edu.cuny.cat.trader.strategy
Class GDStrategy

java.lang.Object
  java.util.Observable
      edu.cuny.cat.trader.strategy.AbstractStrategy
          edu.cuny.cat.trader.strategy.FixedQuantityStrategyImpl
              edu.cuny.cat.trader.strategy.GDStrategy

All Implemented Interfaces:

AuctionEventListener, FixedQuantityStrategy, Strategy, edu.cuny.config.param.Parameterizable, edu.cuny.obj.Prototypeable, edu.cuny.obj.Resetable, java.io.Serializable, java.lang.Cloneable

Direct Known Subclasses:

GDLStrategy

public class GDStrategy
extends FixedQuantityStrategyImpl
implements java.io.Serializable, edu.cuny.obj.Prototypeable

An implementation of the Gjerstad Dickhaut strategy. Agents using this strategy calculate the probability of any bid being accepted and bid to maximize expected profit. See

"Price Formation in Double Auctions" S. Gjerstad, J. Dickhaut and R. Palmer

Note that you must configure a logger of type HistoricalDataReport in order to use this strategy.

Because the auction framework in JCAT differs from the one used in the above paper and the one used in JASA, several alterations have been made:

• Shouts in JCAT are persistent and do not expire until the end of a trading day, nor can it be withdrawn. In certain scenarios, a GD may generate a price which is less competitive than that of its existing shout and gets rejected in a market requiring shout improvement. If no any other shouts or transactions are made in the market, this GD trader may fail to sweeten its offer although it still has a huge profit margin, which lowers the efficiency of the market. To avoid this situation, the price of the stand shout will be used to replace the latest calculated price. Shouting at the same price repeatedly will graduately lower the probability that GD expects the shout to be matched and eventually lead to crossing shouts and transactions.
• The original implementation of GD, from JASA, interpolates between two prices by 1 price unit, which may be too big. A smaller interpolation distance, down to AbstractStrategy.MIN_PRICE_DIFFERENCE is automatically used when the two end points are close.
• JASA clears the record of matched shouts after each trading round. It is unclear why JASA does it. Doing this in JCAT lowers the efficiency of market as expected.

Parameters

base .maxprice double >= 0 (200 by default)	(max price in auction)
base .history	(the parameter base for HistoricalReport used by this strategy)

Default Base

gd_strategy

Version:

$Revision: 1.30 $

Author:

Jinzhong Niu

See Also:

HistoricalReport, Serialized Form

Field Summary

static double	DEFAULT_MAX_PRICE
protected HistoricalReport	historicalReport
protected double	max
protected double	maxPoint
protected double	maxPrice
protected double	maxProb
static int	MIN_INTERPOLATION_POINTS the minimum number of points to interpolate between two prices unless the two prices are too close to do so
static java.lang.String	P_DEF_BASE
static java.lang.String	P_HISTORY
static java.lang.String	P_MAXPRICE

Fields inherited from class edu.cuny.cat.trader.strategy.FixedQuantityStrategyImpl

quantity

Fields inherited from class edu.cuny.cat.trader.strategy.AbstractStrategy

agent, currentShout, MIN_PRICE_DIFFERENCE

Constructor Summary

GDStrategy()

Method Summary

double	calculateProbability(double price)
void	eventOccurred(AuctionEvent event)
HistoricalReport	getHistoricalReport()
protected void	getMax(double a1, double p1, double a2, double p2)
boolean	modifyShout(Shout.MutableShout shout) Modify the price and quantity of the given shout according to this strategy.
java.lang.Object	protoClone() TODO: need update to correctly clone all the configuration.
boolean	requiresAuctionHistory()
void	setup(edu.cuny.config.param.ParameterDatabase parameters, edu.cuny.config.param.Parameter base)
java.lang.String	toString()

Methods inherited from class edu.cuny.cat.trader.strategy.FixedQuantityStrategyImpl

determineQuantity, getQuantity, setQuantity

Methods inherited from class edu.cuny.cat.trader.strategy.AbstractStrategy

getAgent, initialize, modifyShout, reset, setAgent

Methods inherited from class java.util.Observable

addObserver, clearChanged, countObservers, deleteObserver, deleteObservers, hasChanged, notifyObservers, notifyObservers, setChanged

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface edu.cuny.obj.Resetable

reset

Methods inherited from interface edu.cuny.cat.trader.strategy.Strategy

modifyShout, setAgent

Field Detail

P_DEF_BASE

public static final java.lang.String P_DEF_BASE

See Also:

Constant Field Values

P_MAXPRICE

public static final java.lang.String P_MAXPRICE

See Also:

Constant Field Values

P_HISTORY

public static final java.lang.String P_HISTORY

See Also:

Constant Field Values

DEFAULT_MAX_PRICE

public static double DEFAULT_MAX_PRICE

MIN_INTERPOLATION_POINTS

public static int MIN_INTERPOLATION_POINTS

the minimum number of points to interpolate between two prices unless the two prices are too close to do so

See Also:

AbstractStrategy.MIN_PRICE_DIFFERENCE

maxPrice

protected double maxPrice

maxPoint

protected double maxPoint

max

protected double max

maxProb

protected double maxProb

historicalReport

protected HistoricalReport historicalReport

Constructor Detail

GDStrategy

public GDStrategy()

Method Detail

setup

public void setup(edu.cuny.config.param.ParameterDatabase parameters,
                  edu.cuny.config.param.Parameter base)

Specified by:

setup in interface edu.cuny.config.param.Parameterizable

Overrides:

setup in class FixedQuantityStrategyImpl

getHistoricalReport

public HistoricalReport getHistoricalReport()

protoClone

public java.lang.Object protoClone()

TODO: need update to correctly clone all the configuration.

Specified by:

protoClone in interface edu.cuny.obj.Prototypeable

Overrides:

protoClone in class AbstractStrategy

eventOccurred

public void eventOccurred(AuctionEvent event)

Specified by:

eventOccurred in interface AuctionEventListener

Overrides:

eventOccurred in class AbstractStrategy

requiresAuctionHistory

public boolean requiresAuctionHistory()

Specified by:

requiresAuctionHistory in interface Strategy

Overrides:

requiresAuctionHistory in class AbstractStrategy

modifyShout

public boolean modifyShout(Shout.MutableShout shout)

Description copied from class: AbstractStrategy

Modify the price and quantity of the given shout according to this strategy.

Overrides:

modifyShout in class FixedQuantityStrategyImpl

Returns:

false if no shout is to be placed at this time

calculateProbability

public double calculateProbability(double price)

getMax

protected void getMax(double a1,
                      double p1,
                      double a2,
                      double p2)

toString

public java.lang.String toString()

Overrides:

toString in class FixedQuantityStrategyImpl