def Arbitrage(ctx): liqVol = math.random.expovariate(.1) * 2. ctx.volumeStep = 70 return [ ctx.makeTrader_A( strategy.LiquidityProvider( orderFactory=order.side_price.WithExpiry( constant(50.), order.side_price.Limit(volume=liqVol)), initialValue=50.), "LiquidityProvider_A"), ctx.makeTrader_B( strategy.LiquidityProvider( orderFactory=order.side_price.WithExpiry( constant(50.), order.side_price.Limit(volume=liqVol)), initialValue=150.), "LiquidityProvider_B"), ctx.makeTrader_C( strategy.LiquidityProvider( orderFactory=order.side_price.WithExpiry( constant(50), order.side_price.Limit(volume=liqVol)), initialValue=100.), "LiquidityProvider_C"), ctx.makeMultiAssetTrader([ctx.remote_A, ctx.remote_B, ctx.remote_C], strategy.Arbitrage(), "Arbitrager") ]
def Dependency(ctx): liqVol = constant(3) ctx.volumeStep = 70 return [ ctx.makeTrader_A( strategy.LiquidityProvider(event.Every(constant(1.)), order.side_price.Limit(volume=liqVol), initialValue=50.), "LiquidityProvider_A"), ctx.makeTrader_B( strategy.LiquidityProvider(event.Every(constant(1.)), order.side_price.Limit(volume=liqVol), initialValue=150.), "LiquidityProvider_B"), ctx.makeTrader_A( strategy.PairTrading(event.Every(constant(1.)), order.side.Market(), ctx.book_B, factor=2.), "A dependent on B ex"), ctx.makeTrader_B( strategy.PairTrading(event.Every(constant(1.)), order.side.Market(), ctx.book_A, factor=.5), "B dependent on A ex"), ]
def MeanReversion(ctx): ctx.volumeStep = 40 alpha = 0.015 V = 1 linear_signal = math.RandomWalk(initialValue=200, deltaDistr=constant(-1), name="200-t") demo = ctx.addGraph('demo') myVolume = lambda: [(trader.Position(), demo)] return [ ctx.makeTrader_A(strategy.LiquidityProvider( orderFactory=order.side_price.WithExpiry( constant(10), order.side_price.Limit(volume=constant(V * 20)))), label="liquidity"), ctx.makeTrader_A( strategy.Signal(event.Every(constant(1.)), order.side.Market(volume=constant(V * 3)), linear_signal), "signal", [(linear_signal, ctx.amount_graph)]), ctx.makeTrader_A( strategy.MeanReversion(event.Every(constant(1.)), order.side.Market(volume=constant(V)), alpha), "meanreversion_ex", myVolume()), ]
def TwoAverages(ctx): ctx.volumeStep = 30 alpha_slow = 0.015 alpha_fast = 0.15 linear_signal = math.RandomWalk(initialValue=200, deltaDistr=const(-1), name="200-t") demo = ctx.addGraph('demo') myVolume = lambda: [(trader.Position(), demo)] return [ ctx.makeTrader_A( strategy.LiquidityProvider( event.Every(constant(1.)), order.side_price.Limit(volume=const(10))), "liquidity"), ctx.makeTrader_A( strategy.Signal(event.Every(constant(1.)), order.side.Market(volume=const(3)), linear_signal), "signal", [(linear_signal, ctx.amount_graph)]), ctx.makeTrader_A( strategy.CrossingAverages(event.Every(constant(1.)), order.side.Market(volume=const(1.)), alpha_slow, alpha_fast), 'avg_ex+', myVolume()), ctx.makeTrader_A( strategy.CrossingAverages(event.Every(constant(1.)), order.side.Market(volume=const(1.)), alpha_fast, alpha_slow), 'avg_ex-', myVolume()), ]
def Canceller(ctx): ctx.volumeStep = 15 return [ ctx.makeTrader_A(strategy.LiquidityProvider(), "LiquidityProviderEx-"), ctx.makeTrader_A(strategy.Canceller(), "canceller"), ctx.makeTrader_A( strategy.FundamentalValue(fundamentalValue=const(1000)), "fv_1000") ]
def Noise(ctx): ctx.volumeStep = 10 return [ ctx.makeTrader_A( strategy.LiquidityProvider( orderFactory=order.side_price.WithExpiry( constant(10), order.side_price.Limit(volume=constant(2)))), "liquidity"), ctx.makeTrader_A(strategy.Noise(), "noise_ex"), ]
