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code.java
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/* -- NB:
* See the folder
* Code/tree/master/LimitOrders
* for eight Java classes implementing the trading model algorithm for limit orders.
*
* The following code is intended to give the reader an overview of how the
* trading model algorithm functions. However, the focus lies not on the framework
* supporting the trading model. As a result, users are required to implement some
* of their own code in order to get the trading model running. Specifically, this
* concerns your price feed data and the take profit target. The only configuration
* is the number and sizes of the thresholds on which the Coastline Traders live.
* See all the TODO in the code. — */
import java.io.FileWriter;
import java.io.IOException;
import java.util.LinkedList;
import java.util.List;
import java.util.Random;
public class Code {
// Main method
public static void main(String[] args) {
new Code();
}
// Run algo
public Code(){
// TODO Currency configuration
String[] ccyList = {"AUD_CAD"};/* , "AUD_JPY", "AUD_NZD", "AUD_USD", "CAD_JPY", "CHF_JPY", "EUR_AUD", "EUR_CAD", "EUR_CHF",
"EUR_GBP", "EUR_JPY", "EUR_NZD", "EUR_USD", "GBP_AUD", "GBP_CAD", "GBP_CHF", "GBP_JPY", "GBP_USD", "NZD_CAD",
"NZD_JPY", "NZD_USD", "USD_CAD", "USD_CHF", "USD_JPY"}; */
int length = ccyList.length;
FXrateTrading[] trading = new FXrateTrading[length];
// TODO Threshold configuration (see below)
double[] deltaS = {0.25/100.0, 0.5/100.0, 1.0/100.0, 1.5/100.0};
for( int i = 0; i < length; ++i ){
trading[i] = new FXrateTrading(ccyList[i], deltaS.length, deltaS);
}
// Run
PriceFeedData p = new PriceFeedData();
for( int i = 0; i < length; ++i ){
trading[i].runTradingAsymm(p);
}
}
public class Runner{
public double prevExtreme;
public long prevExtremeTime;
public double prevDC;
public long prevDCTime;
public double extreme;
public long extremeTime;
public double deltaUp;
public double deltaDown;
public double deltaStarUp, deltaStarDown;
public double osL;
public int type;
public boolean initalized;
public double reference;
public String fileName;
public Runner(double threshUp, double threshDown, PriceFeedData price, String file, double dStarUp, double dStarDown){
prevExtreme = price.elems.mid; prevExtremeTime = price.elems.time;
prevDC = price.elems.mid; prevDCTime = price.elems.time;
extreme = price.elems.mid; extremeTime = price.elems.time;
reference = price.elems.mid;
type = -1; deltaUp = threshUp; deltaDown = threshDown; osL = 0.0; initalized = true;
fileName = new String(file);
deltaStarUp = dStarUp; deltaStarDown = dStarDown;
}
public Runner(double threshUp, double threshDown, double price, String file, double dStarUp, double dStarDown){
prevExtreme = price; prevExtremeTime = 0;
prevDC = price; prevDCTime = 0;
extreme = price; extremeTime = 0;
reference = price;
deltaStarUp = dStarUp; deltaStarDown = dStarDown;
type = -1; deltaUp = threshUp; deltaDown = threshDown; osL = 0.0; initalized = true;
fileName = new String(file);
}
public Runner(double threshUp, double threshDown, String file, double dStarUp, double dStarDown){
deltaUp = threshUp; deltaDown = threshDown;
initalized = false;
