public Order getBuyOrder(int[] spotPrices, int[] futurePrices, int pos, long money, int restDay) {
/* Information available for trading:
spotPrices[]: Time series of spot prices. It provides 120 elements from spotPrices[0]
to spotPrices[119]. The element spotPrices[119] is the latest.
futurePrices[]: Time series of futures price. It provides 60 elements from futurePrices[0]
to futurePrices[59]. The element futurePrices[59] is the latest.
Before opening the market, same values with spot prices are given.
If no contract is made in the market, value -1 is given.
pos: Position of the agent. Positive is buying position. Negative is selling.
money: Available cash. Note that type 'long' is used because of needed precision.
restDay: Number of remaining transaction to the closing of the market. */
Order order = new Order(); // Object to return values.
order.buysell = Order.BUY;
// Cancel decision if it may increase absolute value of the position
if (pos > fMaxPosition) {
order.buysell = Order.NONE;
return order;
}
int latestFuturePrice = futurePrices[futurePrices.length - 1];
if (latestFuturePrice < 0) {
order.buysell = Order.NONE;
return order;
} // If previous price is invalid, it makes no order.
order.price = (int) ((double) latestFuturePrice * (1.0 - fSpreadRatio));
if (order.price < 1) {
order.price = 1;
}
order.quant = fMinQuant + fRandom.nextInt(fMaxQuant - fMinQuant + 1);
// Message
message("Buy" + ", price = " + order.price + ", volume = " + order.quant + " )");
return order;
}
public Order getOrder(int[] spotPrices, int[] futurePrices, int pos, long money, int restDay) {
Order order = new Order();
// Decide buy or sell based on difference of the last two futures prices.
int price1 = futurePrices[futurePrices.length - 1];
int price2 = futurePrices[futurePrices.length - 2];
if (price1 > 0 && price2 > 0) {
if (price1 < price2) {
order.buysell = Order.BUY; // buy if downward trend
} else if (price1 > price2) {
order.buysell = Order.SELL; // sell if upward trend
} else {
order.buysell = Order.NONE; // no order if price is constant
return order;
}
} else {
order.buysell = fRandom.nextInt(2) + 1; // randomly by or sell
// if price is not well defined.
}
// Cancel decision if it may increase absolute value of the position
if (order.buysell == Order.BUY) {
if (pos > fMaxPosition) {
order.buysell = Order.NONE;
return order;
}
} else if (order.buysell == Order.SELL) {
if (pos < -fMaxPosition) {
order.buysell = Order.NONE;
return order;
}
}
int prevPrice = getLatestPrice(futurePrices);
if (prevPrice == -1) {
prevPrice = getLatestPrice(spotPrices); // use spot price instead
}
if (prevPrice == -1) {
prevPrice = fNominalPrice; // use nominal value instead
}
while (true) {
order.price = prevPrice + (int) (fWidthOfPrice * fRandom.nextGaussian());
if (order.price > 0) {
break;
}
}
order.quant = fMinQuant + fRandom.nextInt(fMaxQuant - fMinQuant + 1);
// Message
message(
Order.buySellToString(order.buysell)
+ ", price = "
+ order.price
+ ", volume = "
+ order.quant
+ " (trend = "
+ (price1 - price2)
+ " )");
return order;
}