SHVR','ZIP','AA','AAA']
trader_count = 30
n_trials = 25
end_time = 700
stepmode = 'jittered'
timemode = 'drip-fixed'
settings = (traders, trader_count, n_trials, end_time, stepmode, timemode)
run_with_settings(settings,8)
def runtest9():
traders = ['GVWY','SHVR','ZIP','AA','AAA']
trader_count = 30
n_trials = 25
end_time = 700
stepmode = 'jittered'
timemode = 'periodic'
settings = (traders, trader_count, n_trials, end_time, stepmode, timemode)
run_with_settings(settings,9)
def runtest10():
traders = ['GVWY','SHVR','ZIP','AA','AAA']
trader_count = 30
n_trials = 25
end_time = 700
stepmode = 'fixed'
timemode = 'drip-poisson'
settings = (traders, trader_count, n_trials, end_time, stepmode, timemode)
run_with_settings(settings,10)
def run_with_settings(settings,m):
(traders, trader_count, n_trials, end_time, stepmode, timemode) = settings
# print m, end_time, stepmode, timemode
duration = end_time - start_time
range1 = (95, 95, schedule_offsetfn)
supply_schedule = [ {'from':start_time, 'to':end_time, 'ranges':[range1], 'stepmode':stepmode}]
range2 = (105, 105, schedule_offsetfn)
demand_schedule = [ {'from':start_time, 'to':end_time, 'ranges':[range2], 'stepmode':stepmode}]
order_sched = {'sup':supply_schedule, 'dem':demand_schedule, 'interval':30, 'timemode':timemode}
buyers_spec = [(trader,trader_count) for trader in traders]
# buyers_spec = [('GVWY',trader_count),('SHVR',trader_count),('ZIC',trader_count),('ZIP',trader_count),('AA',trader_count)]
sellers_spec = buyers_spec
traders_spec = {'sellers':sellers_spec, 'buyers':buyers_spec}
if evolution:
rnd = 1
while (rnd<(n_rnds+1)):
buyers_spec = [(trader,trader_count) for trader in traders]
sellers_spec = buyers_spec
traders_spec = {'sellers':sellers_spec, 'buyers':buyers_spec}
run_evolution_simulation(n_trials,end_time, traders_spec, order_sched, knock_out, rnd)
rnd += 1
else:
run_standard_simulation(n_trials,end_time, traders_spec, order_sched, m)
def run_parameter_tests():
trader_count = 9
traders = ['GVWY','SHVR','ZIC','ZIP','AA','AAA']
n_trials = 1
n_rnds = 2
m = 1
for i in range(len(durationmodes)):
for j in range(len(stepmodes)):
for k in range(len(timemodes)):
settings = [durationmodes[dmodes[i]], stepmodes[j],timemodes[k]]
run_with_settings(settings,m)
m += 1
def run_normal():
if vary_parameters:
run_parameter_tests()
else:
settings = default
m = 1
run_with_settings(settings,m)
if __name__ == "__main__":
# runtest1()
runtest6()
runtest7()
runtest8()
runtest9()
runtest10()
#run_normal()
# runAAvsAll()
# runAAAvsAll()
# runAAvsAA()
# runAAAvsAAA()
sys.exit('Done Now')
# run a sequence of trials that exhaustively varies the ratio of four trader types
# NB this has weakness of symmetric proportions on buyers/sellers -- combinatorics of varying that are quite nasty
# n_trader_types = 4
# equal_ratio_n = 4
# n_trials_per_ratio = 50
# n_traders = n_trader_types * equal_ratio_n
# fname = 'balances_%03d.csv' % equal_ratio_n
# tdump = open(fname, 'w')
# min_n = 1
# trialnumber = 1
# trdr_1_n = min_n
# while trdr_1_n <= n_traders:
# trdr_2_n = min_n
# while trdr_2_n <= n_traders - trdr_1_n:
# trdr_3_n = min_n
# while trdr_3_n <= n_traders - (trdr_1_n + trdr_2_n):
# trdr_4_n = n_traders - (trdr_1_n + trdr_2_n + trdr_3_n)
# if trdr_4_n >= min_n:
# buyers_spec = [('GVWY', trdr_1_n), ('SHVR', trdr_2_n),
# ('ZIC', trdr_3_n), ('ZIP', trdr_4_n)]
# segllers_spec = buyers_spec
# traders_spec = {'sellers':sellers_spec, 'buyers':buyers_spec}
# print buyers_spec
# trial = 1
# while trial <= n_trials_per_ratio:
# trial_id = 'trial%07d' % trialnumber
# market_session(trial_id, start_time, end_time, traders_spec,
# order_sched, tdump, False)
# tdump.flush()
# trial = trial + 1
# trialnumber = trialnumber + 1
# trdr_3_n += 1
# trdr_2_n += 1
# trdr_1_n += 1
# tdump.close()
# print trialnumber