fileName = new String(file);
deltaStarUp = dStarUp; deltaStarDown = dStarDown;
}
public int run(PriceFeedData price){
if( price == null )
return 0;
if( !initalized ){
type = -1; osL = 0.0; initalized = true;
prevExtreme = price.elems.mid; prevExtremeTime = price.elems.time;
prevDC = price.elems.mid; prevDCTime = price.elems.time;
extreme = price.elems.mid; extremeTime = price.elems.time;
reference = price.elems.mid;
return 0;
}
if( type == -1 ){
if( Math.log(price.elems.bid/extreme) >= deltaUp ){
prevExtreme = extreme;
prevExtremeTime = extremeTime;
type = 1;
extreme = price.elems.ask; extremeTime = price.elems.time;
prevDC = price.elems.ask; prevDCTime = price.elems.time;
reference = price.elems.ask;
return 1;
}
if( price.elems.ask < extreme ){
extreme = price.elems.ask;
extremeTime = price.elems.time;
osL = -Math.log(extreme/prevDC)/deltaDown;
if( Math.log(extreme/reference) <= -deltaStarUp ){
reference = extreme;
return -2;
}
return 0;
}
}
else if( type == 1 ){
if( Math.log(price.elems.ask/extreme) <= -deltaDown ){
prevExtreme = extreme;
prevExtremeTime = extremeTime;
type = -1;
extreme = price.elems.bid; extremeTime = price.elems.time;
prevDC = price.elems.bid; prevDCTime = price.elems.time;
reference = price.elems.bid;
return -1;
}
if( price.elems.bid > extreme ){
extreme = price.elems.bid;
extremeTime = price.elems.time;
osL = Math.log(extreme/prevDC)/deltaUp;
if( Math.log(extreme/reference) >= deltaStarDown ){
reference = extreme;
return 2;
}
return 0;
}
}
return 0;
}
public int run(double price){
if( !initalized ){
type = -1; osL = 0.0; initalized = true;
prevExtreme = price; prevExtremeTime = 0;
prevDC = price; prevDCTime = 0;
extreme = price; extremeTime = 0;
reference = price;
return 0;
}
if( type == -1 ){
if( price - extreme >= deltaUp ){
prevExtreme = extreme;
prevExtremeTime = extremeTime;
type = 1;
extreme = price; extremeTime = 0;
prevDC = price; prevDCTime = 0;
reference = price;
osL = 0.0;
return 1;
}
if( price < extreme ){
extreme = price;
extremeTime = 0;
osL = -(extreme - prevDC);
if( extreme - reference <= -deltaStarUp ){
reference = extreme;
return -2;
}
return 0;
}
}
else if( type == 1 ){
if( price - extreme <= -deltaDown ){
prevExtreme = extreme; prevExtremeTime = extremeTime;
type = -1;
extreme = price; extremeTime = 0;
prevDC = price; prevDCTime = 0;
reference = price;
osL = 0.0;
return 1;
}
if( price > extreme ){
extreme = price; extremeTime = 0;
osL = (extreme -prevDC);
if( extreme - reference >= deltaStarDown ){
reference = extreme;
return 2;
}
return 0;
}
}
return 0;
}
}
public class Liquidity{
public class Runner{
public double prevDC;
public double extreme;
public double deltaUp;
public double deltaDown;
public int type;
public boolean initalized;
public String fileName;
public Runner(double threshUp, double threshDown, PriceFeedData price, String file){
prevDC = price.elems.mid;
extreme = price.elems.mid;
type = -1; deltaUp = threshUp; deltaDown = threshDown;initalized = true;
fileName = new String(file);
}
public Runner(double threshUp, double threshDown, double price, String file){
prevDC = price; extreme = price;
type = -1; deltaUp = threshUp; deltaDown = threshDown; initalized = true;
fileName = new String(file);
