MomentumStrategy

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net.sourceforge.jasa.agent.strategy
Class MomentumStrategy

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.MomentumStrategy

All Implemented Interfaces:: java.io.Serializable, java.lang.Cloneable, FixedQuantityStrategy, TradingStrategy, MarketEventListener

Direct Known Subclasses:: PriestVanTolStrategy, SimpleMomentumStrategy, ZIPStrategy

public abstract class MomentumStrategy
extends FixedDirectionStrategy
implements java.io.Serializable
extends FixedDirectionStrategy
implements java.io.Serializable

Field Summary
`protected AbstractContinousDistribution`	`absolutePerterbationDistribution`
`protected double`	`currentPrice`
`protected AbstractContinousDistribution`	`initialMarginDistribution`
`protected Order`	`lastShout`
`protected boolean`	`lastShoutAccepted`
`protected MimicryLearner`	`learner`
`protected RandomEngine`	`prng`
`protected AbstractContinousDistribution`	`relativePerterbationDistribution`
`protected double`	`scaling` A parameter used to scale the randomly drawn price adjustment perturbation values.
`protected double`	`trAskPrice`
`protected double`	`trBidPrice`
`protected double`	`trPrice`

Fields inherited from class net.sourceforge.jasa.agent.strategy.AbstractTradingStrategy
`auction, tradeDirectionPolicy`

Constructor Summary
`MomentumStrategy()`
`MomentumStrategy(AbstractTradingAgent agent, RandomEngine prng)`

Method Summary

protected abstract void adjustMargin()

protected void adjustMargin(double targetMargin)

void afterPropertiesSet()

protected double calculatePrice(double margin)

void eventOccurred(SimEvent event)

double getCurrentPrice()

AbstractContinousDistribution getInitialMarginDistribution()

Order getLastShout()

Learner getLearner()

RandomEngine getPrng()

double getScaling()

double getTrAskPrice()

double getTrBidPrice()

double getTrPrice()

void initialise()

boolean isLastShoutAccepted()

boolean modifyShout(Order shout)

protected void onAgentPolled(AgentPolledEvent event)

void onMarketOpen(MarketOpenEvent event)

protected void onOrderPlaced(OrderPlacedEvent event)

void onRoundClosed(Market auction)

protected void onTransactionExecuted(TransactionExecutedEvent event)

protected double perterb(double price)

void setInitialMarginDistribution(AbstractContinousDistribution initialMarginDistribution)

void setLearner(Learner learner)

void setLearner(MimicryLearner learner)

void setMargin(double margin)

void

setPrng(RandomEngine prng)

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, isBuy, modifyOrder, protoClone, reset, setAgent, setTradeDirectionPolicy`

Methods inherited from class java.lang.Object
`equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait`

Methods inherited from interface net.sourceforge.jasa.agent.TradingStrategy
`isBuy, modifyOrder, setAgent`

Field Detail

learner

protected MimicryLearner learner

currentPrice

protected double currentPrice

lastShout

protected Order lastShout

scaling

protected double scaling

A parameter used to scale the randomly drawn price adjustment perturbation values.

lastShoutAccepted

protected boolean lastShoutAccepted

trPrice

protected double trPrice

trBidPrice

protected double trBidPrice

trAskPrice

protected double trAskPrice

initialMarginDistribution

protected AbstractContinousDistribution initialMarginDistribution

relativePerterbationDistribution

protected AbstractContinousDistribution relativePerterbationDistribution

absolutePerterbationDistribution

protected AbstractContinousDistribution absolutePerterbationDistribution

prng

protected RandomEngine prng

Constructor Detail