R/startAlgoTradingOanda.R
In ivanliu1989/RQuantTrader: A collection of functions for pair trading
Defines functions
startAlgoTrading
Documented in
startAlgoTrading
#' Main functions for Oanda Algo Systems
#'
#' Main functions for Oanda Algo Systems
#'
#' @param configs a list() of configurations required by trading systems
#'
#'
#' @examples
#' rm(list=ls());
#' configs = list(
#' order.book.file = '~/Common/audcad_intraday_m5/orderbook/ivanliu_AUDCAD_Pairs_M5_003.csv'
#' ,log.file = file(paste0('~/Common/audcad_intraday_m5/log/ivanliu_AUDCAD_Pairs_M5_003_', as.Date(Sys.time()), '.Rout'), open="wt")
#' ,plotPath = "~/Common/audcad_intraday_m5/plots/audcad_intraday_m5_"
#' ,strategyPath = '~/Common/audcad_intraday_m5/'
#' ,pair1 = c('AUD', 'USD') # Later use
#' ,pair2 = c('USD', 'CAD') # Later use
#' ,initAssets = 1000000
#' ,posiRate = 0.05
#' ,threshold = 1.8
#' ,mean.threshold = 0.2
#' ,moment.threshold = 0.75 # effect * direction
#' ,stoploss = -0.10
#' ,ACCOUNT_ID = ' '
#' ,train.length = 1000
#' ,min.lookback = 48
#' ,max.lookback = 240
#' ,sd.n = 3
#' ,freq = 'M5'
#' )
#'
#' rm(list=ls());
#' configs = list(
#' order.book.file = '~/Common/audcad_interday_d1/orderbook/ivanliu_AUDCAD_Pairs_Daily_001.csv'
#' ,log.file = file(paste0('~/Common/audcad_interday_d1/log/ivanliu_AUDCAD_Pairs_Daily_001_', as.Date(Sys.time()), '.Rout'), open = 'wt')
#' ,plotPath = "~/Common/audcad_interday_d1/plots/audcad_intraday_d1_"
#' ,strategyPath = '~/Common/audcad_interday_d1/'
#' ,pair1 = c('AUD', 'USD') # Later use
#' ,pair2 = c('USD', 'CAD') # Later use
#' ,initAssets = 1000000
#' ,posiRate = 0.1
#' ,threshold = 1.8
#' ,mean.threshold = 0.2
#' ,moment.threshold = 0.75 # effect * direction
#' ,stoploss = -0.10
#' ,ACCOUNT_ID = '101-011-4686012-001'
#' ,train.length = 504
#' ,min.lookback = 21
#' ,max.lookback = 63
#' ,sd.n = 3
#' ,freq = 'D'
#' )
#'
#' rm(list=ls());
#' configs = list(
#' order.book.file = '~/Common/audcad_intraday_h1/orderbook/ivanliu_AUDCAD_Pairs_Hourly_002.csv'
#' ,log.file = file(paste0('~/Common/audcad_intraday_h1/log/ivanliu_AUDCAD_Pairs_Hourly_002_', as.Date(Sys.time()), '.Rout'), open = 'wt')
#' ,plotPath = "~/Common/audcad_intraday_h1/plots/audcad_intraday_h1_"
#' ,strategyPath = '~/Common/audcad_intraday_h1/'
#' ,pair1 = c('AUD', 'USD') # Later use
#' ,pair2 = c('USD', 'CAD') # Later use
#' ,initAssets = 1000000
#' ,posiRate = 0.1
#' ,threshold = 1.8
#' ,mean.threshold = 0.49
#' ,moment.threshold = 0.75 # effect * direction
#' ,stoploss = -0.10
#' ,ACCOUNT_ID = '101-011-4686012-003'
#' ,train.length = 1000
#' ,min.lookback = 48
#' ,max.lookback = 240
#' ,sd.n = 3
#' ,freq = 'H1'
#' )
#'
#' startAlgoTrading(configs)
#' @export
startAlgoTrading = function(configs){
######################################################
### OANDA MEAN REVERSION PORTFOLIO -- Hourly BASIS ###
######################################################
gc()
loadQuantPackages()
Sys.setenv(TZ='GMT')
inLong = FALSE
inShort = FALSE
tradeType = 'None'
# Required Functions ------------------------------------------------------
# Rolling Moving Average
MaRatio <- function(x, N){
Mavg <- rollapply(x, N , mean)
colnames(Mavg) <- 'Price.Ratio.MA'
Mavg
}
# Rolling Standard Deviation
Sd <- function(x, N){
Stand.dev <- rollapply(x, N, sd)
colnames(Stand.dev) <- "Price.Ratio.SD"
Stand.dev
}
# Z Score
ZScore <- function(Price.Ratio,Price.Ratio.MA,Price.Ratio.SD){
a1 <- Price.Ratio
b1 <- Price.Ratio.MA
c1 <- Price.Ratio.SD
z <- (a1-b1)/c1
colnames(z)<- 'Z.Score'
z
}
# Get Latest Prices
getLatestPrices = function(configs){
AUDUSD = prepareForexOandaPrices(oanda.count = 2, Cur1 = configs$pair1[1], Cur2 = configs$pair1[2], oanda.granularity = configs$freq)
USDCAD = prepareForexOandaPrices(oanda.count = 2, Cur1 = configs$pair2[1], Cur2 = configs$pair2[2], oanda.granularity = configs$freq)
aud = Cl(AUDUSD$OA.MID); if(configs$freq == 'D'){index(aud) = as.Date(index(aud))}
cad = Cl(1/USDCAD$OA.MID); if(configs$freq == 'D'){index(cad) = as.Date(index(cad))}
aud.ret = log10(Cl(AUDUSD$OA.MID)/Op(AUDUSD$OA.MID))
cad.ret = log10(Cl(1/USDCAD$OA.MID)/Op(1/USDCAD$OA.MID))
aud.spreads = Hi(AUDUSD$OA.MID) - Lo(AUDUSD$OA.MID)
cad.spreads = Hi(USDCAD$OA.MID) - Lo(USDCAD$OA.MID)
cols = c('AUDUSD', 'USDCAD')
portf.new = na.omit(merge(aud.ret, cad.ret)); names(portf.new) = cols
prices.new = na.omit(merge(aud, cad)); names(prices.new) = cols
cur.spreads = na.omit(merge(aud.spreads, cad.spreads)); names(cur.spreads) = cols
return(list(portf.new = tail(portf.new,1),
prices.new = tail(prices.new,1),
cur.spreads = tail(cur.spreads,1),
update.date = index(tail(prices.new,1))))
}
# Get Latest Trade IDs
getLatestTradeID = function(configs){
return(list(
aud.tradeid = getOandaTrades(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = c('AUD_USD'))$trades$id[1],
cad.tradeid = getOandaTrades(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = c('USD_CAD'))$trades$id[1]
))
}
getLatestTrades = function(configs){
return(list(
aud.trade = getOandaTrades(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = c('AUD_USD'))$trades[1,],
