protected override double GetBidPrice() {
double logNormal = getLogNormal();
double price = Orderbook.getLowestAsk() - logNormal + _optimism * Orderbook.getPrice();
double roundedPrice = Math.Round(price*100.0)/100.0;
SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXX I am "+this.ID+" BID time is "+Scheduler.GetTime()+
" myBidPrice: "+roundedPrice+
" OBprice: "+Orderbook.getPrice()+
" OBspread: "+Orderbook.getSpread() );
return roundedPrice;
}
protected override double GetAskPrice()
{
double mean = Orderbook.getLowestAsk();
double std = Orderbook.getPrice() - Orderbook.getHighestBid();
std = 0.02;
double price = SingletonRandomGenerator.Instance.NextGaussianPositive(mean, std);
double roundedPrice = Math.Round(price * 100.0) / 100.0;
roundedPrice += 0.03;
return(roundedPrice);
}
protected override double GetAskPrice()
{
double mean = (Orderbook.getNumAsks() > 0 ? Orderbook.getLowestAsk() : (Orderbook.getNumBids() > 0 ? Orderbook.getHighestBid() : Orderbook.getPrice()));
double std = Orderbook.getSpread();
//std = 0.02;
double price = SingletonRandomGenerator.Instance.NextGaussianPositive(mean, std);
double roundedPrice = Math.Round(price * 100.0) / 100.0;
roundedPrice += 0.03;
validateMetrics(7);
SingletonLogger.Instance().DebugLog(typeof(Agent0x1), "I am " + this.ID + " GetAskPrice: " + roundedPrice + " -- price = " + price + " ; mean = " + mean + " spread = " + Orderbook.getSpread());
return(roundedPrice);
}
protected override double GetBidPrice()
{
if (_market)
{
return(Orderbook.getLowestAsk());
}
// limit order
double off = getOffset();
double basePrice = Orderbook.getPrice(); // Orderbook.getLowestAsk(); //Orderbook.getHighestBid()
double price = basePrice - off;
double roundedPrice = Math.Round(price * 100.0) / 100.0;
/*
* SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXX I am "+this.ID+" time is "+Scheduler.GetTime() +" myBidPrice: "+roundedPrice+
* " OBprice: "+Orderbook.getPrice()+
* " OBspread: "+Orderbook.getSpread() + " I have "+OpenOrdersCount ()+ " open orders");
*/
return(roundedPrice);
}
protected override double GetBidPrice()
{
if (_market)
{
if (Orderbook.getNumAsks() > 0)
{
return(Orderbook.getLowestAsk());
}
else
{
return(Orderbook.getPrice());
}
}
double price = _pe.getBidPrice(Orderbook);
double roundedPrice = price; // Math.Round(price*100.0)/100.0;
/*
* SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXX I am "+this.ID+" time is "+Scheduler.GetTime() +" myBidPrice: "+roundedPrice+
* " OBprice: "+Orderbook.getPrice()+
* " OBspread: "+Orderbook.getSpread() + " I have "+OpenOrdersCount ()+ " open orders");
*/
return(roundedPrice);
}
public void Orderbook_AddOrdersTest()
{
Console.WriteLine("Orderbook_AddOrdersTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
// no bids or asks
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 0);
// place ask 1
IOrder o1 = ob.addAsk(10.0, 3, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 0);
Assert.AreEqual(o1.isAsk(), true);
Assert.AreEqual(o1.getPrice(), 10.0);
Assert.AreEqual(o1.getVolume(), 3);
Assert.AreEqual(o1.isCancelled(), false);
