def Dependency(ctx):
liqVol = mathutils.product(mathutils.rnd.expovariate(.1), mathutils.constant(2))
ctx.volumeStep = 70
return [
ctx.makeTrader_A(
strategy.LiquidityProvider(defaultValue=50., volumeDistr=liqVol),
"LiquidityProvider_A"),
ctx.makeTrader_B(
strategy.LiquidityProvider(defaultValue=150., volumeDistr=liqVol),
"LiquidityProvider_B"),
ctx.makeTrader_A(strategy.Dependency(ctx.book_B, factor=2),
"A dependent on B"),
ctx.makeTrader_B(strategy.Dependency(ctx.book_A, factor=.5),
"B dependent on A"),
ctx.makeTrader_A(strategy.DependencyEx(ctx.book_B, factor=2),
"A dependent on B ex"),
ctx.makeTrader_B(strategy.DependencyEx(ctx.book_A, factor=.5),
"B dependent on A ex")
]
def LiquidityProviderSideEx(side = Side.Sell,
orderFactory = order.LimitFactory,
defaultValue = 100.,
creationIntervalDistr = mathutils.rnd.expovariate(1.),
priceDistr = mathutils.rnd.lognormvariate(0., .1),
volumeDistr = mathutils.rnd.expovariate(1.)):
orderBook = orderbook.OfTrader()
r = Generic(eventGen = scheduler.Timer(creationIntervalDistr),
volumeFunc = volumeDistr,
sideFunc = ConstantSide(side),
orderFactory= order.AdaptLimit(orderFactory,
mathutils.product(
SafeSidePrice(orderBook, side, defaultValue),
priceDistr)))
return r
def Arbitrage(ctx):
liqVol = mathutils.product(mathutils.rnd.expovariate(.1), mathutils.constant(2))
ctx.volumeStep = 70
return [
ctx.makeTrader_A(
strategy.LiquidityProvider(defaultValue=50., volumeDistr=liqVol),
"LiquidityProvider_A"),
ctx.makeTrader_B(
strategy.LiquidityProvider(defaultValue=150., volumeDistr=liqVol),
"LiquidityProvider_B"),
ctx.makeMultiAssetTrader([ctx.remote_A, ctx.remote_B], strategy.Arbitrage(), "Arbitrager")
]
