}//end IsZeroVector()
//
//
// *****************************************************************
// **** Round Price Safely ****
// *****************************************************************
//
/// <summary>
/// This method takes a price and rounds it to the SAFER tick price. Here, "safer"
/// means the price is rounded further away from the market. Therefore, sell side prices
/// are rounded up, and buy prices are rounded down to the nearest ticks.
///
/// In general, a sloppy price can be writen as an exact price with an small error "eps",
/// price = iPrice * minTickSize + eps
/// where iPrice is an integer, and minTickSize > eps. Error is smaller than eps. Then,
/// we want to return the safer trade price of
///
/// (iPrice + Theta[eps] )*minTickSize for Sells,
///
/// (iPrice - Theta[-eps])*minTickSize for Buys.
///
/// This formula says
/// for Sells: if eps > 0, then we will add another tick to the price.
/// for Buys: if 0 > eps, then we lower the price by another tick.
///
/// Using the above relation for the price, we find that (since tickSize > |eps|)
/// iPrice = Round( price / minTickSize )
/// eps = price - iPrice * minTickSize
///
/// </summary>
/// <param name="price">imperfect price to round to nearest (safe) tick price.</param>
/// <param name="mktSideSign">Selling price = -1, Buying prices = +1</param>
/// <param name="minTickSize">0.5 for ED.</param>
/// <returns></returns>
public static double RoundPriceSafely(double price, int mktSideSign, double minTickSize)
{
double safePrice = 0.0d;
try
{
double nearestTickPrice = minTickSize * Math.Round(price / minTickSize); // nearest tick price.
double epsilon = price - nearestTickPrice; // small error between price and nearest tick price.
epsilon = -mktSideSign * epsilon; // make sign denote round off direction.
double safetyCushion = -mktSideSign *QTMath.Heaviside(epsilon) * minTickSize;
safePrice = nearestTickPrice + safetyCushion;
}
catch (Exception e)
{
Console.WriteLine(" errSrc:" + e.Source + " errMsg:" + e.Message + " Stack:" + e.StackTrace.ToString(), "QTMath.RoundPriceSafely");
}
return(safePrice);
}//end RoundPrice()
public static int MktSignToActiveMktSide(double sign)
{
return(QTMath.Heaviside(sign));
}
/// <summary>
/// Given the "market sign" +1 for buys and -1 for sells, this method returns
/// a 0 and 1, respectively.
/// </summary>
/// <param name="sign">market sign +1=bid, -1=ask.</param>
/// <returns>
/// 0 if sign is +1, 1 if sign is -1.
/// </returns>
public static int MktSignToMktSide(int sign)
{
return(QTMath.Heaviside(-sign));
}
