Merge pull request #76 from masanorihirano/dev

CI test
masanorihirano · Apr 26, 2023 · 5c98d5c · 5c98d5c
2 parents 6095b44 + 7d5d5a0
commit 5c98d5c
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diff --git a/.github/workflows/ci-python.yml b/.github/workflows/ci-python.yml
@@ -24,9 +24,6 @@ jobs:
       matrix:
         platform: [ubuntu-latest, macos-latest, windows-latest]
         python-version: [3.8, 3.9, "3.10", "3.11"]
-        exclude:
-          - platform: windows-latest
-            python-version: "3.11"
 
     # Steps represent a sequence of tasks that will be executed as part of the job
     steps:

diff --git a/examples/shock_transfer.ipynb b/examples/shock_transfer.ipynb
@@ -0,0 +1,236 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {
+    "id": "KCI4qIU_pa-1"
+   },
+   "source": []
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {
+    "id": "58xSRq9jpa-2"
+   },
+   "source": [
+    "[![Open In Colab](https://colab.research.google.com/assets/colab-badge.svg)](http://colab.research.google.com/github/masanorihirano/pams/blob/main/examples/shock_transfer.ipynb)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "id": "OwaI8_xbpa-5",
+    "colab": {
+     "base_uri": "https://localhost:8080/"
+    },
+    "outputId": "1df64bd6-6e6b-4365-8f03-c6f3fc583f5e"
+   },
+   "outputs": [],
+   "source": [
+    "# Please remove comment-out if necessary\n",
+    "#! pip install pams matplotlib"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "id": "ixLeaU7Epa-5"
+   },
+   "outputs": [],
+   "source": [
+    "config = {\n",
+    "\t\"simulation\": {\n",
+    "\t\t\"markets\": [\"SpotMarket-1\", \"SpotMarket-2\", \"IndexMarket-I\"],\n",
+    "\t\t\"agents\": [\"FCNAgents-1\", \"FCNAgents-2\", \"FCNAgents-I\", \"ArbitrageAgents\"],\n",
+    "\t\t\"sessions\": [\n",
+    "\t\t\t{\t\"sessionName\": 0,\n",
+    "\t\t\t\t\"iterationSteps\": 100,\n",
+    "\t\t\t\t\"withOrderPlacement\": True,\n",
+    "\t\t\t\t\"withOrderExecution\": False,\n",
+    "\t\t\t\t\"withPrint\": True,\n",
+    "\t\t\t\t\"maxNormalOrders\": 3, \"MEMO\": \"The same number as #markets\",\n",
+    "\t\t\t\t\"maxHighFrequencyOrders\": 0\n",
+    "\t\t\t},\n",
+    "\t\t\t{\t\"sessionName\": 1,\n",
+    "\t\t\t\t\"iterationSteps\": 500,\n",
+    "\t\t\t\t\"withOrderPlacement\": True,\n",
+    "\t\t\t\t\"withOrderExecution\": True,\n",
+    "\t\t\t\t\"withPrint\": True,\n",
+    "\t\t\t\t\"maxNormalOrders\": 3, \"MEMO\": \"The same number as #markets\",\n",
+    "\t\t\t\t\"maxHighFrequencyOrders\": 5,\n",
+    "\t\t\t\t\"events\": [\"FundamentalPriceShock\"]\n",
+    "\t\t\t}\n",
+    "\t\t]\n",
+    "\t},\n",
+    "\n",
+    "\t\"FundamentalPriceShock\": {\n",
+    "\t\t\"class\": \"FundamentalPriceShock\",\n",
+    "\t\t\"target\": \"SpotMarket-1\",\n",
+    "\t\t\"triggerTime\": 0,\n",
+    "\t\t\"priceChangeRate\": -0.1\n",
+    "\t},\n",
+    "\t\"SpotMarket\": {\n",
+    "\t\t\"class\": \"Market\",\n",
+    "\t\t\"tickSize\": 0.00001,\n",
+    "\t\t\"marketPrice\": 300.0,\n",
+    "\t\t\"outstandingShares\": 25000\n",
+    "\t},\n",
+    "\t\"SpotMarket-1\": {\n",
+    "\t\t\"extends\": \"SpotMarket\"\n",
+    "\t},\n",
+    "\t\"SpotMarket-2\": {\n",
+    "\t\t\"extends\": \"SpotMarket\"\n",
+    "\t},\n",
+    "\t\"IndexMarket-I\": {\n",
+    "\t\t\"class\": \"IndexMarket\",\n",
+    "\t\t\"tickSize\": 0.00001,\n",
+    "\t\t\"marketPrice\": 300.0,\n",
+    "\t\t\"outstandingShares\": 25000,\n",
+    "\t\t\"markets\": [\"SpotMarket-1\", \"SpotMarket-2\"]\n",
+    "\t},\n",
+    "\t\"FCNAgent\": {\n",
+    "\t\t\"class\": \"FCNAgent\",\n",
+    "\t\t\"numAgents\": 100,\n",
+    "\t\t\"markets\": [\"Market\"],\n",
+    "\t\t\"assetVolume\": 50,\n",
+    "\t\t\"cashAmount\": 10000,\n",
+    "\n",
+    "\t\t\"fundamentalWeight\": {\"expon\": [1.0]},\n",
+    "\t\t\"chartWeight\": {\"expon\": [0.0]},\n",
+    "\t\t\"noiseWeight\": {\"expon\": [1.0]},\n",
+    "\t\t\"noiseScale\": 0.001,\n",
+    "\t\t\"timeWindowSize\": [100, 200],\n",
+    "\t\t\"orderMargin\": [0.0, 0.1]\n",
+    "\t},\n",
+    "\n",
+    "\t\"FCNAgents-1\": {\n",
+    "\t\t\"extends\": \"FCNAgent\",\n",
+    "\t\t\"markets\": [\"SpotMarket-1\"]\n",
+    "\t},\n",
+    "\t\"FCNAgents-2\": {\n",
+    "\t\t\"extends\": \"FCNAgent\",\n",
