public void CanSubmitBuyLimitOrder()
{
ILimitOrderBook lob = new LimitOrderBook.StandardLimitOrderBook();
Assert.IsNotNull(lob);
Assert.AreEqual(0, lob.Bids.Count);
Assert.IsInstanceOfType(lob, typeof(ILimitOrderBook));
var testOrder = new Order() { Price = 100, Quantity = 10, Side = OrderSide.Buy, Type = OrderType.LimitOrder, UserID = "Test" };
var testOrderGuid = testOrder.ID.ToString();
var result = lob.ProcessLimitOrder(testOrder,true);
Assert.IsNotNull(result);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
Assert.AreEqual("Test", result.First().Order.UserID);
Assert.AreEqual(testOrderGuid, result.First().Order.ID.ToString());
Assert.AreEqual(OrderSide.Buy, result.First().Order.Side);
Assert.AreEqual(1, lob.Bids.Count);
Assert.AreEqual(100, lob.BestBid.Price);
Assert.AreEqual(10, lob.BestBid.Quantity);
}
public virtual Order GetNextAction(LimitOrderBookSnapshot limitOrderBook)
{
var size = Math.Ceiling(_maxOrderSize * _rng.GetRandomDouble());
var priceDiff = _maxPriceDifferential * Math.Abs(_normal.Sample());
Order order;
var randomNumber = _rng.GetRandomDouble();
if (randomNumber > (0.5 + (_doNothingProbability/2)))
{
//buylimitorder
var price = Math.Round(limitOrderBook.BestAskPrice.Value - priceDiff, _decimals);
order = new Order { Price = price, Quantity = size, Side = OrderSide.Buy,Type = OrderType.LimitOrder, Valid = true};
}
else if (randomNumber < (0.5 - (_doNothingProbability/2)))
{
//selllimitorder
var price = Math.Round(limitOrderBook.BestBidPrice.Value + priceDiff, _decimals);
order = new Order { Price = price, Quantity = size, Side = OrderSide.Sell, Type = OrderType.LimitOrder, Valid = true };
}
else
{
//donothing
order = null;
}
return order;
}
public Order[] GetNextActions(LimitOrderBookSnapshot limitOrderBook)
{
var order = base.GetNextAction(limitOrderBook);
var orders = new List<Order>();
if (order != null)
{
if (_lastOrder != null)
{
//cancel previous
var cancelOrder = new Order();
cancelOrder.Type = OrderType.Cancel;
cancelOrder.ID = _lastOrder.ID;
orders.Add(cancelOrder);
}
orders.Add(order);
_lastOrder = order;
}
return orders.ToArray();
}
void _orderCommunicationsModule_OnOrder(Order order, string userID)
{
IEnumerable<OrderUpdate> orderUpdates = null;
switch (order.Type)
{
case OrderType.LimitOrder:
orderUpdates =_limitOrderBook.ProcessLimitOrder(order,true);
break;
case OrderType.MarketOrder:
orderUpdates = _limitOrderBook.ProcessMarketOrder(order,true);
break;
case OrderType.StopLimitOrder:
orderUpdates = _limitOrderBook.ProcessStopOrder(order);
break;
case OrderType.StopMarketOrder:
orderUpdates = _limitOrderBook.ProcessStopOrder(order);
break;
case OrderType.Cancel:
orderUpdates = _limitOrderBook.CancelOrder(order);
break;
case OrderType.Amend:
orderUpdates = _limitOrderBook.AmendLimitOrder(order);
break;
default:
throw new Exception("Unknown order type");
}
if (orderUpdates != null)
{
foreach (var orderUpdate in orderUpdates)
{
_orderCommunicationsModule.PushOrderInstructionUpdate(orderUpdate, orderUpdate.Order.UserID);
}
}
_dataCommunicationsModule.PushUpdate(_limitOrderBook);
}
public Order GetNextAction(LimitOrderBookSnapshot limitOrderBook)
{
Order order;
var size = Math.Ceiling(_maxOrderSize * _rng.GetRandomDouble());
var randomNumber = _rng.GetRandomDouble();
if (randomNumber < (0.5 - (_doNothingProbability / 2)))
{
//buymarketdorder
