Merge pull request #67 from masanorihirano/release/0.0.13

Release/0.0.13

docs/source/user_guide/config.rst

@@ -79,7 +79,13 @@ Json config
             "noiseScale": 0.001,
             "timeWindowSize": [100, 200],
             "orderMargin": [0.0, 0.1],
-            "marginType": "fixed" or "normal"
-        }
-
+            "marginType": "fixed" or "normal" (Optional)
+        },
+        "ArbitrageAgent": {
+            "class": "ArbitrageAgent",
+            "extends": "Agents",
+            "orderVolume": int,
+            "orderThresholdPrice": float,
+            "orderTimeLength": int (Optional, default 1),
+        },
     }

pams/agents/arbitrage_agent.py

@@ -1,9 +1,12 @@
+import random
 from typing import Any
 from typing import Dict
 from typing import List
+from typing import Optional
 from typing import Union
 
 from ..index_market import IndexMarket
+from ..logs import Logger
 from ..market import Market
 from ..order import LIMIT_ORDER
 from ..order import Cancel
@@ -21,9 +24,21 @@ class ArbitrageAgent(HighFrequencyAgent):
         Currently, index markets must have the same weight for each constitutional stock.
     """
 
-    order_volume: int = 1
-    order_threshold_price: float = 1.0
-    order_time_length: int = 1
+    def __init__(
+        self,
+        agent_id: int,
+        prng: random.Random,
+        simulator: "Simulator",  # type: ignore  # NOQA
+        name: str,
+        logger: Optional[Logger] = None,
+    ) -> None:
+        super().__init__(
+            agent_id=agent_id, prng=prng, simulator=simulator, name=name, logger=logger
+        )
+
+        self.order_volume: int = 1
+        self.order_threshold_price: float = 1.0
+        self.order_time_length: int = 1
 
     def setup(  # type: ignore
         self,
@@ -48,11 +63,15 @@ def setup(  # type: ignore
         )
         if "orderVolume" not in settings:
             raise ValueError("orderVolume is required for ArbitrageAgent")
+        if not isinstance(settings["orderVolume"], int):
+            raise ValueError("orderVolume have to be int")
         self.order_volume = settings["orderVolume"]
         if "orderThresholdPrice" not in settings:
             raise ValueError("orderThresholdPrice is required for ArbitrageAgent")
         self.order_threshold_price = settings["orderThresholdPrice"]
         if "orderTimeLength" in settings:
+            if not isinstance(settings["orderTimeLength"], int):
+                raise ValueError("orderTimeLength have to be int")
             self.order_time_length = settings["orderTimeLength"]
 
     def _submit_orders(self, market: Market) -> List[Union[Order, Cancel]]:

pams/agents/fcn_agent.py

@@ -36,7 +36,6 @@ class FCNAgent(Agent):
 
     fundamental_weight: float
     chart_weight: float
-    is_chart_following: bool = True
     margin_type: int
     mean_reversion_time: int
     noise_scale: float
@@ -53,6 +52,7 @@ def __init__(
         logger: Optional[Logger] = None,
     ):
         super().__init__(agent_id, prng, simulator, name, logger)
+        self.is_chart_following = True
 
     def is_finite(self, x: float) -> bool:
         """determine if it is a valid value.

pams/agents/high_frequency_agent.py

@@ -6,10 +6,12 @@
 class HighFrequencyAgent(Agent, ABC):
     """High-frequency trading Agent class.
 
-    High-frequency traders are treated as a special agent. Please see xxxx for more details.
-    #ToDo
+    High-frequency traders are treated as a special agent.
 
     This class inherits from the :class:`pams.agents.Agent` class and ABC class.
+
+    .. seealso:
+      -  :class:`pams.agents.ArbitrageAgent` for example.
     """
 
     pass

pams/events/fundamental_price_shock.py

@@ -1,3 +1,4 @@
+import random
 from typing import Any
 from typing import Dict
 from typing import List
@@ -16,8 +17,24 @@ class FundamentalPriceShock(EventABC):
     target_market: "Market"  # type: ignore  # NOQA
     trigger_time: int
     price_change_rate: float
-    is_enabled: bool = True
-    shock_time_length: int = 1
+
+    def __init__(
+        self,
+        event_id: int,
+        prng: random.Random,
+        session: "Session",  # type: ignore  # NOQA
+        simulator: "Simulator",  # type: ignore  # NOQA
+        name: str,
+    ) -> None:
+        super().__init__(
+            event_id=event_id,
+            prng=prng,
+            session=session,
+            simulator=simulator,
+            name=name,
+        )
+        self.is_enabled: bool = True
+        self.shock_time_length: int = 1
 
     def setup(self, settings: Dict[str, Any], *args, **kwargs) -> None:  # type: ignore  # NOQA
         """event setup. Usually be called from simulator/runner automatically.

pams/index_market.py

@@ -1,10 +1,12 @@
+import random
 import warnings
 from typing import Any
 from typing import Dict
 from typing import List
 from typing import Optional
 from typing import cast
 
+from .logs import Logger
 from .market import Market
 
 
@@ -14,7 +16,22 @@ class IndexMarket(Market):
     This class inherits from the :class:`pams.market.Market` class.
     """
 
-    _components: List[Market] = []
+    def __init__(
+        self,
+        market_id: int,
+        prng: random.Random,
+        simulator: "Simulator",  # type: ignore  # NOQA
+        name: str,
+        logger: Optional[Logger] = None,
+    ):
+        super().__init__(
+            market_id=market_id,
+            prng=prng,
+            simulator=simulator,
+            name=name,
+            logger=logger,
+        )
+        self._components: List[Market] = []
 
     def setup(self, settings: Dict[str, Any], *args, **kwargs) -> None:  # type: ignore
         """setup market configuration from setting format.

pams/logs/market_step_loggers.py

@@ -25,7 +25,9 @@ def process_market_step_end_log(self, log: MarketStepEndLog) -> None:
 class MarketStepSaver(Logger):
     """Saver of the market step class."""
 
-    market_step_logs: List[Dict] = []
+    def __init__(self) -> None:
+        super().__init__()
+        self.market_step_logs: List[Dict] = []
 
     def process_market_step_end_log(self, log: MarketStepEndLog) -> None:
         """stack the market log.

pams/market.py

@@ -32,7 +32,12 @@ class Market:
     """
 
     def __init__(
-        self, market_id: int, prng: random.Random, simulator: "Simulator", name: str, logger: Optional[Logger] = None  # type: ignore  # NOQA
+        self,
+        market_id: int,
+        prng: random.Random,
+        simulator: "Simulator",  # type: ignore  # NOQA
+        name: str,
+        logger: Optional[Logger] = None,
     ) -> None:
         """initialization.
 

pams/version.py

@@ -1 +1 @@
-__version__ = "0.0.12"
+__version__ = "0.0.13"

pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "pams"
-version = "0.0.12"
+version = "0.0.13"
 description = "PAMS: Platform for Artificial Market Simulations"
 authors = ["Masanori HIRANO <[email protected]>"]
 license = "MIT"