Refined getBestPrice function
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7u83
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@ -136,6 +136,21 @@ class TradingEngine implements TradingAPI {
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*/
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}
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private void finishTrade(Order b, Order a, double price, double volume) {
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// Transfer money and shares
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transferMoneyAndShares(b.account, a.account, volume * price, -volume);
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// Update volume
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b.volume -= volume;
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a.volume -= volume;
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b.cost += price * volume;
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a.cost += price * volume;
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removeOrderIfExecuted(a);
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removeOrderIfExecuted(b);
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}
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private void removeOrderIfExecuted(Order o) {
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if (o.volume != 0) {
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@ -165,20 +180,24 @@ class TradingEngine implements TradingAPI {
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double volume_total = 0;
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double money_total = 0;
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while (true) {
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/* // Match unlimited sell orders against unlimited buy orders
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// Match unlimited sell orders against unlimited buy orders
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if (!ul_sell.isEmpty() && !ul_buy.isEmpty()) {
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Order a = ul_sell.first();
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Order b = ul_buy.first();
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Double price = getBestPrice(stock);
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if (price == null) {
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break;
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}
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double volume = b.volume >= a.volume ? a.volume : b.volume;
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finishTrade(b, a, price, volume);
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volume_total += volume;
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money_total += price * volume;
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this.checkSLOrders(price);
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Order a = ul_sell.first();
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Order b = ul_buy.first();
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Double price = getBestPrice();
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// if (price == null) {
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// break;
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// }
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// double volume = b.volume >= a.volume ? a.volume : b.volume;
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// finishTrade(b, a, price, volume);
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// volume_total += volume;
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// money_total += price * volume;
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//this.checkSLOrders(price);
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}
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/*
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while (!ul_buy.isEmpty() && !ask.isEmpty()) {
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Order a = ask.first();
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Order b = ul_buy.first();
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@ -201,7 +220,6 @@ class TradingEngine implements TradingAPI {
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this.checkSLOrders(price);
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}
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*/
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//
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// Match limited orders against limited orders
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//
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@ -231,7 +249,7 @@ class TradingEngine implements TradingAPI {
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type = Order.Type.SELL;
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} else {
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price = a.limit;
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type=Order.Type.BUY;
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type = Order.Type.BUY;
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}
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// The volume is calculated by best fit
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@ -263,7 +281,7 @@ class TradingEngine implements TradingAPI {
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q.price = price;
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q.volume = volume;
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q.time = outer.world.currentTimeMillis();
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q.type=type;
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q.type = type;
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addQuoteToHistory(q);
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}
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@ -296,134 +314,89 @@ class TradingEngine implements TradingAPI {
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}
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//
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public Double
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getBestPrice() {
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SortedSet<Order> bid
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= order_books
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.get(Order.Type.BUYLIMIT
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);
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SortedSet<Order> ask
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= order_books
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.get(Order.Type.SELLLIMIT
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);
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public Double getBestPrice() {
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Quote lq
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= null; //this.getLastQuoete();
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Order b
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= null;
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Order a
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= null;
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Order b;
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Order a;
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if (!bid
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.isEmpty()) {
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b
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= bid
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.first();
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// Get first limited orders from bid and ask,
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// assign null if no order is present
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b = !bidbook.isEmpty() ? bidbook.first() : null;
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a = !askbook.isEmpty() ? askbook.first() : null;
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}
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if (!ask
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.isEmpty()) {
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a
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= ask
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.first();
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}
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// If there is neither bid nor ask and no last quote
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// we can't return a quote
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if (lq
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== null && b
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== null && a
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== null) {
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// If there is neither bid nor ask and also no last quote
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// we can't return a price
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if (last_quote == null && b == null && a == null) {
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return null;
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}
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// there is bid and ask
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if (a
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!= null && b
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!= null) {
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Quote q
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= new Quote(-1);
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System.out
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.printf("aaaaa bbbbb %f %f \n", a.limit,
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b.limit
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);
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// if there is no last quote calculate from bid and ask
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//if (lq == null) {
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double rc
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= (bid
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.first().limit
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+ ask
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.first().limit) / 2.0;
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System.out
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.printf("RCRC2.0: %f\n", rc
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);
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// Both limited bid and ask are present
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if (a != null && b != null) {
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return rc;
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// }
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/*
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if (lq.price < b.limit) {
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return b.limit;
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// if there is no last quote, we calculate the prpice
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// from bid and ask by simply averaging the limits
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if (last_quote == null) {
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return (bidbook.first().limit + askbook.first().limit) / 2.0;
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}
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if (lq.price > a.limit) {
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return a.limit;
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}
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return lq.price;
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*/
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}
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if (a
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!= null) {
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Quote q
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= new Quote(-1);
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if (lq
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== null) {
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return a.limit;
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}
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if (lq.price
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> a.limit) {
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return a.limit;
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}
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return lq.price;
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}
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if (b
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!= null) {
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Quote q
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= new Quote(-1);
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if (lq
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== null) {
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// Last quote is below bid, so the best price is the
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// current bid
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if (last_quote.price < b.limit) {
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return b.limit;
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}
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// Last price is grater ask, so return the current ask
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if (last_quote.price > a.limit) {
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return a.limit;
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}
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// Last price is somewhere between bid and ask,
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// we return the last price
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return last_quote.price;
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}
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// There is no limited ask, but limited bid
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if (a != null) {
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// retrun last quote if present or lower than ask,
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// otherwise return the current ask
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if (last_quote == null) {
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return a.limit;
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}
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if (last_quote.price > a.limit) {
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return a.limit;
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}
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if (lq.price
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return last_quote.price;
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}
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// No bid, but ask is present
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// Same as a !=null like before but reversed
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if (b != null) {
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if (last_quote == null) {
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return b.limit;
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}
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if (last_quote.price
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< b.limit) {
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return b.limit;
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}
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return lq.price;
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return last_quote.price;
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}
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if (lq
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== null) {
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return null;
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}
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return lq.price;
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// Both bid and ask are not present, return last quote.
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// The case that last_quote is null can never happen here.
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return last_quote.price;
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}
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@Override
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public Order
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createOrder(Account account,
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Order.Type type,
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double volume,
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double limit
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Order.Type type,
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double volume,
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double limit
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) {
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Order o;
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@ -472,7 +445,7 @@ class TradingEngine implements TradingAPI {
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// reduce the available money
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account.assets_avail
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.put(currency,
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avail
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avail
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- v
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* l
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);
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@ -503,7 +476,7 @@ class TradingEngine implements TradingAPI {
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// All available monney is assigned to this unlimited order
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account.assets_avail
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.put(currency,
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0.0);
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0.0);
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// we "mis"use order_limit to memorize occupied ammount \
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// of currency
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order_limit
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@ -533,7 +506,7 @@ class TradingEngine implements TradingAPI {
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}
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account.assets_avail
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.put(asset,
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avail
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avail
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- v
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);
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order_limit
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@ -550,9 +523,9 @@ class TradingEngine implements TradingAPI {
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o
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= new opensesim.world.Order(this, account,
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type,
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v,
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order_limit
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type,
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v,
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order_limit
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);
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System.out
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