public void Orderbook_PriceEngineTest_Live()
{
Console.WriteLine("Orderbook_PriceEngineTest_Live");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
double MAXTIME = 10000;
ob.addBid(12.2, 100, null);
ob.addAsk(12.3, 100, null);
IOrderbookPriceEngine pe = new OrderbookPriceEngine();
try
{
System.IO.TextWriter writeFile = new StreamWriter("Orderbook_PriceEngineTest_Live.txt");
for (int i = 0; i < MAXTIME; i++)
{
if (pe.isMarket(ob))
{
double pp = pe.getMarketPrice(ob);
bool isbid = SingletonRandomGenerator.Instance.NextBoolean();
if (isbid)
{
ob.addBid(pp, 100, null);
}
else
{
ob.addAsk(pp, 100, null);
}
writeFile.WriteLine("?, ?, " + pp);
}
else
{
double ppask = pe.getAskPrice(ob);
ob.addAsk(ppask, 100, null);
double ppbid = pe.getBidPrice(ob);
ob.addBid(ppbid, 100, null);
writeFile.WriteLine("" + ppask + ", " + ppbid + ", ?");
}
}
writeFile.Flush();
writeFile.Close();
writeFile = null;
}
catch (IOException)
{
Assert.AreEqual(0, 1);
}
// execution occurs: 4 5 and 6 partially hit 3 out of 5 units of o3 at the ask price (5)
Scheduler.Instance().Run();
}
private void parseCSV()
{
try {
using (StreamReader readFile = new StreamReader(_path)) {
string line;
string[] row;
int rownum = 1;
while ((line = readFile.ReadLine()) != null)
{
row = line.Split(',');
if (row.Length != 6)
{
throw new Exception("Bad row #" + rownum + " has " + row.Length + " fields: " + line);
}
/*
* string timeString = row[0];
* string priceString = row[1];
* double price = Double.Parse (priceString);
*/
string directionString = row[2];
bool isBid = (directionString.Equals("Bid") ? true : false);
string orderpriceString = row[3];
double orderprice = Double.Parse(orderpriceString);
string ordersizeString = row[4];
int ordersize = Int32.Parse(ordersizeString);
IOrder order;
if (isBid)
{
order = Orderbook.addBid(orderprice, ordersize, this);
}
else
{
order = Orderbook.addAsk(orderprice, ordersize, this);
}
SingletonLogger.Instance().InfoLog(typeof(AgentOrderbookLoader), "AgentOrderbookLoader placed: " + order);
AddToOpenOrderList(order);
rownum++;
}
}
}
catch (Exception e) {
// show
SingletonLogger.Instance().ErrorLog(typeof(AgentOrderbookLoader), "Error in parseCSV -- " + e.Message);
throw new Exception("Error in parseCSV -- " + e.Message);
}
}
public void Orderbook_PriceEngineTest()
{
Console.WriteLine("Orderbook_PriceEngineTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
double MAXTIME = 10000;
ob.addBid(12.2, 100, null);
ob.addAsk(12.3, 100, null);
IOrderbookPriceEngine pe = new OrderbookPriceEngine();
try
{
System.IO.TextWriter writeFile = new StreamWriter("Orderbook_PriceEngineTest.txt");
for (int i = 0; i < MAXTIME; i++)
{
if (pe.isMarket(ob))
{
writeFile.WriteLine("?, ?, " + pe.getMarketPriceOffset(ob));
}
else
{
writeFile.WriteLine("" + pe.getAskPriceOffset(ob) + ", " + pe.getBidPriceOffset(ob) + ", ?");
}
}
writeFile.Flush();
writeFile.Close();
writeFile = null;
}
catch (IOException)
{
Assert.AreEqual(0, 1);
}
// execution occurs: 4 5 and 6 partially hit 3 out of 5 units of o3 at the ask price (5)
Scheduler.Instance().Run();
}
public void Orderbook_AddOrdersTest()
{
Console.WriteLine("Orderbook_AddOrdersTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
// no bids or asks
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 0);
// place ask 1
IOrder o1 = ob.addAsk(10.0, 3, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 0);
