net.sourceforge.jasa.agent.strategy
Class KaplanStrategy

java.lang.Object
  AbstractStrategy
      net.sourceforge.jasa.agent.strategy.AbstractTradingStrategy
          net.sourceforge.jasa.agent.strategy.FixedQuantityStrategyImpl
              net.sourceforge.jasa.agent.strategy.FixedDirectionStrategy
                  net.sourceforge.jasa.agent.strategy.KaplanStrategy

All Implemented Interfaces:

java.io.Serializable, java.lang.Cloneable, FixedQuantityStrategy, TradingStrategy, MarketEventListener

public class KaplanStrategy
extends FixedDirectionStrategy
implements java.io.Serializable

An implementation of Todd Kaplan's sniping strategy. Agents using this strategy wait until the last minute before attempting to "steal the bid". See

"Behaviour of trading automata in a computerized double market market" J. Rust, J. Miller and R. Palmer in "The Double Auction Market: Institutions, Theories and Evidence" 1992, Addison-Wesley

Note that you must configure a report of type DailyStatsMarketDataLogger in order to use this strategy.

Parameters

base.s double >= 0	(the spread factor)
base.t double >= 0	(the time factor)

See Also:

DailyStatsReport

Field Summary

protected DailyStatsReport	dailyStatsReport
static java.lang.String	P_DEF_BASE
static java.lang.String	P_S
static java.lang.String	P_T
protected MarketQuote	quote
protected double	s The spread factor.
protected int	t The time factor.

Fields inherited from class net.sourceforge.jasa.agent.strategy.AbstractTradingStrategy

auction, tradeDirectionPolicy

Constructor Summary

KaplanStrategy()

Method Summary

protected void	error(DataUnavailableException e)
void	eventOccurred(SimEvent event)
DailyStatsReport	getDailyStatsReport()
double	getS()
double	getT()
boolean	juicyOffer()
boolean	modifyShout(Order shout)
void	onMarketOpen(MarketOpenEvent event)
void	onRoundClosed(Market auction)
java.lang.Object	protoClone()
void	setDailyStatsReport(DailyStatsReport dailyStatsReport)
void	setS(double s)
void	setT(int t)
boolean	smallSpread()
void	subscribeToEvents(EventScheduler scheduler)
boolean	timeRunningOut()
java.lang.String	toString()

Methods inherited from class net.sourceforge.jasa.agent.strategy.FixedDirectionStrategy

isBuy, isSell, setBuy

Methods inherited from class net.sourceforge.jasa.agent.strategy.FixedQuantityStrategyImpl

determineQuantity, getQuantity, setQuantity

Methods inherited from class net.sourceforge.jasa.agent.strategy.AbstractTradingStrategy

clone, getAgent, getTradeDirectionPolicy, initialise, isBuy, modifyOrder, reset, setAgent, setTradeDirectionPolicy

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.sourceforge.jasa.agent.TradingStrategy

initialise, isBuy, modifyOrder, setAgent

Field Detail

t

protected int t

The time factor. Kaplan will bid if the remaining time in the current period is less than t.

s

protected double s

The spread factor.

quote

protected MarketQuote quote

dailyStatsReport

protected DailyStatsReport dailyStatsReport

P_DEF_BASE

public static final java.lang.String P_DEF_BASE

See Also:

Constant Field Values

P_T

public static final java.lang.String P_T

See Also:

Constant Field Values

P_S

public static final java.lang.String P_S

See Also:

Constant Field Values

Constructor Detail

KaplanStrategy

public KaplanStrategy()

Method Detail

protoClone

public java.lang.Object protoClone()

Overrides:

protoClone in class AbstractTradingStrategy

subscribeToEvents

public void subscribeToEvents(EventScheduler scheduler)

Specified by:

subscribeToEvents in interface TradingStrategy

eventOccurred

public void eventOccurred(SimEvent event)

onMarketOpen

public void onMarketOpen(MarketOpenEvent event)

modifyShout

public boolean modifyShout(Order shout)

Overrides:

modifyShout in class FixedDirectionStrategy

onRoundClosed

public void onRoundClosed(Market auction)

juicyOffer

public boolean juicyOffer()

smallSpread

public boolean smallSpread()

timeRunningOut

public boolean timeRunningOut()

getS

public double getS()

setS

public void setS(double s)

getT

public double getT()

setT

public void setT(int t)

toString

public java.lang.String toString()

error

protected void error(DataUnavailableException e)

getDailyStatsReport

public DailyStatsReport getDailyStatsReport()

setDailyStatsReport

public void setDailyStatsReport(DailyStatsReport dailyStatsReport)