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orderbookMain.R
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orderbookMain.R
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#' Orderbook Research with Jiangmin Xu Algorithm
#' Main script
#'
#Load libraries
library(data.table)
library(dplyr)
library(ggplot2)
library(manipulate)
library(TTR)
setwd("~/repo/MarketMaker")
source('orderbookPrepareData.R',echo=FALSE)
source('orderbookOU.R', echo=FALSE)
source('orderbookGetMarketParam_VolumeDisbalanceSignal.R', echo=FALSE)
#source('orderbookGetMarketParam_IntensitySignal.R', echo=F)
source('orderbookBackWardInductionMy.R', echo=FALSE)
source('orderbookPlotStrategies.R', echo=FALSE)
options(digits.secs=3)
# Prepare Raw Data
startTime<-Sys.time()
symb<-"SBRF-12.16"
rawDataPath<-"~/repo/MarketMaker/Demo/RawData/"
orderBookPrepareData(rawDataPath, symb)
Sys.time()-startTime
# Make Market Parameters
setwd(rawDataPath)
fnames<-grep("MM", dir(),value = T)
obMarketParams<-list()
for(i in 1:length(fnames)){
print(fnames[i])
obMarketParams[[i]]<-getMarketParams(fnames[i],
TFrame=20,
deltat=1,
MY=10,
deltaY=1,
MF=10,
# Disbalance step
deltaF=0.05,
# Price min step
deltaTick=1,
#Commision
eps=0.25,
# Invenory penalization (Risk)
gamma=0.1,
# Max market order size in lot
dzetamax=1,
#Spread Max
SMax=7,
# Orderbook max level
levelF=3,
#Obseravation step
deltaN = 1,
#Observation control window
NFrame=5,
byT=FALSE)
}
#Market Params stat
head<-c("dfdate",
"lambdaS",
"alfaF",
"sigmaF",
"lambdaJ1",
"lambdaJ2",
"beta1",
"beta2",
"lambdaMA",
"lambdaMB",
"dzeta0",
"dzeta1",
"SMax",
"deltat",
"TFrame",
"deltaN",
"NFrame")
dtMP<-rbindlist(lapply(obMarketParams, FUN=function(x){
data.table(x$dfdate,
x$lambdaS,
x$alfaF,
x$sigmaF,
x$lambdaJ1,
x$lambdaJ2,
x$beta1,
x$beta2,
x$lambdaMA,
x$lambdaMB,
x$dzeta0,
x$dzeta1,
x$SMax,
x$deltat,
x$TFrame,
x$deltaN,
x$NFrame)
}))
setnames(dtMP, head)
dtMP
obMPdf<-obMarketParams[[dtMP[,.SD,by=1:nrow(dtMP)][SMax==min(SMax),nrow][1]]]
SMin<-dtMP[,min(SMax)][1]/obMPdf$deltaTick
roS<-lapply(obMarketParams,FUN=function(x)x$roS@transitionMatrix[1:SMin,1:SMin])
roS<-apply(simplify2array(roS),1:2,median)
obMPdf$lambdaS<-dtMP[,median(lambdaS)]
obMPdf$alfaF<-dtMP[,median(alfaF)]
obMPdf$sigmaF<-dtMP[,median(sigmaF)]
obMPdf$lambdaJ1<-dtMP[,median(lambdaJ1)]
obMPdf$lambdaJ2<-dtMP[,median(lambdaJ2)]
obMPdf$beta1<-dtMP[,median(beta1)]
obMPdf$beta2<-dtMP[,median(beta2)]
obMPdf$lambdaMA<-dtMP[,median(lambdaMA)]
obMPdf$lambdaMB<-dtMP[,median(lambdaMB)]
obMPdf$dzeta0<-dtMP[,median(dzeta0)]
obMPdf$dzeta1<-dtMP[,median(dzeta1)]
obMPdf$deltat<-dtMP[,round(median(deltat),2)]
obMPdf$deltaN<-dtMP[,median(deltaN)]
obMPdf$TFrame<-dtMP[,round(median(TFrame),2)]
obMPdf$NFrame<-dtMP[,median(NFrame)]
obMPdf$TT<- seq(0,obMPdf$TFrame, by=round(obMPdf$deltat,2))
obMPdf$NT<-length(obMPdf$TT)
obMPdf$roS<-roS
Sys.time()-startTime
#' Make politics
w<-array(data=0, dim=c(obMPdf$NT,obMPdf$NY, obMPdf$NF, obMPdf$NS))
plt.thtkq<-array(data=0,dim=c(obMPdf$NT,obMPdf$NY, obMPdf$NF, obMPdf$NS))
plt.polmk<-array(dim=c(obMPdf$NT,obMPdf$NY, obMPdf$NF, obMPdf$NS))
plt.thmkb<-array(data=0,dim=c(obMPdf$NT,obMPdf$NY, obMPdf$NF, obMPdf$NS))
plt.thmka<-array(data=0,dim=c(obMPdf$NT,obMPdf$NY, obMPdf$NF, obMPdf$NS))
