def backwardsimulationOpti(self,graph):
##Initialization :
bsGraph = graph["Graph"] ## Sons of all visited states
StatesIndex = graph["Element"] ## All visited states
separation= graph["Separation"] ## Index of the newest states at each period
NbStates = len(StatesIndex)
UtilityAfter = np.ndarray((NbStates,), dtype=float, order='F')
OptimalStrategy = np.ndarray((NbStates,), dtype=np.dtype((str,2*(self.nbIter+1))), order='F')
for i in range(NbStates):
DeltaT = self.nbIter*self.TimeStep
qsame = (StatesIndex[i][0]+StatesIndex[i][1]) ; qopp = StatesIndex[i][2] ; Exec = StatesIndex[i][3] ; changePrice = StatesIndex[i][4] ; [qdisc,qins] = self.DiscQtyFunc(qopp,qsame)
UtilityAfter[i] = self.FinalConstraint(qsame,qopp,self.P0,Exec,qdisc,qins,changePrice,DeltaT)
OptimalStrategy[i] = "1"
UtilityBefore=copy.copy(UtilityAfter)
# General Backward Routine
for i in range(self.nbIter):
sep = separation[self.nbIter-(i+1)]
UtilityAfter = copy.copy(UtilityBefore)
for j in range(sep):
ExecState = StatesIndex[j][3]
# When Order not executed
if (ExecState==0) :
qsame = (StatesIndex[j][0]+StatesIndex[j][1])
qopp = StatesIndex[j][2]
lambdaPlusOpp= self.IntensFunc(qsame, qopp,'OppPlus') # intensité insertion Ask
lambdaMoinsOpp= self.IntensFunc(qsame, qopp,'OppMoins') # intensité annulation Ask
lambdaPlusSame= self.IntensFunc(qsame, qopp,'SamePlus') # intensité insertion Bid
lambdaMoinsSame= self.IntensFunc(qsame, qopp,'SameMoins') # intensité annulation Bid
[q1,q2,q3,q4,q5]=BasicFunctions.ProbTrans(lambdaPlusSame,lambdaMoinsSame,lambdaPlusOpp,lambdaMoinsOpp,self.TimeStep)
# control 'c'
u1 = q5*UtilityAfter[bsGraph[j][0][4]]+q4*UtilityAfter[bsGraph[j][0][3]]+q3*UtilityAfter[bsGraph[j][0][2]]+q2*UtilityAfter[bsGraph[j][0][1]]+q1*UtilityAfter[bsGraph[j][0][0]]
UtilityBefore[j]=u1
ctrl='0'
if (len(OptimalStrategy[j])<=(i+1)):
OptimalStrategy[j] = ctrl + OptimalStrategy[j]
# When order Executed
if (ExecState==1) :
DeltaT= (self.nbIter-(i+1))*self.TimeStep
qsame = (StatesIndex[j][0]+StatesIndex[j][1]) ; qopp = StatesIndex[j][2] ; Exec = StatesIndex[j][3] ; changePrice = StatesIndex[j][4] ; [qdisc,qins] = self.DiscQtyFunc(qopp,qsame)
UtilityBefore[j] = self.FinalConstraint(qsame,qopp,self.P0,Exec,qdisc,qins,changePrice,DeltaT)
OptimalStrategy[j] = "1"
UtilityAfter = pd.DataFrame(UtilityAfter)
UtilityBefore = pd.DataFrame(UtilityBefore)
OptimalStrategy = pd.DataFrame(OptimalStrategy)
Results=pd.concat([UtilityBefore,UtilityAfter,OptimalStrategy],axis=1)
Results.columns = ["UtilityBefore","UtilityAfter","OptiStrategy"]
return({"Element":StatesIndex,"Graph":bsGraph,"Results":Results})
def forwardsimulationOpti(self):
#Initialization
StatesIndex=list()
IdStatesIndex=set()
fsGraphSons = dict()
IndexNextStates=list()
separation = [0]*(self.nbIter) # index of last reached state at each period
ProbPeriod= np.zeros((self.nbIter+1,2)) # sum of proba for unexecuted states (first column) and already executed states (second column) during each period. Check that sum of proba equal to 1 (no loss of information)
MeanPriceMove = [0]*(self.nbIter+1) # Mean price move at each period
CountStates=0
