Please help a newbie on High Frequency Trading Example

[newbie18]

Hello Everyone,

I am new to this forum and have taken a keen interest in writing trading programs. I have some Python background, a little C# but no C++.

The example below was provided in a book on HFT and I would love to see how the results look. I was hoping that I would just compile it and away you go!

Ahhh..that didn't happen. To start with the author listed this as a function, so I converted it to a main program. Still having issues with my path and where to see the output.

Please help...this should be very interesting for all.

Here it is..

/*
PLEASE READ THIS IMPORTANT DISCLAIMER
This code is distributed AS IS, and is
not subject to any warranty, performance
guarantees, etc.

It is intended strictly for educational
purposes to illustrate the concepts
presented in Irene Aldridge's book:
"High-Frequency Trading: A Practical Guide
to Algorithmic Strategies and Trading Systems".

Any commercial distribution of the code is
strictly prohibited.
*/


void HFT_AvellanedaStoikov()
{
FILE* fin, *fout;
double lambda_a, lambda_b, d_lambda_a, d_lambda_b;
int hh = 0, mm = 0, ss, nb = 0, na = 0, prevnb = 0, prevna = 0, prevm = 0;
double bid, ask, prevbid = 0, prevask = 0;
char * p1, *p2, buffer[1024], fname[512];
double gamma = 0.01;
double optbid = 0;
double optask = 0;
char action;
double portfolio = 0;
int position = 0;
double bids[100] = {0}, asks[100] = {0};

sprintf(fname, "AvellanedaStoikov2008_WFC_InputData.txt"); //download this file from hftradingbook.com
fin = fopen(fname, "r");
if(fin)
{
sprintf(fname, "AvellanedaStoikov2008_output.txt");
fout = fopen(fname, "w");
if(fout)
{
//for each event, find the before and after window
while(fgets(buffer, 1024, fin))
{
bid = 0;
ask = 0;
sscanf(buffer, "%d\t%d\t%lf\t%lf\n", &hh, &mm, &bid, &ask);

if(prevm != mm)
{
if((nb-prevnb != 0) & (nb != 0) & (prevnb != 0))
optbid = bid- (1/gamma)*log(1-gamma*(((double)nb)/(double)(nb-prevnb)/prevnb));
if((na-prevna != 0) & (na != 0) & (prevna != 0))
optask = ask- (1/gamma)*log(1-gamma*(((double)na)/(double)(na-prevna)/prevna));

if((optbid > 0) & (optask > 0) & (bid > 0) & (ask > 0))
{
if(hh > 15)
{
if(position != 0)
{
action = 'L';
//liquidate
if(position > 0)
{
portfolio += position*bid;
position = 0;
}
else if(position < 0)
{
portfolio -= position*ask;
position = 0;
}
}
}
else
{
if(optbid > ask)
{
//if(position <= 3)
{
action = 'B';
portfolio -= ask;
position++;
}
//else action = 'N';
}
else if(optask < bid)
{
//if(position >= -3)
{
action = 'A';
portfolio += bid;
position--;
}
//else action = 'N';
}
else
{
//between bid and ask
//if closer to bid, buy
//else sell
if(fabs(bid-optbid) < fabs(ask-optask))
{
action = 'B';
portfolio -= ask;
position++;
}
else if(fabs(optbid - bid) > fabs(optask -ask))
{
action = 'A';
portfolio += bid;
position--;
}
}
}
//output

if((na != 0) & (nb != 0) & (prevna != 0) & (prevnb != 0))
fprintf(fout, "%02d\t%02d\t%lf\t%lf\t%lf\t%lf\t%lf\t%lf\t%lf\t%lf\t%lf\t%c\t%lf\t%d\n",
hh, mm, bid, ask, (bid+ask)/2, (1/(double)nb), (1/(double)na),
(double)(nb-prevnb)/prevnb, (double)(na-prevna)/prevna, round(optbid, 2), round(optask, 2),
action, portfolio, position);
}
prevm = mm;
prevna = na;
prevnb = nb;
na = 0;
nb = 0;
}

if((prevbid > 0) & (prevask > 0))
{
if(bid != prevbid)
{
nb++;
}
if(ask != prevask)
{
na++;
}
}
prevbid = bid;
prevask = ask;
}
fclose(fout);
}
fclose(fin);
}
}


Here is some data:

14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.37
14 49 24.37 24.37
14 49 24.37 24.37
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38

[R23MJ]

Ok, I would love to read through this and help you, but to make it easier to read for the community, please put all code in code tags, just surround the word "code" with []'s to start a code block, then surround "/code" with []'s to end a code block.

EDIT::
Formatting the code would be extremely helpful to, it would get you answers much faster!

Thank you!

[TheFunk]

Can you additionally post some of the errors you're getting at compile time?

The path issue likely stems from your input file. You said you have some programming experience, so I figure you've already double checked this, but make sure that "AvellanedaStoikov2008_WFC_InputData.txt" and your cpp file are in the same directory.