Assert.AreEqual(o1.isAsk(), true);
Assert.AreEqual(o1.getPrice(), 10.0);
Assert.AreEqual(o1.getVolume(), 3);
Assert.AreEqual(o1.isCancelled(), false);
Assert.AreEqual(o1.isFilled(), false);
Assert.AreEqual(o1.getCapital(), 0.0);
Assert.AreEqual(o1.getOwner(), null);
// place bid 2
IOrder o2 = ob.addBid(5.0, 3, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 1);
Assert.AreEqual(o2.isAsk(), false);
Assert.AreEqual(o2.getPrice(), 5.0);
Assert.AreEqual(o2.getVolume(), 3);
Assert.AreEqual(o2.isCancelled(), false);
Assert.AreEqual(o2.isFilled(), false);
Assert.AreEqual(o2.getCapital(), 0.0);
Assert.AreEqual(o2.getOwner(), null);
Assert.AreEqual(ob.getHighestBid(), 5.0);
Assert.AreEqual(ob.getLowestAsk(), 10.0);
// place bid 3
IOrder o3 = ob.addBid(10.0, 3, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 2);
Assert.AreEqual(o3.isAsk(), false);
Assert.AreEqual(o3.getPrice(), 10.0);
Assert.AreEqual(o3.getVolume(), 3);
Assert.AreEqual(o3.isCancelled(), false);
Assert.AreEqual(o3.isFilled(), false);
Assert.AreEqual(o3.getCapital(), 0.0);
Assert.AreEqual(o3.getOwner(), null);
Assert.AreEqual(ob.getHighestBid(), 10.0);
Assert.AreEqual(ob.getLowestAsk(), 10.0);
// execution occurs -- o3 hits o1, leaving just the bid o2
Scheduler.Instance().Run();
Assert.AreEqual(m.NumAddOrdersReceived, 3, "orders = 3");
Assert.AreEqual(m.NumFillsSent, 2, "fills = 2");
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills = 0");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 1);
Assert.AreEqual(o3.isFilled(), true);
Assert.AreEqual(o3.getCapital(), -30.0);
Assert.AreEqual(o1.isFilled(), true);
Assert.AreEqual(o1.getCapital(), 30.0);
IOrder o4 = ob.addAsk(5.0, 1, null);
IOrder o5 = ob.addAsk(5.0, 1, null);
IOrder o6 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(o4.isAsk(), true);
Assert.AreEqual(o4.getPrice(), 5.0);
Assert.AreEqual(o4.getVolume(), 1);
Assert.AreEqual(o4.isCancelled(), false);
Assert.AreEqual(o4.isFilled(), false);
Assert.AreEqual(o4.getCapital(), 0.0);
Assert.AreEqual(o4.getOwner(), null);
Assert.AreEqual(o5.isAsk(), true);
Assert.AreEqual(o5.getPrice(), 5.0);
Assert.AreEqual(o5.getVolume(), 1);
Assert.AreEqual(o5.isCancelled(), false);
Assert.AreEqual(o5.isFilled(), false);
Assert.AreEqual(o5.getCapital(), 0.0);
Assert.AreEqual(o5.getOwner(), null);
Assert.AreEqual(o6.isAsk(), true);
Assert.AreEqual(o6.getPrice(), 5.0);
Assert.AreEqual(o6.getVolume(), 1);
Assert.AreEqual(o6.isCancelled(), false);
Assert.AreEqual(o6.isFilled(), false);
Assert.AreEqual(o6.getCapital(), 0.0);
Assert.AreEqual(o6.getOwner(), null);
// execution occurs: 4 5 and 6 to hit o2
Scheduler.Instance().Run();
Assert.AreEqual(o4.isFilled(), true);
Assert.AreEqual(o4.getCapital(), 5.0);
Assert.AreEqual(o6.isFilled(), true);
Assert.AreEqual(o6.getCapital(), 5.0);
Assert.AreEqual(o5.isFilled(), true);
Assert.AreEqual(o5.getCapital(), 5.0);
Assert.AreEqual(o2.isFilled(), true);
Assert.AreEqual(o2.getCapital(), -15.0);
Assert.AreEqual(m.NumAddOrdersReceived, 6, "orders = 6");
Assert.AreEqual(m.NumFillsSent, 6, "fills = 6");
Assert.AreEqual(m.NumPartialFillsSent, 2, "partial fills = 2");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 0);
//Assert.AreEqual(1, 0);
}
public void Orderbook_ComplexMatcherTest()
{
Console.WriteLine("Orderbook_ComplexMatcherTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
