plham

Class IndexMarket

plham.Market

plham.IndexMarket

public class IndexMarket
extends Market

A class for markets (assets) associated with some underlying markets (assets).

• Call addMarkets(List[Market]) to add underlying components.
• Specify its index calculation scheme (plham.index.IndexScheme) (unset by default).

Nested Class Summary

Nested classes/interfaces inherited from class plham.Market

Market.AgentUpdate, Market.ExecutionLog, Market.MarketEvent, Market.OrderEvent

Field Summary

Fields

Modifier and Type	Field and Description
List<Long>	components The list of its underlying markets by their ids.
IndexScheme	fundamentalIndexScheme
List<Double>	fundamentalIndices
IndexScheme	marketIndexScheme
List<Double>	marketIndices

Fields inherited from class plham.Market

NO_TICKSIZE, ROUND_LOWER, ROUND_UPPER, _isRunning, afterOrderHandlingEvents, afterSimulationStepEvents, agentUpdates, beforeOrderHandlingEvents, beforeSimulationStepEvents, buyOrderBook, buyOrdersCounts, env, executedOrdersCounts, executionLogs, fundamentalPrices, id, lastExecutedPrices, marketPrices, name, outstandingShares, random, sellOrderBook, sellOrdersCounts, sumExecutedVolumes, tickSize, time

Constructor Summary

Constructors

Constructor and Description
IndexMarket()

Method Summary

Modifier and Type	Method and Description
void	addMarket(Market market)
void	addMarkets(List<Market> markets)
Double	computeFundamentalIndex() Compute the latest fundamental index value.
Double	computeMarketIndex() Compute the latest market index value.
List<Long>	getComponents() Get a list of market ids, the components of the index.
Double	getFundamentalIndex() Get the latest fundamental index value.
Double	getFundamentalIndex(Long t) Get the fundamental index value at time t.
IndexScheme	getFundamentalIndexScheme() Declaration: getFundamentalIndexScheme():plham.index.IndexScheme.
Double	getIndex() Get the latest market index value.
Double	getIndex(Long t) Get the market index at time t.
Double	getMarketIndex() Get the latest market index value.
Double	getMarketIndex(Long t) Get the market index at time t.
IndexScheme	getMarketIndexScheme() Declaration: getMarketIndexScheme():plham.index.IndexScheme. Get this market index calculation scheme.
List<Market>	getMarkets() Get a list of markets.
Boolean	isAllMarketsRunning()
IndexScheme	setFundamentalIndexScheme(IndexScheme scheme) Declaration: setFundamentalIndexScheme(scheme:plham.index.IndexScheme):plham.index.IndexScheme.
void	setInitialFundamentalIndex(Double index)
void	setInitialMarketIndex(Double index)
IndexScheme	setMarketIndexScheme(IndexScheme scheme) Declaration: setMarketIndexScheme(scheme:plham.index.IndexScheme):plham.index.IndexScheme. Set this market index calculation scheme.
void	tickUpdateMarketPrice()
void	updateFundamentalPrice(Double price)
void	updateMarketPrice(Double price)

Methods inherited from class plham.Market

addAfterOrderHandlingEvent, addAfterSimulationStepEvent, addBeforeOrderHandlingEvent, addBeforeSimulationStepEvent, cancelBuyOrder, cancelSellOrder, check, executeAgentUpdate, executeBuyOrders, executeOrders, executeSellOrders, getBestBuyPrice, getBestSellPrice, getBuyOrderBook, getFundamentalPrice, getFundamentalPrice, getMarketPrice, getMarketPrice, getMidPrice, getNextMarketPrice, getOutstandingShares, getPrice, getPrice, getRandom, getSellOrderBook, getTickSize, getTime, getTradeVolume, getTradeVolume, handleAgentUpdate, handleBuyLimitOrder, handleBuyMarketOrder, handleBuyOrder, handleOrder, handleOrders, handleSellLimitOrder, handleSellMarketOrder, handleSellOrder, isRunning, itayoseOrderBooks, roundBuyPrice, roundPrice, roundSellPrice, setId, setInitialFundamentalPrice, setInitialMarketPrice, setName, setOutstandingShares, setRandom, setRunning, setTickSize, setTime, setTradeVolume, tickUpdateMarketPrice, triggerAfterOrderHandlingEvents, triggerAfterSimulationStepEvents, triggerBeforeOrderHandlingEvents, triggerBeforeSimulationStepEvents, updateFundamentalPrice, updateMarketPrice, updateMarketPrice, updateOrderBooks, updateTime

Field Detail

components

public List<Long> components

The list of its underlying markets by their ids.

marketIndices

public List<Double> marketIndices

fundamentalIndices

public List<Double> fundamentalIndices

marketIndexScheme

public IndexScheme marketIndexScheme

fundamentalIndexScheme

public IndexScheme fundamentalIndexScheme

Constructor Detail

IndexMarket

public IndexMarket()

Method Detail

addMarket

public void addMarket(Market market)

addMarkets

public void addMarkets(List<Market> markets)

getComponents

public List<Long> getComponents()

Get a list of market ids, the components of the index. It can be helpful before setting market's env field.

getMarkets

public List<Market> getMarkets()

Get a list of markets. It can be available after setting its env field.

isAllMarketsRunning

public Boolean isAllMarketsRunning()

getIndex

public Double getIndex()

Get the latest market index value. Same as getMarketIndex().

Returns:

the index value

getIndex

public Double getIndex(Long t)

Get the market index at time t. Same as getMarketIndex(t).

Parameters:

t -

Returns:

the index value at time t

getMarketIndex

public Double getMarketIndex()

Get the latest market index value. Same as getIndex().

Returns:

the index value

getMarketIndex

public Double getMarketIndex(Long t)

Get the market index at time t. Same as getIndex(t).

Parameters:

t -

Returns:

the index value at time t

getFundamentalIndex

public Double getFundamentalIndex()

Get the latest fundamental index value.

Returns:

the index value

getFundamentalIndex

public Double getFundamentalIndex(Long t)

Get the fundamental index value at time t.

Parameters:

t -

Returns:

the index value at time t

computeMarketIndex

public Double computeMarketIndex()

Compute the latest market index value.

Returns:

the index value

computeFundamentalIndex

public Double computeFundamentalIndex()

Compute the latest fundamental index value.

Returns:

the index value

getMarketIndexScheme

public IndexScheme getMarketIndexScheme()

Declaration: getMarketIndexScheme():plham.index.IndexScheme.

Get this market index calculation scheme.

Returns:

the scheme

setMarketIndexScheme

public IndexScheme setMarketIndexScheme(IndexScheme scheme)

Declaration: setMarketIndexScheme(scheme:plham.index.IndexScheme):plham.index.IndexScheme.

Set this market index calculation scheme.

Parameters:

scheme -

Returns:

the scheme

getFundamentalIndexScheme

public IndexScheme getFundamentalIndexScheme()

Declaration: getFundamentalIndexScheme():plham.index.IndexScheme.

setFundamentalIndexScheme

public IndexScheme setFundamentalIndexScheme(IndexScheme scheme)

Declaration: setFundamentalIndexScheme(scheme:plham.index.IndexScheme):plham.index.IndexScheme.

tickUpdateMarketPrice

public void tickUpdateMarketPrice()

updateMarketPrice

public void updateMarketPrice(Double price)

updateFundamentalPrice

public void updateFundamentalPrice(Double price)

setInitialMarketIndex

public void setInitialMarketIndex(Double index)

setInitialFundamentalIndex

public void setInitialFundamentalIndex(Double index)