cad.trade = getOandaTrades(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = c('USD_CAD'))$trades[1,]
))
}
# Sunday approximately 5 p.m. to Friday 5 p.m
AUDUSD = prepareForexOandaPrices(oanda.count = 2500, Cur1 = "AUD", Cur2 = "USD", oanda.granularity = configs$freq)
USDCAD = prepareForexOandaPrices(oanda.count = 2500, Cur1 = "USD", Cur2 = "CAD", oanda.granularity = configs$freq)
aud = Cl(AUDUSD$OA.MID); if(configs$freq == 'D'){index(aud) = as.Date(index(aud))}
cad = Cl(1/USDCAD$OA.MID); if(configs$freq == 'D'){index(cad) = as.Date(index(cad))}
aud.ret = log10(Cl(AUDUSD$OA.MID)/Op(AUDUSD$OA.MID))
cad.ret = log10(Cl(1/USDCAD$OA.MID)/Op(1/USDCAD$OA.MID))
aud.spreads = Hi(AUDUSD$OA.MID) - Lo(AUDUSD$OA.MID)
cad.spreads = Hi(USDCAD$OA.MID) - Lo(USDCAD$OA.MID)
cols = c('AUDUSD', 'USDCAD')
portf = na.omit(merge(aud.ret, cad.ret)); names(portf) = cols
prices = na.omit(merge(aud, cad)); names(prices) = cols
cur.spreads = na.omit(merge(aud.spreads, cad.spreads)); names(cur.spreads) = cols
sink(configs$log.file)
sink(configs$log.file, type="message")
while(TRUE){
tryCatch({
latestPrices = getLatestPrices(configs)
lastDate = index(tail(prices, 1))
# gtdtime = format(lastDate + 300, '%Y-%m-%dT%H:%M:%S.000000Z')
if(latestPrices$update.date > lastDate){
cat(paste0('\n\nNew Event Found! Start trading with ', lastDate, '............\n'))
portf = rbind(portf, latestPrices$portf.new)
prices = rbind(prices, latestPrices$prices.new)
cur.spreads = rbind(cur.spreads, latestPrices$cur.spreads)
r = nrow(prices)
goLong = FALSE
goShort = FALSE
closePos = FALSE
# Model data --------------------------------------------------------------
tmp.prices = tail(prices[, cols], configs$train.length)
ols.fit = lm(AUDUSD~. , log(tmp.prices))
ols.r2 = summary(ols.fit)$r.squared
ols.pvalues = summary(ols.fit)[[4]][,4]
fit.hedge = as.numeric(c(1,-ols.fit$coefficients[2]))
spreads = tmp.prices %*% fit.hedge
spreads = as.xts(spreads, order.by = index(tmp.prices))
adf.lm = adf.test(spreads, k = 1) # Augmented Dickey-Fuller test
pp.lm = pp.test(spreads) # Phillips-Perron Unit Root test
po.lm = po.test(tmp.prices * fit.hedge) # Phillips-Ouliaris Cointegration test
# Half Life ---------------------------------------------------------------
partial.y = fit.par(spreads)
pvmr.par = partial.y$pvmr # 0 to 1 indicating mean reversion
if(partial.y$rho<0){
half.life.par = 0
look.back = HalfLifeMeanReversion(spreads)$half.life.round
}else{
half.life.par = log(0.5)/log(partial.y$rho)
look.back = round(half.life.par)
}
look.back = min(max(c(look.back, configs$min.lookback)), configs$max.lookback)
# Correlation--------------------------------------------------------------
cor.long = as.numeric(tail(runCor(x = tmp.prices[, 1], y = tmp.prices[, 2], n=configs$train.length), 1))
cor.short = as.numeric(tail(runCor(x = tmp.prices[, 1], y = tmp.prices[, 2], n=look.back), 1))
# 3. Statistics Test ------------------------------------------------------
# stats tests
# https://www.quantstart.com/articles/Johansen-Test-for-Cointegrating-Time-Series-Analysis-in-R
jotest=ca.jo(log(tmp.prices), type="trace", K=2, ecdet="none", spec="longrun")
# jotest=ca.jo(log(tmp.prices), type="trace", K=2, ecdet="const", spec="longrun")
jc.res = summary(jotest)
# Spreads
hedgeRatio = as.numeric(jc.res@V[, 1])
spreads = tmp.prices %*% hedgeRatio
spreads = na.omit(as.xts(spreads, order.by = index(tmp.prices)))
colnames(spreads) = 'Spreads'
# Stationary Tests
# ADF
adf.res = adf.test(spreads, k = 0)
adf.res.lag1 = adf.test(spreads, k = 1) #price change
adf.signal=adf.res$p.value
adf.signal.lag1=adf.res.lag1$p.value
pp.signal = pp.test(spreads)$p.value # Phillips-Perron Unit Root test
po.signal = po.test(tmp.prices * hedgeRatio)$p.value # Phillips-Ouliaris Cointegration test
# Hurst
# hurst.res = hurstexp(spreads, d = 2, display = T)
# hurst.signal=hurst.res$Hal
hurst.signal = tryCatch({
hurst.res = hurstexp(spreads, d = 2, display = F)
return(hurst.res$Hal)
}, error = function(e){
hurst.res = HurstExponentTest(spreads, lookback = look.back)
return(as.numeric(tail(hurst.res$hurstKY, 1)))
})
# Variance ratio test
vr.ratio = Auto.VR(spreads)
var.ratio = vr.ratio$stat/vr.ratio$sum
jc.signal= 0.1 / (jotest@teststat[1] / jotest@cval[1,1])
# 4. Mean Reversion -------------------------------------------------------
# hedge ratio
spreads.MA <- MaRatio(spreads, look.back)
spreads.SD <- Sd(spreads, look.back)
Z.Score <- ZScore(spreads,spreads.MA,spreads.SD)
png(paste0(configs$plotPath,format(index(tail(tmp.prices,1)), "%Y%m%d%H%M"),".png"))
par(mfcol = c(3,1))
print(chart_Series(tail(zscores(spreads),252)))
print(chart_Series(tail(Z.Score,252)))
print(chart_Series(tail(zscores.ma(spreads, look.back, round(look.back/6)),252)))
dev.off()
# Position Sizing
zScore=as.numeric(tail(Z.Score,1))
numUnits=-tail(zScore,1)
# Dollar neutrality
sizing = abs(numUnits)/1
posUnits = configs$initAssets * configs$posiRate
dollars = round(as.numeric(posUnits * sizing))
dollar.neut = hedgeRatio * dollars/abs(sum(hedgeRatio))
# positions
last.price = tail(tmp.prices,1)
positions = as.data.frame(round(dollar.neut / tail(last.price,1)))