IOrder o2 = ob.addBid(5.0, 3, null);
// let o2 fail to execute
Scheduler.Instance().Run();
IOrder o3 = ob.addBid(10.0, 5, null);
// low asks will hit an existing high bid
IOrder o4 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 2);
IOrder o5 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(ob.getNumAsks(), 2);
Assert.AreEqual(ob.getNumBids(), 2);
IOrder o6 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(ob.getNumAsks(), 3);
Assert.AreEqual(ob.getNumBids(), 2);
// execution occurs: 4 5 and 6 partially hit 3 out of 5 units of o3 at the ask price (5)
Scheduler.Instance().Run();
Assert.AreEqual(m.NumAddOrdersReceived, 5, "orders = 5");
Assert.AreEqual(m.NumFillsSent, 3, "fills = 3");
Assert.AreEqual(m.NumPartialFillsSent, 3, "partial fills = 3");
Assert.AreEqual(o4.isFilled(), true);
Assert.AreEqual(o4.getCapital(), 5.0);
Assert.AreEqual(o6.isFilled(), true);
Assert.AreEqual(o6.getCapital(), 5.0);
Assert.AreEqual(o5.isFilled(), true);
Assert.AreEqual(o5.getCapital(), 5.0);
Assert.AreEqual(o3.isFilled(), false);
Assert.AreEqual(o3.getCapital(), -15.0);
Assert.AreEqual(o2.isFilled(), false);
Assert.AreEqual(o2.getCapital(), 0.0);
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 2);
IOrder o7 = ob.addAsk(20.0, 1, null);
IOrder o8 = ob.addAsk(20.0, 2, null);
IOrder o9 = ob.addAsk(20.0, 3, null);
// load up the new ask orders
Scheduler.Instance().Run();
Assert.AreEqual(m.NumAddOrdersReceived, 8, "orders = 8");
Assert.AreEqual(m.NumFillsSent, 3, "fills = 3");
Assert.AreEqual(m.NumPartialFillsSent, 3, "partial fills = 3");
// high bid will hit existing low asks
IOrder o10 = ob.addBid(100.0, 7, null);
// execution occurs: 7 8 and 9 partially hit 10 out of 6 units of o10 at the ask price (20)
Scheduler.Instance().Run();
Assert.AreEqual(o7.isFilled(), true);
Assert.AreEqual(o7.getCapital(), 20.0);
Assert.AreEqual(o8.isFilled(), true);
Assert.AreEqual(o8.getCapital(), 40.0);
Assert.AreEqual(o9.isFilled(), true);
Assert.AreEqual(o9.getCapital(), 60.0);
Assert.AreEqual(o10.isFilled(), false);
Assert.AreEqual(o10.getCapital(), -120.0);
Assert.AreEqual(m.NumAddOrdersReceived, 9, "orders = 9");
Assert.AreEqual(m.NumFillsSent, 6, "fills = 6");
Assert.AreEqual(m.NumPartialFillsSent, 6, "partial fills = 6");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 3);
}
public void SimpleMatcherTest()
{
Console.WriteLine("MatcherTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
int ct = 0;
// bids
IOrder o1 = ob.addBid(10.0, 3, null);
Scheduler.Instance().Run();
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 0, "fills " + 0);
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills " + 0);
Console.WriteLine("o1 = " + o1);
IOrder o2 = ob.addBid(12.0, 3, null);
Scheduler.Instance().Run();
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 0, "fills " + 0);
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills " + 0);
Console.WriteLine("o2 = " + o2);
IOrder o3 = ob.addBid(14.0, 3, null);
Scheduler.Instance().Run();
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 0, "fills " + 0);
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills " + 0);
Console.WriteLine("o3 = " + o3);
// asks
IOrder o4 = ob.addAsk(10.0, 9, null);
Scheduler.Instance().Run();
// should get matched to bid @14,12,10
// generating 4 fills (for ask and 3 bids) and 2 partial fills for the ask.
