Merge branch 'b-seite-ewmaTrend'

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Signed-off-by: Carles Tubio <[email protected]>

src/client/main.ts

@@ -376,6 +376,10 @@ class DisplayOrder {
  <th title="Use a quote protection of periods smoothed line of the fair value to limit the price while sending new orders.">ewmaPrice?</th>
  <th title="Maximum amount of values collected in the sequences used to calculate the ewmaPrice? and ewmaWidth? quote protection." *ngIf="pair.quotingParameters.display.protectionEwmaQuotePrice || pair.quotingParameters.display.protectionEwmaWidthPing">periodsᵉʷᵐᵃ</th>
  <th title="Use a quote protection of periods smoothed line of the width (between the top bid and the top ask) to limit the widthPing while sending new orders.">ewmaWidth?</th>
+ <th title="To do..">ewmaTrend?</th>
+ <th title="To do.." *ngIf="pair.quotingParameters.display.quotingEwmaTrendProtection">threshold</th>
+ <th title="To do.." *ngIf="pair.quotingParameters.display.quotingEwmaTrendProtection">micro</th>
+ <th title="To do.." *ngIf="pair.quotingParameters.display.quotingEwmaTrendProtection">ultra</th>
  <th title="Limit the price of new orders.">stdev</th>
  <th title="Maximum amount of values collected in the sequences used to calculate the STDEV, each side may have its own STDEV calculation with the same amount of periods." *ngIf="pair.quotingParameters.display.quotingStdevProtection">periodsˢᵗᵈᶜᵛ</th>
  <th title="Multiplier used to increase or decrease the value of the selected stdev calculation, a factor of 1 does effectively nothing." *ngIf="pair.quotingParameters.display.quotingStdevProtection">factor</th>
@@ -430,10 +434,32 @@ class DisplayOrder {
  <input type="checkbox"
  [(ngModel)]="pair.quotingParameters.display.protectionEwmaWidthPing">
  </td>
+ <td style="text-align: center;border-bottom: 3px solid #fd00ff;">
+ <input type="checkbox"
+ [(ngModel)]="pair.quotingParameters.display.quotingEwmaTrendProtection">
+ </td>
+ <td style="width:60px;border-bottom: 3px solid #fd00ff;" *ngIf="pair.quotingParameters.display.quotingEwmaTrendProtection">
+ <input class="form-control input-sm"
+ type="number" step="0.1" min="0.1"
+ onClick="this.select()"
+ [(ngModel)]="pair.quotingParameters.display.quotingEwmaTrendThreshold">
+ </td>
+ <td style="width:60px;border-bottom: 3px solid #fd00ff;" *ngIf="pair.quotingParameters.display.quotingEwmaTrendProtection">
+ <input class="form-control input-sm"
+ type="number" step="1" min="1"
+ onClick="this.select()"
+ [(ngModel)]="pair.quotingParameters.display.extraShortEwmaPeriods">
+ </td>
+ <td style="width:60px;border-bottom: 3px solid #fd00ff;" *ngIf="pair.quotingParameters.display.quotingEwmaTrendProtection">
+ <input class="form-control input-sm"
+ type="number" step="1" min="1"
+ onClick="this.select()"
+ [(ngModel)]="pair.quotingParameters.display.ultraShortEwmaPeriods">
+ </td> 
  <td style="width:121px;border-bottom: 3px solid #AF451E;">
  <select class="form-control input-sm"
  [(ngModel)]="pair.quotingParameters.display.quotingStdevProtection">
- <option *ngFor="let option of pair.quotingParameters.availableSTDEV" [ngValue]="option.val">{{option.str}}</option>
+  <option *ngFor="let option of pair.quotingParameters.availableSTDEV" [ngValue]="option.val">{{option.str}}</option>
  </select>
  </td>
  <td style="width:88px;border-bottom: 3px solid #AF451E;" *ngIf="pair.quotingParameters.display.quotingStdevProtection">

src/client/models.ts

@@ -93,6 +93,7 @@ export class EWMAChart {
  public ewmaMedium: number,
  public ewmaLong: number,
  public ewmaVeryLong: number,
+ public ewmaTrendDiff: number,
  public tradesBuySize: number,
  public tradesSellSize: number,
  public fairValue: number) {}
@@ -163,7 +164,7 @@ export class TwoSidedQuote {
  constructor(public bid: Quote, public ask: Quote) {}
 }
 