order = new Order() {Quantity = size,Type = OrderType.MarketOrder, Side = OrderSide.Buy };
}
else if (randomNumber > (0.5 + (_doNothingProbability / 2)))
{
order = new Order() { Quantity = size, Type = OrderType.MarketOrder, Side = OrderSide.Sell };
}
else
{
//do nothing
order = null;
}
return order;
}
public IEnumerable<OrderUpdate> ProcessStopOrder(Order order)
{
switch (order.Side)
{
case OrderSide.Buy:
if (BestAsk != null && BestAsk.Price <= order.StopPrice)
{
switch (order.Type)
{
case OrderType.StopLimitOrder:
return ProcessLimitOrder(order,true);
case OrderType.StopMarketOrder:
return ProcessMarketOrder(order,true);
default:
break;
}
}
else
{
if (!StopBids.ContainsKey(order.StopPrice.Value))
{
StopBids.Add(order.StopPrice.Value, new Queue<Order>());
}
StopBids[order.StopPrice.Value].Enqueue(order);
}
break;
case OrderSide.Sell:
if (BestBid != null && BestBid.Price >= order.StopPrice)
{
switch (order.Type)
{
case OrderType.StopLimitOrder:
return ProcessLimitOrder(order,true);
case OrderType.StopMarketOrder:
return ProcessMarketOrder(order,true);
default:
break;
}
}
else
{
if (!StopBids.ContainsKey(order.StopPrice.Value))
{
StopBids.Add(order.StopPrice.Value, new Queue<Order>());
}
StopBids[order.StopPrice.Value].Enqueue(order);
}
break;
default:
break;
}
return new OrderUpdate[] { new OrderUpdate() {
Placed = true,
Order = order,
Message = "Stop order enqueued"
}};
}
public IEnumerable<OrderUpdate> ProcessMarketOrder(Order order, bool checkStopOrders)
{
var results = new List<OrderUpdate>();
switch (order.Side)
{
case OrderSide.Buy:
results.AddRange(ProcessBuyMarketOrder(order));
break;
case OrderSide.Sell:
results.AddRange(ProcessSellMarketOrder(order));
break;
default:
results.Add(new OrderUpdate()
{
Placed = false,
Order = order,
Message = "Order side not known"
});
break;
}
if (checkStopOrders)
results.AddRange(ClearStopOrders());
return results;
}
public IEnumerable<OrderUpdate> CancelOrder(Order order)
{
return AmendLimitOrder(order, true);
}
public void CanSubmitBuyMarketOrderSimple()
{
//ARRANGE
ILimitOrderBook lob = new LimitOrderBook.StandardLimitOrderBook();
Assert.IsNotNull(lob);
Assert.AreEqual(0, lob.Bids.Count);
Assert.IsInstanceOfType(lob, typeof(ILimitOrderBook));
var setupOrder = new Order() { Price = 101, Quantity = 20, Side = OrderSide.Sell, Type = OrderType.LimitOrder, UserID = "Test" };
var result = lob.ProcessLimitOrder(setupOrder,true);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
setupOrder = new Order() { Price = 101, Quantity = 10, Side = OrderSide.Sell, Type = OrderType.LimitOrder, UserID = "Test" };
result = lob.ProcessLimitOrder(setupOrder, true);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
setupOrder = new Order() { Price = 103, Quantity = 30, Side = OrderSide.Sell, Type = OrderType.LimitOrder, UserID = "Test" };
result = lob.ProcessLimitOrder(setupOrder, true);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
setupOrder = new Order() { Price = 104, Quantity = 15, Side = OrderSide.Sell, Type = OrderType.LimitOrder, UserID = "Test" };
result = lob.ProcessLimitOrder(setupOrder, true);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
setupOrder = new Order() { Price = 104, Quantity = 5, Side = OrderSide.Sell, Type = OrderType.LimitOrder, UserID = "Test" };
result = lob.ProcessLimitOrder(setupOrder, true);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
