def init(self):
self.cnt = 0
self.current_date = 0
self.stock_code_x = self.config.get("MarketData", "ProductCode_1")
self.stock_code_y = self.config.get("MarketData", "ProductCode_2")
self.initialCapital = float(self.config.get("Risk", "InitialCapital"))
self.current_data_x = cashAlgoAPI.MarketData([
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
0, 0
])
self.current_data_y = cashAlgoAPI.MarketData([
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
0, 0
])
#self.delta = abs(math.log(float(self.config.get("Strategy","Delta")), math.e))
self.delta = abs(float(self.config.get("Strategy", "Delta")))
self.gamma = float(self.config.get("Strategy", "Gamma"))
#self.mu = float(self.config.get("Strategy", "Mu"))
self.std = float(self.config.get("Strategy", "std"))
self.mean = float(self.config.get("Strategy", "mean"))
self.mins = int(self.config.get("Strategy", "SmaDays"))
self.sma_mins = int(self.config.get("Strategy", "Sma"))
self.close = float(self.config.get("Strategy", "close"))
self.cut_loss = float(self.config.get("Strategy", "CutLoss"))
self.list = []
self.sma = []
self.signal = 0
self.y_price_ln_predict = 0.0
self.volume_hold_x = 0
self.volume_hold_y = 0
self.position_x = 0
self.position_y = 0
return
def onOHLCFeed(self, of):
md = cashAlgoAPI.MarketData([0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0])
md.timestamp = of.timestamp
md.market = of.market
md.productCode = str(of.productCode)
md.lastPrice = of.close
md.askPrice1 = of.close
md.bidPrice1 = of.close
md.lastVolume = of.volume
self.onMarketDataUpdate(of.market, of.productCode, md)
def onOHLCFeed(self, of):
# print "feed price of %s is %s" % (of.productCode, of.close)
md = cashAlgoAPI.MarketData([
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
0, 0
])
md.timestamp = of.timestamp
md.market = of.market
md.productCode = str(of.productCode)
md.lastPrice = of.close
md.askPrice1 = of.close
md.bidPrice1 = of.close
md.lastVolume = 1
self.onMarketDataUpdate(of.market, of.productCode, md)
if self.security_info[of.productCode][LOW_PRICE] > of.low:
self.security_info[of.productCode][LOW_PRICE] = of.low
def onOHLCFeed(self, of):
# transfer data
md = cashAlgoAPI.MarketData([
0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
0, 0
])
md.timestamp = of.timestamp
md.market = of.market
md.productCode = str(of.productCode)
md.lastPrice = of.close
md.askPrice1 = of.close
md.bidPrice1 = of.close
#md.lastVolume = 1
#Get daily price
if (md.timestamp[9:15] == "160000"):
# when receive a stock x data, do:
# 1. store current_data_x
# 2. predict theoretical price of stock y, ln(PriceY_t) = Gamma*ln(PriceX_t) + Mu
# 3. wait next stock y data
if (md.productCode == self.stock_code_x):
#print "receive a x"
self.current_data_x = md
# self.y_price_ln_predict = self.gamma * math.log(self.current_data_x.lastPrice, math.e) + self.mu
self.y_price_ln_predict = self.gamma * math.log(
self.current_data_x.lastPrice, math.e)
return
# when receive a stock y data, do:
# 1. store current_data_y
# 2. check strategy status:
# 1) standing by to trade
# a. check if could do trading [y_price_ln_diff >= delta or <= -delta]
# b. if could, do trade
# 2) waiting to clear
# a. check if two stocks match
# b. if matching, do clearing
if (md.productCode == self.stock_code_y):
#print "receive a y"
self.current_data_y = md
y_price_ln_actual = math.log(
float(self.current_data_y.lastPrice), math.e)
#y_price_ln_diff = y_price_ln_actual - self.y_price_ln_predict
diff = y_price_ln_actual - self.y_price_ln_predict
print(diff)
y_price_ln_diff = (diff - self.mean) / self.std
print(y_price_ln_diff)
#moving window of price diff
#self.movingWindow(self.list, self.mins, diff)
if (self.mins == 0):
self.list.pop(0)
else:
self.mins = self.mins - 1
self.list.append(y_price_ln_diff)
avr = sum(self.list) / len(self.list)
#self.movingWindow1(self.sma, self.sma_mins, avr)
if (self.sma_mins == 0):
self.sma.pop(0)
else:
self.sma_mins = self.sma_mins - 1
self.sma.append(avr)
if (len(self.sma) > 1):
if ((self.sma[1] - self.sma[0]) * y_price_ln_diff < 0):
self.signal = 1
#if(md.timestamp[9:13] == "0930"): print y_price_ln_diff
if (self.position_x == 0 and self.position_y == 0):
#print "check if could trade"
if (y_price_ln_diff >= self.delta and self.signal == 1):
print md.timestamp, y_price_ln_diff, "do trade long x, short y."
