/**
* Update the agent's sentiment. The new sentiment is based on an average of the values of the
* technical indicators, weighted by the genetically determined degrees to which the agents trusts
* them. A kind of mental inertia is accounted for by taking the previous mental state as a term
* of the average.
*/
private void updateSentiment() {
double sum = sentiment;
double totalWeight = 1.0;
for (int i = 1; i <= 22; i++) {
double signal = (double) Market.signal(i);
sum += signal * genotype.gene(i);
totalWeight += genotype.gene(i);
}
sentiment = sum / totalWeight;
if (sentiment < -1.0 || sentiment > 1.0) throw new RuntimeException("sentiment = " + sentiment);
}
/** Recombination constructor. */
public EvoTrader(EvoTrader mom, EvoTrader dad) {
super(uniqueId(), 0, 0);
Market.log.println(name + " = " + mom.name + " * " + dad.name);
genotype = new Genotype(mom.genotype, dad.genotype);
genotype.mutate(0.0038);
long mc = mom.cash / 4;
long ma = mom.asset / 4;
long dc = dad.cash / 4;
long da = dad.asset / 4;
mom.cash(-mc);
mom.asset(-ma);
dad.cash(-dc);
dad.asset(-da);
cash = mc + dc;
asset = ma + da;
sentiment = 2.0 * genotype.gene(0) - 1.0;
}
/**
* Creates a new evolutionary trader with the given unique identifier, initial cash and asset
* balance, and genotype.
*/
public EvoTrader(String id, int c, int a, Genotype g) {
super(id, c, a);
genotype = g;
// The initial sentiment is genetically determined:
sentiment = 2.0 * genotype.gene(0) - 1.0;
}
/**
* Take action based on the current sentiment and the inherited traits of the agent. The genes
* involved are the following:
*
* <ol>
* <li value="23">gb1 Fraction of its available cash the agent is willing to invest at each
* period;
* <li value="24">gb2 Minimum threshold for asset;
* <li value="25">gb3 Incentive to buy if asset below threshold;
* <li value="26">gb4 Parameter for price concession
* <li value="26">gb5 Parameter for price concession adaptation
* <li value="28">ga1 Fraction of available asset the agent is willing to divest at each period
* <li value="29">ga2 Maximum threshold for asset
* <li value="30">ga3 Incentive to sell if asset above threshold
* <li value="31">ga4 Parameter for price concession
* <li value="32">ga5 Parameter for price concession adaptation
* </ol>
*/
@Override
public void trade() {
updateSentiment();
// Check if there are unfilled orders:
boolean firstTimeBid = true;
boolean firstTimeAsk = true;
Iterator<Order> i = orders.iterator();
while (i.hasNext()) {
Order o = i.next();
if (o.sign() == Order.BUY) firstTimeBid = false;
else firstTimeAsk = false;
cancel(o);
}
if (!orders.isEmpty()) throw new RuntimeException("Orders not cancelled!");
if (resAsset != 0 || resCash != 0)
throw new RuntimeException("resAsset = " + resAsset + ", resCash = " + resCash);
if (sentiment > 0.0) {
// buy
double bidValue = cash * genotype.gene(gb1);
if (asset * Market.instrument("XYZ").price() < genotype.gene(gb2) * netAssetValue())
bidValue += cash * (1.0 - genotype.gene(gb1)) * genotype.gene(gb3) * sentiment;
if (firstTimeBid) bidConcession = sentiment + genotype.gene(gb4);
else bidConcession += genotype.gene(gb5);
int price = (int) Math.round(Market.instrument("XYZ").price() * bidConcession);
if (price > 1073741824) // 2^30
price = 1073741824;
if (price < 1) price = 1;
int qty = (int) Math.floor(bidValue / price);
if (qty > 0) buy(qty, price);
} else if (sentiment < 0.0) {
// sell
double quantity = asset * genotype.gene(ga1);
if (asset * Market.instrument("XYZ").price() > genotype.gene(ga2) * netAssetValue())
// sentiment<0, therefore -= actually becomes a += !
quantity -= asset * (1.0 - genotype.gene(ga1)) * genotype.gene(ga3) * sentiment;
if (firstTimeAsk) askConcession = genotype.gene(ga4) - sentiment;
else askConcession += genotype.gene(ga5);
int price = (int) Math.round(Market.instrument("XYZ").price() / askConcession);
int qty = (int) quantity;
if (qty > 0) sell(qty, price);
}
}
