public void start(FuturesOrder newOrder)
{
double gusassRadVar;
orderNumber = Interlocked.Increment(ref i) + (trader * 1000000);
double v1, v2, v3, v4, v5;
rand = RandomProvider.GetThreadRandom();
v1 = rand.NextDouble();
v2 = rand.NextDouble();
v3 = rand.NextDouble();
v4 = rand.NextDouble();
v5 = rand.NextDouble();
//Order order = new Order();
gusassRadVar = GaussRand.StartNextGaussian();
newOrder.CustomerID = trader;
newOrder.OrderAction = OrderAction(v5);
if (newOrder.OrderAction == "NEW")
{
newOrder.OrderType = OrderType(v3);
newOrder.OrderID = orderNumber;
if (newOrder.OrderType == "LIMIT")
{
newOrder.BuySell = BuySell(v2);
gusassRadVar = (newOrder.BuySell == "B" ? Math.Min(1.0, gusassRadVar) : Math.Max(-1, gusassRadVar));//to prevent buy orders from meing too high and sell orders too low
newOrder.LimitPrice = Math.Round(Price.InstrumentPrice + this.sigma * gusassRadVar, 2);
newOrder.Instrument = Instrument(v1);
newOrder.Quantity = Quantity(v4);
newOrder.OrigQuantity = newOrder.Quantity;
}
else if (newOrder.OrderType == "MARKET")
{
newOrder.LimitPrice = Price.InstrumentPrice;
newOrder.Instrument = Instrument(v1);
newOrder.BuySell = BuySell(v2);
newOrder.Quantity = Quantity(v4);
newOrder.OrigQuantity = newOrder.Quantity;
}
else if (newOrder.OrderType == "STOP")
{
newOrder.StopPrice = Math.Round(Price.InstrumentPrice + this.sigma * gusassRadVar, 2);
newOrder.Instrument = Instrument(v1);
newOrder.BuySell = BuySell(v2);
newOrder.Quantity = Quantity(v4);
newOrder.OrigQuantity = newOrder.Quantity;
}
else
{
Console.WriteLine("Not valid order type");
}
}
else if (newOrder.OrderAction == "DELETE")
{
//have to pull from previous orders some how
// we need original order ID , customer ID, instrumnet, and BuySell
int orders = ordersInProcess.Count;
if (orders != 0) //not working
{
int orderToDel = rand.Next(ordersInProcess.Count);
int iter = 0;
foreach (DictionaryEntry order in ordersInProcess)
{
if (iter == orderToDel)
{
newOrder = order.Value as FuturesOrder;
break;
}
iter++;
}
ordersInProcess.Remove(newOrder.OrderID.ToString());
newOrder.OrderAction = "DELETE";
}
else
{
return;
}
}
else //(newOrder.OrderAction == "Update")
{
//have to pull from previous orders some how
// we need original order ID , customer ID, instrumnet, and BuySell
int orders = ordersInProcess.Count;
if (orders != 0)//not working
{
int orderToUpdate = rand.Next(ordersInProcess.Count);
int iter = 0;
foreach (DictionaryEntry order in ordersInProcess)
{
if (iter == orderToUpdate)
{
newOrder = order.Value as FuturesOrder;
break;
}
iter++;
}
ordersInProcess.Remove(newOrder.OrderID.ToString());
newOrder.OrderAction = "UPDATE";
newOrder.LimitPrice = Price.InstrumentPrice + this.sigma * gusassRadVar; //submits update order with new price, uses same order number
}
else
{
return;
}
}
lock (this)
{
newConnection.sendOrders(ToXML(newOrder));
}
if (newOrder.OrderAction == "NEW")
{
ordersInProcess.Add(newOrder.OrderID.ToString(), newOrder);// orders will be stored here until order is executed
}
//lock (this)//this is just for testing / writes all created orders to csv file
//{
// if(newOrder.OrderAction =="NEW")
//
// csvWriter(newOrder);
//}
}
public GaussianRandomv2(Random random = null)
{
_random = random ?? new Random();
_random = RandomProvider.GetThreadRandom();
}