self.cnt += 1
self.volume_hold_y = self.initialCapital / self.current_data_y.lastPrice
self.volume_hold_x = self.initialCapital * self.gamma / self.current_data_x.lastPrice
self.position_y = -1
self.position_x = 1
order1 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_y,
str(self.cnt), self.current_data_y.lastPrice,
self.volume_hold_y, "open", 2, "insert",
"market_order", "today")
self.cnt += 1
order2 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_x,
str(self.cnt), self.current_data_x.lastPrice,
self.volume_hold_x, "open", 1, "insert",
"market_order", "today")
self.mgr.insertOrder(order1)
self.mgr.insertOrder(order2)
elif (y_price_ln_diff <= -self.delta and self.signal == 1):
print md.timestamp, y_price_ln_diff, "do trade short x, long y."
self.cnt += 1
self.volume_hold_y = self.initialCapital / self.current_data_y.lastPrice
self.volume_hold_x = self.initialCapital * self.gamma / self.current_data_x.lastPrice
self.position_y = 1
self.position_x = -1
order1 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_y,
str(self.cnt), self.current_data_y.lastPrice,
self.volume_hold_y, "open", 1, "insert",
"market_order", "today")
self.cnt += 1
order2 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_x,
str(self.cnt), self.current_data_x.lastPrice,
self.volume_hold_x, "open", 2, "insert",
"market_order", "today")
self.mgr.insertOrder(order1)
self.mgr.insertOrder(order2)
else:
return
else:
#cut loss
if (self.position_x == 1
and y_price_ln_diff >= self.cut_loss):
print md.timestamp, y_price_ln_diff, "do clear."
self.cnt += 1
self.position_y = 0
self.position_x = 0
order1 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_y,
str(self.cnt), self.current_data_y.lastPrice,
self.volume_hold_y, "open", 1, "insert",
"market_order", "today")
self.cnt += 1
order2 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_x,
str(self.cnt), self.current_data_x.lastPrice,
self.volume_hold_x, "open", 2, "insert",
"market_order", "today")
self.mgr.insertOrder(order1)
self.mgr.insertOrder(order2)
#close win
if (self.position_x == 1
and y_price_ln_diff <= self.close):
print md.timestamp, y_price_ln_diff, "do clear."
self.cnt += 1
self.position_y = 0
self.position_x = 0
order1 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_y,
str(self.cnt), self.current_data_y.lastPrice,
self.volume_hold_y, "open", 1, "insert",
"market_order", "today")
self.cnt += 1
order2 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_x,
str(self.cnt), self.current_data_x.lastPrice,
self.volume_hold_x, "open", 2, "insert",
"market_order", "today")
self.mgr.insertOrder(order1)
self.mgr.insertOrder(order2)
#cut loss
if (self.position_x == -1
and y_price_ln_diff <= self.cut_loss * -1):
print md.timestamp, y_price_ln_diff, "do clear."
self.cnt += 1
self.position_y = 0
self.position_x = 0
order1 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_y,
str(self.cnt), self.current_data_y.lastPrice,
self.volume_hold_y, "open", 2, "insert",
"market_order", "today")
self.cnt += 1
order2 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_x,
str(self.cnt), self.current_data_x.lastPrice,
self.volume_hold_x, "open", 1, "insert",
"market_order", "today")
self.mgr.insertOrder(order1)
self.mgr.insertOrder(order2)
if (self.position_x == -1
and y_price_ln_diff >= self.close * -1):
print md.timestamp, y_price_ln_diff, "do clear."
