Example #1
0
    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
Example #2
0
 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