names(positions) = paste0('POS.', cols)
# 5. Momentum -------------------------------------------------------------
mom.crossover = momentum.Crossover(tail(spreads, 100))
macd.indicator = tail(MACD(spreads, maType = 'EMA'), 1)
macd = as.numeric(macd.indicator$macd) # macd > signal bearish | macd < signal bullish
macd.signal = as.numeric(macd.indicator$macd - macd.indicator$signal) # neg bearish | pos bullish
ema.signal = as.numeric(tail(spreads - EMA(spreads, n = look.back), 1)) # pos bullish | neg bearish
mom.hamming.dist = as.numeric(tail(mom.crossover$hamming.Dist, 1)) # 1 - 10 weak to strong momentum
mom.spearman = as.numeric(tail(mom.crossover$spearman, 1)) # high means short and low means long (-1 to 1)
mom.thickness = as.numeric(tail(mom.crossover$thickness, 1)) / mean(mom.crossover$thickness) # higher thickness means higher volatilities or stronger momentum
mom.rsi = as.numeric(tail(momentum.RSI(spreads), 1)) # >70 over buy | <70 over sell
# Directional
macd = ifelse(macd > macd.signal, -1, ifelse(macd < macd.signal, 1, 0))
macd.signal = ifelse(macd.signal < 0, -1, ifelse(macd.signal > 0, 1, 0))
ema.signal = ifelse(ema.signal < 0, -1, ifelse(ema.signal > 0, 1, 0))
mom.zScore = ifelse(zScore <= -2, -1, ifelse(zScore >= 2, 1, 0)) # > 2 | < -2 momentum
mom.spearman = ifelse(mom.spearman > 0, -1, ifelse(mom.spearman < 0, 1, 0))
mom.rsi = ifelse(mom.rsi >= 70, 1, ifelse(mom.rsi <= -70, -1, 0))
mom.direction = mean(c(macd, macd.signal, ema.signal, mom.zScore, mom.spearman, mom.rsi)) # 0.6666667
# mom.direction = sign(tail(diff(Z.Score),1))
# Strongness
mom.effect = mean(c(mom.hamming.dist/5, mom.thickness, hurst.signal/0.5)) # 1.1
# 6. Risk Management ------------------------------------------------------
AUD.sd = max(tail(cur.spreads$AUDUSD, look.back)) + configs$sd.n * sd(tail(cur.spreads$AUDUSD, look.back))
CAD.sd = max(tail(cur.spreads$USDCAD, look.back)) + configs$sd.n * sd(tail(cur.spreads$USDCAD, look.back))
# 7. Mean-reversion & Momentum signals
mean.reversion.signal = mean(c(adf.signal, pp.signal, po.signal, var.ratio, jc.signal))
momentum.signal = as.numeric(mom.direction * mom.effect)
# 8. Execution ------------------------------------------------------------
# 8.1 Mean-reverting signals
if(mean.reversion.signal <= configs$mean.threshold & abs(zScore) >= configs$threshold){
if(zScore >= configs$threshold){
goLong = FALSE
goShort = TRUE # buy
closePos = FALSE
}else if(zScore <= -configs$threshold){
goLong = TRUE # sell
goShort = FALSE
closePos = FALSE
}else if(abs(zScore) <= 0.1 | (inLong & zScore>0) | (inShort & zScore<0)){ # | unrealizedPnL <= stoploss
goLong = FALSE
goShort = FALSE
closePos = TRUE # sell OR buy
}
tradeType = 'MeanReversion'
}else if(abs(momentum.signal) >= configs$moment.threshold){
if(momentum.signal < 0){
goLong = FALSE
goShort = TRUE # buy
closePos = FALSE
}else if(momentum.signal > 0){
goLong = TRUE # sell
goShort = FALSE
closePos = FALSE
}else{
goLong = FALSE
goShort = FALSE
closePos = TRUE # sell OR buy
}
tradeType = 'Momentum'
}else if(abs(momentum.signal) < configs$moment.threshold & tradeType == 'Momentum'){
goLong = FALSE
goShort = FALSE
closePos = TRUE # sell OR buy
tradeType = 'CloseMomentum'
}else{
tradeType = 'None'
}
# Positions & Risk Management --------------------------------------------------
POS.USDCAD = 0
POS.AUDUSD = 0
aud.take.profit = 0
aud.stop.loss = 0
cad.take.profit = 0
cad.stop.loss = 0
AUDUSD.exe = as.numeric(last.price$AUDUSD)
USDCAD.exe = as.numeric(1/last.price$USDCAD)
if(goLong){
POS.AUDUSD = positions$POS.AUDUSD
POS.USDCAD = as.numeric(round(-positions$POS.USDCAD/(1/last.price$USDCAD)))
aud.take.profit = round(as.numeric(AUDUSD.exe + sign(POS.AUDUSD) * AUD.sd), 5)
aud.stop.loss = round(as.numeric(AUDUSD.exe - sign(POS.AUDUSD) * AUD.sd), 5)
cad.take.profit = round(as.numeric(USDCAD.exe + sign(POS.USDCAD) * CAD.sd), 5)
cad.stop.loss = round(as.numeric(USDCAD.exe - sign(POS.USDCAD) * CAD.sd), 5)
AUDUSD.exe = round(as.numeric(AUDUSD.exe + sign(POS.AUDUSD) * configs$AUD.pip), 5)
USDCAD.exe = round(as.numeric(USDCAD.exe + sign(POS.USDCAD) * configs$CAD.pip), 5)
# Execution ---------------------------------------------------------------
aud.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', UNITS = POS.AUDUSD,
ORDERTYPE = 'LIMIT', PRICE = AUDUSD.exe, TAKEPROFIT = aud.take.profit, TRAILINGSTOP = aud.stop.loss, TIMEINFORCE = "IOC")
cad.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'USD_CAD', UNITS = POS.USDCAD,
ORDERTYPE = 'LIMIT', PRICE = USDCAD.exe, TAKEPROFIT = cad.take.profit, TRAILINGSTOP = cad.stop.loss, TIMEINFORCE = "IOC")
cat(paste0("\nGo Long | AUD Limit order at ", AUDUSD.exe, " | Take Profit: ", aud.take.profit, " | Trailing Stop Loss: ", aud.stop.loss, " | Positions: ", POS.AUDUSD))
cat(paste0("\nGo Long | CAD Limit order at ", USDCAD.exe, " | Take Profit: ", cad.take.profit, " | Trailing Stop Loss: ", cad.stop.loss, " | Positions: ", POS.USDCAD))
inLong = TRUE
inShort = FALSE
}else if(goShort){
POS.AUDUSD = -positions$POS.AUDUSD
POS.USDCAD = -as.numeric(round(-positions$POS.USDCAD/(1/last.price$USDCAD)))
