public double getBidPriceOffset(IOrderbook_Agent ob)
{
processOrderbook(ob);
double y = SingletonRandomGenerator.Instance.NextUniform(0.0, 1.0);
return(-_SteadySpread / 2.0 - XSCALE * CDFinv(y));
}
// receive a signal from the Matcher (via the Simulation, via the Population) that an order has been filled
public void recvOrderNotification(IOrderbook_Agent ob, IOrderbookEvent evt)
{
// Fill order events
if (evt is IOrderbookEvent_FillOrder)
{
IOrderbookEvent_FillOrder fillEvent = (IOrderbookEvent_FillOrder)evt;
IOrder filledOrder = fillEvent.getOrder();
SingletonLogger.Instance().InfoLog(typeof(AbstractAgent), "AbstractAgent " + GetName() + " Fill " + filledOrder + " @ " + Scheduler.GetTime());
if (filledOrder.isBid())
{
AccumulateHoldings(+1 * fillEvent.getVolume());
}
else
{
AccumulateHoldings(-1 * fillEvent.getVolume());
}
if (fillEvent.orderFilled())
{
RemoveFromOpenOrderList(filledOrder);
FilledOrderNotification(filledOrder, fillEvent.getExecutionPrice(), fillEvent.getVolume());
}
else
{
PartialFilledOrderNotification(filledOrder, fillEvent.getExecutionPrice(), fillEvent.getVolume());
}
}
// Add and Cancel events are not forwarded to agents by the Population class
}
public double getBidPrice(IOrderbook_Agent ob)
{
processOrderbook(ob);
if (isMarket(ob))
{
return(getMarketPrice(ob));
}
else
{
return(Price + getBidPriceOffset(ob));
}
}
public double getMarketPriceOffset(IOrderbook_Agent ob)
{
processOrderbook(ob);
return(SingletonRandomGenerator.Instance.NextUniform(-_SteadySpread / 2.0 - _MarketPadding,
+_SteadySpread / 2.0 + _MarketPadding));
}
public bool isMarket(IOrderbook_Agent ob)
{
processOrderbook(ob);
return(SingletonRandomGenerator.Instance.NextDouble() <= MarketProb);
}
private void processOrderbook(IOrderbook_Agent ob)
{
Price = ob.getPrice();
}
public double getMarketPrice(IOrderbook_Agent ob)
{
processOrderbook(ob);
return(Price + getMarketPriceOffset(ob));
}
