FCNAgent

class pams.agents.FCNAgent(agent_id, prng, simulator, name, logger=None)

FCN (Fundamental, Chartist, Noise) Agent class

This class inherits from the pams.agents.Agent class.

An order decision mechanism proposed in Chiarella & Iori (2004). It employs two simple margin-based random tradings. Given an expected future price p, submit an order of price

• "fixed" : \(p (1 ± k)\) where \(0 \leq k \leq 1\)

• "normal" : \(p + N(0, k)\) where \(k > 0\)

参照

• Chiarella, C., & Iori, G. (2002). A simulation analysis of the microstructure of double auction markets. Quantitative Finance, 2(5), 346–353. https://doi.org/10.1088/1469-7688/2/5/303

is_finite(x)

determine if it is a valid value.

パラメータ:

x (float) -- value.

戻り値:

whether or not it is a valid (not NaN, finite) value.

戻り値の型:

bool

setup(settings, accessible_markets_ids, *args, **kwargs)

agent setup. Usually be called from simulator/runner automatically.

パラメータ:

• settings (Dict[str, Any]) -- agent configuration. This can include the parameters "fundamentalWeight", "chartWeight", "noiseWeight", "noiseScale", "timeWindowSize", "orderMargin", "marginType", and "meanReversionTime".

• accessible_markets_ids (List[int]) -- list of market IDs.

戻り値の型:

None

戻り値:

None

submit_orders(markets)

submit orders based on FCN-based calculation. :rtype: List[Union[Order, Cancel]]

参考

• pams.agents.Agent.submit_orders()

submit_orders_by_market(market)

submit orders by market (internal usage).

パラメータ:

market (Market) -- market to order.

戻り値:

order list.

戻り値の型:

List[Union[Order, Cancel]]