-export enum QuoteStatus { Live, Disconnected, DisabledQuotes, MissingData, UnknownHeld, TBPHeld, MaxTradesSeconds, WaitingPing, DepletedFunds, Crossed }
+export enum QuoteStatus { Live, Disconnected, DisabledQuotes, MissingData, UnknownHeld, TBPHeld, MaxTradesSeconds, WaitingPing, DepletedFunds, Crossed, UpTrendHeld, DownTrendHeld }
 
 export class TwoSidedQuoteStatus {
  constructor(public bidStatus: QuoteStatus, public askStatus: QuoteStatus, public quotesInMemoryNew: number, public quotesInMemoryWorking: number, public quotesInMemoryDone: number) {}
@@ -217,6 +218,8 @@ export interface QuotingParameters {
  tradeRateSeconds?: number;
  protectionEwmaWidthPing?: boolean;
  protectionEwmaQuotePrice?: boolean;
+ quotingEwmaTrendProtection?: boolean;
+ quotingEwmaTrendThreshold?: number;
  quotingStdevProtection?: STDEV;
  quotingStdevBollingerBands?: boolean;
  audio?: boolean;
@@ -228,6 +231,8 @@ export interface QuotingParameters {
  longEwmaPeriods?: number;
  mediumEwmaPeriods?: number;
  shortEwmaPeriods?: number;
+ microEwmaPeriods?: number;
+ ultraEwmaPeriods?: number;
  protectionEwmaPeriods?: number;
  quotingStdevProtectionFactor?: number;
  quotingStdevProtectionPeriods?: number;

src/client/stats.ts

@@ -28,6 +28,7 @@ export class StatsComponent implements OnInit {
  public ewmaMedium: number;
  public ewmaLong: number;
  public ewmaVeryLong: number;
+ public ewmaTrendDiff: number;
  public stdevWidth: Models.IStdev;
  public tradesBuySize: number;
  public tradesSellSize: number;
@@ -279,6 +280,13 @@ export class StatsComponent implements OnInit {
  colorIndex:5,
  data: [],
  zIndex: -2
+ },{
+ name: 'EWMA SMU Diff',
+ type: 'spline',
+ color: '#fd00ff',
+ tooltip: {pointFormatter: this.pointFormatterBase},
+ yAxis: 1,
+ data: []
  }]
  };
  public quoteChartOptions = {
@@ -482,6 +490,7 @@ export class StatsComponent implements OnInit {
  if (o.stdevWidth) this.stdevWidth = o.stdevWidth;
  if (o.tradesBuySize) this.tradesBuySize = o.tradesBuySize;
  if (o.tradesSellSize) this.tradesSellSize = o.tradesSellSize;
+ if (o.ewmaTrendDiff) this.ewmaTrendDiff = o.ewmaTrendDiff;
  }
 
  @Input() set setTradesChartData(t: Models.TradeChart) {
@@ -610,6 +619,7 @@ export class StatsComponent implements OnInit {
  if (this.ewmaMedium) Highcharts.charts[this.fvChart].series[9].addPoint([time, this.ewmaMedium], false);
  if (this.ewmaShort) Highcharts.charts[this.fvChart].series[10].addPoint([time, this.ewmaShort], false);
  Highcharts.charts[this.fvChart].series[0].addPoint([time, this.fairValue], this.showStats);
+ if (this.ewmaTrendDiff) Highcharts.charts[this.fvChart].series[20].addPoint([time, this.ewmaTrendDiff], false);
  if ((<any>Highcharts).quotingParameters.protectionEwmaWidthPing && this.ewmaWidth) Highcharts.charts[this.fvChart].series[1].addPoint([time, this.fairValue-this.ewmaWidth, this.fairValue+this.ewmaWidth], this.showStats, false, false);
  else if (this.width) Highcharts.charts[this.fvChart].series[1].addPoint([time, this.fairValue-this.width, this.fairValue+this.width], this.showStats, false, false);
  }

