def order_placed(self, ord):
"Handles creation of orders. "
assert (not ord.is_processed())
acc = ord.account
order_ev_pos = ord.group_by_event()
# get the cost for completing the order
cost = sum([self.eval_cost(ev, ps) for (ev,ps) in order_ev_pos])
logger.debug("Order '%s' total sum: %f" % (ord, cost))
# see if the order can be completed
ord.is_successful = (acc.funds >= cost)
if ord.is_successful:
# update the market maker amounts
MarketBalance.accept_order(ord)
# update the account amounts
AccountBalance.accept_order(ord)
# deduct the total transaction cost from the account
acc.funds -= cost
# update buy/sell prices
for (ev, ps) in order_ev_pos:
self.update_prices(ev)
ord.set_processed()
acc.save()
ord.save()
logger.debug("Order '%s' processed!" % (ord,))
def reset_event(self, ev):
"""
Resets the market and account balances (amount of shares held) for each of this event's outcomes.
Calls self.update_prices with the given event
"""
AccountBalance.reset(ev)
MarketBalance.reset(ev)
self.update_prices(ev)
def reset_event(self, ev):
"""
Resets the market and account balances (amount of shares held) for each of this event's outcomes.
Calls self.update_prices with the given event
"""
AccountBalance.reset(ev)
MarketBalance.reset(ev)
self.update_prices(ev)
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