private double getLogNormal ()
{
double normal = SingletonRandomGenerator.Instance.NextGaussian (0.0, 1.0);
// offset from best opposing order
double x = 2.0 * _lambda - 1.0;
double a = 0.14;
double pi = Math.PI;
double q = (2.0 / (pi * a) + Math.Log (1.0 - x * x) / 2.0);
double q2 = Math.Log (1.0 - x * x) / a;
if (q * q < q2)
throw new Exception ("qq < q2");
double erfinvx = Math.Sqrt (Math.Sqrt (q * q - q2) - q);
if (Math.Sqrt (q * q - q2) < q)
throw new Exception ("Math.Sqrt(q*q - q2) < q");
double sigma = -1.0 * Math.Sqrt (2.0) * erfinvx;
// gamma fraction captured in twice spread
if (Orderbook.getSpread () < 0) {
return 0.0;
// throw new Exception ("Orderbook.getSpread() < 0");
}
double mu = sigma*sigma + Math.Log( _gamma * Orderbook.getSpread() );
double logNormal = Math.Exp(mu + sigma * normal);
return logNormal;
}
private double getOffset()
{
double W = Orderbook.getSpread();
double uniformToss = SingletonRandomGenerator.Instance.NextUniform(0.0, 1.0);
double logNormalToss = getLogNormalToss(W, uniformToss);
return(logNormalToss);
}
public override void PartialFilledOrderNotification(IOrder partialOrder, double price, int volume) {
AccumulateNetWorth( ValuateTransaction(partialOrder, price, volume) );
SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXX I am "+this.ID+" PARTLYEXECUTED time is "+Scheduler.GetTime()+
" filledOrder: "+partialOrder+
" Filled "+volume+" AT : "+price+
" OBprice: "+Orderbook.getPrice()+
" OBspread: "+Orderbook.getSpread() +
" My net worth is "+GetMetricValue(NetWorth_METRICNAME));
}
public override void CancelOrderNotification(IOrder cancelledOrder)
{
if (Orderbook.isNonDegenerate())
{
if (Orderbook.getSpread() >= 0.0)
{
MyTrajectory.add(TimeNow, Orderbook.getSpread());
}
}
}
public override void FilledOrderNotification(IOrder filledOrder, double price, int volume)
{
if (Orderbook.isNonDegenerate())
{
if (Orderbook.getSpread() >= 0.0)
{
MyTrajectory.add(TimeNow, Orderbook.getSpread());
}
}
}
protected override double GetAskPrice() {
double logNormal = getLogNormal();
double price = Orderbook.getHighestBid() + logNormal + _optimism * Orderbook.getPrice();
double roundedPrice = Math.Round(price*100.0)/100.0;
SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXX I am "+this.ID+" ASK time is "+Scheduler.GetTime()+
" myAskPrice: "+roundedPrice+
" OBprice: "+Orderbook.getPrice()+
" OBspread: "+Orderbook.getSpread() );
return roundedPrice;
}
protected override double GetAskPrice()
{
double mean = (Orderbook.getNumAsks() > 0 ? Orderbook.getLowestAsk() : (Orderbook.getNumBids() > 0 ? Orderbook.getHighestBid() : Orderbook.getPrice()));
double std = Orderbook.getSpread();
//std = 0.02;
double price = SingletonRandomGenerator.Instance.NextGaussianPositive(mean, std);
double roundedPrice = Math.Round(price * 100.0) / 100.0;
roundedPrice += 0.03;
validateMetrics(7);
SingletonLogger.Instance().DebugLog(typeof(Agent0x1), "I am " + this.ID + " GetAskPrice: " + roundedPrice + " -- price = " + price + " ; mean = " + mean + " spread = " + Orderbook.getSpread());
return(roundedPrice);
}
public override void FilledOrderNotification(IOrder filledOrder, double price, int volume)
{
if (Orderbook.getSpread() <= 0.0)
{
return;
}
SingletonLogger.Instance().DebugLog(typeof(TrajectoryFactory_Price), "FilledOrderNotification");
if (Orderbook.isNonDegenerate() && MyTrajectory.ThresholdTimePassed(TimeNow))
{
MyTrajectory.add(TimeNow, GetPriceNormalizedAlphaSpread());
}
}
public override void SimulationEndNotification()
{
MyTrajectory.add(TimeNow, Orderbook.getSpread());
}