src/server/km.h

@@ -18,7 +18,7 @@ namespace K {
  enum class mPongAt: unsigned int { ShortPingFair, LongPingFair, ShortPingAggressive, LongPingAggressive };
  enum class mQuotingMode: unsigned int { Top, Mid, Join, InverseJoin, InverseTop, HamelinRat, Depth };
  enum class mQuotingSafety: unsigned int { Off, PingPong, Boomerang, AK47 };
- enum class mQuoteState: unsigned int { Live, Disconnected, DisabledQuotes, MissingData, UnknownHeld, TBPHeld, MaxTradesSeconds, WaitingPing, DepletedFunds, Crossed };
+ enum class mQuoteState: unsigned int { Live, Disconnected, DisabledQuotes, MissingData, UnknownHeld, TBPHeld, MaxTradesSeconds, WaitingPing, DepletedFunds, Crossed, UpTrendHeld, DownTrendHeld };
  enum class mFairValueModel: unsigned int { BBO, wBBO };
  enum class mAutoPositionMode: unsigned int { Manual, EWMA_LS, EWMA_LMS, EWMA_4 };
  enum class mPDivMode: unsigned int { Manual, Linear, Sine, SQRT, Switch};
@@ -80,10 +80,14 @@ namespace K {
  double quotingStdevProtectionFactor = 1.0;
  unsigned int quotingStdevProtectionPeriods = 1200;
  double ewmaSensiblityPercentage = 0.5;
+ bool quotingEwmaTrendProtection = false;
+ double quotingEwmaTrendThreshold = 2.0;
  unsigned int veryLongEwmaPeriods = 400;
  unsigned int longEwmaPeriods = 200;
  unsigned int mediumEwmaPeriods = 100;
  unsigned int shortEwmaPeriods = 50;
+ unsigned int extraShortEwmaPeriods = 12;
+ unsigned int ultraShortEwmaPeriods = 3;
  double aprMultiplier = 2;
  double sopWidthMultiplier = 2;
  double sopSizeMultiplier = 2;
@@ -98,6 +102,8 @@ namespace K {
  bool _diffLEP = false;
  bool _diffMEP = false;
  bool _diffSEP = false;
+ bool _diffXSEP = false;
+ bool _diffUEP = false;
  void tidy() {
  if (mode == mQuotingMode::Depth) widthPercentage = false;
  };
@@ -109,6 +115,8 @@ namespace K {
  _diffLEP = prev.longEwmaPeriods != longEwmaPeriods;
  _diffMEP = prev.mediumEwmaPeriods != mediumEwmaPeriods;
  _diffSEP = prev.shortEwmaPeriods != shortEwmaPeriods;
+ _diffXSEP = prev.extraShortEwmaPeriods != shortEwmaPeriods;
+ _diffUEP = prev.ultraShortEwmaPeriods != shortEwmaPeriods;
  };
  bool diffOnce(bool *k) {
  bool ret = *k;
@@ -159,10 +167,14 @@ namespace K {
  { "quotingStdevProtectionFactor", k.quotingStdevProtectionFactor },
  { "quotingStdevProtectionPeriods", k.quotingStdevProtectionPeriods },
  { "ewmaSensiblityPercentage", k.ewmaSensiblityPercentage },
+ { "quotingEwmaTrendProtection ", k.quotingEwmaTrendProtection },
+ { "quotingEwmaTrendThreshold", k.quotingEwmaTrendThreshold },
  { "veryLongEwmaPeriods", k.veryLongEwmaPeriods },
  { "longEwmaPeriods", k.longEwmaPeriods },
  { "mediumEwmaPeriods", k.mediumEwmaPeriods },
  { "shortEwmaPeriods", k.shortEwmaPeriods },
+ { "extraShortEwmaPeriods", k.extraShortEwmaPeriods },
+ { "ultraShortEwmaPeriods", k.ultraShortEwmaPeriods },
  { "aprMultiplier", k.aprMultiplier },
  { "sopWidthMultiplier", k.sopWidthMultiplier },
  { "sopSizeMultiplier", k.sopSizeMultiplier },
@@ -216,10 +228,14 @@ namespace K {
  k.quotingStdevProtectionFactor = j.value("quotingStdevProtectionFactor", k.quotingStdevProtectionFactor);
  k.quotingStdevProtectionPeriods = fmax(1, j.value("quotingStdevProtectionPeriods", k.quotingStdevProtectionPeriods));
  k.ewmaSensiblityPercentage = j.value("ewmaSensiblityPercentage", k.ewmaSensiblityPercentage);
- k.veryLongEwmaPeriods = fmax(1, j.value("veryLongEwmaPeriods", k.veryLongEwmaPeriods));
+ k.quotingEwmaTrendProtection = j.value("quotingEwmaTrendProtection", k.quotingEwmaTrendProtection);
+ k.quotingEwmaTrendThreshold = j.value("quotingEwmaTrendThreshold ", k.quotingEwmaTrendThreshold);
+ k.veryLongEwmaPeriods = fmax(1, j.value("veryLongEwmaPeriods", k.veryLongEwmaPeriods));
  k.longEwmaPeriods = fmax(1, j.value("longEwmaPeriods", k.longEwmaPeriods));
  k.mediumEwmaPeriods = fmax(1, j.value("mediumEwmaPeriods", k.mediumEwmaPeriods));
  k.shortEwmaPeriods = fmax(1, j.value("shortEwmaPeriods", k.shortEwmaPeriods));
+ k.extraShortEwmaPeriods = fmax(1, j.value("extraShortEwmaPeriods", k.extraShortEwmaPeriods));
+ k.ultraShortEwmaPeriods = fmax(1, j.value("ultraShortEwmaPeriods", k.ultraShortEwmaPeriods));
  k.aprMultiplier = j.value("aprMultiplier", k.aprMultiplier);
  k.sopWidthMultiplier = j.value("sopWidthMultiplier", k.sopWidthMultiplier);
  k.sopSizeMultiplier = j.value("sopSizeMultiplier", k.sopSizeMultiplier);