setupOrder = new Order() { Price = 105, Quantity = 50, Side = OrderSide.Sell, Type = OrderType.LimitOrder, UserID = "Test" };
result = lob.ProcessLimitOrder(setupOrder, true);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
setupOrder = new Order() { Price = 94, Quantity = 30, Side = OrderSide.Buy, Type = OrderType.LimitOrder, UserID = "Test" };
result = lob.ProcessLimitOrder(setupOrder, true);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
setupOrder = new Order() { Price = 96, Quantity = 50, Side = OrderSide.Buy, Type = OrderType.LimitOrder, UserID = "Test" };
result = lob.ProcessLimitOrder(setupOrder, true);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
setupOrder = new Order() { Price = 97, Quantity = 40, Side = OrderSide.Buy, Type = OrderType.LimitOrder, UserID = "Test" };
result = lob.ProcessLimitOrder(setupOrder, true);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
setupOrder = new Order() { Price = 97, Quantity = 10, Side = OrderSide.Buy, Type = OrderType.LimitOrder, UserID = "Test" };
result = lob.ProcessLimitOrder(setupOrder, true);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
setupOrder = new Order() { Price = 97, Quantity = 10, Side = OrderSide.Buy, Type = OrderType.LimitOrder, UserID = "Test" };
result = lob.ProcessLimitOrder(setupOrder, true);
Assert.AreEqual(1, result.Count());
Assert.AreEqual(true, result.First().Placed);
//ACT
var marketOrder = new Order()
{
Quantity = 15,
Side = OrderSide.Buy,
Type = OrderType.MarketOrder,
UserID = "Test2"
};
var testResult = lob.ProcessMarketOrder(marketOrder, true);
Assert.AreEqual(1, result.Count());
//ASSERT
Assert.AreEqual(2, lob.Asks[101].Count);
Assert.AreEqual(5,lob.Asks[101].ElementAt(0).Quantity);
Assert.AreEqual(10, lob.Asks[101].ElementAt(1).Quantity);
Assert.AreEqual(1, lob.Asks[103].Count);
Assert.AreEqual(30, lob.Asks[103].ElementAt(0).Quantity);
Assert.AreEqual(2, lob.Asks[104].Count);
Assert.AreEqual(15, lob.Asks[104].ElementAt(0).Quantity);
Assert.AreEqual(5, lob.Asks[104].ElementAt(1).Quantity);
Assert.AreEqual(1, lob.Asks[105].Count);
Assert.AreEqual(50, lob.Asks[105].ElementAt(0).Quantity);
Assert.AreEqual(3, lob.Bids[97].Count);
Assert.AreEqual(40, lob.Bids[97].ElementAt(0).Quantity);
Assert.AreEqual(10, lob.Bids[97].ElementAt(1).Quantity);
Assert.AreEqual(10, lob.Bids[97].ElementAt(2).Quantity);
Assert.AreEqual(1, lob.Bids[96].Count);
Assert.AreEqual(50, lob.Bids[96].ElementAt(0).Quantity);
Assert.AreEqual(1, lob.Bids[94].Count);
Assert.AreEqual(30, lob.Bids[94].ElementAt(0).Quantity);
}
public bool ProcessOrderInstruction(Order order, string userID)
{
RegisterUserID(userID, Context.ConnectionId);
return _commsHandler.ProcessOrderInstruction(order,userID);
}
public IEnumerable<OrderUpdate> AmendLimitOrder(Order order)
{
return AmendLimitOrder(order, false);
}
public virtual Order FilterLimitOrders(Order order)
{
return order;
}
public Order GetAction(int timeStep, double[] spotPrice, double[] fundamentalValue, double[] noise, double? bestBid, double? bestAsk)
{
var fundamentalTimeHorizon = _agentTimeHorizon;
var lookBackTime = Math.Min(_agentTimeHorizon, timeStep)-1;
var normalisationTerm = _fundamentalistWeighting + _chartistWeighting + _noiseWeighting;
var fundamentalistTerm = (_fundamentalistWeighting * (decimal)Math.Log(fundamentalValue[timeStep - 1] / spotPrice[timeStep - 1])) / fundamentalTimeHorizon; //should the fundamental TH be added??
