// Update the current EMAdifference (see design documentation), perform
// required steps at the current state and then find the next FSM state
void PairsTrading::doPairsTrading(double current_money, void *m_pclient) {
// Calculate EMAdifference and return if EMAs are not yet valid
if (calculateDiff() == false) return;
// Debugging only
fTest << "Entering state " << state << ", EMA diff: " << EMAdifference << ", ccount: " << correlatedCount;
// handle current state
if (state == 1) State1();
else if (state == 2) State2();
else if (state == 3) State3(current_money, m_pclient);
else State4(m_pclient);
// Debugging only
fTest << ". Leaving state " << state << std::endl;
}
void States_Task()
{
switch(State)
{
case 0:
State0();break;
case 1:
State1();break;
case 2:
State2();break;
case 3:
State3();break;
case 4:
State4();break;
case 10:
State10();break;
}
}
// handle state 3, DIVERGED (we exploit this)
// Based on how long we have been diverged (i.e. EMAdifference between
// thresholds T1 and T2), place an order on each stock. The type of order
// depends on if the stock is rising or falling.
void PairsTrading::State3(double current_money,void *m_pclient) {
// if the algorithm has failed or is back to the uncorrelated region
if ( (EMAdifference > T2) || (EMAdifference < T1) || (divergedCount >= 100) ) {
// undo all trades
State4(m_pclient);
// reset counts
divergedCount = 0;
// if we return from divergence, we are still correlated
if (EMAdifference < T1) {
state = CORRELATED;
}
// else failed because we are uncorrelated
else {
correlatedCount = 0;
state = UNCORRELATED;
}
return;
}
// Increment how long we have been diverged so that we know to increase
// the amount to invest this time step
divergedCount++;
s1Data.percentChangeSinceDiv = (s1Data.currentEMA - s1Data.EMAatDivergence) / 100;
s2Data.percentChangeSinceDiv = (s2Data.currentEMA - s2Data.EMAatDivergence) / 100;
// start buying/selling
// if stock 1 is falling, buy it
if (s1Data.percentChange < s2Data.percentChange) {
// BUY STOCK 1, since we expect it to rise
double buyAmount = getInvestmentAmount ("buy",
s1Data.currentEMA - s1Data.EMAatDivergence,
divergedCount, current_money);
s1->placeOrder("BUY", buyAmount, m_pclient, s1Data.AmountBought);
s1Data.OrderType[idListTop] = "SELL";
s1Data.OrderAmount[idListTop] = buyAmount;
// SELL STOCK 2
double sellAmount = getInvestmentAmount ("sell",
s2Data.currentEMA - s2Data.EMAatDivergence,
divergedCount, current_money
);
// placeOrder returns false if the stock is not shortable
if (s2->placeOrder("SELL", sellAmount, m_pclient, s2Data.AmountBought)) {
s2Data.OrderType[idListTop] = "BUY";
s2Data.OrderAmount[idListTop] = sellAmount;
}
else {
s2Data.OrderType[idListTop] = "NONE";
s2Data.OrderAmount[idListTop] = 0;
}
}
else {
// BUY STOCK 2
double buyAmount = getInvestmentAmount ("buy",
s2Data.currentEMA - s2Data.EMAatDivergence,
divergedCount, current_money
);
s2->placeOrder("BUY", buyAmount, m_pclient, s2Data.AmountBought);
s2Data.OrderType[idListTop] = "SELL";
s2Data.OrderAmount[idListTop] = buyAmount;
// SELL STOCK 1
double sellAmount = getInvestmentAmount ("sell",
s1Data.currentEMA - s1Data.EMAatDivergence,
divergedCount, current_money
);
// placeOrder returns false if the stock is not shortable
if (s1->placeOrder("SELL", sellAmount, m_pclient, s1Data.AmountBought)) {
s1Data.OrderType[idListTop] = "BUY";
s1Data.OrderAmount[idListTop] = sellAmount;
}
else {
s1Data.OrderType[idListTop] = "NONE";
s1Data.OrderAmount[idListTop] = 0;
}
}
}
