public override void SimulationEndNotification()
{
// Console.WriteLine("XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX "+this+"; time now is: "+TimeNow);
SingletonLogger.Instance().DebugLog(typeof(TrajectoryFactory_Price), "SimulationEndNotification");
MyTrajectory.add(TimeNow, Orderbook.getPrice());
}
public override void CancelOrderNotification(IOrder cancelledOrder)
{
SingletonLogger.Instance().DebugLog(typeof(TrajectoryFactory_Price), "CancelOrderNotification");
if (Orderbook.isNonDegenerate())
{
MyTrajectory.add(TimeNow, Orderbook.getPrice());
}
}
public override void PartialFilledOrderNotification(IOrder partialOrder, double price, int volume)
{
SingletonLogger.Instance().DebugLog(typeof(TrajectoryFactory_Price), "PartialFilledOrderNotification");
if (Orderbook.isNonDegenerate())
{
MyTrajectory.add(TimeNow, Orderbook.getPrice());
}
}
public override void PartialFilledOrderNotification(IOrder partialOrder, double price, int volume) {
AccumulateNetWorth( ValuateTransaction(partialOrder, price, volume) );
SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXX I am "+this.ID+" PARTLYEXECUTED time is "+Scheduler.GetTime()+
" filledOrder: "+partialOrder+
" Filled "+volume+" AT : "+price+
" OBprice: "+Orderbook.getPrice()+
" OBspread: "+Orderbook.getSpread() +
" My net worth is "+GetMetricValue(NetWorth_METRICNAME));
}
protected override double GetAskPrice() {
double logNormal = getLogNormal();
double price = Orderbook.getHighestBid() + logNormal + _optimism * Orderbook.getPrice();
double roundedPrice = Math.Round(price*100.0)/100.0;
SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXX I am "+this.ID+" ASK time is "+Scheduler.GetTime()+
" myAskPrice: "+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);
}
private double GetPriceNormalizedAlphaSpread()
{
double normalizer = Orderbook.getPrice();
//Console.WriteLine("GetPriceNormalizedAlphaSpread I am running alpha = "+_alpha+" and _askBased = "+_askBased);
if (_askBased)
{
return((GetPricing() - GetDualPricing()) / normalizer);
}
else
{
return((GetDualPricing() - GetPricing()) / normalizer);
}
}
protected override double GetAskPrice()
{
if (_market)
{
return(Orderbook.getHighestBid());
}
// limit order
double off = getOffset();
double basePrice = Orderbook.getPrice(); // Orderbook.getHighestBid(); //Orderbook.getLowestAsk()
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() +" myAskPrice: "+roundedPrice+
* " OBprice: "+Orderbook.getPrice()+
* " OBspread: "+Orderbook.getSpread() + " I have "+OpenOrdersCount ()+ " open orders");
*/
return(roundedPrice);
}
protected override double GetAskPrice()
{
if (_market)
{
if (Orderbook.getNumBids() > 0)
{
return(Orderbook.getHighestBid());
}
else
{
return(Orderbook.getPrice());
}
}
double price = _pe.getAskPrice(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() +" myAskPrice: "+roundedPrice+
* " OBprice: "+Orderbook.getPrice()+
* " OBspread: "+Orderbook.getSpread() + " I have "+OpenOrdersCount ()+ " open orders");
*/
return(roundedPrice);
}
protected override bool DecideToMakeOrder()
{
//SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXX DecideToMakeOrder: I am "+this.ID+" time is "+Scheduler.GetTime() + " I have "+OpenOrdersCount ()+ " open orders");
if (OpenOrdersCount() > 0)
{
// SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXX I am "+this.ID+" time is "+Scheduler.GetTime() + " NOT making an order because I have "+OpenOrdersCount ()+ " open orders");
return(false);
