Trading strategies for markets: A design framework and its application

In this paper, we present a novel multi-layered framework for designing strategies for trading agents. The objective of this work is to provide a framework that will assist strategy designers with the different aspects involved in designing a strategy. At present, such strategies are typically designed in an ad-hoc and intuitive manner with little regard for discerning best practice or attaining reusability in the design process. Given this, our aim is to put such developments on a more systematic engineering footing. After we describe our framework, we then go on to illustrate how it can be used to design strategies for a particular type of market mechanism (namely the Continuous Double Auction), and how it was used to design a novel strategy for the Travel Game of the International Trading Agent Competition