var averageReturn = CalculateAverageReturn(timeStep, spotPrice, lookBackTime);
var chartistTerm = _chartistWeighting * averageReturn;
var noiseTerm = _noiseWeighting * (decimal) noise[timeStep];
var expectedReturn = (fundamentalistTerm + chartistTerm + noiseTerm) / normalisationTerm;
var expectedPrice = Math.Round(spotPrice[timeStep-1] * Math.Exp((double)(expectedReturn * _agentTimeHorizon)),4);
var varianceOfPastReturns = CalculateVarianceOfPastReturns(timeStep, spotPrice, lookBackTime, averageReturn);
var comfortPriceAtCurrentHolding = Math.Round(FindRoot(p => GetStocksToHold(p, expectedPrice, (double)_agentRiskAversionLevel, (double)varianceOfPastReturns) - StockHeld, expectedPrice, 0.0000001,0.01,expectedPrice), 4);
var maxPrice = expectedPrice;
var minPrice = FindRoot(p => p * (GetStocksToHold(p, expectedPrice, (double)_agentRiskAversionLevel, (double)varianceOfPastReturns) - StockHeld) - CashHeld, comfortPriceAtCurrentHolding, 0.0000001,0.1,expectedPrice);
var drawnPrice = Math.Round(Math.Min(minPrice,maxPrice) + (Math.Abs(maxPrice-minPrice) * _randomGenerator.NextDouble()),4);
var order = new Order();
if (drawnPrice < comfortPriceAtCurrentHolding)
{
//buy
order.Side = OrderSide.Buy;
if (bestAsk.HasValue && drawnPrice > bestAsk.Value)
{
//buy market order
order.Quantity = GetStocksToHold(bestAsk.Value, expectedPrice, (double)_agentRiskAversionLevel, (double)varianceOfPastReturns) - StockHeld;
order.Type = OrderType.MarketOrder;
order.Price = bestAsk.Value;
StockHeld += (int)order.Quantity;
CashHeld -= order.Quantity * order.Price;
}
else
{
//buy limit order at drawnPrice
order.Quantity = GetStocksToHold(drawnPrice, expectedPrice, (double)_agentRiskAversionLevel, (double)varianceOfPastReturns) - StockHeld;
order.Type = OrderType.LimitOrder;
order.Price = drawnPrice;
}
}
else if (drawnPrice > comfortPriceAtCurrentHolding)
{
//sell
order.Side = OrderSide.Sell;
if (bestBid.HasValue && drawnPrice < bestBid.Value)
{
//sell market order
order.Quantity = StockHeld - GetStocksToHold(bestBid.Value, expectedPrice, (double)_agentRiskAversionLevel, (double)varianceOfPastReturns);
order.Type = OrderType.MarketOrder;
order.Price = bestBid.Value;
StockHeld -= (int)order.Quantity;
CashHeld += order.Quantity * order.Price;
}
else
{
//sell limit order at drawnProce
order.Quantity = StockHeld - GetStocksToHold(drawnPrice, expectedPrice, (double)_agentRiskAversionLevel, (double)varianceOfPastReturns);
order.Type = OrderType.LimitOrder;
order.Price = drawnPrice;
}
}
else
{
//do nothing
order = null;
}
return order;
}
private IEnumerable<OrderUpdate> ProcessSellLimitOrder(Order order)
{
if (Bids.Any() && order.Price < Bids.Last().Key)
{
//cross order
return new [] {new OrderUpdate() { Message = "Cross order", Order = order }};
}
if (!Asks.Keys.Contains(order.Price))
{
Asks.Add(order.Price, new Queue<Order>());
}
Asks[order.Price].Enqueue(order);
return new[] {new OrderUpdate()
{
Placed = true,
Order = order
}};
}
public MarketSimulator.Contracts.Order GetNextAction(MarketSimulator.Contracts.LimitOrderBookSnapshot limitOrderBookSnapshot, int day, int tradingPeriod)
{
if (!WillTradeInThisPeriod(day, tradingPeriod))
{
return null;
}
var randomDraw = (ExpectedAssetLiquidationValue - ExpectedAssetLiquidationValueOrderRange) + (_random.NextDouble() * ExpectedAssetLiquidationValueOrderRange * 2);
