public StrategyActionData GAStrategy(int nn_output, int amount, SimAccount ac)
{
var ad = new StrategyActionData();
var pred_side = nn_output == 1 ? "buy" : "sell";
if (nn_output == 0)
{
pred_side = "no";
}
if (pred_side == "buy" && ac.holding_data.holding_side == "")
{
ad.add_action("entry", pred_side, "market", 0, amount, -1, "entry order");
}
else if (pred_side == "buy" && ac.holding_data.holding_side == "sell")
{
ad.add_action("entry", pred_side, "market", 0, ac.holding_data.holding_size + amount, -1, "exit & entry order");
}
else if (pred_side == "sell" && ac.holding_data.holding_side == "")
{
ad.add_action("entry", pred_side, "market", 0, amount, -1, "entry order");
}
else if (pred_side == "sell" && ac.holding_data.holding_side == "buy")
{
ad.add_action("entry", pred_side, "market", 0, ac.holding_data.holding_size + amount, -1, "exit & entry order");
}
return(ad);
}
/*
*
*/
public StrategyActionData entryTimingPTLCStrategy(int i, double max_amount, SimAccount ac, string side, int num_entry, int entry_interval, double pt_ratio, double lc_ratio)
{
var ad = new StrategyActionData();
var a = max_amount / (Convert.ToDouble(1 + num_entry) * Convert.ToDouble(num_entry) / 2.0);
var entry_amount = (ac.holding_data.holding_entry_num + 1) * a;
if (ac.holding_data.holding_entry_num >= num_entry - 1)
{
entry_amount = max_amount - ac.holding_data.holding_size;
}
var otype = "market";
//0:pt
if (ac.holding_data.holding_side != "" && ac.performance_data.unrealized_pl_ratio >= pt_ratio)
{
ad.add_action("entry", ac.holding_data.holding_side == "buy" ? "sell" : "buy", otype, 0, ac.holding_data.holding_size, -1, "0. Profit Taking");
}
//1:lc
else if (ac.holding_data.holding_side != "" && ac.performance_data.unrealized_pl_ratio <= lc_ratio)
{
ad.add_action("entry", ac.holding_data.holding_side == "buy" ? "sell" : "buy", otype, 0, ac.holding_data.holding_size, -1, "1. Loss Cut");
}
//2:Entry
else if (ac.holding_data.holding_entry_num < num_entry && ac.holding_data.holding_size < max_amount && i - ac.holding_data.holding_i >= entry_interval)
{
ad.add_action("entry", side, otype, 0, entry_amount, -1, "2. Entry");
}
//3:Holding max amount, no action
else if (ac.holding_data.holding_size < max_amount)
{
}
return(ad);
}
/*常にlimit entry、num order = 1以下。
* 1. pred_side == order_sideのときは、max_amountに達するまでamountを追加してupdate price
* 2. pred_side != order_sideのときは、cancel all orders, pred_sideにamountのlimit orderを出す。
* 3. pred_side == holding_sideのときは、max_amountに達するまでamountのlimit orderを出す。
* 4. pred_side != holding_sideのときは、amount + holding_sizeのlimit orderを出す
*
*/
public StrategyActionData GALimitStrategy(int i, int nn_output, int amount, int max_amount, SimAccount ac)
{
var ad = new StrategyActionData();
var output_action_list = new string[] { "no", "buy", "sell", "cancel" };
var pred_side = output_action_list[nn_output];
if (pred_side == "no")
{
}
else if (pred_side == "cancel")
{
if (ac.order_data.getLastSerialNum() > 0)
{
ad.add_action("cancel", "", "", 0, 0, ac.order_data.order_serial_list.Last(), "cancel all order");
}
}
else
{
if (pred_side == ac.order_data.getLastOrderSide()) //1.
{
if (ac.holding_data.holding_size + ac.order_data.getLastOrderSize() < max_amount)
{
ad.add_action("update amount", pred_side, "limit", 0, ac.order_data.getLastOrderSize() + amount, ac.order_data.order_serial_list.Last(), "update order amount");
}
//if ((ac.order_data.getLastOrderSide() == "buy" && MarketData.Close[i] > ac.order_data.getLastOrderPrice()) || (ac.order_data.getLastOrderSide() == "sell" && MarketData.Close[i] < ac.order_data.getLastOrderPrice()))
if (ac.order_data.getLastOrderPrice() != MarketData.Close[i])
{
ad.add_action("update price", pred_side, "limit", MarketData.Close[i], ac.order_data.getLastOrderSize(), ac.order_data.order_serial_list.Last(), "update order price");
}
}
else if (pred_side != ac.order_data.getLastOrderSide()) //2.
