Appendix F. Example Strategy "Random"

F.1. Trading Idea

Warning

The purpose of this Strategy is to demonstrate capabilities of AlgoTrader. Do not use it with a Live Trading Account and real Money! The strategy might lead to large losses. Even when modifying or extending the Strategy use caution before trading it Live.

The Strategy is a simple example that places random orders at regular intervals. The Random strategy is used for the AlgoTrader Demo.

F.2. Implementation

The main artifacts needed for the Implementation of a new Strategy are described in Chapter 4, Strategy Development.

The Random Strategy consist of the following artifacts:

/src/main/java/ch/algotrader/strategy/random/RandomService.java: The strategy service class providing the main methods invoked by different Esper statements.
/src/main/java/ch/algotrader/strategy/random/RandomConfig.java: Contains all strategy configuration items
/src/main/resources/module-random.epl: Esper Module containing statements to place and cancel orders as well as update subscriptions once a day.
/src/main/resources/conf-random.properties: Contains parameters used by the strategy (e.g. positionMax and orderMax)
/src/main/resources/META-INF/esper-random.cfg.xml: Contains variables (i.e. placeOrderInterval and cancelOrderInterval)
/src/main/resources/META-INF/applicationContext-client-random.xml: Contains the Spring Bean definitions for randomConfigParams, randomConfig, randomEngine, randomService.
/src/main/resources/db/mysql/mysql-data.sql: Contains the MySQL database records. Needs to be imported into the database before running the strategy with the MySQL database.

To start the Strategy please see the explanations in Chapter 3, Starting AlgoTrader.

F.3. Installation & Startup

To setup the strategy for back testing and live trading on a development workstation please execute the following steps:

Git Clone

Perform a Git clone from the command line:

git clone https://gitlab.algotrader.ch/general/examples.git

Import the projects random into Eclipse via File / Import / Maven / Existing Maven Projects:

To start the strategy in live trading mode on a development workstation please execute the following steps:

Initialize the database

load the db-samples script into the MySQL database: /algotrader-conf/src/main/resources/db-samples/mysql/mysql-data.sql

load the strategy specific scrip into the MySQL database: /random/src/main/resources/db/mysql/mysql-data.sql

Start the Strategy

invoke the Eclipse Run Configuration: EmbeddedStarter-random

To start the strategy in live trading mode on a productive server please execute the following steps:

Copy docker compose file

Copy the following file to the server and make changes as needed:

https://gitlab.algotrader.ch/general/examples/blob/master/random/docker-compose.yml

Run docker compose

Invoke the following command inside the directory where the docker-compose.yml file is located:

docker-compose up -d

Note

Prior to starting the strategy for the very first time please start the AlgoTrader server by itself by executing the following command inside /bootstrap/launch. this will load the MySQL sample data

docker-compose up -d mysql ibgateway algotrader