aud.take.profit = round(as.numeric(AUDUSD.exe + sign(POS.AUDUSD) * AUD.sd), 5)
aud.stop.loss = round(as.numeric(AUDUSD.exe - sign(POS.AUDUSD) * AUD.sd), 5)
cad.take.profit = round(as.numeric(USDCAD.exe + sign(POS.USDCAD) * CAD.sd), 5)
cad.stop.loss = round(as.numeric(USDCAD.exe - sign(POS.USDCAD) * CAD.sd), 5)
AUDUSD.exe = round(as.numeric(AUDUSD.exe + sign(POS.AUDUSD) * configs$AUD.pip), 5)
USDCAD.exe = round(as.numeric(USDCAD.exe + sign(POS.USDCAD) * configs$CAD.pip), 5)
# Execution ---------------------------------------------------------------
aud.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', UNITS = POS.AUDUSD,
ORDERTYPE = 'LIMIT', PRICE = AUDUSD.exe, TAKEPROFIT = aud.take.profit, TRAILINGSTOP = aud.stop.loss, TIMEINFORCE = "IOC")
cad.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'USD_CAD', UNITS = POS.USDCAD,
ORDERTYPE = 'LIMIT', PRICE = USDCAD.exe, TAKEPROFIT = cad.take.profit, TRAILINGSTOP = cad.stop.loss, TIMEINFORCE = "IOC")
cat(paste0("\nGo Short | AUD Limit order at ", AUDUSD.exe, " | Take Profit: ", aud.take.profit, " | Trailing Stop Loss: ", aud.stop.loss, " | Positions: ", POS.AUDUSD))
cat(paste0("\nGo Short | CAD Limit order at ", USDCAD.exe, " | Take Profit: ", cad.take.profit, " | Trailing Stop Loss: ", cad.stop.loss, " | Positions: ", POS.USDCAD))
inLong = FALSE
inShort = TRUE
}else if(closePos & (inLong | inShort)){
CurrentPositions = setDT(getOandaPositions(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID)$positions)
POS.AUDUSD = -sum(as.numeric(CurrentPositions[instrument == 'AUD_USD', .(long.units,short.units)]))
POS.USDCAD = -sum(as.numeric(CurrentPositions[instrument == 'USD_CAD', .(long.units,short.units)]))
# Execution ---------------------------------------------------------------
aud.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', UNITS = POS.AUDUSD, TIMEINFORCE = "IOC")
cad.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'USD_CAD', UNITS = POS.USDCAD, TIMEINFORCE = "IOC")
inLong = FALSE
inShort = FALSE
}
cat(paste0('ZScore: ', round(zScore, 2), ' | Mean-reversion: ', round(mean.reversion.signal,2),' | Momentum: ', round(momentum.signal,2), '\n'))
# Re-check positions
CurrentPositions = setDT(getOandaPositions(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID)$positions)
POS.AUDUSD = sum(as.numeric(CurrentPositions[instrument == 'AUD_USD', .(long.units,short.units)]))
POS.USDCAD = sum(as.numeric(CurrentPositions[instrument == 'USD_CAD', .(long.units,short.units)]))
latest.aud.price = NA
latest.aud.openTime = NA
latest.cad.price = NA
latest.cad.openTime = NA
if(goShort | goLong){
# latestTradeID = getLatestTradeID(configs)
latestTrade = getLatestTrades(configs)
latest.aud.price = as.numeric(latestTrade$aud.trade$price)
latest.aud.openTime = latestTrade$aud.trade$openTime
latest.cad.price = as.numeric(latestTrade$cad.trade$price)
latest.cad.openTime = latestTrade$cad.trade$openTime
}
# Order book --------------------------------------------------------------
# Update Portf Information
OB.PRICES = last.price; OB.PRICES[, 2] = 1/OB.PRICES[, 2]
names(ols.pvalues) = paste0('OLS.P.', names(ols.pvalues))
unrealizedPnL = sum(as.numeric(CurrentPositions$unrealizedPL))
PnL = sum(as.numeric(CurrentPositions$pl))
# Create latest order record
orderBook = data.frame(as.character(index(OB.PRICES)), OB.PRICES, adf.signal, adf.signal.lag1, pp.signal, po.signal,
jc.signal, var.ratio, hurst.signal, pvmr.par, half.life.par, mean.reversion.signal,
macd, macd.signal, ema.signal, mom.hamming.dist, mom.spearman, mom.thickness, mom.rsi, momentum.signal,
cor.long, cor.short, zScore, ols.r2, t(ols.pvalues),
POS.AUDUSD, POS.USDCAD, t(hedgeRatio),
latest.aud.price,latest.aud.openTime,latest.cad.price,latest.cad.openTime,
aud.take.profit, aud.stop.loss, cad.take.profit, cad.stop.loss,
inLong, inShort, goLong, goShort, closePos, tradeType, unrealizedPnL, PnL)
names(orderBook) = c('DateTime', paste0('P.', names(OB.PRICES)), 'ADF', 'ADF.lag1', 'Phillips-Perron', 'Phillips-Ouliaris',
'Johansen', 'Variance.Ratio', 'Hurst', 'Partial.Auto.pvmr','Partial.Auto.HL', 'Mean-Reversion',
'MACD','MACD.Signal', 'EMA.Signal', 'Hamming.Dist', 'Mom.Spearman', 'Mom.Thickness', 'RSI', 'Momentum',
'Corr.long','Corr.short', 'ZScore', 'OLS.r2', names(ols.pvalues),
'POS.AUDUSD', 'POS.USDCAD', 'Hedge.Ratio.AUD', 'Hedge.Ratio.CAD',
'AUD.Exec.Price','AUD.Order.Time', 'CAD.Exec.Price', 'CAD.Order.Time',
'AUD.TakeProfit', 'AUD.StopLoss', 'CAD.TakeProfit', 'CAD.StopLoss',
'inLong', 'inShort', 'goLong', 'goShort', 'closePos', 'tradeType', 'unrealizedPnL', 'PnL')
setDT(orderBook)
if(file.exists(configs$order.book.file)){
Order.Book = fread(configs$order.book.file)
Order.Book = rbind(Order.Book, orderBook)
colnames(orderBook) = colnames(Order.Book)
write.csv(Order.Book, file = configs$order.book.file, row.names = FALSE)
}else{
write.csv(orderBook, file = configs$order.book.file, row.names = FALSE)
}
updateDirFilePermissions(configs$strategyPath)
}
},
error = function(e){print(e)}
)
Sys.sleep(1)
}
sink(type="message")
sink()
}
ivanliu1989/RQuantTrader documentation built on Sept. 13, 2019, 11:54 a.m.
