static public void TestGlostenSimple()
{
PriceDiscovery glosten = new PriceDiscovery(1.0121M - 0.977M, 1.5M - 0.5M, 1, 0.5M);
Random r = new Random();
for (int i = 0; i < 21; i++)
{
bool buy = r.Next() % 2 == 0;
decimal prop = (decimal)r.NextDouble();
decimal bid, ask;
glosten.GetBidAskForOrder(buy, prop, out bid, out ask);
Console.WriteLine("i=" + i + " bid=" + bid + ",ask=" + ask);
Console.WriteLine("trade was " + (buy ? "buy" : "sell") + ", informed = " + prop);
}
}
private async void Start()
{
try
{
var allPairs = await _marketProfileService.GetAllPairsAsync();
foreach (var asset in allPairs)
{
var key = asset.AssetPair;
_lastReceivedAsks[key] = new Quote
{
AssetPair = key,
Price = asset.AskPrice,
Timestamp = asset.AskPriceTimestamp
};
_lastReceivedBids[key] = new Quote
{
AssetPair = key,
Price = asset.BidPrice,
Timestamp = asset.BidPriceTimestamp
};
if (!_priceDiscoveries.TryGetValue(key, out var prd))
{
prd = new PriceDiscovery(Threshold);
_priceDiscoveries[key] = prd;
var timestamp = asset.AskPriceTimestamp > asset.BidPriceTimestamp
? asset.AskPriceTimestamp
: asset.BidPriceTimestamp;
var price = new Price(asset.AskPrice, asset.BidPrice, timestamp);
prd.Run(price);
}
}
}
catch (Exception ex)
{
await _log.WriteFatalErrorAsync(nameof(FixQuotesManager), nameof(Start), "Loading market profile", ex);
throw;
}
}
/// <summary> Calculates the market prices and limits. </summary>
///
/// <remarks> Paul, 05/02/2015. </remarks>
///
/// <param name="market"> [in,out] The market. </param>
/// <param name="bitsharesBalances"> The bitshares balances. </param>
/// <param name="bitcoinBalance"> The bitcoin balance. </param>
public override void ComputeMarketPricesAndLimits(ref MarketRow market,
Dictionary <int, ulong> bitsharesBalances,
decimal bitcoinBalance)
{
base.ComputeMarketPricesAndLimits(ref market, bitsharesBalances, bitcoinBalance);
decimal baseBalance = 0;
decimal quoteBalance = bitcoinBalance;
if (bitsharesBalances.ContainsKey(m_asset.id))
{
// only non zero balances return data, so this guard is necessary
baseBalance = m_asset.GetAmountFromLarimers(bitsharesBalances[m_asset.id]);
}
decimal maxTransactionFactor;
if (m_currency.uia)
{
// with UIA we got to handle the maximum buy size differently
BitsharesAccount account = m_bitshares.WalletGetAccount(m_bitsharesAccount);
if (m_asset.issuer_id == account.id)
{
// we are the issuer!
// refresh the asset
m_asset = m_bitshares.BlockchainGetAsset(m_asset.symbol);
// this is how much we can issue, so lets stick that in there
baseBalance = m_asset.GetAmountFromLarimers(m_asset.max_supply - m_asset.current_supply);
}
else
{
throw new UnexpectedCaseException();
}
maxTransactionFactor = 1;
//maxTransactionFactor = kMaxTransactionFactor;
}
else
{
maxTransactionFactor = kMaxTransactionFactor;
}
decimal newAskMax, newBidMax;
// askMax is in BITCOINS
// bidMax is in BITASSETS
if (m_flipped)
{
// BTC_bitUSD
// baseBalance = 10 bitUSD
// ask = 240
// askMax = 10 / 240 = 0.04 BTC
newAskMax = Numeric.TruncateDecimal((baseBalance / m_market.ask) * maxTransactionFactor, 8);
newBidMax = Numeric.TruncateDecimal((quoteBalance * m_market.bid) * maxTransactionFactor, 8);
}
else
{
// BTS_BTC
//
// baseBalance = 1 BTS
// ask = 0.00004
// askMax = 1 * 0.0004 = 0.0004 BTC
newAskMax = Numeric.TruncateDecimal((baseBalance * m_market.ask) * maxTransactionFactor, 8);
newBidMax = Numeric.TruncateDecimal((quoteBalance / m_market.bid) * maxTransactionFactor, 8);
}
m_isDirty |= newAskMax != m_market.ask_max || newBidMax != m_market.bid_max;
market.ask_max = newAskMax;
market.bid_max = newBidMax;
if (m_market.price_discovery)
{
//
// update price discovery engine
//
decimal bitsharesBalance = m_asset.GetAmountFromLarimers(bitsharesBalances[m_asset.id]);
if (m_asset.symbol == CurrencyHelpers.kBtcSymbol)
{
m_lastFeedPrice = 1;
}
else
{
m_lastFeedPrice = RecomputeFeedPriceInBtc();
}
decimal inventoryRatio = ComputeInventoryRatio(bitsharesBalances, bitcoinBalance);
if (m_prices == null)
{
//
// initialise the price discovery engine
//
m_prices = new PriceDiscovery(market.spread_percent, market.window_percent, m_lastFeedPrice, inventoryRatio);
}
decimal oldBid = m_market.bid;
decimal oldAsk = m_market.ask;
m_prices.UpdateParameters(m_lastFeedPrice, inventoryRatio, m_market.spread_percent, m_market.window_percent, out m_market.bid, out m_market.ask);
m_isDirty |= oldBid != m_market.bid || oldAsk != m_market.ask;
}
}
