Market

plham.Market

Direct Known Subclasses:

IndexMarket
```
public class Market
```
The base class for markets. A continuous double auction mechanism is implemented.
- Override handleOrders(List[Order]) and handleOrder(Order) to implement a matching mechanism.
- The price of every order will be rounded in increments of a tick size (in handleOrder(Order)).
- Market orders never be added onto the orderbooks (in the current implementation).
- Do not call handleOrders(List[Order]) family in Agent#submitOrders(List[Market]).
- Do not access to the fields as much as possible; Use the corresponding methods if exist.
On events, it currently supports four places to register.
- beforeSimulationStep: Called once before a simulation step (once each step)
- afterSimulationStep: Called once after a simulation step (once each step)
- beforeOrderHandling: Called every before handling an order (once per order)
- afterOrderHandling: Called every after handling an order (once per order)

Nested Class Summary

Nested Classes
Modifier and Type	Class and Description
`static class`	`Market.AgentUpdate`
`static class`	`Market.ExecutionLog`
`static interface`	`Market.MarketEvent`
`static interface`	`Market.OrderEvent`

Field Summary

Fields
Modifier and Type	Field and Description
`Double`	`NO_TICKSIZE`
`static Fun_0_2 <Double,Double,Double>`	`ROUND_LOWER` Field Type: `(Double,Double)=>Double`
`static Fun_0_2 <Double,Double,Double>`	`ROUND_UPPER` Field Type: `(Double,Double)=>Double`
`Boolean`	`_isRunning`
`List<Market.OrderEvent>`	`afterOrderHandlingEvents`
`List<Market.MarketEvent>`	`afterSimulationStepEvents`
`List<List<Market.AgentUpdate>>`	`agentUpdates`
`List<Market.OrderEvent>`	`beforeOrderHandlingEvents`
`List<Market.MarketEvent>`	`beforeSimulationStepEvents`
`OrderBook`	`buyOrderBook`
`List<Long>`	`buyOrdersCounts`
`Env`	`env`
`List<Long>`	`executedOrdersCounts`
`List<List<Market.ExecutionLog>>`	`executionLogs`
`List<Double>`	`fundamentalPrices`
`Long`	`id` The id of this market assigned by the system.
`List<Double>`	`lastExecutedPrices`
`List<Double>`	`marketPrices`
`String`	`name` The JSON object name.
`Long`	`outstandingShares`
`Random`	`random` The RNG given by the system (DON'T CHANGE IT).
`OrderBook`	`sellOrderBook`
`List<Long>`	`sellOrdersCounts`
`List<Long>`	`sumExecutedVolumes`
`Double`	`tickSize`
`Time`	`time` NOTE: Use `getTime()` instead.

Constructor Summary

Constructors
Constructor and Description

Market(Long id)

Market()

