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 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 s_fv(fv):
return strategy.TradeIfProfitable(
strategy.FundamentalValue(
fundamentalValue=const(fv),
orderFactory=order.side.Market(volume=const(1))))
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 fv(x):
return strategy.FundamentalValue(
event.Every(constant(1.)),
order.side.Market(volume=constant(1.)),
fundamentalValue=const(x))
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()