public override void CancelOrderNotification(IOrder cancelledOrder)
{
if (Orderbook.isNonDegenerate())
{
MyTrajectory.add(TimeNow, Orderbook.getNumBids() + Orderbook.getNumAsks());
}
}
public override void FilledOrderNotification(IOrder filledOrder, double price, int volume)
{
if (Orderbook.isNonDegenerate())
{
MyTrajectory.add(TimeNow, Orderbook.getNumBids() + Orderbook.getNumAsks());
}
}
public override void CancelOrderNotification(IOrder cancelledOrder)
{
SingletonLogger.Instance().DebugLog(typeof(TrajectoryFactory_Price), "CancelOrderNotification");
if (Orderbook.isNonDegenerate())
{
MyTrajectory.add(TimeNow, Orderbook.getNumBids());
}
}
public override void PartialFilledOrderNotification(IOrder partialOrder, double price, int volume)
{
SingletonLogger.Instance().DebugLog(typeof(TrajectoryFactory_Price), "PartialFilledOrderNotification");
if (Orderbook.isNonDegenerate())
{
MyTrajectory.add(TimeNow, Orderbook.getNumBids());
}
}
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());
}
}
}
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());
}
}
protected override bool DecideToMakeOrder() {
if ( ! Orderbook.isNonDegenerate()) {
SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXXXXXXXX OB: " + Orderbook.ToStringLong());
return false;
}
if (_haveOrder) {
// SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "I cannot make a new order, I have one");
return false;
}
bool makeorder = (SingletonRandomGenerator.Instance.NextDouble() <= _aggressiveness);
// SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "I am "+this.ID+" DecideToMakeOrder: "+makeorder);
if (makeorder) {
IncrementTotalOrders();
_haveOrder = true;
}
return makeorder;
}
// 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);
}
}
}