}
public Runner(double threshUp, double threshDown, String file){
deltaUp = threshUp; deltaDown = threshDown;
initalized = false;
fileName = new String(file);
}
public int run(PriceFeedData price){
if( price == null )
return 0;
if( !initalized ){
type = -1; initalized = true;
prevDC = price.elems.mid;
extreme = price.elems.mid;
return 0;
}
if( type == -1 ){
if( Math.log(price.elems.bid/extreme) >= deltaUp ){
type = 1;
extreme = price.elems.ask;
prevDC = price.elems.ask;
return 1;
}
if( price.elems.ask < extreme ){
extreme = price.elems.ask;
return 0;
}
}
else if( type == 1 ){
if( Math.log(price.elems.ask/extreme) <= -deltaDown ){
type = -1;
extreme = price.elems.bid;
prevDC = price.elems.bid;
return -1;
}
if( price.elems.bid > extreme ){
extreme = price.elems.bid;
return 0;
}
}
return 0;
}
public int run(double price){
if( !initalized ){
type = -1; initalized = true;
prevDC = price;
extreme = price;
return 0;
}
if( type == -1 ){
if( price - extreme >= deltaUp ){
type = 1;
extreme = price;
prevDC = price;
return 1;
}
if( price < extreme ){
extreme = price;
return 0;
}
}
else if( type == 1 ){
if( price - extreme <= -deltaDown ){
type = -1;
extreme = price;
prevDC = price; ;
return 1;
}
if( price > extreme ){
extreme = price;
return 0;
}
}
return 0;
}
}
public Runner[] runner;
double[] prevState;
double surp = 0.0, dSurp = 0.0, uSurp = 0.0;
double liquidity, liquidityUp, liquidityDown;
double liqEMA;
double upLiq, downLiq, diffLiq, diffRaw;
double H1 = 0.0, H2 = 0.0;
double d1 = 0.0, d2 = 0.0;
double alpha, alphaWeight;
List<Double> mySurprise, downSurprise, upSurprise;
public Liquidity(){};
@SuppressWarnings("deprecation")
public Liquidity(PriceFeedData price, double delta1, double delta2, int lgt){
double prob = Math.exp(-1.0);
H1 = -(prob*Math.log(prob) + (1.0 - prob)*Math.log(1.0 - prob));
H2 = prob*Math.pow(Math.log(prob), 2.0) + (1.0 - prob)*Math.pow(Math.log(1.0 - prob), 2.0) - H1*H1;
runner = new Runner[lgt];
prevState = new double[lgt];
d1 = delta1; d2 = delta2;
getH1nH2(); //skip computation and assign!
runner = new Runner[lgt];
prevState = new double[lgt];
for( int i = 0; i < runner.length; ++i ){
runner[i] = new Runner(0.025/100.0 + 0.05/100.0*(double)i, 0.025/100.0 + 0.05/100.0*(double)i, price, "JustFake");
runner[i].type = (i%2 == 0 ? 1 : -1);
prevState[i] = (runner[i].type == 1 ? 1 : 0);
}
surp = H1; dSurp = H1; uSurp = H1;
liquidity = 0.5;
liqEMA = 0.5;
mySurprise = new LinkedList<Double>();
downSurprise = new LinkedList<Double>();
upSurprise = new LinkedList<Double>();
for( int i = 0; i < 100; ++i ){
mySurprise.add(new Double(H1));
downSurprise.add(new Double(H1));
upSurprise.add(new Double(H1));
}
//computeLiquidity();
downLiq = 0.5;
upLiq = 0.5;
diffLiq = 0.5;
diffRaw = 0.0;
alpha = 2.0/(100.0 + 1.0);
alphaWeight = Math.exp(-alpha);
}
public void getH1nH2(){
double price = 0.0;
alpha = 2.0/(100.0 + 1.0);
alphaWeight = Math.exp(-alpha);
runner = new Runner[runner.length];
for( int i = 0; i < runner.length; ++i ){
runner[i] = new Runner(0.025/100.0 + 0.05/100.0*(double)i, 0.025/100.0 + 0.05/100.0*(double)i, price, "JustFake");
runner[i].type = (i%2 == 0 ? 1 : -1);
prevState[i] = (runner[i].type == 1 ? 1 : 0);
}
