public void Agent0x1Simulation_AgentTrajectories_MultiTrial()
{
Console.WriteLine("Agent0x1Simulation_AgentTrajectories_MultiTrial");
LoggerInitialization.SetThreshold(typeof(sim_tests), LogLevel.Debug);
LoggerInitialization.SetThreshold(typeof(Agent0x0), LogLevel.Info);
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 = 10;
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();
// 1 hours
ISimulationBundle simb = new SimulationBundle(pop, ob, 0.0, 3600.0);
IAgent agent = PopulationSelector.Select(pop);
ITrajectoryFactory agTF = new TrajectoryFactory_AgentOrders(agent, 10.0, 0.0);
simb.add(agTF);
int NUMTIALS = 2;
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "Running Simulations");
ISimulationResultsBundle resb = simb.run(NUMTIALS);
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "Stopping Simulations");
SingletonLogger.Instance().DebugLog(typeof(sim_tests), "Results Bundle\n" + resb.ToStringLong());
Assert.AreEqual(resb.Valid, true);
}
public void add(ISimulationResultsBundle resb)
{
foreach (ITrajectoryBundle tb in resb.getTrajectoryBundles())
{
foreach (ITrajectory t in tb.Trajectories)
{
ITrajectoryBundle newtb = null;
if (!_tbundles.ContainsKey(t.Name))
{
newtb = new TrajectoryBundle(t.Name);
_tbundles.Add(t.Name, newtb);
}
else
{
newtb = _tbundles[t.Name];
}
newtb.addTrajectory(t);
}
}
foreach (IAgentEvaluationBundle aeb in resb.getAgentEvaluationBundles())
{
foreach (IAgentEvaluation ae in aeb.Evaluations)
{
IAgentEvaluationBundle newaeb = null;
if (!_aebundles.ContainsKey(ae.Name))
{
newaeb = new AgentEvaluationBundle(ae.Name);
_aebundles.Add(ae.Name, newaeb);
}
else
{
newaeb = _aebundles[ae.Name];
}
aeb.addAgentEvaluation(ae);
}
}
}
public override void run()
{
LoggerInitialization.SetThreshold(typeof(SingleDistributionExperiment), LogLevel.Debug);
SingletonLogger.Instance().DebugLog(typeof(SingleDistributionExperiment), "run()");
SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "distribution => " + theActualDistribution);
IAgentFactory af = CreateAgentFactory(theActualDistribution, theTableConfig.AgentFactoryClassName);
SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "agent factory => " + theTableConfig.AgentFactoryClassName);
af.Initialize(theTableConfig);
SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "creating initial orderbook");
IOrderbook_Observable ob = new Orderbook();
/* No Burnin at this point
*
* SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "Executing burnin...");
* IPopulation popburn = CreatePopulation(af, theTableConfig.NumAgents, Path.Combine(ApplicationConfig.ROOTDIR, theTableConfig.InitialOrderbook));
* ISimulation simburn = new Simulation(popburn, ob, 0.0, COMMON_BURNIN_TIME_SECONDS, false, "burnin") ;
* ISimulationResults resultsburn = simburn.run();
* ob = (IOrderbook_Observable)simburn.Orderbook;
* SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "Done with burnin.");
*/
ISimulationBundle accumulated_simb = null;
ISimulationResultsBundle accumulated_resb = null;
for (int popi = 0; popi < theTableConfig.Populations; popi++)
{
SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "creating population... " + theTableConfig.NumAgents);
// Populations all contain an OrderBookLoader agent
IPopulation pop = CreatePopulation(af, theTableConfig.NumAgents, Path.Combine(ApplicationConfig.ROOTDIR, theTableConfig.InitialOrderbook));
// SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "done.");
string popname = POP_FILE_PREFIX + "." + popi + ".Validation";
string poppath = Path.Combine(_popdir, popname);
SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "population " + popi + " => " + poppath);
savePopulation(poppath, pop);
_simb = new SimulationBundle(pop, ob, 0.0, theTableConfig.DurationHours * 3600.0, LOG_FRAMES, "pop-" + popi);
if (accumulated_simb == null)
{
accumulated_simb = _simb;
}
foreach (TrajectoryFactoryConfig tfc in theTrajConfig.getTrajectories())
{
IPassiveTrajectoryFactory tf = CreatePassiveTrajectoryFactory(tfc);
tf.Initialize(theTableConfig);
_simb.add(tf);
}
/*
* foreach (IAgent ag in pop) {
* if (ag is IAgent_NonParticipant) continue;
*
* _simb.add (new TrajectoryFactory_AgentNamedMetric(ag, Agent1x0.NetWorth_METRICNAME, 1.0, 0.0));
* }
*/
double MAX_ALPHA = 0.10;
double TEMPORAL_GRANULARITY_FOR_ALPHA_SLICES = 1.0;
for (double alpha = 0.0; alpha <= MAX_ALPHA; alpha += MAX_ALPHA / (double)theTableConfig.NumCombs)
{
