public void LinearHurstTest()
{
Console.WriteLine("LinearHurstTest");
LoggerInitialization.SetThreshold(typeof(hurst_tests), LogLevel.Debug);
LoggerInitialization.SetThreshold(typeof(TrajectoryTransformer_Hurst), LogLevel.Debug);
double m = 0.1;
double b = 0.0;
ITrajectory traj = new Trajectory("data", 1.0, 0.0, 0.0);
double INC = 1.0;
for (double x = 0.0; x < WINDOW; x += INC)
{
double NOISE_SCALE = 0.0001;
double noise = 2.0 * NOISE_SCALE * SingletonRandomGenerator.Instance.NextDouble() - NOISE_SCALE;
double y = m * INC + noise;
traj.add(x, y);
}
ITrajectoryTransformer tx = new TrajectoryTransformer_Hurst(WINDOW, 1.0);
ITrajectory trajHurst = tx.eval(traj);
SingletonLogger.Instance().DebugLog(typeof(hurst_tests), "Hurst of y = " + m + " x + " + b + "\n");
SingletonLogger.Instance().DebugLog(typeof(hurst_tests), "" + trajHurst.ToStringLong());
}
public void RandomWalkTest()
{
Console.WriteLine("RandomWalkTest");
LoggerInitialization.SetThreshold(typeof(hurst_tests), LogLevel.Debug);
LoggerInitialization.SetThreshold(typeof(TrajectoryTransformer_Hurst), LogLevel.Info);
double y = 0.0;
ITrajectory traj = new Trajectory("data", 1.0, 0.0, 0.0);
for (double x = 0.0; x < WINDOW; x += 1.0)
{
double STEP;
if (SingletonRandomGenerator.Instance.NextDouble() <= 0.5)
{
STEP = 0.1;
}
else
{
STEP = -0.1;
}
y = y + STEP;
// traj.add(x,y);
traj.add(x, STEP);
}
ITrajectoryTransformer tx = new TrajectoryTransformer_Hurst(WINDOW, 1.0);
ITrajectory trajHurst = tx.eval(traj);
SingletonLogger.Instance().DebugLog(typeof(hurst_tests), "Hurst of RandomWalk\n");
SingletonLogger.Instance().DebugLog(typeof(hurst_tests), "" + trajHurst.ToStringLong());
}
public void RandomBinaryTest()
{
Console.WriteLine("RandomBinaryTest");
LoggerInitialization.SetThreshold(typeof(hurst_tests), LogLevel.Debug);
LoggerInitialization.SetThreshold(typeof(TrajectoryTransformer_Hurst), LogLevel.Debug);
double y = 0.0;
ITrajectory traj = new Trajectory("data", 1.0, 0.0, 0.0);
bool pos = true;
for (double x = 0.0; x < WINDOW; x += 1.0)
{
if (pos)
{
y = 1.0;
traj.add(x, y);
pos = false;
}
else
{
y = -1.0;
traj.add(x, y);
pos = true;
}
}
ITrajectoryTransformer tx = new TrajectoryTransformer_Hurst(WINDOW, 1.0);
ITrajectory trajHurst = tx.eval(traj);
SingletonLogger.Instance().DebugLog(typeof(hurst_tests), "Hurst of Random Alternating\n");
SingletonLogger.Instance().DebugLog(typeof(hurst_tests), "" + trajHurst.ToStringLong());
}
public void ZeroTest()
{
Console.WriteLine("ZeroTest");
LoggerInitialization.SetThreshold(typeof(hurst_tests), LogLevel.Debug);
LoggerInitialization.SetThreshold(typeof(TrajectoryTransformer_Hurst), LogLevel.Info);
double y = 0.0;
ITrajectory traj = new Trajectory("data", 1.0, 0.0, 0.0);
for (double x = 0.0; x < WINDOW; x += 1.0)
{
y = 0.005 * SingletonRandomGenerator.Instance.NextDouble();
traj.add(x, y);
}
ITrajectoryTransformer tx = new TrajectoryTransformer_Hurst(WINDOW, 1.0);
ITrajectory trajHurst = tx.eval(traj);
SingletonLogger.Instance().DebugLog(typeof(hurst_tests), "Hurst of Zero\n");
SingletonLogger.Instance().DebugLog(typeof(hurst_tests), "" + trajHurst.ToStringLong());