+    "\t\t\"markets\": [\"SpotMarket-2\"]\n",
+    "\t},\n",
+    "\t\"FCNAgents-I\": {\n",
+    "\t\t\"extends\": \"FCNAgent\",\n",
+    "\t\t\"markets\": [\"IndexMarket-I\"]\n",
+    "\t},\n",
+    "\t\"ArbitrageAgents\": {\n",
+    "\t\t\"class\": \"ArbitrageAgent\",\n",
+    "\t\t\"numAgents\": 100,\n",
+    "\t\t\"markets\": [\"IndexMarket-I\", \"SpotMarket-1\", \"SpotMarket-2\"],\n",
+    "\t\t\"assetVolume\": 50,\n",
+    "\t\t\"cashAmount\": 150000,\n",
+    "\t\t\"orderVolume\": 1,\n",
+    "\t\t\"orderThresholdPrice\": 1.0\n",
+    "\t}\n",
+    "}"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "id": "xUUUfulSpa-6"
+   },
+   "outputs": [],
+   "source": [
+    "import random\n",
+    "import numpy as np\n",
+    "import matplotlib.pyplot as plt\n",
+    "from pams.runners import SequentialRunner\n",
+    "from pams.logs.market_step_loggers import MarketStepSaver"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "colab": {
+     "base_uri": "https://localhost:8080/"
+    },
+    "id": "3QXSkEw2pa-6",
+    "outputId": "fb454d0c-57b3-4cb6-d6ad-4512dbe429c1"
+   },
+   "outputs": [],
+   "source": [
+    "saver = MarketStepSaver()\n",
+    "\n",
+    "runner = SequentialRunner(\n",
+    "    settings=config,\n",
+    "    prng=random.Random(42),\n",
+    "    logger=saver,\n",
+    ")\n",
+    "runner.main()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "id": "P5_pyTa9pa-6"
+   },
+   "outputs": [],
+   "source": [
+    "market_prices_indexmarket_i = dict(sorted(map(lambda x: (x[\"market_time\"], x[\"market_price\"]), filter(lambda x: x[\"market_name\"] == \"IndexMarket-I\", saver.market_step_logs))))\n",
+    "market_prices_spotmarket_1 = dict(sorted(map(lambda x: (x[\"market_time\"], x[\"market_price\"]), filter(lambda x: x[\"market_name\"] == \"SpotMarket-1\", saver.market_step_logs))))\n",
+    "market_prices_spotmarket_2 = dict(sorted(map(lambda x: (x[\"market_time\"], x[\"market_price\"]), filter(lambda x: x[\"market_name\"] == \"SpotMarket-2\", saver.market_step_logs))))\n",
+    "\n",
+    "fundamental_prices_indexmarket_i = dict(sorted(map(lambda x: (x[\"market_time\"], x[\"fundamental_price\"]), filter(lambda x: x[\"market_name\"] == \"IndexMarket-I\", saver.market_step_logs))))\n",
+    "fundamental_prices_spotmarket_1 = dict(sorted(map(lambda x: (x[\"market_time\"], x[\"fundamental_price\"]), filter(lambda x: x[\"market_name\"] == \"SpotMarket-1\", saver.market_step_logs))))\n",
+    "fundamental_prices_spotmarket_2 = dict(sorted(map(lambda x: (x[\"market_time\"], x[\"fundamental_price\"]), filter(lambda x: x[\"market_name\"] == \"SpotMarket-2\", saver.market_step_logs))))"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "colab": {
+     "base_uri": "https://localhost:8080/",
+     "height": 449
+    },
+    "id": "c__AgWzapa-7",
+    "outputId": "456ed7cb-0b14-4774-845c-da50b68a7031"
+   },
+   "outputs": [],
+   "source": [
+    "plt.plot(list(market_prices_indexmarket_i.keys()), list(market_prices_indexmarket_i.values()), label=\"IndexMarket-I\")\n",
+    "plt.plot(list(market_prices_spotmarket_1.keys()), list(market_prices_spotmarket_1.values()), label=\"SpotMarket-1\")\n",
+    "plt.plot(list(market_prices_spotmarket_2.keys()), list(market_prices_spotmarket_2.values()), label=\"SpotMarket-2\")\n",
+    "plt.plot(list(fundamental_prices_indexmarket_i.keys()), list(fundamental_prices_indexmarket_i.values()), color='black')\n",
+    "plt.plot(list(fundamental_prices_spotmarket_1.keys()), list(fundamental_prices_spotmarket_1.values()), color='black')\n",
+    "plt.plot(list(fundamental_prices_spotmarket_2.keys()), list(fundamental_prices_spotmarket_2.values()), color='black')\n",
+    "plt.xlabel(\"ticks\")\n",
+    "plt.ylabel(\"market price\")\n",
+    "plt.legend()\n",
+    "plt.show()"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.9.12"
+  },
+  "colab": {
+   "provenance": []
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 0
+}
diff --git a/samples/shock_transfer/config.json b/samples/shock_transfer/config.json
@@ -27,7 +27,7 @@
 		"class": "FundamentalPriceShock",
 		"target": "SpotMarket-1",
 		"triggerTime": 0,
-		"priceChangeRate": -0.3,
+		"priceChangeRate": -0.1,
 		"enabled": true
 	},
 	"SpotMarket": {