R Package Documentation
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Defines functions startAlgoTrading
Documented in startAlgoTrading
#' Main functions for Oanda Algo Systems
#'
#' Main functions for Oanda Algo Systems
#'
#' @param configs a list() of configurations required by trading systems
#'
#'
#' @examples
#' rm(list=ls());
#' configs = list(
#' order.book.file = '~/Common/audcad_intraday_m5/orderbook/ivanliu_AUDCAD_Pairs_M5_003.csv'
#' ,log.file = file(paste0('~/Common/audcad_intraday_m5/log/ivanliu_AUDCAD_Pairs_M5_003_', as.Date(Sys.time()), '.Rout'), open="wt")
#' ,plotPath = "~/Common/audcad_intraday_m5/plots/audcad_intraday_m5_"
#' ,strategyPath = '~/Common/audcad_intraday_m5/'
#' ,pair1 = c('AUD', 'USD') # Later use
#' ,pair2 = c('USD', 'CAD') # Later use
#' ,initAssets = 1000000
#' ,posiRate = 0.05
#' ,threshold = 1.8
#' ,mean.threshold = 0.2
#' ,moment.threshold = 0.75 # effect * direction
#' ,stoploss = -0.10
#' ,ACCOUNT_ID = ' '
#' ,train.length = 1000
#' ,min.lookback = 48
#' ,max.lookback = 240
#' ,sd.n = 3
#' ,freq = 'M5'
#' )
#'
#' rm(list=ls());
#' configs = list(
#' order.book.file = '~/Common/audcad_interday_d1/orderbook/ivanliu_AUDCAD_Pairs_Daily_001.csv'
#' ,log.file = file(paste0('~/Common/audcad_interday_d1/log/ivanliu_AUDCAD_Pairs_Daily_001_', as.Date(Sys.time()), '.Rout'), open = 'wt')
#' ,plotPath = "~/Common/audcad_interday_d1/plots/audcad_intraday_d1_"
#' ,strategyPath = '~/Common/audcad_interday_d1/'
#' ,pair1 = c('AUD', 'USD') # Later use
#' ,pair2 = c('USD', 'CAD') # Later use
#' ,initAssets = 1000000
#' ,posiRate = 0.1
#' ,threshold = 1.8
#' ,mean.threshold = 0.2
#' ,moment.threshold = 0.75 # effect * direction
#' ,stoploss = -0.10
#' ,ACCOUNT_ID = '101-011-4686012-001'
#' ,train.length = 504
#' ,min.lookback = 21
#' ,max.lookback = 63
#' ,sd.n = 3
#' ,freq = 'D'
#' )
#'
#' rm(list=ls());
#' configs = list(
#' order.book.file = '~/Common/audcad_intraday_h1/orderbook/ivanliu_AUDCAD_Pairs_Hourly_002.csv'
#' ,log.file = file(paste0('~/Common/audcad_intraday_h1/log/ivanliu_AUDCAD_Pairs_Hourly_002_', as.Date(Sys.time()), '.Rout'), open = 'wt')
#' ,plotPath = "~/Common/audcad_intraday_h1/plots/audcad_intraday_h1_"
#' ,strategyPath = '~/Common/audcad_intraday_h1/'
#' ,pair1 = c('AUD', 'USD') # Later use
#' ,pair2 = c('USD', 'CAD') # Later use
#' ,initAssets = 1000000
#' ,posiRate = 0.1
#' ,threshold = 1.8
#' ,mean.threshold = 0.49
#' ,moment.threshold = 0.75 # effect * direction
#' ,stoploss = -0.10
#' ,ACCOUNT_ID = '101-011-4686012-003'
#' ,train.length = 1000
#' ,min.lookback = 48
#' ,max.lookback = 240
#' ,sd.n = 3
#' ,freq = 'H1'
#' )
#'
#' startAlgoTrading(configs)
#' @export
startAlgoTrading = function(configs){
######################################################
### OANDA MEAN REVERSION PORTFOLIO -- Hourly BASIS ###
######################################################
gc()
loadQuantPackages()
Sys.setenv(TZ='GMT')
inLong = FALSE
inShort = FALSE
tradeType = 'None'
# Required Functions ------------------------------------------------------
# Rolling Moving Average
MaRatio <- function(x, N){
Mavg <- rollapply(x, N , mean)
colnames(Mavg) <- 'Price.Ratio.MA'
Mavg
}
# Rolling Standard Deviation
Sd <- function(x, N){
Stand.dev <- rollapply(x, N, sd)
colnames(Stand.dev) <- "Price.Ratio.SD"
Stand.dev
}
# Z Score
ZScore <- function(Price.Ratio,Price.Ratio.MA,Price.Ratio.SD){
a1 <- Price.Ratio
b1 <- Price.Ratio.MA
c1 <- Price.Ratio.SD
z <- (a1-b1)/c1
colnames(z)<- 'Z.Score'
z
}
# Get Latest Prices
getLatestPrices = function(configs){
AUDUSD = prepareForexOandaPrices(oanda.count = 2, Cur1 = configs$pair1[1], Cur2 = configs$pair1[2], oanda.granularity = configs$freq)
USDCAD = prepareForexOandaPrices(oanda.count = 2, Cur1 = configs$pair2[1], Cur2 = configs$pair2[2], oanda.granularity = configs$freq)
aud = Cl(AUDUSD$OA.MID); if(configs$freq == 'D'){index(aud) = as.Date(index(aud))}
cad = Cl(1/USDCAD$OA.MID); if(configs$freq == 'D'){index(cad) = as.Date(index(cad))}
aud.ret = log10(Cl(AUDUSD$OA.MID)/Op(AUDUSD$OA.MID))
cad.ret = log10(Cl(1/USDCAD$OA.MID)/Op(1/USDCAD$OA.MID))
aud.spreads = Hi(AUDUSD$OA.MID) - Lo(AUDUSD$OA.MID)
cad.spreads = Hi(USDCAD$OA.MID) - Lo(USDCAD$OA.MID)
cols = c('AUDUSD', 'USDCAD')
portf.new = na.omit(merge(aud.ret, cad.ret)); names(portf.new) = cols
prices.new = na.omit(merge(aud, cad)); names(prices.new) = cols
cur.spreads = na.omit(merge(aud.spreads, cad.spreads)); names(cur.spreads) = cols
return(list(portf.new = tail(portf.new,1),
prices.new = tail(prices.new,1),
cur.spreads = tail(cur.spreads,1),
update.date = index(tail(prices.new,1))))
}
# Get Latest Trade IDs
getLatestTradeID = function(configs){
return(list(
aud.tradeid = getOandaTrades(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = c('AUD_USD'))$trades$id[1],
cad.tradeid = getOandaTrades(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = c('USD_CAD'))$trades$id[1]
))
}
getLatestTrades = function(configs){
return(list(
aud.trade = getOandaTrades(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = c('AUD_USD'))$trades[1,],
