public override void FilledOrderNotification(IOrder filledOrder, double price, int volume)
{
if (Orderbook.isNonDegenerate())
{
MyTrajectory.add(TimeNow, Orderbook.getNumBids() + Orderbook.getNumAsks());
}
}
public override void CancelOrderNotification(IOrder cancelledOrder)
{
if (Orderbook.isNonDegenerate())
{
MyTrajectory.add(TimeNow, Orderbook.getNumBids() + Orderbook.getNumAsks());
}
}
public override void SimulationEndNotification()
{
// Console.WriteLine("XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX "+this+"; time now is: "+TimeNow);
SingletonLogger.Instance().DebugLog(typeof(TrajectoryFactory_Price), "SimulationEndNotification");
MyTrajectory.add(TimeNow, Orderbook.getNumAsks());
}
public override string ToString()
{
string s = "SimulationBundle [" + StartTime + "-" + (StartTime + Duration) + "] ==> ";
s += "OB asks:" + Orderbook.getNumAsks() + ", bids:" + Orderbook.getNumBids() + "; ";
s += "Pop:" + Population.Size;
return(s);
}
public override void CancelOrderNotification(IOrder cancelledOrder)
{
SingletonLogger.Instance().DebugLog(typeof(TrajectoryFactory_Price), "CancelOrderNotification");
if (Orderbook.isNonDegenerate())
{
MyTrajectory.add(TimeNow, Orderbook.getNumAsks());
}
}
public override void PartialFilledOrderNotification(IOrder partialOrder, double price, int volume)
{
SingletonLogger.Instance().DebugLog(typeof(TrajectoryFactory_Price), "PartialFilledOrderNotification");
if (Orderbook.isNonDegenerate())
{
MyTrajectory.add(TimeNow, Orderbook.getNumAsks());
}
}
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)
{
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);
}
public void Orderbook_ComplexMatcherTest()
{
Console.WriteLine("Orderbook_ComplexMatcherTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
IOrder o2 = ob.addBid(5.0, 3, null);
// let o2 fail to execute
Scheduler.Instance().Run();
IOrder o3 = ob.addBid(10.0, 5, null);
// low asks will hit an existing high bid
IOrder o4 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 2);
IOrder o5 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(ob.getNumAsks(), 2);
Assert.AreEqual(ob.getNumBids(), 2);
IOrder o6 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(ob.getNumAsks(), 3);
Assert.AreEqual(ob.getNumBids(), 2);
// execution occurs: 4 5 and 6 partially hit 3 out of 5 units of o3 at the ask price (5)
Scheduler.Instance().Run();
Assert.AreEqual(m.NumAddOrdersReceived, 5, "orders = 5");
Assert.AreEqual(m.NumFillsSent, 3, "fills = 3");
Assert.AreEqual(m.NumPartialFillsSent, 3, "partial fills = 3");
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(o3.isFilled(), false);
Assert.AreEqual(o3.getCapital(), -15.0);
Assert.AreEqual(o2.isFilled(), false);
Assert.AreEqual(o2.getCapital(), 0.0);
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 2);
IOrder o7 = ob.addAsk(20.0, 1, null);
IOrder o8 = ob.addAsk(20.0, 2, null);
IOrder o9 = ob.addAsk(20.0, 3, null);
// load up the new ask orders
Scheduler.Instance().Run();
Assert.AreEqual(m.NumAddOrdersReceived, 8, "orders = 8");
Assert.AreEqual(m.NumFillsSent, 3, "fills = 3");
Assert.AreEqual(m.NumPartialFillsSent, 3, "partial fills = 3");
// high bid will hit existing low asks
IOrder o10 = ob.addBid(100.0, 7, null);
// execution occurs: 7 8 and 9 partially hit 10 out of 6 units of o10 at the ask price (20)
Scheduler.Instance().Run();
Assert.AreEqual(o7.isFilled(), true);
Assert.AreEqual(o7.getCapital(), 20.0);
Assert.AreEqual(o8.isFilled(), true);
Assert.AreEqual(o8.getCapital(), 40.0);
Assert.AreEqual(o9.isFilled(), true);
Assert.AreEqual(o9.getCapital(), 60.0);
Assert.AreEqual(o10.isFilled(), false);
Assert.AreEqual(o10.getCapital(), -120.0);
Assert.AreEqual(m.NumAddOrdersReceived, 9, "orders = 9");
Assert.AreEqual(m.NumFillsSent, 6, "fills = 6");
Assert.AreEqual(m.NumPartialFillsSent, 6, "partial fills = 6");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 3);
}
public void Orderbook_CancelOrdersTest()
{
Console.WriteLine("Orderbook_CancelOrdersTest");
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);
// place bid 2
IOrder o2 = ob.addBid(5.0, 3, null);
// no bids or asks
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 1);
bool cancelResult = ob.cancelOrder(o1);
Assert.AreEqual(cancelResult, true);
// no asks, 1 bid
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 1);
Scheduler.Instance().Run();
// place bid 3
IOrder o3 = ob.addBid(10.0, 5, null);
// no asks, 2 bid
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 2);
Scheduler.Instance().Run();
// execution is attempted -- but nothing can execute
// since o2 cannot match o3
Scheduler.Instance().Run();
Assert.AreEqual(o1.isFilled(), false);
Assert.AreEqual(o1.isCancelled(), true);
Assert.AreEqual(o1.getCapital(), 0.0);
Assert.AreEqual(o2.isFilled(), false);
Assert.AreEqual(o2.isCancelled(), false);
Assert.AreEqual(o2.getCapital(), 0.0);
Assert.AreEqual(o3.isFilled(), false);
Assert.AreEqual(o3.isCancelled(), false);
Assert.AreEqual(o3.getCapital(), 0.0);
Assert.AreEqual(m.NumAddOrdersReceived, 3, "orders = 3");
Assert.AreEqual(m.NumFillsSent, 0, "fills = 0");
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills = 0");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 2);
}
public override void SimulationEndNotification()
{
MyTrajectory.add(TimeNow, Orderbook.getNumBids() + Orderbook.getNumAsks());
}