# Probabilities of transition
qsame = (self.QAftI+self.QBefI)
qopp = self.QOppI
lambdaPlusOpp= self.IntensFunc(qsame, qopp,'OppPlus') # intensité insertion Ask
lambdaMoinsOpp= self.IntensFunc(qsame, qopp,'OppMoins') # intensité annulation Ask
lambdaPlusSame= self.IntensFunc(qsame, qopp,'SamePlus') # intensité insertion Bid
lambdaMoinsSame= self.IntensFunc(qsame, qopp,'SameMoins') # intensité annulation Bid
[q1,q2,q3,q4,q5]=BasicFunctions.ProbTrans(lambdaPlusSame,lambdaMoinsSame,lambdaPlusOpp,lambdaMoinsOpp,self.TimeStep)
# Create First State
InitialStateMain = BasicFunctions.CreateElmt1(self.QBefI,self.QAftI,self.QOppI,ExecI=0,ChangePrice=0)
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[CountStates]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[1],ProbState=[1])
separation[0]=1
ProbPeriod[0,0]=1 # initialisation : the initial state is fixed and has proba 1
# The initial State can have 5 son States
priceMovePeriod = 0
# First Case : 1 unit quantity is added to QOpp (Under control c)
CountStateSon = CountStates+1
InitialStateMain = BasicFunctions.CreateElmt1(self.QBefI,self.QAftI,(self.QOppI+self.UnitQuant),ExecI=0,ChangePrice=0)
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[CountStates][0].append(CountStateSon)
fsGraphSons[CountStateSon]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[1],ProbState=[q1])
IndexNextStates.append(CountStateSon)
# Second Case : 1 unit quantity is cancelled from QOpp (Under control c)
# The price isn't modified in this Sub-Case
if (self.QOppI >= 2*self.UnitQuant):
CountStateSon +=1
InitialStateMain = BasicFunctions.CreateElmt1(self.QBefI,self.QAftI,(self.QOppI-self.UnitQuant),ExecI=0,ChangePrice=0)
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[CountStates][0].append(CountStateSon)
fsGraphSons[CountStateSon]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[1],ProbState=[q2])
IndexNextStates.append(CountStateSon)
# The price is modified in this Sub-Case
if (self.QOppI < 2*self.UnitQuant):
priceMovePeriod += self.PriceJump*q2
[qdisc,qins] = self.DiscQtyFunc(qopp,qsame)
InitialStateMain = BasicFunctions.CreateElmt1(qins,0,qdisc,ExecI=0,ChangePrice=1)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
if IsOldState :
SonIndex=StatesIndex.index(InitialStateMain)
fsGraphSons[CountStates][0].append(SonIndex)
fsGraphSons[SonIndex][1][0] += 1
fsGraphSons[SonIndex][2][0] += q2
if not (IsOldState) :
CountStateSon +=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[CountStates][0].append(CountStateSon)
fsGraphSons[CountStateSon]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[1],ProbState=[q2])
IndexNextStates.append(CountStateSon)
# Third Case : 1 unit quantity is added to QSame (Under Control c)
InitialStateMain = BasicFunctions.CreateElmt1(self.QBefI,(self.QAftI+self.UnitQuant),self.QOppI,ExecI=0,ChangePrice=0)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
if IsOldState :
SonIndex = StatesIndex.index(InitialStateMain)
fsGraphSons[CountStates][0].append(SonIndex)
fsGraphSons[SonIndex][1][0] += 1
fsGraphSons[SonIndex][2][0] += q3
if not (IsOldState) :
CountStateSon+=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[CountStates][0].append(CountStateSon)