Constructors
Constructor and Description
`Market(Long id)`
`Market()`

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`Boolean`	`addAfterOrderHandlingEvent(Market.OrderEvent e)`
`Boolean`	`addAfterSimulationStepEvent(Market.MarketEvent e)`
`Boolean`	`addBeforeOrderHandlingEvent(Market.OrderEvent e)`
`Boolean`	`addBeforeSimulationStepEvent(Market.MarketEvent e)`
`protected void`	`cancelBuyOrder(Order order)`
`protected void`	`cancelSellOrder(Order order)`
`void`	`check()`
`void`	`executeAgentUpdate(List<Agent> agents, Market.AgentUpdate update)`
`protected void`	`executeBuyOrders(Order buyOrder, Order sellOrder)`
`protected void`	`executeOrders(Double price, Order buyOrder, Order sellOrder, Boolean isSellMajor)` Exchange the cash and assets between the buyer and seller.
`protected void`	`executeSellOrders(Order sellOrder, Order buyOrder)`
`Double`	`getBestBuyPrice()` Get the best (highest) buy/bid price.
`Double`	`getBestSellPrice()` Get the best (lowest) sell/ask price.
`OrderBook`	`getBuyOrderBook()` Declaration: `getBuyOrderBook():plham.OrderBook.`
`Double`	`getFundamentalPrice()`
`Double`	`getFundamentalPrice(Long t)`
`Double`	`getMarketPrice()`
`Double`	`getMarketPrice(Long t)`
`Double`	`getMidPrice()` Get the mid price, the average (middle) of the best buy/bid and sell/ask prices.
`Double`	`getNextMarketPrice()` Return the next market price at t + 1.
`Long`	`getOutstandingShares()`
`Double`	`getPrice()`
`Double`	`getPrice(Long t)`
`Random`	`getRandom()`
`OrderBook`	`getSellOrderBook()` Declaration: `getSellOrderBook():plham.OrderBook.`
`Double`	`getTickSize()` Declaration: `getTickSize():Double.` See also `roundPrice()`.
`Long`	`getTime()` Declaration: `getTime():Long.`
`Long`	`getTradeVolume()`
`Long`	`getTradeVolume(Long t)`
`void`	`handleAgentUpdate(Market.AgentUpdate update)`
`protected void`	`handleBuyLimitOrder(Order buyOrder)`
`protected void`	`handleBuyMarketOrder(Order buyOrder)`
`protected void`	`handleBuyOrder(Order order)`
`void`	`handleOrder(Order order)` Handle orders from some agents.
`void`	`handleOrders(List<Order> orders)` Handle orders from some agents.
`protected void`	`handleSellLimitOrder(Order sellOrder)`
`protected void`	`handleSellMarketOrder(Order sellOrder)`
`protected void`	`handleSellOrder(Order order)`
`Boolean`	`isRunning()` Whether this market is open or not (closed).
`void`	`itayoseOrderBooks()` Perform the itayose method for clearance of matched orders.
`Double`	`roundBuyPrice(Double price)`
`Order`	`roundPrice(Order order)` Round the price of the order in increments of a tick size.
`Double`	`roundSellPrice(Double price)`
`Long`	`setId(Long id)` Declaration: `setId(id:Long):Long.` For system use only.
`void`	`setInitialFundamentalPrice(Double price)`
`void`	`setInitialMarketPrice(Double price)`
`String`	`setName(String name)` Declaration: `setName(name:String):String.` For system use only.
`Long`	`setOutstandingShares(Long outstandingShares)` Declaration: `setOutstandingShares(outstandingShares:Long):Long.`
`Random`	`setRandom(Random random)` For system use only.
`Boolean`	`setRunning(Boolean isRunning)` Declaration: `setRunning(isRunning:Boolean):Boolean.`
`Double`	`setTickSize(Double tickSize)` Declaration: `setTickSize(tickSize:Double):Double.` Note: `tickSize <= 0.0` means no tick size.
`Long`	`setTime(Long time)` Declaration: `setTime(time:Long):Long.`
`Long`	`setTradeVolume(Long t, Long tradeVolume)`
`void`	`tickUpdateMarketPrice()`
`void`	`triggerAfterOrderHandlingEvents(Order order)`
`void`	`triggerAfterSimulationStepEvents()`
`void`	`triggerBeforeOrderHandlingEvents(Order order)`
`void`	`triggerBeforeSimulationStepEvents()`
`void`	`updateFundamentalPrice(Double price)`
`void`	`updateMarketPrice()`
`void`	`updateMarketPrice(Double price)`
`void`	`updateOrderBooks()` Remove all expired and no-volume orders.
`Long`	`updateTime()` Declaration: `updateTime():Long.`

Field Detail

id
```
public Long id
```
The id of this market assigned by the system. DON'T CHANGE IT.

name
```
public String name
```
The JSON object name. DON'T CHANGE IT.

random
```
public Random random
```
The RNG given by the system (DON'T CHANGE IT).

_isRunning
```
public Boolean _isRunning
```

buyOrderBook
```
public OrderBook buyOrderBook
```

sellOrderBook
```
public OrderBook sellOrderBook
```

outstandingShares
```
public Long outstandingShares
```

time
```
public Time time
```
NOTE: Use getTime() instead.

env
```
public Env env
```

tickSize
```
public Double tickSize
```

NO_TICKSIZE
```
public final Double NO_TICKSIZE
```
See Also:

Constant Field Values

ROUND_UPPER

public static final Fun_0_2 <Double,Double,Double> ROUND_UPPER

Field Type: (Double,Double)=>Double

ROUND_LOWER

public static final Fun_0_2 <Double,Double,Double> ROUND_LOWER

Field Type: (Double,Double)=>Double

marketPrices
```
public List<Double> marketPrices
```

fundamentalPrices
```
public List<Double> fundamentalPrices
```

lastExecutedPrices
```
public List<Double> lastExecutedPrices
```

sumExecutedVolumes
```
public List<Long> sumExecutedVolumes
```

buyOrdersCounts
```
public List<Long> buyOrdersCounts
```

sellOrdersCounts
```
public List<Long> sellOrdersCounts
```

executedOrdersCounts
```
public List<Long> executedOrdersCounts
```

executionLogs

public List<List<Market.ExecutionLog>> executionLogs

agentUpdates

public List<List<Market.AgentUpdate>> agentUpdates

beforeOrderHandlingEvents

public List<Market.OrderEvent> beforeOrderHandlingEvents

afterOrderHandlingEvents

public List<Market.OrderEvent> afterOrderHandlingEvents

beforeSimulationStepEvents

public List<Market.MarketEvent> beforeSimulationStepEvents

afterSimulationStepEvents

public List<Market.MarketEvent> afterSimulationStepEvents

Constructor Detail

Market
```
public Market(Long id)
```

Market
```
public Market()
```

Method Detail

setId
```
public Long setId(Long id)
```
Declaration: setId(id:Long):Long.
For system use only.

setName
```
public String setName(String name)
```
Declaration: setName(name:String):String.
For system use only.

getRandom
```
public Random getRandom()
```
Returns:

An instance of Random (derived from the root).

setRandom

public Random setRandom(Random random)

For system use only.

handleOrders
```
public void handleOrders(List<Order> orders)
```
Handle orders from some agents. This method will be invoked by the system. The list of orders may include those of other markets (please skip them). The primary task, order matching, should be done in handleOrder(Order).

Parameters:

orders - a list of orders.

handleOrder
```
public void handleOrder(Order order)
```
Handle orders from some agents. This method will be invoked by the system. The primary task, order matching, should be done here.

Parameters:

orders - an order to this market.

cancelBuyOrder

protected void cancelBuyOrder(Order order)

cancelSellOrder

protected void cancelSellOrder(Order order)

handleBuyOrder

protected void handleBuyOrder(Order order)

handleSellOrder

protected void handleSellOrder(Order order)

handleBuyLimitOrder

protected void handleBuyLimitOrder(Order buyOrder)

handleSellLimitOrder

protected void handleSellLimitOrder(Order sellOrder)

handleBuyMarketOrder

protected void handleBuyMarketOrder(Order buyOrder)

handleSellMarketOrder

protected void handleSellMarketOrder(Order sellOrder)

updateOrderBooks
```
public void updateOrderBooks()
```
Remove all expired and no-volume orders.

itayoseOrderBooks
```
public void itayoseOrderBooks()
```
Perform the itayose method for clearance of matched orders. The method updateOrderBooks() will be called after this method.

isRunning
```
public Boolean isRunning()
```
Whether this market is open or not (closed). If false (closed), this market does not execute orders; just placing orders on the orderbooks.

setRunning
```
public Boolean setRunning(Boolean isRunning)
```
Declaration: setRunning(isRunning:Boolean):Boolean.

getTickSize
```
public Double getTickSize()
```
Declaration: getTickSize():Double.
See also roundPrice().

setTickSize
```
public Double setTickSize(Double tickSize)
```
Declaration: setTickSize(tickSize:Double):Double.
Note: tickSize <= 0.0 means no tick size.

roundPrice
```
public Order roundPrice(Order order)
```
Round the price of the order in increments of a tick size. Modify order in place and return it.

roundBuyPrice

public Double roundBuyPrice(Double price)

roundSellPrice

public Double roundSellPrice(Double price)

getNextMarketPrice
```
public Double getNextMarketPrice()
```
Return the next market price at t + 1. If some transactions occur, the last transaction price will be the next market price. Otherwise if the market has a mid price, it will be used. Otherwise, the last market price is used. This method does not change any internal state of this market; Use updateMarketPrice() for this purpose.

tickUpdateMarketPrice
```
public void tickUpdateMarketPrice()
```

updateMarketPrice
```
public void updateMarketPrice()
```

updateMarketPrice

public void updateMarketPrice(Double price)

updateFundamentalPrice

public void updateFundamentalPrice(Double price)

setInitialMarketPrice

public void setInitialMarketPrice(Double price)

setInitialFundamentalPrice

public void setInitialFundamentalPrice(Double price)

getPrice
```
public Double getPrice()
```

getPrice
```
public Double getPrice(Long t)
```

getMarketPrice
```
public Double getMarketPrice()
```

getMarketPrice
```
public Double getMarketPrice(Long t)
```

getFundamentalPrice
```
public Double getFundamentalPrice()
```

getFundamentalPrice

public Double getFundamentalPrice(Long t)

getBuyOrderBook
```
public OrderBook getBuyOrderBook()
```
Declaration: getBuyOrderBook():plham.OrderBook.

