def TrendFollower(ctx):
V = 1
alpha = 0.015
ctx.volumeStep = 30
linear_signal = math.RandomWalk(initialValue=200,
deltaDistr=const(-1),
name="200-t")
demo = ctx.addGraph('demo')
myVolume = lambda: [(orderbook.OfTrader().MidPrice, demo),
(trader.Position(), demo),
(orderbook.OfTrader().MidPrice.EW().Avg.OnEveryDt(1),
demo)]
return [
ctx.makeTrader_A(strategy.price.LiquidityProvider().Strategy(
orderFactory=order.side_price.Limit(
volume=constant(V * 8)).sideprice_WithExpiry(constant(100))),
label="liquidity"),
ctx.makeTrader_A(
strategy.side.Signal(linear_signal).Strategy(
event.Every(constant(1.)), order.side.Market(const(V * 3))),
"signal", [(linear_signal, ctx.amount_graph)]),
ctx.makeTrader_A(
strategy.side.TrendFollower(alpha).Strategy(
event.Every(constant(1.)), order.side.Market(volume=const(V))),
"trendfollower_ex", myVolume()),
]
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 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() / 3, demo),
(orderbook.OfTrader().MidPrice.EW(alpha).Avg.OnEveryDt(
1), demo),
(orderbook.OfTrader().Asks.BestPrice, demo),
(orderbook.OfTrader().Bids.BestPrice, demo)]
return [
ctx.makeTrader_A(strategy.price.LiquidityProvider(
initialValue=30.).Strategy(orderFactory=order.side_price.Limit(
volume=constant(V * 20)).sideprice_WithExpiry(constant(10))),
label="liquidity"),
ctx.makeTrader_A(
strategy.side.Noise().Strategy(
event.Every(constant(1.)),
order.side.Market(volume=constant(V * 3))), "signal",
[(linear_signal, ctx.amount_graph)]),
ctx.makeTrader_A(
strategy.side.MeanReversion(alpha).Strategy(
event.Every(constant(1.)),
order.side.Market(volume=constant(V))), "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 __init__(self):
Strategy.__init__(self)
from marketsim._pub import trader, orderbook
self._balance = trader.Balance()
self._position = trader.Position()
self._pendingVolume = trader.PendingVolume()
self._internalSuspended = False
event.subscribe(self.inner.on_order_created, _(self)._send, self)
event.subscribe(self.predicate, _(self)._wakeUp, self)
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 ChooseTheBest(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(alpha).Avg.
OnEveryDt(1), demo)]
def cross(alpha1, alpha2):
return strategy.side.CrossingAverages(alpha1, alpha2)\
.Strategy(event.Every(constant(1.)),
order.side.Market(volume = constant(1.)))
def strategies():
return [cross(slow_alpha, fast_alpha), cross(fast_alpha, slow_alpha)]
return [
ctx.makeTrader_A(
strategy.price.LiquidityProvider().Strategy(
orderFactory=order.side_price.Limit(volume=constant(45))),
"liquidity"),
ctx.makeTrader_A(
strategy.side.Signal(linear_signal).Strategy(
event.Every(constant(1.)),
order.side.Market(volume=constant(20))), "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(
strategy.ChooseTheBest(strategies(),
strategy.account.virtualMarket()),
'best virt', myVolume()),
ctx.makeTrader_A(
strategy.ChooseTheBest(strategies(), strategy.account.real()),
'best real', myVolume()),
]
def Dependency(ctx):
V = 1
alpha = 0.015
ctx.volumeStep = 30
const = constant
linear_signal = math.RandomWalk(initialValue=200,
deltaDistr=const(-1),
name="200-t")
demo = ctx.addGraph('demo')
myVolume = lambda: [(orderbook.OfTrader().MidPrice, demo),
(trader.Position(), demo),
(orderbook.OfTrader().MidPrice.EW().Avg.OnEveryDt(1), demo)]
return [
ctx.makeTrader_A(
strategy.price.LiquidityProvider(100.)
.Strategy(orderFactory =
order.side_price.Limit(volume=constant(V*8)).sideprice_WithExpiry(constant(100))),
label="liquidity"),
ctx.makeTrader_B(
strategy.price.LiquidityProvider(200.)
.Strategy(orderFactory =
order.side_price.Limit(volume=constant(V*8)).sideprice_WithExpiry(constant(100))),
label="liquidity B"),
ctx.makeTrader_A(strategy.side.Signal(linear_signal)
.Strategy(event.Every(constant(1.)),
order.side.Market(const(V*3))),
"signal",
[
(linear_signal, ctx.amount_graph),
]),
ctx.makeTrader_B(
strategy.side.PairTrading(
ctx.book_A,
factor=2.
).Strategy(event.Every(constant(1.)),
order.side.Market(const(V*5))),
"B dependent on A 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),
(const(200.).OnEveryDt(100), demo),
(orderbook.OfTrader().Asks.BestPrice, demo),
(orderbook.OfTrader().Bids.BestPrice, demo)]
return [
ctx.makeTrader_A(
strategy.price.LiquidityProvider().Strategy(
orderFactory=order.side_price.Limit(
volume=const(6.)).sideprice_WithExpiry(const(100.))),
"liquidity"),
ctx.makeTrader_A(
strategy.side.FundamentalValue(const(fv)).Strategy(
event.Every(const(1.)), order.side.Market(volume=const(1.))),
"fv_200", myVolume()),
]
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 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()
