Refined getBestPrice function
This commit is contained in:
7u83
parent
cadc910f99
commit
f7601aea3a
@ -136,6 +136,21 @@ class TradingEngine implements TradingAPI {
|
||||
*/
|
||||
}
|
||||
|
||||
private void finishTrade(Order b, Order a, double price, double volume) {
|
||||
// Transfer money and shares
|
||||
transferMoneyAndShares(b.account, a.account, volume * price, -volume);
|
||||
|
||||
// Update volume
|
||||
b.volume -= volume;
|
||||
a.volume -= volume;
|
||||
|
||||
b.cost += price * volume;
|
||||
a.cost += price * volume;
|
||||
|
||||
removeOrderIfExecuted(a);
|
||||
removeOrderIfExecuted(b);
|
||||
}
|
||||
|
||||
private void removeOrderIfExecuted(Order o) {
|
||||
|
||||
if (o.volume != 0) {
|
||||
@ -165,20 +180,24 @@ class TradingEngine implements TradingAPI {
|
||||
double volume_total = 0;
|
||||
double money_total = 0;
|
||||
while (true) {
|
||||
/* // Match unlimited sell orders against unlimited buy orders
|
||||
|
||||
// Match unlimited sell orders against unlimited buy orders
|
||||
if (!ul_sell.isEmpty() && !ul_buy.isEmpty()) {
|
||||
Order a = ul_sell.first();
|
||||
Order b = ul_buy.first();
|
||||
Double price = getBestPrice(stock);
|
||||
if (price == null) {
|
||||
break;
|
||||
}
|
||||
double volume = b.volume >= a.volume ? a.volume : b.volume;
|
||||
finishTrade(b, a, price, volume);
|
||||
volume_total += volume;
|
||||
money_total += price * volume;
|
||||
this.checkSLOrders(price);
|
||||
Order a = ul_sell.first();
|
||||
Order b = ul_buy.first();
|
||||
Double price = getBestPrice();
|
||||
|
||||
// if (price == null) {
|
||||
// break;
|
||||
// }
|
||||
// double volume = b.volume >= a.volume ? a.volume : b.volume;
|
||||
// finishTrade(b, a, price, volume);
|
||||
// volume_total += volume;
|
||||
// money_total += price * volume;
|
||||
//this.checkSLOrders(price);
|
||||
}
|
||||
|
||||
/*
|
||||
while (!ul_buy.isEmpty() && !ask.isEmpty()) {
|
||||
Order a = ask.first();
|
||||
Order b = ul_buy.first();
|
||||
@ -201,7 +220,6 @@ class TradingEngine implements TradingAPI {
|
||||
this.checkSLOrders(price);
|
||||
}
|
||||
*/
|
||||
|
||||
//
|
||||
// Match limited orders against limited orders
|
||||
//
|
||||
@ -231,7 +249,7 @@ class TradingEngine implements TradingAPI {
|
||||
type = Order.Type.SELL;
|
||||
} else {
|
||||
price = a.limit;
|
||||
type=Order.Type.BUY;
|
||||
type = Order.Type.BUY;
|
||||
}
|
||||
|
||||
// The volume is calculated by best fit
|
||||
@ -263,7 +281,7 @@ class TradingEngine implements TradingAPI {
|
||||
q.price = price;
|
||||
q.volume = volume;
|
||||
q.time = outer.world.currentTimeMillis();
|
||||
q.type=type;
|
||||
q.type = type;
|
||||
addQuoteToHistory(q);
|
||||
}
|
||||
|
||||
@ -296,134 +314,89 @@ class TradingEngine implements TradingAPI {
|
||||
|
||||
}
|
||||
|
||||
//
|
||||
public Double
|
||||
getBestPrice() {
|
||||
SortedSet<Order> bid
|
||||
= order_books
|
||||
.get(Order.Type.BUYLIMIT
|
||||
);
|
||||
SortedSet<Order> ask
|
||||
= order_books
|
||||
.get(Order.Type.SELLLIMIT
|
||||
);
|
||||
public Double getBestPrice() {
|
||||
|
||||
Quote lq
|
||||
= null; //this.getLastQuoete();
|
||||
Order b
|
||||
= null;
|
||||
Order a
|
||||
= null;
|
||||
Order b;
|
||||
Order a;
|
||||
|
||||
if (!bid
|
||||
.isEmpty()) {
|
||||
b
|
||||
= bid
|
||||
.first();
|
||||
// Get first limited orders from bid and ask,
|
||||
// assign null if no order is present
|
||||
b = !bidbook.isEmpty() ? bidbook.first() : null;
|
||||
a = !askbook.isEmpty() ? askbook.first() : null;
|
||||
|
||||
}
|
||||
if (!ask
|
||||
.isEmpty()) {
|
||||
a
|
||||
= ask
|
||||
.first();
|
||||
|
||||
}
|
||||
// If there is neither bid nor ask and no last quote
|
||||
// we can't return a quote
|
||||
if (lq
|
||||
== null && b
|
||||
== null && a
|
||||
== null) {
|
||||
// If there is neither bid nor ask and also no last quote
|
||||
// we can't return a price
|
||||
if (last_quote == null && b == null && a == null) {
|
||||
return null;
|
||||
|
||||
}
|
||||
// there is bid and ask
|
||||
if (a
|
||||
!= null && b
