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()