{
if (ac.order_data.getLastOrderSide() != "")
{
ad.add_action("cancel", "", "", 0, 0, ac.order_data.order_serial_list.Last(), "cancel all order");
}
if ((pred_side == ac.holding_data.holding_side && ac.holding_data.holding_size + amount > max_amount) == false)
{
ad.add_action("entry", pred_side, "limit", MarketData.Close[i], amount, -1, "entry order");
}
}
else if (pred_side == ac.holding_data.holding_side && ac.holding_data.holding_size + ac.order_data.getLastOrderSize() < max_amount) //3.
{
ad.add_action("entry", pred_side, "limit", MarketData.Close[i], amount, -1, "entry order");
}
else if (pred_side != ac.holding_data.holding_side && ac.order_data.getLastOrderSide() != pred_side) //4.
{
ad.add_action("entry", pred_side, "limit", MarketData.Close[i], Math.Min(ac.holding_data.holding_size + amount, ac.holding_data.holding_size + max_amount), -1, "entry order");
}
}
return(ad);
}
public StrategyActionData entryTimingPTLCPriceChangeStrategy(int i, double max_amount, SimAccount ac, int num_entry, int entry_interval, double pt_ratio, double lc_ratio, int buy_price_change_minutes, double buy_price_change_ratio, int sell_price_change_minutes, double sell_price_change_ratio)
{
var ad = new StrategyActionData();
var a = max_amount / (Convert.ToDouble(1 + num_entry) * Convert.ToDouble(num_entry) / 2.0);
var entry_amount = (ac.holding_data.holding_entry_num + 1) * a;
if (ac.holding_data.holding_entry_num >= num_entry - 1)
{
entry_amount = max_amount - ac.holding_data.holding_size;
}
var price_change_trigger = "";
if ((MarketData.Close[i] - MarketData.Close[i - buy_price_change_minutes]) / MarketData.Close[i - buy_price_change_minutes] <= buy_price_change_ratio)
{
price_change_trigger = "buy";
}
else if ((MarketData.Close[i] - MarketData.Close[i - sell_price_change_minutes]) / MarketData.Close[i - sell_price_change_minutes] >= sell_price_change_ratio)
{
price_change_trigger = "sell";
}
var otype = "market";
//0:pt
if (ac.holding_data.holding_side != "" && ac.performance_data.unrealized_pl_ratio >= pt_ratio)
{
ad.add_action("entry", ac.holding_data.holding_side == "buy" ? "sell" : "buy", otype, 0, ac.holding_data.holding_size, -1, "0. Profit Taking");
}
//1:lc
else if (ac.holding_data.holding_side != "" && ac.performance_data.unrealized_pl_ratio <= lc_ratio)
{
ad.add_action("entry", ac.holding_data.holding_side == "buy" ? "sell" : "buy", otype, 0, ac.holding_data.holding_size, -1, "1. Loss Cut");
}
//2:Entry
else if (price_change_trigger != "" && ac.holding_data.holding_entry_num < num_entry && ac.holding_data.holding_size < max_amount && i - ac.holding_data.holding_i >= entry_interval)
{
ad.add_action("entry", price_change_trigger, otype, 0, entry_amount, -1, "2. Entry");
}
//3:Holding max amount, no action
else if (ac.holding_data.holding_size < max_amount)
{
}
return(ad);
}
/*
* buy / sellでエントリー or exitして、常にpositionを保有し続ける。
* orderは全てmarket order
*/
public StrategyActionData GAWinMarketStrategy(int i, int nn_output, SimAccount ac)
{
var ad = new StrategyActionData();
var output_action_list = new string[] { "no", "buy", "sell" };
var pred_side = output_action_list[nn_output];
var buy_entry_price = MarketData.Bid[i]; //- 0.5;
var sell_entry_price = MarketData.Ask[i]; // + 0.5;
var otype = "market";
var amount = 1;
//1. New Entry
if (pred_side != "no" && ac.holding_data.holding_side == "")
{
ad.add_action("entry", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, amount, -1, "1. New Entry");
}
//2.Exit Order
else if (pred_side != "no" && (ac.holding_data.holding_side != pred_side))
{
ad.add_action("entry", "", otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, ac.holding_data.holding_size + amount, -1, "2. Eixt and Entry");
}
return(ad);
}
/*
* NNでは最大出力ユニットを発火としているが、limit / marketのorder typeの別を決めるためにNN-ActivateUnitで最後のユニットが0.5以上・未満を判定してorder typeとして出力するように変更が必要。
*/
//nn_output = "no", "buy", "sell", "cancel", "Market / Limit"
public StrategyActionData GALimitMarketStrategy(int i, List <int> nn_output, int amount, int max_amount, SimAccount ac)
{
var ad = new StrategyActionData();
var output_action_list = new string[] { "no", "buy", "sell", "cancel" };
