edu.cuny.cat.trader.strategy
Class MomentumStrategy

java.lang.Object
  java.util.Observable
      edu.cuny.cat.trader.strategy.AbstractStrategy
          edu.cuny.cat.trader.strategy.FixedQuantityStrategyImpl
              edu.cuny.cat.trader.strategy.AdaptiveStrategyImpl
                  edu.cuny.cat.trader.strategy.MomentumStrategy

All Implemented Interfaces:

AuctionEventListener, AdaptiveStrategy, FixedQuantityStrategy, Strategy, edu.cuny.config.param.Parameterizable, edu.cuny.obj.Prototypeable, edu.cuny.obj.Resetable, java.io.Serializable, java.lang.Cloneable

Direct Known Subclasses:

PriestVanTolStrategy, ZIPStrategy, ZIQStrategy

public abstract class MomentumStrategy
extends AdaptiveStrategyImpl
implements java.io.Serializable

A trading strategy that learns to adapt the price to offer. It uses a MimicryLearner to learn a profit margin, which together with the trader's private value determines the price to offer.

It also brings randomness to some extent by perturbing the price to be offered.

Parameters

base.scaling double >= 0 (by default 0.05)	(the maximum of perturbation on price)
base.learner name of class, implementing MimicryLearner	(the learning algorithm to adapt price)

Default Base

momentum_strategy

Version:

$Revision: 1.25 $

Author:

Steve Phelps

See Also:

Serialized Form

Field Summary

protected cern.jet.random.AbstractContinousDistribution	absolutePerterbationDistribution
protected double	currentPrice
protected cern.jet.random.AbstractContinousDistribution	initialMarginDistribution
protected Shout	lastShout
protected boolean	lastShoutAccepted
protected double	lastShoutPrice
protected edu.cuny.ai.learning.MimicryLearner	learner
static java.lang.String	P_DEF_BASE
static java.lang.String	P_LEARNER
static java.lang.String	P_SCALING
protected cern.jet.random.AbstractContinousDistribution	relativePerterbationDistribution
protected double	scaling A parameter used to scale the randomly drawn price adjustment perturbation values.

Fields inherited from class edu.cuny.cat.trader.strategy.FixedQuantityStrategyImpl

quantity

Fields inherited from class edu.cuny.cat.trader.strategy.AbstractStrategy

agent, currentShout, MIN_PRICE_DIFFERENCE

Constructor Summary

MomentumStrategy()

MomentumStrategy(AbstractTradingAgent agent)

Method Summary

protected abstract void	adjustMargin()
protected void	adjustMargin(double targetMargin)
protected double	calculatePrice(double margin)
void	eventOccurred(AuctionEvent event)
double	getCurrentPrice()
Shout	getLastShout()
edu.cuny.ai.learning.Learner	getLearner()
double	getScaling()
protected void	initMargin()
boolean	isLastShoutAccepted()
boolean	modifyShout(Shout.MutableShout shout) Modify the price and quantity of the given shout according to this strategy.
protected double	perterb(double price)
protected void	processDayClosed() if there is a shout placed as the last activity, since no more shout or transaction is coming, this last shout needs to be processed just as other shouts with following shouts were done.
protected void	processLastShout(Shout lastShout)
boolean	requiresAuctionHistory()
void	setLearner(edu.cuny.ai.learning.Learner learner)
void	setMargin(double margin)
void	setScaling(double scaling)
void	setup(edu.cuny.config.param.ParameterDatabase parameters, edu.cuny.config.param.Parameter base)
protected void	shoutPosted(ShoutPostedEvent event)
protected double	targetMargin(double targetPrice)
java.lang.String	toString()
protected void	transactionPosted(TransactionPostedEvent event)

Methods inherited from class edu.cuny.cat.trader.strategy.FixedQuantityStrategyImpl

determineQuantity, getQuantity, setQuantity

Methods inherited from class edu.cuny.cat.trader.strategy.AbstractStrategy

getAgent, initialize, modifyShout, protoClone, reset, setAgent

Methods inherited from class java.util.Observable

addObserver, clearChanged, countObservers, deleteObserver, deleteObservers, hasChanged, notifyObservers, notifyObservers, setChanged