}
public void Agent0x1Simulation_TrajectoryBundles()
{
Console.WriteLine("Agent0x1Simulation_TrajectoryBundles");
LoggerInitialization.SetThreshold(typeof(sim_tests), LogLevel.Debug);
//LoggerInitialization.SetThreshold(typeof(Agent0x1), LogLevel.Info);
//LoggerInitialization.SetThreshold(typeof(AbstractAgent), LogLevel.Info);
//LoggerInitialization.SetThreshold(typeof(SimulationBundle), LogLevel.Debug);
//LoggerInitialization.SetThreshold(typeof(Scheduler), LogLevel.Debug);
//LoggerInitialization.SetThreshold(typeof(Trajectory), LogLevel.Debug);
int dim = 0;
string [] names = new string [0];
double [] mins = new double [0];
double [] maxs = new double [0];
IBlauSpace s = BlauSpace.create(dim, names, mins, maxs);
IBlauPoint mean = new BlauPoint(s);
IBlauPoint std = new BlauPoint(s);
IDistribution d = new Distribution_Gaussian(s, mean, std);
IAgentFactory afact = new Agent0x0_Factory(d);
int NUMAGENTS = 25;
IPopulation pop = PopulationFactory.Instance().create(afact, NUMAGENTS);
foreach (IAgent ag in pop)
{
SingletonLogger.Instance().DebugLog(typeof(metrics_tests), "agent: " + ag);
}
string PATH = "" + ApplicationConfig.EXECDIR + "orderbooks/orderbook.csv";
AgentOrderbookLoader loader = MakeAgentOrderbookLoader(PATH);
pop.addAgent(loader);
IOrderbook_Observable ob = new Orderbook();
string PROPERTY = "NetWorth";
// 1 hours
ISimulationBundle simb = new SimulationBundle(pop, ob, 0.0, 3600.0);
IAgentEvaluationFactory metricEF = new NamedMetricAgentEvaluationFactory(PROPERTY);
simb.add(metricEF);
ITrajectoryFactory priceTF = new TrajectoryFactory_Price(10.0, 0.8);
simb.add(priceTF);
ITrajectoryFactory spreadTF = new TrajectoryFactory_Spread(10.0, 0.0);
simb.add(spreadTF);
int NUMTRIALS = 25;
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "Running Simulation");
ISimulationResultsBundle resb = simb.run(NUMTRIALS);
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "Stopping Simulation");
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "resb: " + resb.ToString());
int STEPS = 1;
int [] STEPSarray = new int[s.Dimension]; for (int j = 0; j < s.Dimension; j++)
{
STEPSarray[j] = STEPS;
}
IBlauSpaceLattice bsl = BlauSpaceLattice.create(s, STEPSarray);
foreach (IAgentEvaluationBundle aeb in resb.getAgentEvaluationBundles())
{
IBlauSpaceEvaluation meanEval = aeb.MeanEvaluation(bsl);
IBlauSpaceEvaluation stdEval = aeb.StdEvaluation(bsl);
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "meanEval: " + meanEval.ToStringLong());
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "stdEval: " + stdEval.ToStringLong());
}
foreach (ITrajectoryBundle tb in resb.getTrajectoryBundles())
{
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "Computing meanTraj");
ITrajectory meanTraj = tb.MeanTrajectory;
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "Computing stdTraj");
ITrajectory stdTraj = tb.StdTrajectory;
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "meanTraj: " + meanTraj.ToStringLong());
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "stdTraj: " + stdTraj.ToStringLong());
}
Assert.AreEqual(resb.Valid, true);
}