|
||||
!= null) {
|
||||
Quote q
|
||||
= new Quote(-1);
|
||||
System.out
|
||||
.printf("aaaaa bbbbb %f %f \n", a.limit,
|
||||
b.limit
|
||||
);
|
||||
// if there is no last quote calculate from bid and ask
|
||||
//if (lq == null) {
|
||||
|
||||
double rc
|
||||
= (bid
|
||||
.first().limit
|
||||
+ ask
|
||||
.first().limit) / 2.0;
|
||||
System.out
|
||||
.printf("RCRC2.0: %f\n", rc
|
||||
);
|
||||
// Both limited bid and ask are present
|
||||
if (a != null && b != null) {
|
||||
|
||||
return rc;
|
||||
// }
|
||||
|
||||
/*
|
||||
if (lq.price < b.limit) {
|
||||
return b.limit;
|
||||
// if there is no last quote, we calculate the prpice
|
||||
// from bid and ask by simply averaging the limits
|
||||
if (last_quote == null) {
|
||||
return (bidbook.first().limit + askbook.first().limit) / 2.0;
|
||||
}
|
||||
if (lq.price > a.limit) {
|
||||
return a.limit;
|
||||
}
|
||||
return lq.price;
|
||||
*/
|
||||
}
|
||||
if (a
|
||||
!= null) {
|
||||
Quote q
|
||||
= new Quote(-1);
|
||||
|
||||
if (lq
|
||||
== null) {
|
||||
return a.limit;
|
||||
|
||||
}
|
||||
if (lq.price
|
||||
> a.limit) {
|
||||
return a.limit;
|
||||
|
||||
}
|
||||
return lq.price;
|
||||
|
||||
}
|
||||
if (b
|
||||
!= null) {
|
||||
Quote q
|
||||
= new Quote(-1);
|
||||
|
||||
if (lq
|
||||
== null) {
|
||||
// Last quote is below bid, so the best price is the
|
||||
// current bid
|
||||
if (last_quote.price < b.limit) {
|
||||
return b.limit;
|
||||
}
|
||||
|
||||
// Last price is grater ask, so return the current ask
|
||||
if (last_quote.price > a.limit) {
|
||||
return a.limit;
|
||||
}
|
||||
|
||||
// Last price is somewhere between bid and ask,
|
||||
// we return the last price
|
||||
return last_quote.price;
|
||||
|
||||
}
|
||||
|
||||
// There is no limited ask, but limited bid
|
||||
if (a != null) {
|
||||
|
||||
// retrun last quote if present or lower than ask,
|
||||
// otherwise return the current ask
|
||||
if (last_quote == null) {
|
||||
return a.limit;
|
||||
}
|
||||
if (last_quote.price > a.limit) {
|
||||
return a.limit;
|
||||
|
||||
}
|
||||
if (lq.price
|
||||
return last_quote.price;
|
||||
|
||||
}
|
||||
|
||||
// No bid, but ask is present
|
||||
// Same as a !=null like before but reversed
|
||||
if (b != null) {
|
||||
if (last_quote == null) {
|
||||
return b.limit;
|
||||
}
|
||||
if (last_quote.price
|
||||
< b.limit) {
|
||||
return b.limit;
|
||||
|
||||
}
|
||||
return lq.price;
|
||||
|
||||
return last_quote.price;
|
||||
}
|
||||
if (lq
|
||||
== null) {
|
||||
return null;
|
||||
|
||||
}
|
||||
return lq.price;
|
||||
// Both bid and ask are not present, return last quote.
|
||||
// The case that last_quote is null can never happen here.
|
||||
return last_quote.price;
|
||||
|
||||
}
|
||||
|
||||
@Override
|
||||
public Order
|
||||
createOrder(Account account,
|
||||
Order.Type type,
|
||||
double volume,
|
||||
double limit
|
||||
Order.Type type,
|
||||
double volume,
|
||||
double limit
|
||||
) {
|
||||
Order o;
|
||||
|
||||
@ -472,7 +445,7 @@ class TradingEngine implements TradingAPI {
|
||||
// reduce the available money
|
||||
account.assets_avail
|
||||
.put(currency,
|
||||
avail
|
||||
avail
|
||||
- v
|
||||
* l
|
||||
);
|
||||
@ -503,7 +476,7 @@ class TradingEngine implements TradingAPI {
|
||||
// All available monney is assigned to this unlimited order
|
||||
account.assets_avail
|
||||
.put(currency,
|
||||
0.0);
|
||||
0.0);
|
||||
// we "mis"use order_limit to memorize occupied ammount \
|
||||
// of currency
|
||||
order_limit
|
||||
@ -533,7 +506,7 @@ class TradingEngine implements TradingAPI {
|
||||
}
|
||||
account.assets_avail
|
||||
.put(asset,
|
||||
avail
|
||||
avail
|
||||
- v
|
||||
);
|
||||
order_limit
|
||||
@ -550,9 +523,9 @@ class TradingEngine implements TradingAPI {
|
||||
|
||||
o
|
||||
= new opensesim.world.Order(this, account,
|
||||
type,
|
||||
v,
|
||||
order_limit
|
||||
type,
|
||||
v,
|
||||
order_limit
|
||||
);
|
||||
|
||||
System.out
|
||||
|
||||
Loading…
Reference in New Issue
Block a user