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);
}
}