}
bool choice = false;
_market = false;
double currentPrice = Orderbook.getPrice();
if (_Type > 0) // long player
{
double gainAbs = currentPrice - _Pstar;
double relGain = gainAbs / _Pstar;
if (relGain > 0)
{
double p = relGain <= EPSILON ? 0.0 : Math.Exp(_G * Math.Log(GPERC) / relGain);
double toss = SingletonRandomGenerator.Instance.NextUniform(0.0, 1.0);
if (toss < p)
{
if (_holdings > 0) // long player with holdings... time to lock in profit by sell
{
_bid = false;
decideMarketOrLimit(p);
}
else // time to get in on the runup by buying
{
_bid = true;
decideMarketOrLimit(p);
}
choice = true;
}
}
else
{
double relLoss = -1.0 * relGain;
double p = relLoss <= EPSILON ? 0.0 : Math.Exp(_L * Math.Log(LPERC) / relLoss);
double toss = SingletonRandomGenerator.Instance.NextUniform(0.0, 1.0);
if (toss < p)
{
if (_holdings > 0) // long player with holdings... time to cut losses
{
_bid = false;
decideMarketOrLimit(p);
}
else // time to get in on the low priced stock
{
_bid = true;
decideMarketOrLimit(p);
}
choice = true;
}
}
}
else // short player
{
double gainAbs = _Pstar - currentPrice;
double relGain = gainAbs / _Pstar;
if (relGain > 0)
{
double p = relGain <= EPSILON ? 0.0 : Math.Exp(_G * Math.Log(GPERC) / relGain);
double toss = SingletonRandomGenerator.Instance.NextUniform(0.0, 1.0);
if (toss < p)
{
if (_holdings < 0) // short player with holdings.. time to lock in profit by buying
{
_bid = true;
decideMarketOrLimit(p);
}
else // time to get in on the price fall by selling
{
_bid = false;
decideMarketOrLimit(p);
}
choice = true;
}
}
else
{
double relLoss = -1.0 * relGain;
double p = relLoss <= EPSILON ? 0.0 : Math.Exp(_L * Math.Log(LPERC) / relLoss);
double toss = SingletonRandomGenerator.Instance.NextUniform(0.0, 1.0);
if (toss < p)
{
if (_holdings < 0) // short player with holdings... time to cut losses by buying
{
_bid = true;
decideMarketOrLimit(p);
}
else // time to get in on the over priced stock by selling
{
_bid = false;
decideMarketOrLimit(p);
}
choice = true;
}
}
}
if (choice)
{
// SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXX I am "+this.ID+" time is "+Scheduler.GetTime() + " MAKING an order due to PRICE flux / market = "+this._market);
}
// if we have not made an order based on price flux, we still need to
// consider orders being placed due to time since last fill
if (choice == false)
{
double DT = Scheduler.GetTime() - _Tstar;
double p = DT <= EPSILON ? 0.0 : Math.Exp(_clock * Math.Log(TPERC) / DT);
double toss = SingletonRandomGenerator.Instance.NextUniform(0.0, 1.0);
if (toss < p)
{
// its been too long...
if (_Type > 0) // long player
{
if (_holdings > 0) // have holdings
{
_bid = false; // sell
decideMarketOrLimit(p);
}
else
{
_bid = true; // buy
decideMarketOrLimit(p);
}
}
else // short player
{
if (_holdings < 0) // have holdings
{
_bid = true; // buy
decideMarketOrLimit(p);
}
else
{
_bid = false; // sell
decideMarketOrLimit(p);
}
}
choice = true;
}
if (choice)
{
// SingletonLogger.Instance().DebugLog(typeof(Agent1x0), "XXX I am "+this.ID+" time is "+Scheduler.GetTime() + " MAKING an order due to TIME flux / market = "+this._market);
}
}
if (choice)
{
IncrementTotalOrders();
}
return(choice);
}
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 GetAskPrice()
{
double logNormal = getLogNormal();
double price = Orderbook.getHighestBid() + logNormal + _optimism * Orderbook.getPrice();
double roundedPrice = Math.Round(price * 100.0) / 100.0;
return(roundedPrice);
}