self.cnt += 1
self.position_y = 0
self.position_x = 0
order1 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_y,
str(self.cnt), self.current_data_y.lastPrice,
self.volume_hold_y, "open", 2, "insert",
"market_order", "today")
self.cnt += 1
order2 = cashAlgoAPI.Order(
md.timestamp, "SEHK", self.stock_code_x,
str(self.cnt), self.current_data_x.lastPrice,
self.volume_hold_x, "open", 1, "insert",
"market_order", "today")
self.mgr.insertOrder(order1)
self.mgr.insertOrder(order2)
else:
return
'''
# Open Long Position
if md.lastPrice>=max(self.list) and self.range>=self.minrange and self.range<=self.maxrange and self.position==0 and not max(self.list)==999999 and not md.timestamp[9:11]=="16":
order = cashAlgoAPI.Order(md.timestamp, "HKFE", md.productCode, str(self.cnt), md.askPrice1, 1, "open", 1, "insert", "market_order", "today")
self.mgr.insertOrder(order)
print "Place an BUY order at %s" %md.timestamp + "Price at %s" %md.askPrice1
self.cnt+=1
self.position=1
self.target=self.range
self.openPrice=md.askPrice1
# Open Short Position
if md.lastPrice<=min(self.list) and self.range>=self.minrange and self.range<=self.maxrange and self.position==0 and not max(self.list)==999999 and not md.timestamp[9:11]=="16":
order = cashAlgoAPI.Order(md.timestamp, "HKFE", md.productCode, str(self.cnt), md.bidPrice1, 1, "open", 2, "insert", "market_order", "today")
self.mgr.insertOrder(order)
print "Place an SELL order at %s" %md.timestamp + "Price at %s" %md.bidPrice1
self.cnt+=1
self.position=-1
self.target=self.range
self.openPrice=md.bidPrice1
# Win close position (Long)
if self.position==1 and md.lastPrice>=(self.openPrice+self.target):
order = cashAlgoAPI.Order(md.timestamp, "HKFE", md.productCode, str(self.cnt), md.bidPrice1, 1, "open", 2, "insert", "market_order", "today")
self.mgr.insertOrder(order)
print "Place an SELL order at %s" %md.timestamp + "Price at %s, (Win)" %md.bidPrice1
self.cnt+=1
self.position=0
# Win close position (Short)
if self.position==-1 and md.lastPrice<=(self.openPrice-self.target):
order = cashAlgoAPI.Order(md.timestamp, "HKFE", md.productCode, str(self.cnt), md.askPrice1, 1, "open", 1, "insert", "market_order", "today")
self.mgr.insertOrder(order)
print "Place an BUY order at %s" %md.timestamp + "Price at %s, (Win)" %md.askPrice1
self.cnt+=1
self.position=0
# Cut loss position (Long)
if self.position==1 and md.lastPrice<=min(self.list):
order = cashAlgoAPI.Order(md.timestamp, "HKFE", md.productCode, str(self.cnt), md.bidPrice1, 1, "open", 2, "insert", "market_order", "today")
self.mgr.insertOrder(order)
print "Place an SELL order at %s" %md.timestamp + "Price at %s, (Cut)" %md.bidPrice1
self.cnt+=1
self.position=0
# Cut loss position (Short)
if self.position==-1 and md.lastPrice>=max(self.list):
order = cashAlgoAPI.Order(md.timestamp, "HKFE", md.productCode, str(self.cnt), md.askPrice1, 1, "open", 1, "insert", "market_order", "today")
self.mgr.insertOrder(order)
print "Place an BUY order at %s" %md.timestamp + "Price at %s, (Cut)" %md.askPrice1
self.cnt+=1
self.position=0
# Dayend cut (Long)
if self.position==1 and md.timestamp[9:13]=="1614":
order = cashAlgoAPI.Order(md.timestamp, "HKFE", md.productCode, str(self.cnt), md.bidPrice1, 1, "open", 2, "insert", "market_order", "today")
self.mgr.insertOrder(order)
print "Place an SELL order at %s" %md.timestamp + "Price at %s, (Dayend Cut)" %md.bidPrice1
self.cnt+=1
self.position=0
# Dayend cut (Short)
if self.position==-1 and md.timestamp[9:13]=="1614":
order = cashAlgoAPI.Order(md.timestamp, "HKFE", md.productCode, str(self.cnt), md.askPrice1, 1, "open", 1, "insert", "market_order", "today")
self.mgr.insertOrder(order)
print "Place an BUY order at %s" %md.timestamp + "Price at %s, (Dayend Cut)" %md.askPrice1
self.cnt+=1
self.position=0
'''
return