var pred_side = output_action_list[nn_output[0]];
var otype = nn_output[1] == 0 ? "market" : "limit";
var buy_entry_price = MarketData.Bid[i]; //- 0.5;
var sell_entry_price = MarketData.Ask[i]; // + 0.5;
var update_price_kijun = 10;
//check invalid situation
if (ac.holding_data.holding_size > max_amount)
{
Console.WriteLine("Sim Strategy: Holding size is larger than max_amount !");
}
//1. No / Cancel
if (pred_side == "no")
{
if (ac.order_data.getLastOrderSide() != "" && Math.Abs(ac.order_data.getLastOrderPrice() - (ac.order_data.getLastOrderSide() == "buy" ? buy_entry_price : sell_entry_price)) > update_price_kijun)
{
ad.add_action("update price", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, -1, ac.order_data.getLastSerialNum(), "1. No: update order price");
}
}
else if (pred_side == "cancel")
{
if (ac.order_data.getLastOrderSide() != "")
{
ad.add_action("cancel", "", "", 0, 0, ac.order_data.getLastSerialNum(), "1. Cancel: cancel all order");
}
}
else
{
//2. New Entry
if (ac.holding_data.holding_side == "" && pred_side != ac.order_data.getLastOrderSide() && ac.order_data.getLastOrderSide() == "")
{
ad.add_action("entry", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, amount, -1, "2. New Entry");
}
//3.Update Price
else if (ac.order_data.getLastOrderSide() == pred_side && Math.Abs(ac.order_data.getLastOrderPrice() - (ac.order_data.getLastOrderSide() == "buy" ? buy_entry_price : sell_entry_price)) > update_price_kijun)
{
ad.add_action("update price", "", otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, -1, ac.order_data.getLastSerialNum(), "3. update order price");
}
//4. Additional Entry (pred = holding sideで現在orderなく、holding sizeにamount加えてもmax_amount以下の時に追加注文）
else if (ac.holding_data.holding_side == pred_side && ac.holding_data.holding_size + amount <= max_amount && ac.order_data.getLastOrderSide() == "")
{
ad.add_action("entry", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, amount, -1, "4. Additional Entry");
}
//5. Exit (holding side != predでかつpred sideのorderがない時にexit orderを出す）
else if ((ac.holding_data.holding_side != pred_side && ac.holding_data.holding_side != "") && (pred_side != ac.order_data.getLastOrderSide()))
{
//もし既存のadditional orderがあったらまずはそれをキャンセル）
if (ac.order_data.getLastOrderSide() != "")
{
ad.add_action("cancel", "", "", 0, 0, ac.order_data.getLastSerialNum(), "5. cancel all order");
}
ad.add_action("entry", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, ac.holding_data.holding_size, -1, "5. Exit Entry");
}
//6. Opposite Order Cancel
else if (pred_side != ac.order_data.getLastOrderSide() && ac.order_data.getLastOrderSide() != "")
{
ad.add_action("cancel", "", "", 0, 0, ac.order_data.getLastSerialNum(), "6. cancel all order");
if (ac.holding_data.holding_size + amount <= max_amount)
{
ad.add_action("entry", pred_side, otype, pred_side == "buy" ? buy_entry_price : sell_entry_price, amount, -1, "6. Opposite Entry");
}
if (ac.holding_data.holding_side != "" && ac.holding_data.holding_side != pred_side)
{
Console.WriteLine("Strategy: Opposite holding exist while cancelling opposite order !");
}
}
else
{
//7. Others1 (既にmax amountのholdingがあり、pred side=holding sideで何もしなくて良い場合）
if (ac.holding_data.holding_size >= max_amount && ac.holding_data.holding_side == pred_side)
{
}
//8.Others2(holding side == pred sideで既にpred sideのorderが存在しており、その価格の更新が不要な場合）
else if (ac.holding_data.holding_side == pred_side && ac.order_data.getLastOrderSide() == pred_side && Math.Abs(ac.order_data.getLastOrderPrice() - (ac.order_data.getLastOrderSide() == "buy" ? buy_entry_price : sell_entry_price)) <= update_price_kijun)
{
}
//9. Others3 (holding side != predで既にexit orderが存在しており、update priceも不要な場合)
else if (ac.holding_data.holding_side != pred_side && ac.order_data.getLastOrderSide() == pred_side && Math.Abs(ac.order_data.getLastOrderPrice() - (ac.order_data.getLastOrderSide() == "buy" ? buy_entry_price : sell_entry_price)) <= update_price_kijun)
{
}
//10.Others4(holding side == pred sideでorderもない場合）
else if (ac.holding_data.holding_side == pred_side && ac.order_data.getLastOrderSide() == "")
{
}
else
{
Console.WriteLine("Strategy - Unknown Situation !");
}
}
}
return(ad);
}