plt.Lmatrix<-SolveLMatrix()
startTime<-Sys.time()
SolveBackwardInduction()
Sys.time()-startTime
gc()
polmkdf<-melt(plt.polmk)
colnames(polmkdf)<-c("t", "y", "f", "s", "pol")
thmkadf<-melt(plt.thmka)
colnames(thmkadf)<-c("t", "y", "f", "s","pingAsk")
thmkbdf<-melt(plt.thmkb)
colnames(thmkbdf)<-c("t", "y", "f", "s","pingBid")
thtkqdf<-melt(plt.thtkq)
colnames(thtkqdf)<-c("t", "y", "f", "s","qtyMO")
politics<-cbind(polmkdf, thmkadf$pingAsk,thmkbdf$pingBid,thtkqdf$qtyMO)
politics<-politics[!is.na(politics$pol),]
colnames(politics)<-c("t", "y", "f", "s", "PLT", "MMAQTY", "MMBQTY", "TQTY")
politics$TV<-obMPdf$TT[politics$t]
politics$YV<-obMPdf$YY[politics$y]
politics$FV<-obMPdf$FF[politics$f]
politics$SV<-obMPdf$SS[politics$s]
politicsNames<-c("MomentumSell" , "MomentumBuy" ,
"InventoryControlSell" , "InventoryControlBuy" ,
"PartialInventoryControlSell", "PartialInventoryControlBuy",
"MarketMaking","PingingBidSide", "PingingAskSide" ,"PingingBidAskSide" )
politics<-data.table(politics)
politics<-mutate(politics,
MomentumSell=(PLT==FALSE)&(TQTY+YV<0)&(TQTY<0),
MomentumBuy=(PLT==FALSE)&(TQTY+YV>0)&(TQTY>0),
InventoryControlSell=(PLT==FALSE)&(TQTY+YV==0)&(TQTY<0),
InventoryControlBuy=(PLT==FALSE)&(TQTY+YV==0)&(TQTY>0),
PartialInventoryControlSell=(PLT==FALSE)&(TQTY+YV>0)&(TQTY<0),
PartialInventoryControlBuy=(PLT==FALSE)&(TQTY+YV<0)&(TQTY>0),
MarketMaking=(PLT==TRUE)&(MMBQTY==0)&(MMAQTY==0),
PingingBidSide=(PLT==TRUE)&(MMBQTY==1)&(MMAQTY==0),
PingingAskSide=(PLT==TRUE)&(MMAQTY==1)&(MMBQTY==0),
PingingBidAskSide=(PLT==TRUE)&(MMBQTY==1)&(MMAQTY==1))
politics<-data.table(politics)
politics[,Str:=politicsNames[which(unlist(.SD))], .SDcols=politicsNames, by=1:nrow(politics)]
rm(polmkdf, thmkadf, thmkbdf, thtkqdf)
obMPdf$symbol<-symb
save(obMPdf,plt.polmk,plt.thtkq,plt.thmkb,plt.thmka,politics,
file=paste("politics",symb,obMPdf$dfdate,
"gamma",obMPdf$gamma,
"dzetamax", obMPdf$dzetamax,
".RData", sep="_"))
rm(plt.polmk, plt.thmka, plt.thmkb, plt.thtkq, w)
rm(plt.Lmatrix)
# Save politics
write.csv(politics[,.(t, y, f, s, PLT, MMAQTY, MMBQTY, TQTY, TV, YV, FV, SV)],
file=paste("politics",obMPdf$symbol,obMPdf$dfdate,
"gamma",obMPdf$gamma,
"dzetamax", obMPdf$dzetamax,
".csv", sep="_"))
write.csv(data.frame( obMPdf$dfdate,
obMPdf$symbol,
obMPdf$lambdaS,
obMPdf$alfaF,
obMPdf$sigmaF,
obMPdf$lambdaJ1,
obMPdf$lambdaJ2,
obMPdf$beta1,
obMPdf$beta2,
obMPdf$lambdaMA,
obMPdf$lambdaMB,
obMPdf$dzeta0,
obMPdf$dzeta1,
obMPdf$TFrame,
obMPdf$deltat,
obMPdf$NT,
obMPdf$MY,
obMPdf$deltaY,
obMPdf$NY,
obMPdf$MF,
obMPdf$deltaF,
obMPdf$NF,
obMPdf$deltaTick,
obMPdf$eps,
obMPdf$gamma,
obMPdf$dzetamax,
obMPdf$SMax,
obMPdf$NS,
obMPdf$deltaN,
obMPdf$NFrame),
file=paste("marketparams",obMPdf$symbol,obMPdf$dfdate,
"gamma",obMPdf$gamma,
"dzetamax", obMPdf$dzetamax,
".csv", sep="_"))
# PLot Politics
manipulate(PlotStrategies(t,s),
t=slider(1,(obMPdf$NT-1), step=1),
s=slider(1,obMPdf$NS,step=1))
politics[,.N/politics[,.N],by=Str][order(-V1)]
# ANIMATION
library(animation)
#load(file="politics2015-07-07gamma2dzetamax2.RData")
oopt <- animation::ani.options(interval = 0.1)
saveGIF(lapply(1:(obMPdf$NT-1), FUN=function(x)PlotStrategies(x,2)),
interval = 0.5,
movie.name = "orderbook.gif", ani.width = 800, ani.height = 400)
#
#