fsGraphSons[CountStateSon]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[1],ProbState=[q3])
IndexNextStates.append(CountStateSon)
# Fourth Case : 1 unit quantity is cancelled from QSame (Under control c)
# In this Sub-Case the price doesn't change
if (self.QBefI>= 2*self.UnitQuant):
InitialStateMain = BasicFunctions.CreateElmt1((self.QBefI-self.UnitQuant),self.QAftI,self.QOppI,ExecI=0,ChangePrice=0)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
if IsOldState :
SonIndex = StatesIndex.index(InitialStateMain)
fsGraphSons[CountStates][0].append(SonIndex)
fsGraphSons[SonIndex][1][0] += 1
fsGraphSons[SonIndex][2][0] += q4
if not (IsOldState) :
CountStateSon+=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[CountStates][0].append(CountStateSon)
fsGraphSons[CountStateSon]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[1],ProbState=[q4])
IndexNextStates.append(CountStateSon)
# In this Sub-Case the order is executed but the price doesn't change
if ((self.QBefI < 2*self.UnitQuant)and(self.QAftI + self.QBefI >= 2*self.UnitQuant)):
InitialStateMain = BasicFunctions.CreateElmt1((self.QAftI + self.QBefI -self.UnitQuant),0,self.QOppI,ExecI=1,ChangePrice=0)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
if IsOldState :
SonIndex = StatesIndex.index(InitialStateMain)
fsGraphSons[CountStates][0].append(SonIndex)
fsGraphSons[SonIndex][1][0] += 1
fsGraphSons[SonIndex][2][0] += q4
if not (IsOldState) :
CountStateSon+=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[CountStates][0].append(CountStateSon)
fsGraphSons[CountStateSon]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[1],ProbState=[q4])
IndexNextStates.append(CountStateSon)
# Under control "c" : In this sub case the order is executed and the price changes
if (self.QBefI+self.QAftI < 2*self.UnitQuant) :
priceMovePeriod -= self.PriceJump*q4
[qdisc,qins] = self.DiscQtyFunc(qsame,qopp)
InitialStateMain = BasicFunctions.CreateElmt1(qdisc,0,qins,ExecI=1,ChangePrice=-1)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
if IsOldState :
SonIndex=StatesIndex.index(InitialStateMain)
fsGraphSons[CountStates][0].append(SonIndex)
fsGraphSons[SonIndex][1][0] += 1
fsGraphSons[SonIndex][2][0] += q4
if not (IsOldState) :
CountStateSon+=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[CountStates][0].append(CountStateSon)
fsGraphSons[CountStateSon]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[1],ProbState=[q4])
IndexNextStates.append(CountStateSon)
# Fifth case : Nothing happens under control c
fsGraphSons[CountStates][0].append(CountStates)
fsGraphSons[CountStates][1].append(1)
fsGraphSons[CountStates][2].append(q5)
CountStates+=CountStateSon
if (self.QBefI >= 2*self.UnitQuant):
ProbPeriod[1,0]=(q1+q2+q3+q4+q5) # all states are unexecuted
if (self.QBefI < 2*self.UnitQuant):
ProbPeriod[1,0]=(q1+q2+q3+q5) # unexecuted states
ProbPeriod[1,1]=q4 # executed states
MeanPriceMove[1]=priceMovePeriod
## Main program Before the final time period Tmax
for i in range(self.nbIter-1):
separation[i+1]=(CountStates+1)
sizeP = len(IndexNextStates)
IndexNextStates2=[0]*(9*sizeP)
count=0
sumProbExec=0
