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#983 Simulated prices provider to have random small walk logic - fixe… #1055

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merged 2 commits into from
Dec 27, 2023
Merged

#983 Simulated prices provider to have random small walk logic - fixe… #1055

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dbe6dc5
#983 Simulated prices provider to have random small walk logic - fixe…
keikeicheung Dec 6, 2023
504a2f9
#983 Simulated prices provider to have random small walk logic - alwa…
keikeicheung Dec 6, 2023
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24 changes: 14 additions & 10 deletions example/price/src/main/scala/org/finos/vuu/provider/simulation/SimulatedPricesProvider.scala
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Original file line number Diff line number Diff line change
Expand Up @@ -89,8 +89,8 @@ class SimulatedPricesProvider(val table: DataTable, @volatile var maxSleep: Int
val maxBidValue = maxBid(bid, tempAsk, spreadMultipler, priceMaxDelta)
val minAskValue = minAsk(bid, tempAsk, spreadMultipler, priceMaxDelta)
val maxAskValue = maxAsk(bid, tempAsk, spreadMultipler, priceMaxDelta)
val newBid = (nextRandomDouble(minBidValue, maxBidValue) * 100).round / 100.0
val newAsk = (nextRandomDouble(minAskValue, maxAskValue) * 100).round / 100.0
val newBid = round(nextRandomDouble(minBidValue, maxBidValue))
val newAsk = round(nextRandomDouble(minAskValue, maxAskValue))
(newBid, newAsk)
}

Expand Down Expand Up @@ -252,19 +252,19 @@ class SimulatedPricesProvider(val table: DataTable, @volatile var maxSleep: Int
val tempBid = nextRandomDouble(mid - priceMaxDelta, mid - 1)
val ask = nextRandomDouble(mid + 1, mid + priceMaxDelta)
val bid = if (tempBid < 0) mid else tempBid
val newBid = (bid * 100).round / 100.0
val newAsk = (ask * 100).round / 100.0
val newBid = round(bid)
val newAsk = round(ask)
(newBid, newAsk)
}
protected def buildSampleRow(ric: String): Map[String, Any] = {
val(bid: Double, ask:Double) = initBidAsk(5,nextRandomDouble)
Map(f.Ric -> ric, f.Ask -> ask, f.Bid -> bid, f.Phase -> "C") ++ BidAskSize()
}

final val MaxSpread = 100
final val MaxSpread = 10

protected def doWidenBidAndAsk(ric: String): Map[String, Any] = {
if (!states.get(ric).contains(ric)) {
if (!states.get(ric).contains(f.Bid)) {
seedStartValues(ric)
} else {
getState(ric) match {
Expand All @@ -277,8 +277,8 @@ class SimulatedPricesProvider(val table: DataTable, @volatile var maxSleep: Int
else
spread

val newBid = bid - activeSpread
val newAsk = ask + activeSpread
val newBid = round(bid - activeSpread)
val newAsk = round(ask + activeSpread)
Map(f.Ric -> ric, f.Ask -> newAsk, f.Bid -> newBid, f.Scenario -> "widenBidAndAsk", f.Phase -> "C") ++ BidAskSize()
case None => throw new Exception("shouldn't get here")
}
Expand All @@ -293,11 +293,15 @@ class SimulatedPricesProvider(val table: DataTable, @volatile var maxSleep: Int
val bid = states.get(ric)(f.Bid).asInstanceOf[Double]
val ask = states.get(ric)(f.Ask).asInstanceOf[Double]
val (newBid:Double, newAsk:Double) = generateNextBidAsk(bid, ask, 10, 5, nextRandomDouble)
val last = ((ask + (newAsk - ask) / 2) * 100).round / 100.0
val last = round(ask + (newAsk - ask) / 2)
Map(f.Ric -> ric, f.Ask -> newAsk, f.Bid -> newBid, f.Scenario -> "fastTick", f.Last -> last, f.Phase -> "C") ++ BidAskSize()
}
}

private def round(value: Double): Double = {
(value * 100).round / 100.0
}

protected def doOpenTick(ric: String): Map[String, Any] = {

if (!states.get(ric).contains(f.Bid))
Expand All @@ -306,7 +310,7 @@ class SimulatedPricesProvider(val table: DataTable, @volatile var maxSleep: Int
val bid = states.get(ric)(f.Bid).asInstanceOf[Double]
val ask = states.get(ric)(f.Ask).asInstanceOf[Double]
val (newBid: Double, newAsk: Double) = generateNextBidAsk(bid, ask, 8, 4, nextRandomDouble)
val open = ask + (newAsk - ask) / 2
val open = round(ask + (newAsk - ask) / 2)
Map(f.Ric -> ric, f.Scenario -> "open", f.Open -> open, f.Phase -> "O") ++ BidAskSize()
}
}
Expand Down
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