TY - GEN

T1 - Analysis of Trading Algorithms on the Platform QUIK

AU - Malafeyev, Oleg

AU - Galtsov, Mikhail

AU - Zaitseva, Irina

AU - Sakhnyuk, Pavel

AU - Zakharov, Vladimir

AU - Kron, Roman

N1 - Funding Information: The work is partially supported by the RFBR grant # 18-01-00796. Publisher Copyright: © 2020 IEEE. Copyright: Copyright 2020 Elsevier B.V., All rights reserved.

PY - 2020/11/11

Y1 - 2020/11/11

N2 - This paper analyzes the set of trading algorithms A. An element of this set is a(I, Cs, Cp) where I is a set of indicators of which behavior is taken into account for a given trading algorithm. Indicators are tools that perform specific computations using specified formulas based on price chart values, and then automatically produce a result. Most often, the indicators look like graphical constructions (lines, histograms, etc.) that are plotted on the chart in automatic mode. Cs is the set of conditions for the behavior of the indicators of the set I under which the sale is made, Cp is the purchase, respectively. For each under investigation algorithm a(I, Cs, Cp), the expected profit Ei is calculated at the end of the set operating time of the algorithm. Based on these data, the most efficient trading algorithms are defined. In algorithmic trading, exchange trading using trading algorithms, there is a significant correlation between the quantity/quality of the data available for analysis and the success of the trading system. For this reason, we are using a free QUIK demo account. In this way, we can get large datasets for experiments and analysis without real investments. For our case, we get real-time and historical data for the drawn set of instruments. It is a date of candlesticks for all time for the 1-minute interval. candlestick chart-chart of interval type. It is popular in technical analysis, it consists of "candles"corresponding to a time interval of a preassigned value. Data of candlestick have a date, time, open price, high price, low price, close price, the volume of transactions.

AB - This paper analyzes the set of trading algorithms A. An element of this set is a(I, Cs, Cp) where I is a set of indicators of which behavior is taken into account for a given trading algorithm. Indicators are tools that perform specific computations using specified formulas based on price chart values, and then automatically produce a result. Most often, the indicators look like graphical constructions (lines, histograms, etc.) that are plotted on the chart in automatic mode. Cs is the set of conditions for the behavior of the indicators of the set I under which the sale is made, Cp is the purchase, respectively. For each under investigation algorithm a(I, Cs, Cp), the expected profit Ei is calculated at the end of the set operating time of the algorithm. Based on these data, the most efficient trading algorithms are defined. In algorithmic trading, exchange trading using trading algorithms, there is a significant correlation between the quantity/quality of the data available for analysis and the success of the trading system. For this reason, we are using a free QUIK demo account. In this way, we can get large datasets for experiments and analysis without real investments. For our case, we get real-time and historical data for the drawn set of instruments. It is a date of candlesticks for all time for the 1-minute interval. candlestick chart-chart of interval type. It is popular in technical analysis, it consists of "candles"corresponding to a time interval of a preassigned value. Data of candlestick have a date, time, open price, high price, low price, close price, the volume of transactions.

KW - analysis

KW - platform QUIK

KW - trading algorithms

UR - http://www.scopus.com/inward/record.url?scp=85098934853&partnerID=8YFLogxK

U2 - 10.1109/SUMMA50634.2020.9280657

DO - 10.1109/SUMMA50634.2020.9280657

M3 - Conference contribution

AN - SCOPUS:85098934853

T3 - Proceedings - 2020 2nd International Conference on Control Systems, Mathematical Modeling, Automation and Energy Efficiency, SUMMA 2020

SP - 305

EP - 311

BT - Proceedings - 2020 2nd International Conference on Control Systems, Mathematical Modeling, Automation and Energy Efficiency, SUMMA 2020

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 2nd International Conference on Control Systems, Mathematical Modeling, Automation and Energy Efficiency, SUMMA 2020

Y2 - 10 November 2020 through 13 November 2020

ER -