TrajectoryFactory_AlphaSlice tf = new TrajectoryFactory_AlphaSlice(TEMPORAL_GRANULARITY_FOR_ALPHA_SLICES, 0.0, alpha, true);
tf.Initialize(theTableConfig);
_simb.add(tf);
TrajectoryFactory_AlphaSlice tf2 = new TrajectoryFactory_AlphaSlice(TEMPORAL_GRANULARITY_FOR_ALPHA_SLICES, 0.0, alpha, false);
tf2.Initialize(theTableConfig);
_simb.add(tf2);
}
foreach (AgentEvaluationConfig aefc in theAgentEvaluationFactorySetConfig.getAgentEvaluations())
{
IAgentEvaluationFactory aef = CreateAgentEvaluationFactory(aefc);
_simb.add(aef, aefc);
}
_resb = _simb.run(theTableConfig.Trials);
//popname = POP_FILE_PREFIX+"."+popi+".Validation-Post";
//poppath = Path.Combine(_popdir, popname);
//SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "population post "+popi+" => "+poppath);
//savePopulation(poppath, pop);
if (accumulated_resb == null)
{
accumulated_resb = _resb;
}
else
{
accumulated_resb.add(_resb);
}
//WriteTrajectories(popi, _simb, _resb);
}
//WriteTrajectories(-1, accumulated_simb, accumulated_resb);
PresentationConfig.Directory = Path.Combine(OutputDirectory, "results");
if (!Directory.Exists(PresentationConfig.Directory))
{
Directory.CreateDirectory(PresentationConfig.Directory);
}
Latex.ClearImages();
SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "Writing BlauSpaceEvaluations.");
foreach (IAgentEvaluationBundle aeb in accumulated_resb.getAgentEvaluationBundles())
{
IBlauSpaceLattice bsl = accumulated_simb.getLattice(theActualDistribution, aeb);
IBlauSpaceEvaluation meanEval = aeb.MeanEvaluation(bsl);
IBlauSpaceEvaluation stdEval = aeb.StdEvaluation(bsl);
BlauSpaceEvaluationGnuplotPresenter pres = new BlauSpaceEvaluationGnuplotPresenter(_bsedir, PresentationConfig.Directory);
pres.Present(this, meanEval, stdEval);
}
SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "Writing TrajectoryBundles.");
foreach (ITrajectoryBundle tb in accumulated_resb.getTrajectoryBundles())
{
TrajectoryBundleGnuplotPresenter pres = new TrajectoryBundleGnuplotPresenter(_trajdir, PresentationConfig.Directory);
pres.Present(this, tb);
}
SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "Writing Latex.");
Latex.Instance().Present(this);
CreateReport(this);
SingletonLogger.Instance().InfoLog(typeof(SingleDistributionExperiment), "Done.");
}
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);
}
private void WriteTrajectories(int popi, ISimulationBundle simb, ISimulationResultsBundle resb)
{
string trajname = TRAJ_FILE_PREFIX + "." + popi + ".Validation";
string trajpath = Path.Combine(_trajdir, trajname);
TextWriter trajWriter = File.CreateText(trajpath);
foreach (IAgentEvaluationBundle aeb in resb.getAgentEvaluationBundles())
{
trajWriter.WriteLine("# AgentEvaluation: " + aeb.Name);
trajWriter.Write("# BlauPoint-Coordinates \t ");
trajWriter.Write("mean \t std \t count");
trajWriter.WriteLine("");
IBlauSpaceLattice bsl = simb.getLattice(theActualDistribution, aeb);
IBlauSpaceEvaluation meanEval = aeb.MeanEvaluation(bsl);
IBlauSpaceEvaluation stdEval = aeb.StdEvaluation(bsl);
IBlauSpaceEvaluation ctEval = aeb.AssignmentCounts(bsl);
foreach (IBlauPoint bp in meanEval.AssignedLatticePoints)
{
for (int c = 0; c < bp.Space.Dimension; c++)
{
trajWriter.Write("" + bp.Space.getAxis(c).Name + "=" + bp.getCoordinate(c).ToString("#0.000") + "\t");
}
trajWriter.Write("" + meanEval.eval(bp).ToString("#0.000") + "\t");
trajWriter.Write("" + stdEval.eval(bp).ToString("#0.000") + "\t");
trajWriter.Write("" + ctEval.eval(bp).ToString("#0.000") + "\t");
trajWriter.WriteLine("");
}
}
double NUMTICKS = 100.0;
foreach (ITrajectoryBundle tb in resb.getTrajectoryBundles())
{
trajWriter.WriteLine("# TrajectoryBundle: " + tb.Name);
trajWriter.WriteLine("# time \t mean \t std \t center \t dev");
ITrajectory meanTraj = tb.MeanTrajectory;
ITrajectory stdTraj = tb.StdTrajectory;
ITrajectory centerTraj = tb.CentralTrajectory;
ITrajectory devTraj = tb.CentralDevTrajectory;
double mint = tb.MinimumTime;
double maxt = tb.MaximumTime;
double stept = (maxt - mint) / NUMTICKS;
for (double t = mint; t < maxt; t += stept)
{
trajWriter.Write("" + t.ToString("#0.000") + "\t");
trajWriter.Write("" + meanTraj.eval(t).ToString("#0.000") + "\t");
trajWriter.Write("" + stdTraj.eval(t).ToString("#0.000") + "\t");
trajWriter.Write("" + centerTraj.eval(t).ToString("#0.000") + "\t");
trajWriter.Write("" + devTraj.eval(t).ToString("#0.000") + "\t");
trajWriter.WriteLine("");
}
}
trajWriter.Flush();
trajWriter.Close();
}