src/server/mg.h

@@ -10,7 +10,9 @@ namespace K {
  mPrice mgEwmaVL = 0,
  mgEwmaL = 0,
  mgEwmaM = 0,
- mgEwmaS = 0;
+ mgEwmaS = 0,
+ mgEwmaXS = 0,
+ mgEwmaU = 0;
  vector<mPrice> mgSMA3,
  mgStatFV,
  mgStatBid,
@@ -93,6 +95,7 @@ namespace K {
  calcStatsTrades();
  calcStatsEwmaProtection();
  calcStatsEwmaPosition();
+ calcStatsEwmaTrendProtection();
  } else if (mgT_60s == 60) mgT_60s = 0;
  calcStatsStdevProtection();
  };
@@ -236,11 +239,19 @@ namespace K {
  {"ewmaMedium", mgEwmaM},
  {"ewmaLong", mgEwmaL},
  {"ewmaVeryLong", mgEwmaVL},
+ {"ewmaTrendDiff", mgEwmaTrendDiff},
  {"tradesBuySize", takersBuySize60s},
  {"tradesSellSize", takersSellSize60s},
  {"fairValue", fairValue}
  };
  };
+ void calcStatsEwmaTrendProtection() {
+ calcEwma(&mgEwmaXS, qp.quotingEwmaSMPeriods, fairValue);
+ calcEwma(&mgEwmaU, qp.quotingEwmaSUPeriods, fairValue);
+ if(mgEwmaXS && mgEwmaU)
+ mgEwmaTrendDiff = ((mgEwmaU * 100) / mgEwmaXS) - 100;
+ ev_mgEwmaSMUProtection();
+ };
  void cleanStdev() {
  size_t periods = (size_t)qp->quotingStdevProtectionPeriods;
  if (mgStatFV.size()>periods) mgStatFV.erase(mgStatFV.begin(), mgStatFV.end()-periods);