var orderQuantity = Math.Round(_random.NextDouble() * _maxOrderQuantity,0);
Order order = new Order();
order.Price = randomDraw;
order.Quantity = orderQuantity;
order.UserID = _name;
if (randomDraw > ExpectedAssetLiquidationValue)
{
//sell
order.Side = OrderSide.Sell;
if (limitOrderBookSnapshot != null && limitOrderBookSnapshot.BestBidPrice != null && randomDraw < limitOrderBookSnapshot.BestBidPrice)
{
//sell market order
order.Type = OrderType.MarketOrder;
}
else
{
//sell limit order
order.Type = OrderType.LimitOrder;
}
}
else
{
//buy
order.Side = OrderSide.Buy;
if (limitOrderBookSnapshot != null && limitOrderBookSnapshot.BestAskPrice != null && randomDraw > limitOrderBookSnapshot.BestAskPrice)
{
//buy market order
order.Type = OrderType.MarketOrder;
}
else
{
//buy limit order
order.Type = OrderType.LimitOrder;
}
}
order = FilterLimitOrders(order);
return order;
}
private IEnumerable<OrderUpdate> ProcessSellMarketOrder(Order order)
{
if (order.ExecutionValidity == OrderExecutionValidity.ForceOrKill)
{
if (order.Quantity > Bids.Sum(a => a.Value.Sum(l => l.Quantity)))
{
return new[] {new OrderUpdate()
{
Placed = false,
Order = order,
Message = "FOK validity and not enough depth"
}};
}
}
var quantity = order.Quantity;
var matches = new List<Match>();
var orderUpdates = new List<OrderUpdate>();
while (quantity > 0 && Bids.Count != 0)
{
var prices = Bids.Keys;
for (int i = prices.Count - 1; i >= 0; i--)
{
var price = prices[i];
var orders = Bids[price];
while (orders.Any() && quantity > 0)
{
var nextOrder = orders.Peek();
if (!nextOrder.Valid)
{
orders.Dequeue();
continue;
}
if (nextOrder.Quantity > quantity)
{
nextOrder.Quantity -= quantity;
matches.Add(new Match() { Price = price, Quantity = quantity });
orderUpdates.Add(new OrderUpdate()
{
Order = nextOrder,
Matches = new List<Match> { new Match() { Price = price, Quantity = quantity } }
});
quantity = 0;
}
if (nextOrder.Quantity <= quantity)
{
quantity -= nextOrder.Quantity;
matches.Add(new Match() { Price = price, Quantity = nextOrder.Quantity });
orderUpdates.Add(new OrderUpdate()
{
Order = nextOrder,
Matches = new List<Match> { new Match() { Price = price, Quantity = nextOrder.Quantity } }
});
orders.Dequeue();
}
}
if (!orders.Any()) Bids.Remove(price);
}
}
orderUpdates.Add(new OrderUpdate()
{
Placed = true,
Order = order,
Matches = matches
});
return orderUpdates;
}
static void Main(string[] args)
{
System.IO.File.WriteAllLines(@"c:\temp\test.csv", new string[] {"Time,BestBid,BestAsk"});
var providers = new List<LiquidityProvider>();
var rng = new CSharpRandomNumberGenerator() as IRandomNumberGenerator;
var normalDist = new Normal(0, 0.01);
var numLiquidityProviders = 10;
var numLiquidityTakers = 10;
for (int i = 0; i < numLiquidityProviders; i++)
{
providers.Add(new LiquidityProvider(rng,50,1,0.3,normalDist,4));
}
var takers = new List<RandomLiquidityTaker>();
for (int i = 0; i < numLiquidityTakers; i++)
{
takers.Add(new RandomLiquidityTaker(rng, 5, 0.6));
}
var connection = new HubConnection(@"http://localhost:8080/signalr");
var hub = connection.CreateHubProxy("market");
connection.Start().Wait();
System.Console.WriteLine("Connected");
hub.On<LimitOrderBookSnapshot>("Update", data =>