cad.trade = getOandaTrades(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = c('USD_CAD'))$trades[1,]
))
}
# Sunday approximately 5 p.m. to Friday 5 p.m
AUDUSD = prepareForexOandaPrices(oanda.count = 2500, Cur1 = "AUD", Cur2 = "USD", oanda.granularity = configs$freq)
USDCAD = prepareForexOandaPrices(oanda.count = 2500, Cur1 = "USD", Cur2 = "CAD", oanda.granularity = configs$freq)
aud = Cl(AUDUSD$OA.MID); if(configs$freq == 'D'){index(aud) = as.Date(index(aud))}
cad = Cl(1/USDCAD$OA.MID); if(configs$freq == 'D'){index(cad) = as.Date(index(cad))}
aud.ret = log10(Cl(AUDUSD$OA.MID)/Op(AUDUSD$OA.MID))
cad.ret = log10(Cl(1/USDCAD$OA.MID)/Op(1/USDCAD$OA.MID))
aud.spreads = Hi(AUDUSD$OA.MID) - Lo(AUDUSD$OA.MID)
cad.spreads = Hi(USDCAD$OA.MID) - Lo(USDCAD$OA.MID)
cols = c('AUDUSD', 'USDCAD')
portf = na.omit(merge(aud.ret, cad.ret)); names(portf) = cols
prices = na.omit(merge(aud, cad)); names(prices) = cols
cur.spreads = na.omit(merge(aud.spreads, cad.spreads)); names(cur.spreads) = cols
sink(configs$log.file)
sink(configs$log.file, type="message")
while(TRUE){
tryCatch({
latestPrices = getLatestPrices(configs)
lastDate = index(tail(prices, 1))
# gtdtime = format(lastDate + 300, '%Y-%m-%dT%H:%M:%S.000000Z')
if(latestPrices$update.date > lastDate){
cat(paste0('\n\nNew Event Found! Start trading with ', lastDate, '............\n'))
portf = rbind(portf, latestPrices$portf.new)
prices = rbind(prices, latestPrices$prices.new)
cur.spreads = rbind(cur.spreads, latestPrices$cur.spreads)
r = nrow(prices)
goLong = FALSE
goShort = FALSE
closePos = FALSE
# Model data --------------------------------------------------------------
tmp.prices = tail(prices[, cols], configs$train.length)
ols.fit = lm(AUDUSD~. , log(tmp.prices))
ols.r2 = summary(ols.fit)$r.squared
ols.pvalues = summary(ols.fit)[[4]][,4]
fit.hedge = as.numeric(c(1,-ols.fit$coefficients[2]))
spreads = tmp.prices %*% fit.hedge
spreads = as.xts(spreads, order.by = index(tmp.prices))
adf.lm = adf.test(spreads, k = 1) # Augmented Dickey-Fuller test
pp.lm = pp.test(spreads) # Phillips-Perron Unit Root test
po.lm = po.test(tmp.prices * fit.hedge) # Phillips-Ouliaris Cointegration test
# Half Life ---------------------------------------------------------------
partial.y = fit.par(spreads)
pvmr.par = partial.y$pvmr # 0 to 1 indicating mean reversion
if(partial.y$rho<0){
half.life.par = 0
look.back = HalfLifeMeanReversion(spreads)$half.life.round
}else{
half.life.par = log(0.5)/log(partial.y$rho)
look.back = round(half.life.par)
}
look.back = min(max(c(look.back, configs$min.lookback)), configs$max.lookback)
# Correlation--------------------------------------------------------------
cor.long = as.numeric(tail(runCor(x = tmp.prices[, 1], y = tmp.prices[, 2], n=configs$train.length), 1))
cor.short = as.numeric(tail(runCor(x = tmp.prices[, 1], y = tmp.prices[, 2], n=look.back), 1))
# 3. Statistics Test ------------------------------------------------------
# stats tests
# https://www.quantstart.com/articles/Johansen-Test-for-Cointegrating-Time-Series-Analysis-in-R
jotest=ca.jo(log(tmp.prices), type="trace", K=2, ecdet="none", spec="longrun")
# jotest=ca.jo(log(tmp.prices), type="trace", K=2, ecdet="const", spec="longrun")
jc.res = summary(jotest)
# Spreads
hedgeRatio = as.numeric(jc.res@V[, 1])
spreads = tmp.prices %*% hedgeRatio
spreads = na.omit(as.xts(spreads, order.by = index(tmp.prices)))
colnames(spreads) = 'Spreads'
# Stationary Tests
# ADF
adf.res = adf.test(spreads, k = 0)
adf.res.lag1 = adf.test(spreads, k = 1) #price change
adf.signal=adf.res$p.value
adf.signal.lag1=adf.res.lag1$p.value
pp.signal = pp.test(spreads)$p.value # Phillips-Perron Unit Root test
po.signal = po.test(tmp.prices * hedgeRatio)$p.value # Phillips-Ouliaris Cointegration test
# Hurst
# hurst.res = hurstexp(spreads, d = 2, display = T)
# hurst.signal=hurst.res$Hal
hurst.signal = tryCatch({
hurst.res = hurstexp(spreads, d = 2, display = F)
return(hurst.res$Hal)
}, error = function(e){
hurst.res = HurstExponentTest(spreads, lookback = look.back)
return(as.numeric(tail(hurst.res$hurstKY, 1)))
})
# Variance ratio test
vr.ratio = Auto.VR(spreads)
var.ratio = vr.ratio$stat/vr.ratio$sum
jc.signal= 0.1 / (jotest@teststat[1] / jotest@cval[1,1])
# 4. Mean Reversion -------------------------------------------------------
# hedge ratio
spreads.MA <- MaRatio(spreads, look.back)
spreads.SD <- Sd(spreads, look.back)
Z.Score <- ZScore(spreads,spreads.MA,spreads.SD)
png(paste0(configs$plotPath,format(index(tail(tmp.prices,1)), "%Y%m%d%H%M"),".png"))
par(mfcol = c(3,1))
print(chart_Series(tail(zscores(spreads),252)))
print(chart_Series(tail(Z.Score,252)))
print(chart_Series(tail(zscores.ma(spreads, look.back, round(look.back/6)),252)))
dev.off()
# Position Sizing
zScore=as.numeric(tail(Z.Score,1))
numUnits=-tail(zScore,1)
# Dollar neutrality
sizing = abs(numUnits)/1
posUnits = configs$initAssets * configs$posiRate
dollars = round(as.numeric(posUnits * sizing))
dollar.neut = hedgeRatio * dollars/abs(sum(hedgeRatio))
# positions
last.price = tail(tmp.prices,1)
positions = as.data.frame(round(dollar.neut / tail(last.price,1)))
names(positions) = paste0('POS.', cols)
