public void BasicAuctionTestMethod()
{
List <DisplayOrder> bids = new List <DisplayOrder>();
List <DisplayOrder> asks = new List <DisplayOrder>();
bids.Add(new DisplayOrder(1, 100));
bids.Add(new DisplayOrder(0.99, 500));
asks.Add(new DisplayOrder(0.99, 500));
asks.Add(new DisplayOrder(0.99, 500));
AuctionMatchResult r = AsxAuctionMatchCalculator.Calc(bids, asks);
Assert.AreEqual(0.99, r.IEP);
Assert.AreEqual(600, r.IEV);
}
private double GetContinuousPotDollar(List <DisplayOrder> bids, List <DisplayOrder> asks, AuctionMatchResult r, double fv)
{
double bidPot = 0;
double askPot = 0;
foreach (DisplayOrder o in bids)
{
if (o.Px >= fv)
{
double refPx = o.Px;
bidPot += o.Qty * (refPx - fv);
}
}
foreach (DisplayOrder o in asks)
{
if (o.Px <= fv)
{
double refPx = o.Px;
askPot += o.Qty * (fv - refPx);
}
}
return(Math.Max(bidPot, askPot));
}
private double GetMMPotDollar(List <DisplayOrder> bids, List <DisplayOrder> asks, AuctionMatchResult r, double fv)
{
double bidPot = 0;
double askPot = 0;
foreach (DisplayOrder o in bids)
{
if (o.Px >= fv)
{
double refPx = o.Px;
if (r.IEP != 0)
{
refPx = Math.Min(r.IEP, refPx);
}
bidPot += o.Qty * (refPx - fv);
}
}
foreach (DisplayOrder o in asks)
{
if (o.Px <= fv)
{
double refPx = o.Px;
if (r.IEP != 0)
{
refPx = Math.Max(r.IEP, refPx);
}
askPot += o.Qty * (fv - refPx);
}
}
return(Math.Max(bidPot, askPot));
}
private void CalcButton_OnClick(object sender, EventArgs e)
{
List <DisplayOrder> bids = bidDataGridView.Rows.Cast <DataGridViewRow>().Select(r1 => r1.DataBoundItem as DisplayOrder).ToList();
List <DisplayOrder> asks = askDataGridView.Rows.Cast <DataGridViewRow>().Select(r2 => r2.DataBoundItem as DisplayOrder).ToList();
AuctionMatchResult r = AsxAuctionMatchCalculator.Calc(bids, asks);
IEPValue_label.Text = r.IEP.ToString();
IEQValue_Label.Text = r.IEV.ToString();
BindingSource bs = (BindingSource)bidDataGridView.DataSource;
int cumMatchQty = 0;
foreach (DisplayOrder o in bs)
{
o.MatchingQty = Math.Max(0, Math.Min(r.IEV - cumMatchQty, o.Qty));
cumMatchQty += o.MatchingQty;
}
bs = (BindingSource)askDataGridView.DataSource;
cumMatchQty = 0;
foreach (DisplayOrder o in bs)
{
o.MatchingQty = Math.Max(0, Math.Min(r.IEV - cumMatchQty, o.Qty));
cumMatchQty += o.MatchingQty;
}
if (string.IsNullOrEmpty(FvTextBox.Text))
{
Redraw();
return;
}
try
{
double fv = double.Parse(FvTextBox.Text);
PotDollarDB_Label.Text = GetDbPotDollar(bids, asks, r, fv).ToString();
PotDollarMM_Label.Text = GetMMPotDollar(bids, asks, r, fv).ToString();
PotDollarContinuous_Label.Text = GetContinuousPotDollar(bids, asks, r, fv).ToString();
bs = (BindingSource)bidDataGridView.DataSource;
double ownPnl = 0;
foreach (DisplayOrder o in bs)
{
o.Pnl = o.MatchingQty * (fv - r.IEP);
if (o.IsOwnOrder)
{
ownPnl += o.Pnl;
}
}
bs = (BindingSource)askDataGridView.DataSource;
foreach (DisplayOrder o in bs)
{
o.Pnl = o.MatchingQty * (r.IEP - fv);
if (o.IsOwnOrder)
{
ownPnl += o.Pnl;
}
}
OwnPnlLabel.Text = ownPnl.ToString();
}
catch (Exception ex) { };
Redraw();
}
