void MarketFileSource::retrieveRecord(){
if (!_enabled) return;
AbstractFileSource::retrieveRecord();
CSVDatabase db;
readCSV(_inFile, db);
int numOfRows=db.size();
int numOfCols=db.at(0).size();
RecordHelper::MarketMap marketMap;
for (int j=1;j<numOfCols;j++) {
String marketStr = db.at(0).at(j);
enums::CurrencyEnum CurrencyEnum = EnumHelper::getCcyEnum(marketStr);
Market* market = new Market();
for (int i=0;i<numOfRows;i++){
String fieldName=db.at(i).at(0);
String fieldVal=db.at(i).at(j);
updateMarketObjectField(fieldName, fieldVal, market);
}
market->display();
marketMap.insert(std::make_pair(CurrencyEnum,*market));
}
RecordHelper::getInstance()->setMarketMap(marketMap);
_inFile.close();
}
string Human::getTakeChoice(Market & market)
{
bool buggedcase = true;
bool invalidchoice = true;
do {
bool invalidchar;
do {
cout<<endl << "Please select the cards that you would like to take:"<< endl;
market.printCards();
if (buggedcase)
cin.ignore();
getline(cin, choice);
cout << "\033[2J\033[1;1H" << endl;
choice.erase(std::remove(choice.begin(), choice.end(), ' '), choice.end());
cout << "Your choice was: " << choice << endl;
invalidchar = isInvalidChar(choice);
if (invalidchar)
{
buggedcase = false;
cout << "You entered an invalid character. Please try again." << endl;;
}//end if
} while (invalidchar);
invalidchoice = isInvalidChoice(choice, market.getSize());
if (invalidchoice)
{
buggedcase = false;
cout << "You entered an invalid choice. Please try again." << endl;
}//end if
} while(invalidchoice);
return choice;
}
int main() {
// randomData(false, 3, 5, 10000); return 0;
freopen("in", "r", stdin);
// Fisher ArrowDebreu
// EdmondsKarp ISAP SAP
Market *market = new Fisher((MaxFlow *)new EdmondsKarp());
for(int cas=1; market->read(); ++cas) {
printf("cas: %d\n", cas);
market->solve();
}
return 0;
}
void DepositFileSource::insertRateIntoMap(std::string tenorStr, double liborRate, Market market, map<long, double>* depositRateMap, map<long, double>* overnightRateMap){
date startDate = dateUtil::dayRollAdjust(dateUtil::getToday(),enums::Following,market.getMarketEnum());
char tenorUnit = *tenorStr.rbegin();
int tenorNum = std::stoi(tenorStr.substr(0,tenorStr.size()-1)); // 2
if (tenorUnit != 'D')
startDate = dateUtil::getBizDateOffSet(startDate,market.getBusinessDaysAfterSpot(enums::SWAP),market.getMarketEnum()); // day after spot adjust
long JDN = dateUtil::getEndDate(startDate,tenorNum, market.getDayRollCashConvention(), market.getMarketEnum(), dateUtil::getDateUnit(tenorUnit)).getJudianDayNumber();
if (tenorUnit == 'D'){
overnightRateMap->insert(pair<long, double>(tenorNum, liborRate));
cout << market.getNameString()<< " -> tenor[" << tenorStr <<"], accrual start["<<startDate.toString()<<"], duration ["
<<tenorNum <<"], deposit rate["<< liborRate << "]"<<endl;
}else{
date accrualEndDate(JDN);
depositRateMap->insert(pair<long, double>(JDN, liborRate));
cout << market.getNameString()<< " -> tenor[" << tenorStr<<"], accrual start["<<startDate.toString()<<"], accrual end["
<<accrualEndDate.toString() <<"], deposit rate["<< liborRate << "]"<<endl;
}
}
RoundVector Actor::marginalRevenue(const RoundVector& prices,
const RoundVector& quantity,
const Market& market,
const RoundVector& production) const {
RoundVector mr;
for (int r = 0; r <= NumRounds; r++) {
mr(r) = prices(r) + quantity(r) * market.dPrice(r, production(r));
}
return mr;
}
/*
* buy function
* takes Market reference, stock, date, and quantity
* returns true or false depending if conditions meet to buy
*/
bool Player::buy(Market &m, string stock, long date, long quantity) {
bool result=true;
double stockprice = m.get_price(stock,date)*quantity;
if (stockprice > 0 && stockprice <= cash) {
stocks[stock]+=quantity;
cash -= stockprice;
}
else
result=false;
return result;
}
Swaption::Swaption(Market market,PayReceive PayReceiveInd, int expiryInMonth, double strikeInBps, int tenorInMonth){
date swapStartDate = dateUtil::getEndDate(dateUtil::getToday(),expiryInMonth,enums::Mfollowing, market.getCurrencyEnum(), dateUtil::MONTH);
double notional=1000000;
double couponRate=0.03;
int paymentFreqFixLeg=2;