# 5. Momentum -------------------------------------------------------------
mom.crossover = momentum.Crossover(tail(spreads, 100))
macd.indicator = tail(MACD(spreads, maType = 'EMA'), 1)
macd = as.numeric(macd.indicator$macd) # macd > signal bearish | macd < signal bullish
macd.signal = as.numeric(macd.indicator$macd - macd.indicator$signal) # neg bearish | pos bullish
ema.signal = as.numeric(tail(spreads - EMA(spreads, n = look.back), 1)) # pos bullish | neg bearish
mom.hamming.dist = as.numeric(tail(mom.crossover$hamming.Dist, 1)) # 1 - 10 weak to strong momentum
mom.spearman = as.numeric(tail(mom.crossover$spearman, 1)) # high means short and low means long (-1 to 1)
mom.thickness = as.numeric(tail(mom.crossover$thickness, 1)) / mean(mom.crossover$thickness) # higher thickness means higher volatilities or stronger momentum
mom.rsi = as.numeric(tail(momentum.RSI(spreads), 1)) # >70 over buy | <70 over sell
# Directional
macd = ifelse(macd > macd.signal, -1, ifelse(macd < macd.signal, 1, 0))
macd.signal = ifelse(macd.signal < 0, -1, ifelse(macd.signal > 0, 1, 0))
ema.signal = ifelse(ema.signal < 0, -1, ifelse(ema.signal > 0, 1, 0))
mom.zScore = ifelse(zScore <= -2, -1, ifelse(zScore >= 2, 1, 0)) # > 2 | < -2 momentum
mom.spearman = ifelse(mom.spearman > 0, -1, ifelse(mom.spearman < 0, 1, 0))
mom.rsi = ifelse(mom.rsi >= 70, 1, ifelse(mom.rsi <= -70, -1, 0))
mom.direction = mean(c(macd, macd.signal, ema.signal, mom.zScore, mom.spearman, mom.rsi)) # 0.6666667
# mom.direction = sign(tail(diff(Z.Score),1))
# Strongness
mom.effect = mean(c(mom.hamming.dist/5, mom.thickness, hurst.signal/0.5)) # 1.1
# 6. Risk Management ------------------------------------------------------
AUD.sd = max(tail(cur.spreads$AUDUSD, look.back)) + configs$sd.n * sd(tail(cur.spreads$AUDUSD, look.back))
CAD.sd = max(tail(cur.spreads$USDCAD, look.back)) + configs$sd.n * sd(tail(cur.spreads$USDCAD, look.back))
# 7. Mean-reversion & Momentum signals
mean.reversion.signal = mean(c(adf.signal, pp.signal, po.signal, var.ratio, jc.signal))
momentum.signal = as.numeric(mom.direction * mom.effect)
# 8. Execution ------------------------------------------------------------
# 8.1 Mean-reverting signals
if(mean.reversion.signal <= configs$mean.threshold & abs(zScore) >= configs$threshold){
if(zScore >= configs$threshold){
goLong = FALSE
goShort = TRUE # buy
closePos = FALSE
}else if(zScore <= -configs$threshold){
goLong = TRUE # sell
goShort = FALSE
closePos = FALSE
}else if(abs(zScore) <= 0.1 | (inLong & zScore>0) | (inShort & zScore<0)){ # | unrealizedPnL <= stoploss
goLong = FALSE
goShort = FALSE
closePos = TRUE # sell OR buy
}
tradeType = 'MeanReversion'
}else if(abs(momentum.signal) >= configs$moment.threshold){
if(momentum.signal < 0){
goLong = FALSE
goShort = TRUE # buy
closePos = FALSE
}else if(momentum.signal > 0){
goLong = TRUE # sell
goShort = FALSE
closePos = FALSE
}else{
goLong = FALSE
goShort = FALSE
closePos = TRUE # sell OR buy
}
tradeType = 'Momentum'
}else if(abs(momentum.signal) < configs$moment.threshold & tradeType == 'Momentum'){
goLong = FALSE
goShort = FALSE
closePos = TRUE # sell OR buy
tradeType = 'CloseMomentum'
}else{
tradeType = 'None'
}
# Positions & Risk Management --------------------------------------------------
POS.USDCAD = 0
POS.AUDUSD = 0
aud.take.profit = 0
aud.stop.loss = 0
cad.take.profit = 0
cad.stop.loss = 0
AUDUSD.exe = as.numeric(last.price$AUDUSD)
USDCAD.exe = as.numeric(1/last.price$USDCAD)
if(goLong){
POS.AUDUSD = positions$POS.AUDUSD
POS.USDCAD = as.numeric(round(-positions$POS.USDCAD/(1/last.price$USDCAD)))
aud.take.profit = round(as.numeric(AUDUSD.exe + sign(POS.AUDUSD) * AUD.sd), 5)
aud.stop.loss = round(as.numeric(AUDUSD.exe - sign(POS.AUDUSD) * AUD.sd), 5)
cad.take.profit = round(as.numeric(USDCAD.exe + sign(POS.USDCAD) * CAD.sd), 5)
cad.stop.loss = round(as.numeric(USDCAD.exe - sign(POS.USDCAD) * CAD.sd), 5)
AUDUSD.exe = round(as.numeric(AUDUSD.exe + sign(POS.AUDUSD) * configs$AUD.pip), 5)
USDCAD.exe = round(as.numeric(USDCAD.exe + sign(POS.USDCAD) * configs$CAD.pip), 5)
# Execution ---------------------------------------------------------------
aud.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', UNITS = POS.AUDUSD,
ORDERTYPE = 'LIMIT', PRICE = AUDUSD.exe, TAKEPROFIT = aud.take.profit, TRAILINGSTOP = aud.stop.loss, TIMEINFORCE = "IOC")
cad.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'USD_CAD', UNITS = POS.USDCAD,
ORDERTYPE = 'LIMIT', PRICE = USDCAD.exe, TAKEPROFIT = cad.take.profit, TRAILINGSTOP = cad.stop.loss, TIMEINFORCE = "IOC")
cat(paste0("\nGo Long | AUD Limit order at ", AUDUSD.exe, " | Take Profit: ", aud.take.profit, " | Trailing Stop Loss: ", aud.stop.loss, " | Positions: ", POS.AUDUSD))
cat(paste0("\nGo Long | CAD Limit order at ", USDCAD.exe, " | Take Profit: ", cad.take.profit, " | Trailing Stop Loss: ", cad.stop.loss, " | Positions: ", POS.USDCAD))
inLong = TRUE
inShort = FALSE
}else if(goShort){
POS.AUDUSD = -positions$POS.AUDUSD
POS.USDCAD = -as.numeric(round(-positions$POS.USDCAD/(1/last.price$USDCAD)))
aud.take.profit = round(as.numeric(AUDUSD.exe + sign(POS.AUDUSD) * AUD.sd), 5)