UpdateLimitOrderBook(data)
);
var subscribeResult = hub.Invoke("SubscribeToDataFeed", "TestDriver");
subscribeResult.Wait();
var orders = new List<Order>();
orders.Add(new Order() { Price = 100, Quantity = 10, Side = OrderSide.Buy, Type = OrderType.LimitOrder, UserID = "TestDriver" });
orders.Add(new Order() { Price = 99, Quantity = 10, Side = OrderSide.Buy, Type = OrderType.LimitOrder, UserID = "TestDriver" });
orders.Add(new Order() { Price = 98, Quantity = 20, Side = OrderSide.Buy, Type = OrderType.LimitOrder, UserID = "TestDriver" });
orders.Add(new Order() { Price = 99.5, Quantity = 3, Side = OrderSide.Buy, Type = OrderType.LimitOrder, UserID = "TestDriver" });
orders.Add(new Order() { Price = 102, Quantity = 10, Side = OrderSide.Sell, Type = OrderType.LimitOrder, UserID = "TestDriver" });
orders.Add(new Order() { Price = 103, Quantity = 8, Side = OrderSide.Sell, Type = OrderType.LimitOrder, UserID = "TestDriver" });
orders.Add(new Order() { Price = 102.5, Quantity = 19, Side = OrderSide.Sell, Type = OrderType.LimitOrder, UserID = "TestDriver" });
foreach (var order in orders)
{
var r = hub.Invoke<bool>("ProcessOrderInstruction", order, "TestDriver");
r.Wait();
}
while (true)
{
Thread.Sleep(10);
var rndLT = rng.GetRandomInt(0, numLiquidityTakers - 1);
var rndLP = rng.GetRandomInt(0, numLiquidityProviders - 1);
var rnd = rng.GetRandomInt(1, 100);
Order[] orders2;
if (rnd % 2 == 0)
{
orders2 = providers[rndLP].GetNextActions(_lob);
}
else
{
orders2 = new Order[] { takers[rndLT].GetNextAction(_lob) };
}
foreach (var item in orders2)
{
if (item != null)
{
item.UserID = "TestDriver";
var r = hub.Invoke<bool>("ProcessOrderInstruction", item, "TestDriver");
r.Wait();
}
}
}
}
public IEnumerable<OrderUpdate> AmendLimitOrder(Order order,bool cancel)
{
var amended = false;
var remove = false;
foreach (var bidGroup in Bids.Values)
{
foreach (var bid in bidGroup)
{
if (bid.ID == order.ID)
{
if (cancel)
{
bid.Valid = false;
if (bidGroup.Count() <= 1)
{
remove = true;
Bids.Remove(bid.Price);
}
return new[] {new OrderUpdate() {
Amended = false,Message = "Order Canceled",Order = bid,Placed=false}
};
}
if (bid.Price != order.Price)
{
bid.Valid = false;
if (bidGroup.Count() <= 1)
{
remove = true;
Bids.Remove(bid.Price);
}
return ProcessLimitOrder(order,true);
}
else
{
bid.Quantity = order.Quantity;
}
return new[] {new OrderUpdate() {
Amended = true,Message = "Order amended",Order = bid,Placed=true}
};
}
}
}
foreach (var askGroup in Asks.Values)
{
foreach (var ask in askGroup)
{
if (ask.ID == order.ID)
{
if (cancel)
{
ask.Valid = false;
if (askGroup.Count() <= 1)
{
remove = true;
Asks.Remove(ask.Price);
}
return new[] {new OrderUpdate() {
Amended = false,Message = "Order Canceled",Order = ask,Placed=false}
};
}
if (ask.Price != order.Price)
{
ask.Valid = false;
if (askGroup.Count() <= 1)
{
remove = true;
Asks.Remove(ask.Price);
}
return ProcessLimitOrder(order,true);
}
else
{
ask.Quantity = order.Quantity;
}
return new[] {new OrderUpdate() {
Amended = true,Message = "Order amended",Order = ask,Placed=true}
};
}
}
}
return new[] {new OrderUpdate() {
Message = "Order not found",
Order = order
}};
}
public bool ProcessOrderInstruction(Order order, string userID)
{
OnOrder(order, userID);
return true;
}