double total1 = 0.0, total2 = 0.0;
Random rand = new Random(1);
double dt = 1.0/Math.sqrt(1000000.0);
double sigma = 0.25; // 25%
for( int i = 0; i < 100000000; ++i ){
price += sigma*dt*rand.nextGaussian();
for( int j= 0; j < runner.length; ++j ){
if( Math.abs(runner[j].run(price)) == 1 ){ // this is OK for simulated prices
double myProbs = getProbs(j);
total1 = total1*alphaWeight + (1.0 - alphaWeight)*(-Math.log(myProbs));
total2 = total2*alphaWeight + (1.0 - alphaWeight)*Math.pow(Math.log(myProbs), 2.0);
}
}
}
H1 = total1;
H2 = total2 - H1*H1;
System.out.println("H1:" + H1 + " H2:" + H2);
}
@SuppressWarnings("deprecation")
public boolean Trigger(PriceFeedData price){
// -- update values --
boolean doComp = false;
for( int i = 0; i < runner.length; ++i ){
int value = runner[i].run(price);
if( Math.abs(value) == 1 ){
//double alpha = 2.0/(100.0 + 1.0);
double myProbs = getProbs(i);
surp = surp*alphaWeight + (1.0 - alphaWeight)*(-Math.log(myProbs));
mySurprise.remove(0); mySurprise.add(new Double(-Math.log(myProbs)));
if( runner[i].type == -1 ){
dSurp = dSurp*alphaWeight + (1.0 - alphaWeight)*(-Math.log(myProbs));
downSurprise.remove(0); downSurprise.add(new Double(-Math.log(myProbs)));
}else if( runner[i].type == 1 ){
uSurp = uSurp*alphaWeight + (1.0 - alphaWeight)*(-Math.log(myProbs));
upSurprise.remove(0); upSurprise.add(new Double(-Math.log(myProbs)));
}
doComp = true;
}
}
if( doComp ){
liqEMA = (1.0 - CumNorm(Math.sqrt(100.0)*(surp - H1)/Math.sqrt(H2)));
upLiq = (1.0 - CumNorm(Math.sqrt(100.0)*(uSurp - H1)/Math.sqrt(H2)));
downLiq = (1.0 - CumNorm(Math.sqrt(100.0)*(dSurp - H1)/Math.sqrt(H2)));
diffLiq = CumNorm(Math.sqrt(100.0)*(uSurp - dSurp)/Math.sqrt(H2));
diffRaw = Math.sqrt(100.0)*(uSurp-dSurp)/Math.sqrt(H2);
}
return doComp;
}
public double getProbs(int i){
int where = -1;
for( int j = 1; j < prevState.length; ++j ){
if( prevState[j] != prevState[0] ){
where = j;
break;
}
}
if( i > 0 && where != i ){
System.out.println("This should not happen! " + where);
}
prevState[i] = (prevState[i] == 1 ? 0 : 1);
if( where == 1 ){
if( i > 0 ){
return Math.exp(-(runner[1].deltaDown - runner[0].deltaDown)/runner[0].deltaDown);
}else{
return (1.0 - Math.exp(-(runner[1].deltaDown - runner[0].deltaDown)/runner[0].deltaDown));
}
}else if( where > 1 ){
double numerator = 0.0;
for( int k = 1; k <= where; ++k ){
numerator -= (runner[k].deltaDown - runner[k-1].deltaDown)/runner[k-1].deltaDown;
}
numerator = Math.exp(numerator);
double denominator = 0.0;
for( int k = 1; k <= where - 1; ++k ){
double secVal = 0.0;
for( int j = k+1; j <= where; ++j ){
secVal -= (runner[j].deltaDown - runner[j-1].deltaDown)/runner[j-1].deltaDown;
}
denominator += (1.0 - Math.exp(-(runner[k].deltaDown - runner[k-1].deltaDown)/runner[k-1].deltaDown))*Math.exp(secVal);
}
if( i > 0 ){
return numerator/(1.0 - denominator);
}else{
return (1.0 - numerator/(1.0 - denominator));
}
}
else{
return 1.0;
}
}
// Another implementation of the CNDF for a standard normal: N(0,1)
double CumNorm(double x){
// Protect against overflow
if (x > 6.0)
return 1.0;
if (x < -6.0)
return 0.0;
double b1 = 0.31938153;
double b2 = -0.356563782;
double b3 = 1.781477937;
double b4 = -1.821255978;
double b5 = 1.330274429;
