算法交易-TWAP算法

MyTwap<-function (T_Symbol,T_Start,T_End,T_Quantity){
#T_Symbol is the Target Symbol which we want to splite
#T_Start is the start time we send the order, style as HHMMSS
#T_End is the end time we want the order be finish, style as HHMMSS
#T_Quantity is the quantity of the order
#T_Symbol<-"600123";T_Start<-"095600";T_End<-"101100";T_Quantity<-100000; #Get the order ！ ##style:symbol,price,startTime,Endtime # 600123,10.05,HHMMSS,HHMMSS read.csv(file="E:Research DocTWAPorder.csv",header=T)->tm.p
#Transform and standardised the Order
data.frame(
Symbol=
formatC(tm.p$Symbol,width = 6, flag = 0),
Price=
tm.p$Price,
StartTime=
formatC(tm.p$StartTime,width = 6, flag = 0),
EndTime=
formatC(tm.p$EndTime,width = 6, flag = 0),
T_Quantity=tm.p$Quantity,
stringsAsFactors=F
)->MyOrder

rm(tm.p)
#Read VolumeProfile
#unnecessary for TWAP

#Using Twap to Splits the Big Order
library(timeDate)
Interval_Seconds <- difftimeDate(timeDate(MyOrder$EndTime,format="%H%M%S"),timeDate(MyOrder$StartTime,format="%H%M%S"),units="secs") #Build the Order Queue #Build the Part I data.frame( timeSequence(from=MyOrder$StartTime,to=MyOrder$EndTime,format="%H%M%S",by="sec",length.out=as.numeric(Interval_Seconds)), rep( floor((MyOrder$T_Quantity/as.numeric(Interval_Seconds))/100)*100, as.numeric(Interval_Seconds)), rep(0.0,as.numeric(Interval_Seconds)) )->Order_Plan
names(Order_Plan)<-c("Time","Quantity","Price")
#Build the part II
leaved_quantity<-MyOrder$T_Quantity-sum(Order_Plan$Quantity) while (leaved_quantity>100){

floor(leaved_quantity/100)->Avaliable_Order
ceiling(as.numeric(Interval_Seconds)/Avaliable_Order)->Time_Gap

Order_Plan[seq(from=Time_Gap,by=Time_Gap,to=as.numeric(Interval_Seconds)),2]+100 -> Order_Plan[seq(from=Time_Gap,by=Time_Gap,to=as.numeric(Interval_Seconds)),2]

leaved_quantity<-leaved_quantity-(as.numeric(Interval_Seconds)/Time_Gap)*100 } #Build the Last Part Order_Plan[(-dim(Order_Plan)[1]+1):-1,2]+round(leaved_quantity/100)*100-> Order_Plan[(-dim(Order_Plan)[1]+1):-1,2]
#End of Order_Plan
#Debug

sum(Order_Plan$Quantity)
Order_Plan$Quantity
rm(Avaliable_Order,Interval_Seconds,Time_Gap,leaved_quantity)
return(Order_Plan)
}