def sample_prices(self, ev, d = 1):
"""
Samples the prices for each of the events' outcomes.
Returns a dict with tuples with the current/buy/sell price.
"""
# get the supply and the current risk
supply = MarketBalance.for_event(ev)
current_risk = self.log_cost(supply.values())
prices = {}
# loop over each outcome (variable)
for (out, amount) in supply.items():
supply[out] -= d
buy = self.log_cost(supply.values()) - current_risk
supply[out] += 2 * d
sell = self.log_cost(supply.values()) - current_risk
supply[out] -= d
current = self.current_price(supply.values(), amount)
prices[out] = (current, buy, sell)
assert supply[out] == amount
return prices
def eval_cost(self, ev, ps):
"Evaluates the cost of accepting the given order represented as a list of positions. "
# eval current risk for the maker
supply = MarketBalance.for_event(ev)
current_risk = self.log_cost(supply.values())
# get the supply after completing the trade
for p in ps:
assert (p.outcome in supply)
supply[p.outcome] += p.amount
# and eval the new risk with it
new_risk = self.log_cost(supply.values())
# cost is the change in risk
return new_risk - current_risk