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface edu.cuny.cat.trader.strategy.Strategy

determineQuantity, modifyShout, setAgent

Methods inherited from interface edu.cuny.obj.Prototypeable

protoClone

Methods inherited from interface edu.cuny.obj.Resetable

reset

Field Detail

learner

protected edu.cuny.ai.learning.MimicryLearner learner

currentPrice

protected double currentPrice

lastShout

protected Shout lastShout

scaling

protected double scaling

A parameter used to scale the randomly drawn price adjustment perturbation values.

lastShoutAccepted

protected boolean lastShoutAccepted

lastShoutPrice

protected double lastShoutPrice

initialMarginDistribution

protected cern.jet.random.AbstractContinousDistribution initialMarginDistribution

relativePerterbationDistribution

protected cern.jet.random.AbstractContinousDistribution relativePerterbationDistribution

absolutePerterbationDistribution

protected cern.jet.random.AbstractContinousDistribution absolutePerterbationDistribution

P_DEF_BASE

public static final java.lang.String P_DEF_BASE

See Also:

Constant Field Values

P_SCALING

public static final java.lang.String P_SCALING

See Also:

Constant Field Values

P_LEARNER

public static final java.lang.String P_LEARNER

See Also:

Constant Field Values

Constructor Detail

MomentumStrategy

public MomentumStrategy()

MomentumStrategy

public MomentumStrategy(AbstractTradingAgent agent)

Method Detail

setup

public void setup(edu.cuny.config.param.ParameterDatabase parameters,
                  edu.cuny.config.param.Parameter base)

Specified by:

setup in interface edu.cuny.config.param.Parameterizable

Overrides:

setup in class FixedQuantityStrategyImpl

modifyShout

public boolean modifyShout(Shout.MutableShout shout)

Description copied from class: AbstractStrategy

Modify the price and quantity of the given shout according to this strategy.

Overrides:

modifyShout in class FixedQuantityStrategyImpl

Returns:

false if no shout is to be placed at this time

requiresAuctionHistory

public boolean requiresAuctionHistory()

Specified by:

requiresAuctionHistory in interface Strategy

Overrides:

requiresAuctionHistory in class AbstractStrategy

eventOccurred

public void eventOccurred(AuctionEvent event)

Specified by:

eventOccurred in interface AuctionEventListener

Overrides:

eventOccurred in class AdaptiveStrategyImpl

initMargin

protected void initMargin()

processLastShout

protected void processLastShout(Shout lastShout)

shoutPosted

protected void shoutPosted(ShoutPostedEvent event)

transactionPosted

protected void transactionPosted(TransactionPostedEvent event)

processDayClosed

protected void processDayClosed()

if there is a shout placed as the last activity, since no more shout or transaction is coming, this last shout needs to be processed just as other shouts with following shouts were done.

setLearner

public void setLearner(edu.cuny.ai.learning.Learner learner)

Specified by:

setLearner in interface AdaptiveStrategy

getLearner

public edu.cuny.ai.learning.Learner getLearner()

Specified by:

getLearner in interface AdaptiveStrategy

setMargin

public void setMargin(double margin)

getCurrentPrice

public double getCurrentPrice()

getLastShout

public Shout getLastShout()

isLastShoutAccepted

public boolean isLastShoutAccepted()

setScaling

public void setScaling(double scaling)

getScaling

public double getScaling()

calculatePrice

protected double calculatePrice(double margin)

targetMargin

protected double targetMargin(double targetPrice)

adjustMargin

protected void adjustMargin(double targetMargin)

perterb

protected double perterb(double price)

adjustMargin

protected abstract void adjustMargin()

toString

public java.lang.String toString()

Overrides:

toString in class FixedQuantityStrategyImpl