int paymentFreqFloatingLeg=4;
bool rollAccuralDates=true;
DiscountCurve* dc = MarketData::getInstance()->getSwapDiscountCurve(market.getCurrencyEnum());
SwaptionVolCube* vc = MarketData::getInstance()->getSwaptionVolCube(market.getCurrencyEnum());
//Swap* underlyingSwap= new Swap(swapStartDate, tenorInMonth, notional, couponRate, dc, market, paymentFreqFixLeg, paymentFreqFloatingLeg, rollAccuralDates);
//BaseSwaption(market, PayReceiveInd, expiryInMonth, strikeInBps, vc, dc, underlyingSwap);
}
void DB::loadOrders() {
mongo::BSONObj o_max = getInstance().findOne("btct.orders", mongo::Query().sort("_id", -1));
mongo::BSONObj t_max = getInstance().findOne("btct.transactions", mongo::Query().sort("_id", -1));
uint64_t o_next_id = o_max.getField("_id").ok()?o_max.getField("_id").Long():10000;
if(o_next_id < 10000) {
o_next_id = 10000;
}
uint64_t t_next_id = t_max.getField("_id").ok()?t_max.getField("_id").Long():1;
if(t_next_id <= 1){
t_next_id = 1;
}
Order::next_id = o_next_id + 1;
Transaction::next_id = t_next_id + 1;
std::auto_ptr<mongo::DBClientCursor> cursor = getInstance().query("btct.orders", QUERY("qty" << mongo::GT << 0));
int order_count = 0;
printf("Loading orders...\n");
while (cursor->more()) {
mongo::BSONObj p = cursor->next();
Market *market = Market::markets[p.getIntField("market_id")];
Order *o = new Order(
market,
(const uint32_t) p.getIntField("account_id"),
(const order_type_t) p.getBoolField("direction"),
(const uint64_t) p.getField("qty").Long(),
(const uint64_t) p.getField("orig_qty").Long(),
(const uint64_t) p.getField("price").Long(),
(const uint64_t) p.getField("_id").Long(),
(const uint32_t) p.getIntField("timestamp"),
(const order_status_t) p.getIntField("status"));
market->addOrder(o);
order_count++;
}
printf("Loaded %u orders\n", order_count);
printf("Biggest order number: %llu\n", o_next_id);
}
/*
* sell function
* takes Market reference, stock, date, and quantity
* returns true or false depending if conditions meet to sell
*/
bool Player::sell(Market &m, string stock, long date, long quantity) {
bool result = true;
double stockprice = m.get_price(stock,date)*quantity;
auto mark = stocks.find(stock);
if (mark != stocks.end()) {
if (stocks[stock] >= quantity && stockprice > 0) {
cash +=stockprice;
stocks[stock]-=quantity;
}
else
result=false;
} else
result=false;
return result;
}
Swap::Swap(date tradeDate, int tenorNumOfMonths, double notional, double couponRate, DiscountCurve* yc, Market fixLegCurr, Market floatingLegCurr, int paymentFreqFixLeg, int paymentFreqFloatingLeg, bool rollAccuralDates) {
setTradeDate(tradeDate);
setMaturityDate(dateUtil::getEndDate(tradeDate,tenorNumOfMonths,fixLegCurr.getDayRollSwapConvention(),fixLegCurr.getMarketEnum(),dateUtil::MONTH));
BuilderCashFlowLeg* fixLegs = new BuilderCashFlowLeg(enums::SWAP,tradeDate, tenorNumOfMonths,couponRate,notional, paymentFreqFixLeg, fixLegCurr.getMarketEnum());
BuilderCashFlowLeg* floatLegs= new BuilderCashFlowLeg(enums::SWAP,tradeDate, tenorNumOfMonths,yc,notional, paymentFreqFloatingLeg, floatingLegCurr.getMarketEnum());
_fixCashflowLeg=fixLegs->getCashFlowLeg();
_floatingCashflowLeg=floatLegs->getCashFlowLeg();
_yc=yc;
_fixLegCurr=fixLegCurr;
_floatingLegCurr=floatingLegCurr;
_paymentFreqFixLeg=paymentFreqFixLeg;
_paymentFreqFloatingLeg=paymentFreqFloatingLeg;
_tenorNumOfMonths=tenorNumOfMonths;
}
Swaption::Swaption(Market market,PayReceive PayReceiveInd, int expiryInMonth, double strikeInBps, Swap* underlyingSwap){
SwaptionVolCube* vc = MarketData::getInstance()->getSwaptionVolCube(market.getCurrencyEnum());
DiscountCurve* dc = MarketData::getInstance()->getSwapDiscountCurve(market.getCurrencyEnum());
BaseSwaption(market,PayReceiveInd, expiryInMonth, strikeInBps, vc, dc, underlyingSwap);
}
Swap::Swap(date tradeDate, date maturityDate, int tenorNumOfMonths, double notional, double couponRate, DiscountCurve* yc, Market fixLegCurr, Market floatingLegCurr, int paymentFreqFixLeg, int paymentFreqFloatingLeg, bool rollAccuralDates, int buildDirection) {
setTradeDate(tradeDate);
setMaturityDate(maturityDate);