def TradeIfProfitable(ctx): ctx.volumeStep = 30 slow_alpha = 0.015 fast_alpha = 0.15 linear_signal = math.RandomWalk(initialValue=200, deltaDistr=constant(-1), name="200-t") demo = ctx.addGraph('demo') myVolume = lambda: [(trader.Position(), demo)] myAverage = lambda alpha: [(orderbook.OfTrader().MidPrice.EW_Avg(alpha). OnEveryDt(1), demo)] def cross(alpha1, alpha2): return strategy.CrossingAverages( event.Every(constant(1.)), order.side.Market(volume=constant(1.)), alpha1, alpha2) avg_plus_virt = strategy.TradeIfProfitable( cross(slow_alpha, fast_alpha), strategy.account.virtualMarket()) avg_minus_virt = strategy.TradeIfProfitable( cross(fast_alpha, slow_alpha), strategy.account.virtualMarket()) avg_plus_real = strategy.TradeIfProfitable(cross(slow_alpha, fast_alpha), strategy.account.real()) avg_minus_real = strategy.TradeIfProfitable(cross(fast_alpha, slow_alpha), strategy.account.real()) return [ ctx.makeTrader_A( strategy.LiquidityProvider(orderFactory=order.side_price.Limit( volume=constant(45))), "liquidity"), ctx.makeTrader_A( strategy.Signal(event.Every(constant(1.)), order.side.Market(volume=constant(20)), linear_signal), "signal", [(linear_signal, ctx.amount_graph)]), ctx.makeTrader_A( cross(slow_alpha, fast_alpha), 'avg+', myAverage(slow_alpha) + myAverage(fast_alpha) + myVolume()), ctx.makeTrader_A(cross(fast_alpha, slow_alpha), 'avg-', myVolume()), ctx.makeTrader_A(avg_plus_virt, 'avg+ virt', myVolume()), ctx.makeTrader_A(avg_minus_virt, 'avg- virt', myVolume()), ctx.makeTrader_A(avg_plus_real, 'avg+ real', myVolume()), ctx.makeTrader_A(avg_minus_real, 'avg- real', myVolume()), ]
def Signal(ctx): const = constant linear_signal = math.RandomWalk(initialValue=20, deltaDistr=const(-.1), name="20-0.1t") return [ ctx.makeTrader_A( strategy.LiquidityProvider( event.Every(constant(1.)), order.side_price.Limit(volume=const(5))), "liquidity"), ctx.makeTrader_A( strategy.Signal(event.Every(constant(1.)), order.side.Market(volume=const(1)), linear_signal), "signal_ex"), ]
def RSI(ctx): const = constant linear_signal = math.RandomWalk(initialValue=20, deltaDistr=const(-.1), name="20-0.1t") one = const(1) threshold = 30 demo = ctx.addGraph('demo') myVolume = lambda: [(trader.Position(), demo)] alpha = 1. / 14 myRsiBis = lambda: [(orderbook.OfTrader().RSI(1, alpha).OnEveryDt(1), demo) ] return [ ctx.makeTrader_A( strategy.LiquidityProvider( event.Every(constant(1.)), order.side_price.Limit(volume=const(4))), "liquidity"), ctx.makeTrader_A( strategy.Signal(event.Every(constant(1.)), order.side.Market(), linear_signal), "signal", [(linear_signal, ctx.amount_graph)]), ctx.makeTrader_A( strategy.RSI_linear(order.signedVolume.MarketSigned(), alpha=alpha, timeframe=1), "rsi_linear", myVolume()), ctx.makeTrader_A( strategy.RSIbis(event.Every(constant(1.)), order.side.Market(one), alpha=alpha, timeframe=1, threshold=threshold), "rsi_bis", myVolume() + myRsiBis()), ]
def FundamentalValue(ctx): ctx.volumeStep = 30 fv = 200 demo = ctx.addGraph('demo') myVolume = lambda: [(trader.Position(), demo)] myPrice = lambda: [(orderbook.MidPrice(), demo)] return [ ctx.makeTrader_A( strategy.LiquidityProvider( orderFactory = order.side_price.WithExpiry(const(10), order.side_price.Limit(volume=const(6)))), "liquidity"), ctx.makeTrader_A( strategy.FundamentalValue( event.Every(const(1.)), order.side.Market(volume = const(1.)), const(fv)), "fv_200", myVolume()), ]