getSellOrderBook
```
public OrderBook getSellOrderBook()
```
Declaration: getSellOrderBook():plham.OrderBook.

getBestBuyPrice
```
public Double getBestBuyPrice()
```
Get the best (highest) buy/bid price. NaN if no order.

getBestSellPrice
```
public Double getBestSellPrice()
```
Get the best (lowest) sell/ask price. NaN if no order.

getMidPrice
```
public Double getMidPrice()
```
Get the mid price, the average (middle) of the best buy/bid and sell/ask prices.

getOutstandingShares
```
public Long getOutstandingShares()
```

setOutstandingShares
```
public Long setOutstandingShares(Long outstandingShares)
```
Declaration: setOutstandingShares(outstandingShares:Long):Long.

getTime
```
public Long getTime()
```
Declaration: getTime():Long.

setTime
```
public Long setTime(Long time)
```
Declaration: setTime(time:Long):Long.

updateTime
```
public Long updateTime()
```
Declaration: updateTime():Long.

check
```
public void check()
```

executeBuyOrders

protected void executeBuyOrders(Order buyOrder,
                                Order sellOrder)

executeSellOrders

protected void executeSellOrders(Order sellOrder,
                                 Order buyOrder)

executeOrders

protected void executeOrders(Double price,
                             Order buyOrder,
                             Order sellOrder,
                             Boolean isSellMajor)

Exchange the cash and assets between the buyer and seller. The 1st argument price is used to exchange.

Parameters:: isSellMajor - is an aux information: true if the exchange price is determined by an order on the sell orderbook (seller).

getTradeVolume
```
public Long getTradeVolume()
```

getTradeVolume
```
public Long getTradeVolume(Long t)
```

setTradeVolume

public Long setTradeVolume(Long t,
                                    Long tradeVolume)

handleAgentUpdate

public void handleAgentUpdate(Market.AgentUpdate update)

executeAgentUpdate

public void executeAgentUpdate(List<Agent> agents,
                               Market.AgentUpdate update)

addBeforeOrderHandlingEvent

public Boolean addBeforeOrderHandlingEvent(Market.OrderEvent e)

addAfterOrderHandlingEvent

public Boolean addAfterOrderHandlingEvent(Market.OrderEvent e)

addBeforeSimulationStepEvent

public Boolean addBeforeSimulationStepEvent(Market.MarketEvent e)

addAfterSimulationStepEvent

public Boolean addAfterSimulationStepEvent(Market.MarketEvent e)

triggerBeforeOrderHandlingEvents

public void triggerBeforeOrderHandlingEvents(Order order)

triggerAfterOrderHandlingEvents

public void triggerAfterOrderHandlingEvents(Order order)

triggerBeforeSimulationStepEvents

public void triggerBeforeSimulationStepEvents()

triggerAfterSimulationStepEvents

public void triggerAfterSimulationStepEvents()

Class Market

Nested Class Summary

Field Summary

Constructor Summary

Method Summary

Field Detail

id

name

random

_isRunning

buyOrderBook

sellOrderBook

outstandingShares

time

env

tickSize

NO_TICKSIZE

ROUND_UPPER

ROUND_LOWER

marketPrices

fundamentalPrices

lastExecutedPrices

sumExecutedVolumes

buyOrdersCounts

sellOrdersCounts

executedOrdersCounts

executionLogs

agentUpdates

beforeOrderHandlingEvents

afterOrderHandlingEvents

beforeSimulationStepEvents

afterSimulationStepEvents

Constructor Detail

Market

Market

Method Detail

setId

setName

getRandom

setRandom

handleOrders

handleOrder

cancelBuyOrder

cancelSellOrder

handleBuyOrder

handleSellOrder

handleBuyLimitOrder

handleSellLimitOrder

handleBuyMarketOrder

handleSellMarketOrder

updateOrderBooks

itayoseOrderBooks

isRunning

setRunning

getTickSize

setTickSize

roundPrice

roundBuyPrice

roundSellPrice

getNextMarketPrice

tickUpdateMarketPrice

updateMarketPrice

updateMarketPrice

updateFundamentalPrice

setInitialMarketPrice

setInitialFundamentalPrice

getPrice

getPrice

getMarketPrice

getMarketPrice

getFundamentalPrice

getFundamentalPrice

getBuyOrderBook

getSellOrderBook

getBestBuyPrice

getBestSellPrice

getMidPrice

getOutstandingShares

setOutstandingShares

getTime