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base repository: abides-sim/abides
base: v1.1
head repository: abides-sim/abides
compare: master
Commits on Mar 18, 2020
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pov mm agent fix to query the transacted volume
Mahmoud Mahfouz committedMar 18, 2020 Configuration menu - View commit details
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pov mm agent fix to query the transacted volume
pov mm agent fix to query the transacted volume
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Commits on Apr 28, 2020
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Broadened Kernel.agent_saved_states concept into Kernel.custom_state,…
… updated terminology to match, and updated the one agent and two configs affected by the change. (#9)
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Commits on Jun 16, 2020
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Simulation speed improvements (#14)
* Added tag attribute to Order, LimitOrder, TradingAgent.placeLimitOrder, TradingAgent.placeMarketOrder. (#6) * bug fixes and enhancements (#7) * modifications to the subscription API to record the exchange timestamp in the published market data message * market order changes to account for latency and non-zero jitter * f string removal from all execution agents * Mm bugfix and Orderbook efficiency improvements (#13) * modifications to the subscription API to record the exchange timestamp in the published market data message * market order changes to account for latency and non-zero jitter * f string removal from all execution agents * Custom serialization for order logging and deep copying. (#8) * Dd serialize orders (#11) * Custom serialization for order logging and deep copying. * Orderbook updates (#10) * Commit makes the following 3 changes to orderbook: 1. Speeds up transacted volume computation 2. Speeds up conversion of log to DataFrame format 3. Adds `wide-book` compatibility for `book-freq` != 0 * PR10 fix -- removed redundant print statement * Order._order_ids uses a set instead of a list to manage order IDs * Dd orderbook updates (#12) * Commit makes the following 3 changes to orderbook: 1. Speeds up transacted volume computation 2. Speeds up conversion of log to DataFrame format 3. Adds `wide-book` compatibility for `book-freq` != 0 * Custom serialization for order logging and deep copying. * PR10 fix -- removed redundant print statement * Order._order_ids uses a set instead of a list to manage order IDs Co-authored-by: Danial Dervovic <ddervs@googlemail.com> Co-authored-by: Mahmoud Mahfouz <mahmoud@mahmouds-mbp.mynet> Co-authored-by: David Byrd <davebyrd@users.noreply.github.com>
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Supporting code for tutorials (#17) and RMSC03 (#16)
Main components are: - ` agent/examples/ExampleExperimentalAgent.py` containing appropriate template files for an algorithmic trading agent. - `config/exp_agent_demo.py` config housing this agent for easier usage - `scripts/rmsc03_demo.sh` and `scripts/experimental_agent_demo.sh ` with the tutorial commands - updates to various pieces of plotting code for fixing compatibility errors - Introduces RMSC03 config with supporting agents, a script to search through market maker parameters within the configuration, and a fix to the TradingAgent where cancellations to market orders are ignored. Co-authored-by: Danial Dervovic <ddervs@googlemail.com>
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Commits on Jul 1, 2020
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Commits on Jul 3, 2020
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Commits on Jul 9, 2020
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* Fix bug in the OU process. * fund_vol parameter in configs changed to match corrected formula in SparseMeanRevertingOracle Co-authored-by: IVANBIJIACHUAN <35773312+IVANBIJIACHUAN@users.noreply.github.com> Co-authored-by: Danial Dervovic <ddervs@googlemail.com>
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Made following changes: - Added `log_to_file=True` keyword argument to Agent class to allow suppression of logging of individual agent events to file for speed reasons. - Added log_orders=None option to TradingAgent as a shorthand for log_orders=False and log_to_file=False. - Updated relevant (tutorial) configs. Co-authored-by: Danial Dervovic <ddervs@googlemail.com>
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Stylized facts plot update. (#21)
* Stylized facts plot update. Following changes: 1. Asset return stylized facts interface is streamlined. Interface for preprocessed WRDS data removed and ABIDES interface simplified. 2. Order flow stylized facts processing bugfixes. 3. Import code for sim data preprocessing refactored. 4. Efficiency improvement via fewer disk reads from pandas. Co-authored-by: Danial Dervovic <ddervs@googlemail.com>
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Commits on Sep 1, 2020
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bug fix for latency calculations
EC2 Default User committedSep 1, 2020 Configuration menu - View commit details
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latency changes in the configs used
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Commits on Sep 23, 2020
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Commits on Sep 24, 2020
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Commits on Oct 2, 2020
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selimamrouni committed
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changed return and surplus according to wiki definition
selimamrouni committedOct 2, 2020 Configuration menu - View commit details
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fixed the if statment that should be in the for loop in the function …
…computeRequiredPrice
selimamrouni committedOct 2, 2020 Configuration menu - View commit details
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reverse the behavior of the OBI agent to be long when there is a lot …
…of buyers and to be short when there is a lot of sellers
selimamrouni committedOct 2, 2020 Configuration menu - View commit details
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markToMarket bug fix in the TradingAgent class
markToMarket bug fix in the TradingAgent class
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Commits on Oct 15, 2020
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ICAIF code for ABIDES crypto paper (https://arxiv.org/abs/2010.05867)
ICAIF code for ABIDES crypto paper (https://arxiv.org/abs/2010.05867)
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Commits on Oct 16, 2020
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changed return and surplus according to wiki definition
changed return and surplus according to wiki definition
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Commits on Oct 20, 2020
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3fc4df3 Fix pandas version in requirements file and uncomment commands in RMSC tutorial script. 5d343fe Fix issue found by @IVANBIJIACHUAN in OU process for util/oracle/SparseMeanRevertingOracle.py (see PR #19 ) 7d56876 An update to TradingAgent logging to allow for minimal logging (see PR #20 ) b7c72b5 An update to stylized fact plots fixing some issues (see PR #21 for details)
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Commits on Nov 16, 2020
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log_to_file changes for base agents
EC2 Default User committedNov 16, 2020 Configuration menu - View commit details
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baseline execution agent refactoring and bug fixes
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Commits on Nov 19, 2020
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