double p = 0.2316419;
double c2 = 0.3989423;
double a = Math.abs(x);
double t = 1.0 / (1.0 + a * p);
double b = c2*Math.exp((-x)*(x/2.0));
double n = ((((b5*t+b4)*t+b3)*t+b2)*t+b1)*t;
n = 1.0-b*n;
if ( x < 0.0 )
n = 1.0 - n;
return n;
}
public boolean computeLiquidity(long deltaT){
double surpT = 0.0;
double downSurp = 0.0, upSurp = 0.0;
for( int i = 0; i < mySurprise.size(); ++i ){
surpT += mySurprise.get(i).doubleValue();
downSurp += downSurprise.get(i).doubleValue();
upSurp += upSurprise.get(i).doubleValue();
}
liquidity = 1.0 - CumNorm((surpT - H1*mySurprise.size())/Math.sqrt(H2*mySurprise.size()));
liquidityDown = 1.0 - CumNorm((downSurp - H1*downSurprise.size())/Math.sqrt(H2*downSurprise.size()));
liquidityUp = 1.0 - CumNorm((upSurp - H1*upSurprise.size())/Math.sqrt(H2*upSurprise.size()));
return true;
}
};
public class HelpClass{
long time;
double price;
double liq;
public HelpClass(){};
public HelpClass(long t, double p, double l){
time = t; price = p; liq = l;
}
};
public class Prices{
double bid;
double ask;
Prices(){};
Prices(Prices p){
bid = p.bid;
ask = p.ask;
}
Prices(double b, double a){
bid = b;
ask = a;
}
};
public class NbDcCounter{
List<Long> eventList;
double delta;
long timeWindow;
Runner runner;
NbDcCounter(){};
NbDcCounter(double d, long tW){
eventList = new LinkedList<Long>();
delta = d;
runner = new Runner(delta, delta, "events", delta, delta);
timeWindow = tW;
}
@SuppressWarnings("deprecation")
boolean run(PriceFeedData price){
if( Math.abs(runner.run(price)) == 1 ){
eventList.add(new Long(price.elems.time));
}
if( eventList.size() == 0 )
return true;
while( eventList.get(0).longValue() < price.elems.time - timeWindow )
eventList.remove(0);
return true;
}
};
public class LocalLiquidity{
double deltaUp, deltaDown;
double delta;
double extreme, dStar, reference;
int type;
boolean initalized;
double surp, upSurp, downSurp;
double liq, upLiq, downLiq;
double alpha, alphaWeight;
double H1, H2;
LocalLiquidity(){};
LocalLiquidity(double d, double dUp, double dDown, double dS, double a){
type = -1; deltaUp = dUp; deltaDown = dDown; dStar = dS; delta = d;
initalized = false;
alpha = a;
alphaWeight = Math.exp(-2.0/(a + 1.0));
computeH1H2exp(dS);
}
LocalLiquidity(double d,double dUp, double dDown, PriceFeedData price, double dS, double a){
deltaUp = dUp; deltaDown = dDown; delta = d;
type = -1;
extreme = reference = price.elems.mid;
dStar = dS;
initalized = true;
alpha = a;
alphaWeight = Math.exp(-2.0/(a + 1.0));
computeH1H2exp(dS);
}
boolean computeH1H2exp(double dS){
H1 = -Math.exp(-dStar/delta)*Math.log(Math.exp(-dStar/delta)) - (1.0 - Math.exp(-dStar/delta))*Math.log(1.0 - Math.exp(-dStar/delta));
H2 = Math.exp(-dStar/delta)*Math.pow(Math.log(Math.exp(-dStar/delta)), 2.0) - (1.0 - Math.exp(-dStar/delta))*Math.pow(Math.log(1.0 - Math.exp(-dStar/delta)), 2.0) - H1*H1;
return true;
}
// Another implementation of the CNDF for a standard normal: N(0,1)
double CumNorm(double x){
// protect against overflow
if (x > 6.0)
return 1.0;
if (x < -6.0)
return 0.0;
double b1 = 0.31938153;
double b2 = -0.356563782;
double b3 = 1.781477937;
double b4 = -1.821255978;
double b5 = 1.330274429;
double p = 0.2316419;
double c2 = 0.3989423;
