vvv

Ruby code posted
created at 14 Mar 15:38

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%0\ Clear parameters
    tmp.signal=NaN;
    results.ec(i)=results.ec(i-1);

    %1\ compute hedge ratio here
    if ((data.timestamp(i,1)-tmp.last_hedge>=params.hedge_time) || min(tmp.exposure)==0)
        tmp.last_hedge=data.timestamp(i,1);
        computing_linear_spread;
        if sum(tmp.beta)~=0
            tmp.exposure=[1 tmp.beta(1,1)];
            %fprintf('New hedge ratio: %6.2f, At: %s \n', tmp.exposure(1,2), datestr(data.timestamp(i,1)));
        end
    end

    %2\ check for age and update prices
    if (isnan(data.bid0(i))==0)||(data.timestamp(i)-tmp.updated0>params.age)
        tmp.bid0=data.bid0(i);
        tmp.ask0=data.ask0(i);
        tmp.updated0=data.timestamp(i);
    end;
    if (isnan(data.bid1(i))==0)||(data.timestamp(i)-tmp.updated1>params.age)
        tmp.bid1=data.bid1(i);
        tmp.ask1=data.ask1(i);
        tmp.updated1=data.timestamp(i);
    end;

    %3\ do actions only if both prices exist
    if (isnan(tmp.bid0) || isnan(tmp.bid1))
    else

        %========================================
        %     RISK SYSTEM
        if tmp.ans1=='1'
            simple_spread_signal;
        elseif tmp.ans1=='2'
            linear_spread_signal;
        end
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