def Orders(ctx): linear_signal = math.RandomWalk(initialValue=20, deltaDistr=const(-.1), name="20-0.1t") midPrice = orderbook.MidPrice(ctx.book_A) return [ ctx.makeTrader_A( strategy.LiquidityProvider( event.Every(const(1.)), order.side_price.Limit(volume=const(35))), "liquidity"), ctx.makeTrader_A( strategy.LiquidityProvider( event.Every(const(100.)), order.side_price.StopLoss( const(0.1), order.side_price.Limit(volume=const(5)))), "liquidity stoploss"), ctx.makeTrader_A( strategy.LiquidityProvider( event.Every(const(10.)), order.side_price.Iceberg( order.side_price.Limit(volume=const(5)), const(1))), "liquidity iceberg"), ctx.makeTrader_A( strategy.LiquidityProvider( event.Every(const(10.)), order.side_price.WithExpiry( const(5), order.side_price.Limit(volume=const(5)))), "liquidity expiry"), ctx.makeTrader_A( strategy.LiquidityProvider( event.Every(const(10.)), order.side_price.WithExpiry( const(5), order.side_price.Iceberg( order.side_price.Limit(volume=const(15)), const(1)))), "liquidity iceberg expiry"), ctx.makeTrader_A( strategy.Signal(event.Every(const(1.)), order.side.Market(volume=const(1)), linear_signal), "signal market"), ctx.makeTrader_A( strategy.Signal( event.Every(const(1.)), order.side.FloatingPrice(const(100.), order.side.price.Limit(const(1))), linear_signal), "signal floating"), ctx.makeTrader_A( strategy.Signal( event.Every(const(1.)), order.side.Iceberg(order.side.Limit(const(110), const(3)), const(1)), linear_signal), "signal iceberg"), ctx.makeTrader_A( strategy.Signal( event.Every(const(1.)), order.side.ImmediateOrCancel( order.side.Limit(const(120), const(1))), linear_signal), "signal ioc"), ctx.makeTrader_A( strategy.Signal(event.Every(const(10.)), order.side.Peg(order.side.price.Limit(const(1))), linear_signal), "signal peg"), ctx.makeTrader_A( strategy.Signal( event.Every(const(1.)), order.side.StopLoss(const(0.1), order.side.Market(volume=const(1))), linear_signal), "signal stoploss"), ctx.makeTrader_A( strategy.Signal(event.Every(const(10.)), order.side.Limit(price=midPrice, volume=const(1)), linear_signal), "signal limit"), ctx.makeTrader_A( strategy.Signal( event.Every(const(10)), order.side.Limit(price=const(120), volume=const(1)), Interlacing()), "noise limit"), ctx.makeTrader_A( strategy.Signal( event.Every(const(10)), order.side.WithExpiry( const(10), order.side.Limit(price=const(120), volume=const(1))), Interlacing()), "noise expiry"), ctx.makeTrader_A( strategy.Signal( event.Every(const(10.)), order.side.Iceberg( order.side.Peg(order.side.price.Limit(const(1))), const(1)), Interlacing()), "iceberg peg"), ctx.makeTrader_A( strategy.Signal( event.Every(const(10.)), order.side.Peg( order.side.price.Iceberg(order.side.price.Limit(const(3)), const(1))), Interlacing()), "peg iceberg"), ctx.makeTrader_A( strategy.Signal( event.Every(constant(3.)), order.side.WithExpiry( constant(3.), order.side.Peg( order.side.price.Iceberg( order.side.price.Limit(const(3)), const(1)))), Interlacing()), "peg iceberg expiry"), ctx.makeTrader_A( strategy.Signal( event.Every(constant(10.)), order.side.WithExpiry( constant(10.), order.side.Iceberg( order.side.Peg(order.side.price.Limit(const(1))), const(1))), Interlacing()), "iceberg peg expiry"), ]