double a = Math.abs(x);
double t = 1.0 / (1.0 + a * p);
double b = c2*Math.exp((-x)*(x/2.0));
double n = ((((b5*t+b4)*t+b3)*t+b2)*t+b1)*t;
n = 1.0-b*n;
if ( x < 0.0 )
n = 1.0 - n;
return n;
}
public int run(PriceFeedData price){
if( price == null )
return 0;
if( !initalized ){
type = -1; initalized = true;
extreme = reference = price.elems.mid;
return 0;
}
if( type == -1 ){
if( Math.log(price.elems.bid/extreme) >= deltaUp ){
type = 1;
extreme = price.elems.ask;
reference = price.elems.ask;
return 1;
}
if( price.elems.ask < extreme ){
extreme = price.elems.ask;
}
if( Math.log(reference/extreme) >= dStar ){
reference = extreme;
return 2;
}
}
else if( type == 1 ){
if( Math.log(price.elems.ask/extreme) <= -deltaDown ){
type = -1;
extreme = price.elems.bid;
reference = price.elems.bid;
return -1;
}
if( price.elems.bid > extreme ){
extreme = price.elems.bid;
}
if( Math.log(reference/extreme) <= -dStar ){
reference = extreme;
return -2;
}
}
return 0;
}
public boolean computation(PriceFeedData price){
if( price == null )
return false;
int event = run(price);
if( event != 0 ){
surp = alphaWeight*(Math.abs(event) == 1 ? 0.08338161 : 2.525729) + (1.0 - alphaWeight)*surp;
if( event > 0 ){ // down moves
downSurp = alphaWeight*(event == 1 ? 0.08338161 : 2.525729) + (1.0 - alphaWeight)*downSurp;
}else if( event < 0 ){ // up moves
upSurp = alphaWeight*(event == -1 ? 0.08338161 : 2.525729) + (1.0 - alphaWeight)*upSurp;
}
liq = 1.0 - CumNorm(Math.sqrt(alpha)*(surp - H1)/Math.sqrt(H2));
upLiq = 1.0 - CumNorm(Math.sqrt(alpha)*(upSurp - H1)/Math.sqrt(H2));
downLiq = 1.0 - CumNorm(Math.sqrt(alpha)*(downSurp - H1)/Math.sqrt(H2));
}
return true;
}
};
public class CoastlineTrader{
double tP; /* -- Total position -- */
List<Double> prices;
List<Double> sizes;
double profitTarget;
double pnl, tempPnl;
double deltaUp, deltaDown, deltaLiq, deltaOriginal;
double shrinkFlong, shrinkFshort;
double pnlPerc;
int longShort;
boolean initalized;
Runner runner;
Runner[][] runnerG;
double increaseLong, increaseShort;
double lastPrice;
double cashLimit;
String fxRate;
LocalLiquidity liquidity;
CoastlineTrader(){};
CoastlineTrader(double dOriginal, double dUp, double dDown, double profitT, String FxRate, int lS){
prices = new LinkedList<Double>();
sizes = new LinkedList<Double>();
tP = 0.0; /* -- Total position -- */
profitTarget = cashLimit = profitT;
pnl = tempPnl = pnlPerc = 0.0;
deltaOriginal = dOriginal;
deltaUp = dUp; deltaDown = dDown;
longShort = lS; // 1 for only longs, -1 for only shorts
shrinkFlong = shrinkFshort = 1.0;
increaseLong = increaseShort = 0.0;
fxRate = new String(FxRate);
}
double computePnl(PriceFeedData price){
// TODO:
// Compute PnL with current price
return 0.0;
}
double computePnlLastPrice(){
// TODO:
// Compute PnL with last available price
return 0.0;
}
double getPercPnl(PriceFeedData price){
// TODO:
// Percentage PnL
return 0.0;
}
boolean tryToClose(PriceFeedData price){
// TODO:
// Check if PnL target hit implementation
return false;
}
boolean assignCashTarget(){
// TODO:
// Compute cash value corresponding to percentage PnL
return true;
}
@SuppressWarnings("deprecation")
boolean runPriceAsymm(PriceFeedData price, double oppositeInv){
if( !initalized ){
