Technical Analysis Agents

The term "Technical Analysis" is a general heading for a myriad of trading techniques. Although with rather different means, such strategies all attempt to predict the price movement of a stock by studing historical data. Four technical analysis agents are discussed below.

I. Moving Average

We implemented the simplest moving average strategy, which calculates the moving average for a certain time interval specified by the user. When the current price up-crosses the moving average, the agent will buy in; when it down-crosses the moving average, the agent will sell out.

The source codes can be found at (all the path information in this page refers to crux):

The parameters are as follows:

An example:
./ma -p 10000 -v 1000 -d 0.0 -i 10 -l 20 >& out.ma &
The agent will calculate and poll a 20-interval moving average at a 10-seconds pace. At the moment the current price up/down-crosses the moving average, and is 0.01 higher/lower than the moving average value, the agent will place a buy/sell order of 500 shares.

II. Channel Breakouts

Also known as "trading range breakouts", this strategy records the highest and lowest prices for a certain time interval. When the current price goes higher than the highest price recorded, or lower than the lowest price recorded, we called that there is a breakout of the channel, and a corresponding buy or sell order is placed in.

The source codes can be found at:

The parameters are as follows:

An example:
./cb -p 10000 -v 1000 -d 0.0 -i 10 -l 20 >out.cb &
The agent will record and update a 20-interval price channel at a 10-seconds pace. At the moment the current price breaks the recorded price channel, and is 0.01 higher/lower than the highest/lowest price, the agent will place a buy/sell order of 500 shares.

III. Momentum

This simple strategy will compare the current price with the price at some time span ago. If the current time is higher, it buys in; otherwise, it sells out.

The source codes can be found at:

The parameters are as follows:

An example:
./mo -p 10000 -v 1000 -d 0.01 -i 10 -l 20 >& out.mo &
The agent will compare the current price with a 20-interval-ago historical price at a 10-seconds pace. At the moment the current price is 0.01 higher/lower than the historical price, the agent will place a buy/sell order of 500 shares.

IV. Relative Strength Index

Unlike the three trend-following strategies described above, Relative Strength Index (RSI) is a kind of price oscillators which predicts the overbought/oversold market. The agent will record the number and the spans of Ups and Downs.It employs a formula as follows to calculate the RSI value:
RSI = 100 - 100/(1+U/D)
U denotes the average value of Ups and D denotes the average value of Downs. Today most practitioners regard RSI over 70 indicating the market tops while below 30 indicating the bottoms. So they will buy when RSI crosses up the 30 threshold and sell when RSI crosses down the 70 threshold.

The source codes can be found at:

The parameters are as follows:

An example:
./rsi -p 10000 -v 10000 -d 49 -i 5 >& out.rsi &
The agent will calculates the RSI value and compare it with the previous RSI at a 10-seconds pace. At the moment the current RSI value is an up-cross/down-cross of the 42/58 RSI threshold, the agent will place a buy/sell order of 5000 shares.

V. The Market Making Agent

The market making strategy exploits the price volatility of a stock, rather than predicting the direction of its movement. The agent we developed here will simply put in a pair of buy and sell orders close to the bid/ask at each time interval.

The source codes can be found at:

The parameters are as follows:

An example:
./mm -p 10000 -v 500 -d 0.02 -i 10 >& out.mm &
The agent, at a 10-seconds pace, will place a pair of buy and sell orders of 500 shares at 0.02 lower than the current bid and 0.02 higher than the current ask.

The Background Agent

This is not an agent of any trading strategy. Instead, it is a special agent that produces orders on both buy and sell queues with a normal distribution regarding the current bid and ask. It is designed to simulate the general activity of the stock market. This agent needs to read in a file named "distribution.normal" to calculate the prices for orders it generates.

The source codes can be found at:

The parameters are as follows:

An example:
./bg -p 10000 -v 500 -d 0.05 -i 5 >& out.bg &
At a 5-seconds pace, the agent will read in two numbers from the distribution file, and place a pair of buy and sell orders of 500 shares according to these two numbers (as if the mean of the distribution is 0.05 lower than the current bid and 0.05 higher than the current ask).

The Asymmetric Background Agent

This is a new background agent for producing orders on both buy and sell queues with deltas of two normal distributions. It is named "abg" (asymmetric background agent for short). It differs from the original symmetric bg agents in the following two pricing aspects: 1. It reads in two distribution files of deltas, one for buy orders and the other for sell orders. These two distributions may have different standard deviations. The two files need to be named as "distribution.buy" and "distribution.sell", and put into the same directory where your abg agent resides. 2. It lets the user to set different distances from the mean of the normal distribution to the bid and the ask (for the original symmetric one, these distnaces are set by one parameter).

The source codes can be found at:

The executable can be found at:

The new delta files of normal distribtion with various standard deviations can be found at:

The parameters for abg are as follows:

An example:
./abg -p 10000 -v 500 -d 0.05 -z 0.07 -i 2 >& out.abg &
At a 2-seconds pace, the agent will read in two numbers from the two distribution files (distibution.buy and distribution.sell), and place a pair of buy and sell orders of 500 shares according to these two numbers (as if the mean of the buy distribution is 0.05 lower than the current bid, and the mean of the sell distribution is 0.07 higher than the current ask).

Notes:

The Real-Data Background Agent

This agent is named "realbg", since it generates real-data order stream to produce the background activity. This agent needs to read three files to reconstruct the real-data order stream of a day. These files require to be put in the same directory with the realbg executable, and named as in the following descriptions. 1. File "time" consists of a sequence of timestamps of the order stream. 2. File "volume" consists of a sequence of numbers of shares of the order stream. 3. File "delta" consists of a sequence of deltas, which are the price differences between the current bid/ask (depending on the type of the order) and the incoming orders. Basically, to reconstruct an order, the realbg agent will read in a timestamp (to see if it's time to insert this order), a number of order shares (to determine if it's a buy or sell order and how many shares this order has), and a price delta (to set the price of the order with regard to the current bid/ask) from those three files respectively.

The source codes can be found at:

The executable can be found at:

We provide the 10 days of June 2004 data for DELL, YHOO, and MSFT at:

There is NO parameter for the realbg agent, as its pricing, volume, and trade frequency are all determined by the three data files.
An example:
./realbg -p 10000 >& out.realbg &
The realbg agent will produce the real-data order stream for a day of a pariticular stock for which you have copied the three data files.

Notes:

Notes on Running These Agents