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 DayTradeStrategy

Basic strategy of day trading. The agent orders selling and buying simultaneously. Limited price of selling order is slightly higher than latest futures price. That of buying order is lower than latest futures price.

according as TestStrategy.java according as TestStrategy.java Strategy.java 2 Limit Price Yes futures price, spot price, position, cash, remaining session Short term trader Against trend No No Getting last future price (U-Mart price). Then it decide limit price for buying and selling order. Price on buying order is (1-R)*P. (R: Spread Ratio, P:Latest future price) Price on selling order is (1+R)*P. Order volume is obtained as an uniform random numbers between minQuote and maxQuote. DayTradeStrategy Strategy Same as 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 spreadRatio double spread ratio of buying and selling orders 0 spreadRatio 1 0.01 20 to 40 points higher or lower than future price 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 getSellOrder to dicide selling order Order spotPrice int[] Time Series of spot price -1 : When trade is failure, positive value : contracted futures price futurePrice int[] Time Series of future price -1 : When trade is failure, positive value : contracted futures price pos int current position Positive is buying position, Nagative is selling position. restDay int Number of to the closing of market 0 ... 240 DayTradeStrategy.doc, DayTradeStrategy.java