BuilderCashFlowLeg* fixLegs = new BuilderCashFlowLeg(enums::SWAP, tradeDate, maturityDate, tenorNumOfMonths, couponRate, notional, paymentFreqFixLeg, fixLegCurr.getMarketEnum(), buildDirection);
BuilderCashFlowLeg* floatLegs = new BuilderCashFlowLeg(enums::SWAP, tradeDate, maturityDate, tenorNumOfMonths, yc ,notional, paymentFreqFloatingLeg, floatingLegCurr.getMarketEnum(), buildDirection);
_fixCashflowLeg=fixLegs->getCashFlowLeg();
_floatingCashflowLeg=floatLegs->getCashFlowLeg();
_yc=yc;
_fixLegCurr=fixLegCurr;
_floatingLegCurr=floatingLegCurr;
_paymentFreqFixLeg=paymentFreqFixLeg;
_paymentFreqFloatingLeg=paymentFreqFloatingLeg;
}
Solution opec::solve(const Market& market) {
const double Delta = 25.;
const double TerminationCondition = .01;
const int ReportInterval = 1000;
const int TerminationQuantum = 1000;
const int TerminationIterations = 100000;
Solution solution(market.size());
Vector diff(market.size());
double maxDiff = 0.;
int iter = 0, lastReport = 0;
// 1. Initial values
for (int a = 0; a < market.size(); a++) {
auto& actor = *market.actors[a];
for (int r = 0; r < NumRounds; r++) {
solution.quantities(a, r) = actor.reserves / NumRounds;
}
solution.quantities(a, NumRounds) = 0.;
}
auto update = [&] () {
for (int r = 0; r <= NumRounds; r++) {
solution.production(r) = solution.quantities.col(r).sum();
}
for (int r = 0; r <= NumRounds; r++) {
solution.prices(r) = market.price(r, solution.production(r));
}
for (int a = 0; a < market.size(); a++) {
auto& actor = *market.actors[a];
auto q = solution.quantities.row(a);
double prevValue = solution.values(a);
solution.values(a) = actor.value(q, solution.prices).sum();
diff(a) = solution.values(a) - prevValue;
}
maxDiff = std::max(maxDiff, diff.norm());
};
update();
auto initialValues = solution.values;
auto report = [&] (bool output=false) {
if (iter == 0 || output) {
std::cout << "Iteration " << iter << ": " << solution.values.sum()
<< "\t(" << (100. * solution.values.sum() / initialValues.sum() - 100.) << "% improved)"
<< "\tChange: " << maxDiff << std::endl;
}
maxDiff = 0.;
lastReport = iter;
};
// 2. iterate to fixed point on quantity
do {
update();
for (int a = 0; a < market.size(); a++) {
auto& actor = *market.actors[a];
auto q = solution.quantities.row(a);
actor.update(solution, q);
}
if (iter % ReportInterval == 0) report();
// set quantity based on current prices
for (int a = 0; a < market.size(); a++) {
auto& actor = *market.actors[a];
auto q = solution.quantities.row(a);
// this vector points in the direction of greatest profit;
// this is where we want to move. we need to scale the
// prices to reflect inflation.
auto margin = actor.marginalRevenue(solution.prices, q, market, solution.production);
margin -= actor.marginalCost(q);
margin = Market::inflate(margin);
RoundVector step = project(margin).normalized() * Delta;
assert(feq(step.sum(), 0.)); // we're moving along a constant constraint; the net change must be zero
// enforce capacity constraints...can't produce negative
// or exceed capacity. if we have violated a constraint,
// move to the corner case and zero out the step on that
// dimension
RoundVector constraints = roundOrthogonal;
bool satisfied = false;
while (!satisfied) {
satisfied = true;
for (int r = 0; r <= NumRounds; r++) {
auto capacity = (r < NumRounds) ? actor.capacity : std::numeric_limits<int>::max();
auto nq = q(r) + step(r);
if (nq > capacity || nq < 0.) {
if (nq > capacity) q(r) = capacity;
else q(r) = 0.;
constraints(r) = 0.;
step(r) = 0.;
satisfied = false;
}
}
// renormalize step to keep reserve constraint ... this
// will naturally reduce the size of the step if we are in
// a corner solution, so we don't re-scale by Delta.
constraints.normalize();
step = project(step, constraints);
}
// make the move!
q += step;
actor.isConstrained(q);
}
} while ((++iter < TerminationIterations)
&& ((iter - lastReport) < TerminationQuantum || maxDiff > TerminationCondition));
report(true);
verify(solution, market);
return solution;
}
void updateRow(std::uint64_t tag, const Market& market)
{
TableModel::updateRow(market.id(), tag, market);
}
void removeRow(const Market& market) { TableModel::removeRow(market.id()); }