runner = new Runner(deltaUp, deltaDown, price, fxRate, deltaUp, deltaDown);
runnerG = new Runner[2][2];
runnerG[0][0] = new Runner(0.75*deltaUp, 1.50*deltaDown, price, fxRate, 0.75*deltaUp, 0.75*deltaUp);
runnerG[0][1] = new Runner(0.50*deltaUp, 2.00*deltaDown, price, fxRate, 0.50*deltaUp, 0.50*deltaUp);
runnerG[1][0] = new Runner(1.50*deltaUp, 0.75*deltaDown, price, fxRate, 0.75*deltaDown, 0.75*deltaDown);
runnerG[1][1] = new Runner(2.00*deltaUp, 0.50*deltaDown, price, fxRate, 0.50*deltaDown, 0.50*deltaDown);
liquidity = new LocalLiquidity(deltaOriginal, deltaUp, deltaDown, price, deltaOriginal*2.525729, 50.0);
initalized = true;
}
if( !liquidity.computation(price) ){
System.out.println("Didn't compute liquidity!");
}
if( tryToClose(price) ){ /* -- Try to close position -- */
System.out.println("Close");
return true;
}
int event = 0;
double fraction = 1.0;
double size = (liquidity.liq < 0.5 ? 0.5 : 1.0);
size = (liquidity.liq < 0.1 ? 0.1 : size);
if( longShort == 1 ){ // Long positions only
event = runner.run(price);
if( 15.0 <= tP && tP < 30.0 ){
event = runnerG[0][0].run(price);
runnerG[0][1].run(price);
fraction = 0.5;
}else if( tP >= 30.0 ){
event = runnerG[0][1].run(price);
runnerG[0][0].run(price);
fraction = 0.25;
}else{
runnerG[0][0].run(price); runnerG[0][1].run(price);
}
if( event < 0 ){
if( tP == 0.0 ){ // Open long position
int sign = -runner.type;
if( Math.abs(oppositeInv) > 15.0 ){
size = 1.0;
if( Math.abs(oppositeInv) > 30.0 ){
size = 1.0;
}
}
double sizeToAdd = sign*size;
tP += sizeToAdd;
sizes.add(new Double(sizeToAdd));
prices.add(new Double(sign == 1 ? price.elems.ask : price.elems.bid));
assignCashTarget();
System.out.println("Open long");
}
else if( tP > 0.0 ){ // Increase long position (buy)
int sign = -runner.type;
double sizeToAdd = sign*size*fraction*shrinkFlong;
if( sizeToAdd < 0.0 ){
System.out.println("How did this happen! increase position but neg size: " + sizeToAdd);
sizeToAdd = -sizeToAdd;
}
increaseLong += 1.0;
tP += sizeToAdd;
sizes.add(new Double(sizeToAdd));
prices.add(new Double(sign == 1 ? price.elems.ask : price.elems.bid));
System.out.println("Cascade");
}
}
else if( event > 0 && tP > 0.0 ){ // Possibility to decrease long position only at intrinsic events
double pricE = (tP > 0.0 ? price.elems.bid : price.elems.ask);
for( int i = 1; i < prices.size(); ++i ){
double tempP = (tP > 0.0 ? Math.log(pricE/prices.get(i).doubleValue()) : Math.log(prices.get(i).doubleValue()/pricE));
if( tempP >= (tP > 0.0 ? deltaUp : deltaDown) ){
double addPnl = (pricE - prices.get(i).doubleValue())*sizes.get(i).doubleValue();
if( addPnl < 0.0 ){
System.out.println("Descascade with a loss: " + addPnl);
}
tempPnl += addPnl;
tP -= sizes.get(i).doubleValue();
sizes.remove(i); prices.remove(i);
increaseLong += -1.0;
System.out.println("Decascade");
}
}
}
}
else if( longShort == -1 ){ // Short positions only
event = runner.run(price);
if( -30.0 < tP && tP < -15.0 ){
event = runnerG[1][0].run(price);
runnerG[1][1].run(price);
fraction = 0.5;
}else if( tP <= -30.0 ){
event = runnerG[1][1].run(price);
runnerG[1][0].run(price);
fraction = 0.25;
}else{
runnerG[1][0].run(price); runnerG[1][1].run(price);
}
if( event > 0 ){
