/// <summary>
/// Simulates customer accepting offerd price offer.
/// </summary>
/// <param name="dependencyFactory"></param>
/// <param name="liquidityEngine">Engine responsible for executing money and crypto transfers.</param>
/// <param name="priceRequestEvent">Simlated price request event offer from which the customer accepts.</param>
/// <param name="acceptAtTime">Date and time the event takes place.</param>
public OfferAcceptedEvent(SimulationDependencyFactory dependencyFactory, LiquidityEngine.LiquidityEngine liquidityEngine, NewPriceRequestEvent priceRequestEvent, DateTime acceptAtTime)
{
_priceRequestEvent = priceRequestEvent;
_dependencyFactory = dependencyFactory;
_liquidityEngine = liquidityEngine;
SimTime = acceptAtTime;
}
/// <summary>
/// Simulates a given scenario and calculates profit / loss that would be made if scenario happened on each second in history of captured market order books.
/// Profit/losses are output to a file given in scenario description.
/// </summary>
/// <param name="scenario">Scenario to simulate.</param>
/// <param name="historyLoader">Loader to be used to access history of market order books.</param>
public ProfitSimulator(SimulationScenario scenario, BitstampHistoryLoader historyLoader)
{
_historyEnumerator = new HistoryEnumerator(historyLoader);
var firstEntry = _historyEnumerator.PeekNext();
if (firstEntry == null)
{
return;
}
_engine = new SimulationEngine(firstEntry.AcqTime);
_engine.AfterEventSimulation += LoadOrderBookHistoryEventsIntoEngine;
_dependencyFactory = new SimulationDependencyFactory(_engine);
_scenario = scenario;
_dependencyFactory.HedgingEngine.WhenStrategy.Delay = _scenario.HedgingDelay * 1000;
_dependencyFactory.PricingEngine.PricingStrategy.SellSpread = _scenario.SellSpread / 100;
_dependencyFactory.PricingEngine.PricingStrategy.BuySpread = _scenario.BuySpread / 100;
_dependencyFactory.SolarisBank.InfiniteBalance = true;
_dependencyFactory.SolarisBank.TransferDelay = 10;
_resultWriter = new CsvProfitSimulationWriter(_scenario.OutputFilename);
_resultWriter.Initialize();
_isSimulationDone = false;
_liquidityEngine = new SimulationLiquidityEngineMoq(_dependencyFactory);
}
/// <summary>
/// Create a list of simulation events which simulate customer's behaviour.
/// </summary>
/// <param name="dependencyFactory">Dependency factory to be used during events creation.</param>
/// <param name="liquidityEngine">Engine responsible for executing money and crypto transfers.</param>
/// <param name="simStart">At what time does the current simulated time period start.</param>
/// <returns>List of simulation events which simulate customer's behaviour.</returns>
public List <ISimEvent> CreateEvents(SimulationDependencyFactory dependencyFactory, LiquidityEngine.LiquidityEngine liquidityEngine, DateTime simStart)
{
var events = new List <ISimEvent>();
if (IsMarketTrader)
{
events.Add(new MarketTradeEvent(dependencyFactory, simStart.AddSeconds(RequestDelay), Amount, Value, BuySell));
return(events);
}
var priceRequest = new NewPriceRequestEvent(dependencyFactory, simStart.AddSeconds(RequestDelay), Amount, Value, BuySell);
events.Add(priceRequest);
var acceptRejectDelay = simStart.AddSeconds(RequestDelay + AcceptRejectDelay);
if (AcceptsOffer)
{
events.Add(new OfferAcceptedEvent(dependencyFactory, liquidityEngine, priceRequest, acceptRejectDelay));
}
else
{
events.Add(new OfferRejectedEvent(dependencyFactory, priceRequest, acceptRejectDelay));
}
return(events);
}