aud.stop.loss = round(as.numeric(AUDUSD.exe - sign(POS.AUDUSD) * AUD.sd), 5)
cad.take.profit = round(as.numeric(USDCAD.exe + sign(POS.USDCAD) * CAD.sd), 5)
cad.stop.loss = round(as.numeric(USDCAD.exe - sign(POS.USDCAD) * CAD.sd), 5)
AUDUSD.exe = round(as.numeric(AUDUSD.exe + sign(POS.AUDUSD) * configs$AUD.pip), 5)
USDCAD.exe = round(as.numeric(USDCAD.exe + sign(POS.USDCAD) * configs$CAD.pip), 5)
# Execution ---------------------------------------------------------------
aud.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', UNITS = POS.AUDUSD,
ORDERTYPE = 'LIMIT', PRICE = AUDUSD.exe, TAKEPROFIT = aud.take.profit, TRAILINGSTOP = aud.stop.loss, TIMEINFORCE = "IOC")
cad.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'USD_CAD', UNITS = POS.USDCAD,
ORDERTYPE = 'LIMIT', PRICE = USDCAD.exe, TAKEPROFIT = cad.take.profit, TRAILINGSTOP = cad.stop.loss, TIMEINFORCE = "IOC")
cat(paste0("\nGo Short | AUD Limit order at ", AUDUSD.exe, " | Take Profit: ", aud.take.profit, " | Trailing Stop Loss: ", aud.stop.loss, " | Positions: ", POS.AUDUSD))
cat(paste0("\nGo Short | CAD Limit order at ", USDCAD.exe, " | Take Profit: ", cad.take.profit, " | Trailing Stop Loss: ", cad.stop.loss, " | Positions: ", POS.USDCAD))
inLong = FALSE
inShort = TRUE
}else if(closePos & (inLong | inShort)){
CurrentPositions = setDT(getOandaPositions(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID)$positions)
POS.AUDUSD = -sum(as.numeric(CurrentPositions[instrument == 'AUD_USD', .(long.units,short.units)]))
POS.USDCAD = -sum(as.numeric(CurrentPositions[instrument == 'USD_CAD', .(long.units,short.units)]))
# Execution ---------------------------------------------------------------
aud.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', UNITS = POS.AUDUSD, TIMEINFORCE = "IOC")
cad.order.msg = createOandaOrder(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID, INSTRUMENTS = 'USD_CAD', UNITS = POS.USDCAD, TIMEINFORCE = "IOC")
inLong = FALSE
inShort = FALSE
}
cat(paste0('ZScore: ', round(zScore, 2), ' | Mean-reversion: ', round(mean.reversion.signal,2),' | Momentum: ', round(momentum.signal,2), '\n'))
# Re-check positions
CurrentPositions = setDT(getOandaPositions(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, configs$ACCOUNT_ID)$positions)
POS.AUDUSD = sum(as.numeric(CurrentPositions[instrument == 'AUD_USD', .(long.units,short.units)]))
POS.USDCAD = sum(as.numeric(CurrentPositions[instrument == 'USD_CAD', .(long.units,short.units)]))
latest.aud.price = NA
latest.aud.openTime = NA
latest.cad.price = NA
latest.cad.openTime = NA
if(goShort | goLong){
# latestTradeID = getLatestTradeID(configs)
latestTrade = getLatestTrades(configs)
latest.aud.price = as.numeric(latestTrade$aud.trade$price)
latest.aud.openTime = latestTrade$aud.trade$openTime
latest.cad.price = as.numeric(latestTrade$cad.trade$price)
latest.cad.openTime = latestTrade$cad.trade$openTime
}
# Order book --------------------------------------------------------------
# Update Portf Information
OB.PRICES = last.price; OB.PRICES[, 2] = 1/OB.PRICES[, 2]
names(ols.pvalues) = paste0('OLS.P.', names(ols.pvalues))
unrealizedPnL = sum(as.numeric(CurrentPositions$unrealizedPL))
PnL = sum(as.numeric(CurrentPositions$pl))
# Create latest order record
orderBook = data.frame(as.character(index(OB.PRICES)), OB.PRICES, adf.signal, adf.signal.lag1, pp.signal, po.signal,
jc.signal, var.ratio, hurst.signal, pvmr.par, half.life.par, mean.reversion.signal,
macd, macd.signal, ema.signal, mom.hamming.dist, mom.spearman, mom.thickness, mom.rsi, momentum.signal,
cor.long, cor.short, zScore, ols.r2, t(ols.pvalues),
POS.AUDUSD, POS.USDCAD, t(hedgeRatio),
latest.aud.price,latest.aud.openTime,latest.cad.price,latest.cad.openTime,
aud.take.profit, aud.stop.loss, cad.take.profit, cad.stop.loss,
inLong, inShort, goLong, goShort, closePos, tradeType, unrealizedPnL, PnL)
names(orderBook) = c('DateTime', paste0('P.', names(OB.PRICES)), 'ADF', 'ADF.lag1', 'Phillips-Perron', 'Phillips-Ouliaris',
'Johansen', 'Variance.Ratio', 'Hurst', 'Partial.Auto.pvmr','Partial.Auto.HL', 'Mean-Reversion',
'MACD','MACD.Signal', 'EMA.Signal', 'Hamming.Dist', 'Mom.Spearman', 'Mom.Thickness', 'RSI', 'Momentum',
'Corr.long','Corr.short', 'ZScore', 'OLS.r2', names(ols.pvalues),
'POS.AUDUSD', 'POS.USDCAD', 'Hedge.Ratio.AUD', 'Hedge.Ratio.CAD',
'AUD.Exec.Price','AUD.Order.Time', 'CAD.Exec.Price', 'CAD.Order.Time',
'AUD.TakeProfit', 'AUD.StopLoss', 'CAD.TakeProfit', 'CAD.StopLoss',
'inLong', 'inShort', 'goLong', 'goShort', 'closePos', 'tradeType', 'unrealizedPnL', 'PnL')
setDT(orderBook)
if(file.exists(configs$order.book.file)){
Order.Book = fread(configs$order.book.file)
Order.Book = rbind(Order.Book, orderBook)
colnames(orderBook) = colnames(Order.Book)
write.csv(Order.Book, file = configs$order.book.file, row.names = FALSE)
}else{
write.csv(orderBook, file = configs$order.book.file, row.names = FALSE)
}
updateDirFilePermissions(configs$strategyPath)
}
},
error = function(e){print(e)}
)
Sys.sleep(1)
}
sink(type="message")
sink()
}
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