if( tP == 0.0 ){ // Open short position
int sign = -runner.type;
if( Math.abs(oppositeInv) > 15.0 ){
size = 1.0;
if( Math.abs(oppositeInv) > 30.0 ){
size = 1.0;
}
}
double sizeToAdd = sign*size;
if( sizeToAdd > 0.0 ){
System.out.println("How did this happen! increase position but pos size: " + sizeToAdd);
sizeToAdd = -sizeToAdd;
}
tP += sizeToAdd;
sizes.add(new Double(sizeToAdd));
prices.add(new Double(sign == 1 ? price.elems.bid : price.elems.ask));
System.out.println("Open short");
assignCashTarget();
}else if( tP < 0.0 ){
int sign = -runner.type;
double sizeToAdd = sign*size*fraction*shrinkFshort;
if( sizeToAdd > 0.0 ){
System.out.println("How did this happen! increase position but pos size: " + sizeToAdd);
sizeToAdd = -sizeToAdd;
}
tP += sizeToAdd;
sizes.add(new Double(sizeToAdd));
increaseShort += 1.0;
prices.add(new Double(sign == 1 ? price.elems.bid : price.elems.ask));
System.out.println("Cascade");
}
}
else if( event < 0.0 && tP < 0.0 ){
double pricE = (tP > 0.0 ? price.elems.bid : price.elems.ask);
for( int i = 1; i < prices.size(); ++i ){
double tempP = (tP > 0.0 ? Math.log(pricE/prices.get(i).doubleValue()) : Math.log(prices.get(i).doubleValue()/pricE));
if( tempP >= (tP > 0.0 ? deltaUp : deltaDown) ){
double addPnl = (pricE - prices.get(i).doubleValue())*sizes.get(i).doubleValue();
if( addPnl < 0.0 ){
System.out.println("Descascade with a loss: " + addPnl);
}
tempPnl += (pricE - prices.get(i).doubleValue())*sizes.get(i).doubleValue();
tP -= sizes.get(i).doubleValue();
sizes.remove(i); prices.remove(i);
increaseShort += -1.0;
System.out.println("Decascade");
}
}
}
}
else{
System.out.println("Should never happen! " + longShort);
}
return true;
}
};
public class FXrateTrading{
CoastlineTrader[] coastTraderLong, coastTraderShort;
String FXrate;
Liquidity liquidity;
double currentTime, oneDay;
FXrateTrading(){};
FXrateTrading(String rate, int nbOfCoastTraders, double[] deltas){
currentTime = 1136073600000.0;
oneDay = 24.0*60.0*60.0*1000.0;
FXrate = new String(rate);
coastTraderLong = new CoastlineTrader[nbOfCoastTraders];
coastTraderShort = new CoastlineTrader[nbOfCoastTraders];
for( int i = 0; i < coastTraderLong.length; ++i ){
coastTraderLong[i] = new CoastlineTrader(deltas[i], deltas[i], deltas[i], deltas[i], rate.toString(), 1);
coastTraderShort[i] = new CoastlineTrader(deltas[i], deltas[i], deltas[i], deltas[i], rate.toString(), -1);
}
};
boolean runTradingAsymm(PriceFeedData price){
for( int i = 0; i < coastTraderLong.length; ++i ){
coastTraderLong[i].runPriceAsymm(price, coastTraderShort[i].tP);
coastTraderShort[i].runPriceAsymm(price, coastTraderLong[i].tP);
}
if( price.elems.time >= currentTime + oneDay ){
while( currentTime <= price.elems.time )
currentTime += oneDay;
printDataAsymm(currentTime);
}
return true;
}
boolean printDataAsymm(double time){
String sep = new String(System.getProperty("file.separator"));
String folder = new String(sep + "home" + sep + "agolub" + sep + "workspace" + sep + "InvestmentStrategy" + sep + FXrate.toString() + "DataAsymmLiq.dat");
FileWriter fw = null;
try{
double totalPos = 0.0, totalShort = 0.0, totalLong = 0.0; double totalPnl = 0.0; double totalPnlPerc = 0.0;
fw = new FileWriter(folder, true);