/// <summary>Generate simulated market depth for 'pair', using 'latest' as the reference for the current spot price</summary>
private MarketDepth GenerateMarketDepth(TradePair pair, Candle latest, ETimeFrame time_frame)
{
// Notes:
// - This is an expensive call when back testing is running so minimise allocation, resizing, and sorting.
// - Do all calculations using double's for speed.
// Get the market data for 'pair'.
// Market data is maintained independently to the pair's market data instance because the
// rest of the application expects the market data to periodically overwrite the pair's order books.
var md = m_depth[pair];
// Get the Q2B (bid) spot price from the candle close. (This is the minimum of the Q2B offers)
// The B2Q spot price is Q2B - spread, which will be the maximum of the B2Q offers
var spread = latest.Close * m_spread_frac;
var best_q2b = latest.Close;
var best_b2q = latest.Close - spread;
var base_value = (double)(decimal)pair.Base.Value;
md.Q2B.Offers.Resize(m_orders_per_book);
md.B2Q.Offers.Resize(m_orders_per_book);
// Generate offers with a normal distribution about 'best'
var range = 0.2 * 0.5 * (best_q2b + best_b2q);
for (var i = 0; i != m_orders_per_book; ++i)
{
var p = range * Math_.Sqr((double)i / m_orders_per_book);
md.Q2B.Offers[i] = new Offer(((decimal)(best_q2b + p))._(pair.RateUnits), RandomAmountBase()._(pair.Base));
md.B2Q.Offers[i] = new Offer(((decimal)(best_b2q - p))._(pair.RateUnits), RandomAmountBase()._(pair.Base));
}
return(md);
decimal RandomAmountBase()
{
// Generate an amount to trade in the application common currency (probably USD).
// Then convert that to base currency using the 'live' value.
var common_value = Math.Abs(m_rng.Double(m_order_value_range.Beg, m_order_value_range.End));
var amount_base = (decimal)Math_.Div(common_value, base_value, common_value);
return(amount_base);
}
}