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 4, "fills " + 4);
Assert.AreEqual(m.NumPartialFillsSent, 2, "partial fills " + 2);
Console.WriteLine("o4 = " + o4);
IOrder o5 = ob.addAsk(5.0, 1, null);
Scheduler.Instance().Run();
// should generate no new matching
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 4, "fills " + 4);
Assert.AreEqual(m.NumPartialFillsSent, 2, "partial fills " + 2);
Console.WriteLine("o5 = " + o5);
IOrder o6 = ob.addAsk(5.0, 1, null);
Scheduler.Instance().Run();
// should generate no new matching
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 4, "fills " + 4);
Assert.AreEqual(m.NumPartialFillsSent, 2, "partial fills " + 2);
Console.WriteLine("o6 = " + o6);
}
public void Orderbook_CancelOrdersTest()
{
Console.WriteLine("Orderbook_CancelOrdersTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
// no bids or asks
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 0);
// place ask 1
IOrder o1 = ob.addAsk(10.0, 3, null);
// place bid 2
IOrder o2 = ob.addBid(5.0, 3, null);
// no bids or asks
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 1);
bool cancelResult = ob.cancelOrder(o1);
Assert.AreEqual(cancelResult, true);
// no asks, 1 bid
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 1);
Scheduler.Instance().Run();
// place bid 3
IOrder o3 = ob.addBid(10.0, 5, null);
// no asks, 2 bid
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 2);
Scheduler.Instance().Run();
// execution is attempted -- but nothing can execute
// since o2 cannot match o3
Scheduler.Instance().Run();
Assert.AreEqual(o1.isFilled(), false);
Assert.AreEqual(o1.isCancelled(), true);
Assert.AreEqual(o1.getCapital(), 0.0);
Assert.AreEqual(o2.isFilled(), false);
Assert.AreEqual(o2.isCancelled(), false);
Assert.AreEqual(o2.getCapital(), 0.0);
Assert.AreEqual(o3.isFilled(), false);
Assert.AreEqual(o3.isCancelled(), false);
Assert.AreEqual(o3.getCapital(), 0.0);
Assert.AreEqual(m.NumAddOrdersReceived, 3, "orders = 3");
Assert.AreEqual(m.NumFillsSent, 0, "fills = 0");
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills = 0");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 2);
}
// receive a signal from the Simulation (via the Population)
public override void Recv(ISimEntity src, ISimEvent simEvent)
{
if (Orderbook == null)
{
return;
}
if (LoggerDiags.Enabled)
{
SingletonLogger.Instance().DebugLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + "recv ISimEvent " + simEvent + " @ " + Scheduler.GetTime());
}
// events received from the DES
if (simEvent is ActionPrompt)
{
if (DecideToAct())
{
if (LoggerDiags.Enabled)
{
SingletonLogger.Instance().DebugLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + "acts @ " + Scheduler.GetTime() + " I have " + _orders.Count + " orders open");
}
EvaluateAllOpenOrders();
if (DecideToMakeOrder())
{
if (LoggerDiags.Enabled)
{
SingletonLogger.Instance().DebugLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + "makes order @ " + Scheduler.GetTime());
}
if (!Orderbook.isNonDegenerate())
{
SingletonLogger.Instance().WarningLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + " witnesses Orderbook blowup @ " + Scheduler.GetTime() + "\n" + Orderbook.ToStringLong());
}
IOrder newOrder = null;
if (DecideToSubmitBid())
{
if (LoggerDiags.Enabled)
{
SingletonLogger.Instance().DebugLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + " submits bid @ " + Scheduler.GetTime());
}
// bid
double price = GetBidPrice();
int volume = GetBidVolume();
if (volume > 0)
{
newOrder = Orderbook.addBid(price, volume, this);
}
else
{
if (LoggerDiags.Enabled)
{
SingletonLogger.Instance().WarningLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + " attempts unsuccessful zero sized bid @ " + Scheduler.GetTime());
}
}
}
else
{
if (LoggerDiags.Enabled)
{
SingletonLogger.Instance().DebugLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + " submits ask @ " + Scheduler.GetTime());
}
// ask
double price = GetAskPrice();
int volume = GetAskVolume();
if (volume > 0)
{
newOrder = Orderbook.addAsk(price, volume, this);
}
else
{
if (LoggerDiags.Enabled)
{
SingletonLogger.Instance().WarningLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + " attempts unsuccessful zero sized ask @ " + Scheduler.GetTime());
}
}
}
if (newOrder != null)
{
// may be null if dual volume is 0 preventing creation of new orders
AddToOpenOrderList(newOrder);
if (LoggerDiags.Enabled)
{
SingletonLogger.Instance().DebugLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + " submitted " + newOrder + " @ " + Scheduler.GetTime());
}
}
else
{
throw new Exception("We got a problem");
}
}
}
double timeToNextPrompt = GetTimeToNextActionPrompt();
if (timeToNextPrompt < 0.0)
{
// agent checks out of ecosystem by indicating a negative time
if (LoggerDiags.Enabled)
{
SingletonLogger.Instance().WarningLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + " leaves simulation by indicating negative prompt time @ " + Scheduler.GetTime());
}
}
else
{
this.Send(this, simEvent, timeToNextPrompt);
}
}
}