Assert.AreEqual(o1.isFilled(), false);
Assert.AreEqual(o1.getCapital(), 0.0);
Assert.AreEqual(o1.getOwner(), null);
// place bid 2
IOrder o2 = ob.addBid(5.0, 3, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 1);
Assert.AreEqual(o2.isAsk(), false);
Assert.AreEqual(o2.getPrice(), 5.0);
Assert.AreEqual(o2.getVolume(), 3);
Assert.AreEqual(o2.isCancelled(), false);
Assert.AreEqual(o2.isFilled(), false);
Assert.AreEqual(o2.getCapital(), 0.0);
Assert.AreEqual(o2.getOwner(), null);
Assert.AreEqual(ob.getHighestBid(), 5.0);
Assert.AreEqual(ob.getLowestAsk(), 10.0);
// place bid 3
IOrder o3 = ob.addBid(10.0, 3, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 2);
Assert.AreEqual(o3.isAsk(), false);
Assert.AreEqual(o3.getPrice(), 10.0);
Assert.AreEqual(o3.getVolume(), 3);
Assert.AreEqual(o3.isCancelled(), false);
Assert.AreEqual(o3.isFilled(), false);
Assert.AreEqual(o3.getCapital(), 0.0);
Assert.AreEqual(o3.getOwner(), null);
Assert.AreEqual(ob.getHighestBid(), 10.0);
Assert.AreEqual(ob.getLowestAsk(), 10.0);
// execution occurs -- o3 hits o1, leaving just the bid o2
Scheduler.Instance().Run();
Assert.AreEqual(m.NumAddOrdersReceived, 3, "orders = 3");
Assert.AreEqual(m.NumFillsSent, 2, "fills = 2");
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills = 0");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 1);
Assert.AreEqual(o3.isFilled(), true);
Assert.AreEqual(o3.getCapital(), -30.0);
Assert.AreEqual(o1.isFilled(), true);
Assert.AreEqual(o1.getCapital(), 30.0);
IOrder o4 = ob.addAsk(5.0, 1, null);
IOrder o5 = ob.addAsk(5.0, 1, null);
IOrder o6 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(o4.isAsk(), true);
Assert.AreEqual(o4.getPrice(), 5.0);
Assert.AreEqual(o4.getVolume(), 1);
Assert.AreEqual(o4.isCancelled(), false);
Assert.AreEqual(o4.isFilled(), false);
Assert.AreEqual(o4.getCapital(), 0.0);
Assert.AreEqual(o4.getOwner(), null);
Assert.AreEqual(o5.isAsk(), true);
Assert.AreEqual(o5.getPrice(), 5.0);
Assert.AreEqual(o5.getVolume(), 1);
Assert.AreEqual(o5.isCancelled(), false);
Assert.AreEqual(o5.isFilled(), false);
Assert.AreEqual(o5.getCapital(), 0.0);
Assert.AreEqual(o5.getOwner(), null);
Assert.AreEqual(o6.isAsk(), true);
Assert.AreEqual(o6.getPrice(), 5.0);
Assert.AreEqual(o6.getVolume(), 1);
Assert.AreEqual(o6.isCancelled(), false);
Assert.AreEqual(o6.isFilled(), false);
Assert.AreEqual(o6.getCapital(), 0.0);
Assert.AreEqual(o6.getOwner(), null);
// execution occurs: 4 5 and 6 to hit o2
Scheduler.Instance().Run();
Assert.AreEqual(o4.isFilled(), true);
Assert.AreEqual(o4.getCapital(), 5.0);
Assert.AreEqual(o6.isFilled(), true);
Assert.AreEqual(o6.getCapital(), 5.0);
Assert.AreEqual(o5.isFilled(), true);
Assert.AreEqual(o5.getCapital(), 5.0);
Assert.AreEqual(o2.isFilled(), true);
Assert.AreEqual(o2.getCapital(), -15.0);
Assert.AreEqual(m.NumAddOrdersReceived, 6, "orders = 6");
Assert.AreEqual(m.NumFillsSent, 6, "fills = 6");
Assert.AreEqual(m.NumPartialFillsSent, 2, "partial fills = 2");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 0);
//Assert.AreEqual(1, 0);
}