def Complete(ctx): ctx.volumeStep = 100 c_200 = const(200.) fv_200_12 = strategy.FundamentalValue( fundamentalValue=c_200, orderFactory=order.side.Market(volume=const(12))) fv_200 = strategy.FundamentalValue( fundamentalValue=c_200, orderFactory=order.side.Market(volume=const(1))) def s_fv(fv): return strategy.TradeIfProfitable( strategy.FundamentalValue( fundamentalValue=const(fv), orderFactory=order.side.Market(volume=const(1)))) def fv_virtual(fv): return ctx.makeTrader_A(s_fv(fv), "v" + str(fv)) return [ ctx.makeTrader_A( strategy.LiquidityProvider( orderFactory=order.side_price.WithExpiry( constant(10), order.side_price.Limit( volume=constant(170)))), "liquidity"), ctx.makeTrader_A(fv_200_12, "t200"), ctx.makeTrader_A(fv_200, "t200_1"), ctx.makeTrader_A( strategy.FundamentalValue(event.Every(constant(1.)), order.side.Market(const(1.)), fundamentalValue=const(150.)), "t150"), ctx.makeTrader_A( strategy.MeanReversion(event.Every(constant(1.)), order.side.Market(const(1.))), "mr_0_15"), ctx.makeTrader_A(strategy.CrossingAverages(event.Every(constant(1.)), order.side.Market( const(1.)), ewma_alpha_1=0.15, ewma_alpha_2=0.015), label="avg+"), ctx.makeTrader_A(strategy.CrossingAverages(event.Every(constant(1.)), order.side.Market( const(1.)), ewma_alpha_2=0.15, ewma_alpha_1=0.015), label="avg-"), ctx.makeTrader_A(strategy.TradeIfProfitable(fv_200), "v_fv200"), fv_virtual(160.), fv_virtual(170.), fv_virtual(180.), fv_virtual(190.), ctx.makeTrader_A( strategy.ChooseTheBest([ s_fv(160.), s_fv(170.), s_fv(180.), s_fv(190.), ]), "best") ]
def MultiarmedBandit(ctx): ctx.volumeStep = 30 demo = ctx.addGraph('demo') myVolume = lambda: [(trader.Position(), demo)] def fv(x): return strategy.FundamentalValue( event.Every(constant(1.)), order.side.Market(volume=constant(1.)), fundamentalValue=const(x)) xs = range(100, 300, 50) + range(160, 190, 10) def strategies(): return map(fv, xs) def fv_traders(): return [ctx.makeTrader_A(fv(x), "fv" + str(x), myVolume()) for x in xs] return [ ctx.makeTrader_A( strategy.LiquidityProvider(orderFactory=order.side_price.Limit( volume=constant(45))), "liquidity"), ctx.makeTrader_A( strategy.FundamentalValue(event.Every(constant(1.)), order.side.Market(volume=constant(12.)), fundamentalValue=const(200)), 'fv 12-200'), ctx.makeTrader_A( strategy.MultiArmedBandit( strategies(), strategy.account.virtualMarket(), strategy.weight.efficiencyTrend()), 'virt trend', myVolume()), ctx.makeTrader_A( strategy.MultiArmedBandit(strategies(), strategy.account.real(), strategy.weight.efficiencyTrend()), 'real trend', myVolume()), ctx.makeTrader_A( strategy.MultiArmedBandit( strategies(), strategy.account.virtualMarket(), strategy.weight.efficiency()), 'virt efficiency', myVolume()), ctx.makeTrader_A( strategy.MultiArmedBandit(strategies(), strategy.account.real(), strategy.weight.efficiency()), 'real efficiency', myVolume()), ctx.makeTrader_A( strategy.MultiArmedBandit( strategies(), strategy.account.virtualMarket(), strategy.weight.score(), strategy.weight.atanPow()), 'virt score', myVolume()), ctx.makeTrader_A( strategy.MultiArmedBandit( strategies(), strategy.account.real(), strategy.weight.score(), strategy.weight.clamp0()), 'real score', myVolume()), ctx.makeTrader_A( strategy.MultiArmedBandit( strategies(), strategy.account.virtualMarket(), strategy.weight.efficiencyTrend(), strategy.weight.identityF(), strategy.weight.chooseTheBest()), 'virt best', myVolume()), ctx.makeTrader_A( strategy.MultiArmedBandit( strategies(), strategy.account.real(), strategy.weight.unit(), strategy.weight.identityF()), 'uniform', myVolume()), ] + fv_traders()