U-Mart Project
(c)2000 Rikiya FUKUMOTO
(c)2002 U-Mart Project
Yuji KAWABE
Dept. of Information Science and Intelligent Systems,
Faculty of Engineering, The University of Tokushima
2-1 Minamijosanjima, Tokushima, Tokushima, 770-8506, Japan.
+81-88-656-9139
+81-88-656-9139
yuuji@is.tokushima-u.ac.jp
Isao ONO
Dept. of Information Science and Intelligent Systems,
Faculty of Engineering, The University of Tokushima
2-1 Minamijosanjima, Tokushima, Tokushima, 770-8506, Japan.
+81-88-656-9139
+81-88-656-9139
isao@is.tokushima-u.ac.jp
Hajime KITA
National Institution for Academic Degree
3-29-1 Ootsuka, Bunkyo, Tokyo, 112-0012, Japan.
+81-3-3942-9972
+81-3-3942-9972
kita@niad.ac.jp
AntiTrend Trader
price1=last futures price, and price2= second last futures price.
If price1 is lower than price2 then the agent orders buying.
If price1 is higher than price2 then the agent orders selling.
The amount of order is randomly desided.
according as TestStrategy.java
according as TestStrategy.java
Strategy.java
1
Limit Price
Yes
futures price, spot price, position, cash, remaining session
Short
Against the trend
No
No
The agent try to obtain latest spot price and second latest spot price. If it is failed, he uses spot prices. If the latest price is higher than the second latest price, he send selling order. If the latest price is lower than the second latest price, he send buying order. Limited price of the order is given by Gaussian whose standerd deviation is given as field variable "widthOfPrice". Order volume is obtained as an uniform random numbers between minQuote and maxQuote.
AntiTrendStrategy
Strategy
See Summary of Agent
widthOfPrice
int
Variance of limit price decided
1 ... 1000
20
maxQuant
int
Maximam volume of one order
(minQuant+1) ... (initial cash/300,000)
50
minQuant
int
Minimum volume of one order
1 ... (maxQuant-1)
10
maxPosition
int
Upper bound of net position. For asset management.
1 ... (initial cash/300,000)
300
getOrder
to dicide order
Order
spotPrice
int[]
Time Series of spot price
1 ...
futurePrice
int[]
Time Series of futures price
-1 : When trade is failure, positive value : contracted futures price
pos
int
current position
Positive is buying position. Nagative is selling position.
money
long
amount of cash
0 ...
restDay
int
Number of to the closing of market
0 ... 240
AntiTrendStrategy.doc, AntiTrendStrategy.java