sumProbUnExec=0
priceMovePeriod=0
## Step 1 : we instantiate the new values of variables : NbPassingTime and ProbaPassingTime
for j in range(CountStates+1):
NbPassingTimePeriodBefore = fsGraphSons[j][1][-1] # Old value of NbPassingTime
ProbaPassingTimePeriodBefore = fsGraphSons[j][2][-1] # Old value ProbaPassingTime
fsGraphSons[j][1].append(NbPassingTimePeriodBefore) # instantiate the new NbPassingTime
ExecState = StatesIndex[j][3]
if (ExecState == 0):
ProbaPassingTimeNew = ProbaPassingTimePeriodBefore*q5 # new value of proba passing time
fsGraphSons[j][2].append(ProbaPassingTimeNew) # instantiate and update (partially) by the way the new ProbaPassingTime
sumProbUnExec += ProbaPassingTimeNew
if (ExecState == 1):
fsGraphSons[j][2].append(ProbaPassingTimePeriodBefore) # instantiate and update (partially) by the way the new ProbaPassingTime
sumProbExec += ProbaPassingTimePeriodBefore
## Step 2 : update the variables (partially - for the already visited states): NbPassingTime, ProbaPassingTime, pricemovePeriod, sumProbExec and sumProbUnExec
for j in range(separation[i]):
ExecState = StatesIndex[j][3]
if (ExecState==0):
qsame = (StatesIndex[j][0]+StatesIndex[j][1])
qopp = StatesIndex[j][2]
lambdaPlusOpp= self.IntensFunc(qsame, qopp,'OppPlus') # intensité insertion Ask
lambdaMoinsOpp= self.IntensFunc(qsame, qopp,'OppMoins') # intensité annulation Ask
lambdaPlusSame= self.IntensFunc(qsame, qopp,'SamePlus') # intensité insertion Bid
lambdaMoinsSame= self.IntensFunc(qsame, qopp,'SameMoins') # intensité annulation Bid
ProbTransI=BasicFunctions.ProbTrans(lambdaPlusSame,lambdaMoinsSame,lambdaPlusOpp,lambdaMoinsOpp,self.TimeStep)
ProbaPassingTimePeriodBefore=fsGraphSons[j][2][-2]
NbPassingTimePeriodBefore = fsGraphSons[j][1][-2]
# Update ProbaExec and PriceMove
[sumProbExecAuxi,sumProbUnExecAuxi,pricemoveAuxi] = BasicFunctions.UpdateProbTransPriceMoveStay(j,fsGraphSons,StatesIndex,ProbaPassingTimePeriodBefore,NbPassingTimePeriodBefore,ProbTransI,self.PriceJump,self.UnitQuant)
sumProbExec += sumProbExecAuxi
sumProbUnExec += sumProbUnExecAuxi
priceMovePeriod += pricemoveAuxi
## Step 3 : update the variables (for the new visited states) : NbPassingTime, ProbaPassingTime and pricemovePeriod
for j in IndexNextStates :
ExecState = StatesIndex[j][3]
if (ExecState==0): # Check whether the order is executed or not
QBefI= StatesIndex[j][0]
QAftI= StatesIndex[j][1]
QSameI = QBefI+QAftI
QOppI= StatesIndex[j][2]
lambdaPlusOpp= self.IntensFunc(qsame, qopp,'OppPlus') # intensité insertion Ask
lambdaMoinsOpp= self.IntensFunc(qsame, qopp,'OppMoins') # intensité annulation Ask
lambdaPlusSame= self.IntensFunc(qsame, qopp,'SamePlus') # intensité insertion Bid
lambdaMoinsSame= self.IntensFunc(qsame, qopp,'SameMoins') # intensité annulation Bid
[q1,q2,q3,q4,q5]=BasicFunctions.ProbTrans(lambdaPlusSame,lambdaMoinsSame,lambdaPlusOpp,lambdaMoinsOpp,self.TimeStep)
ProbState=fsGraphSons[j][2][-2]
NbPassingTimePeriodBefore = fsGraphSons[j][1][-2]
priceMovePeriodAuxi = 0 # When price moves at next period for state j
# The initial State can have 5 son States
# First Case : 1 unit quantity is added to QOpp (Under control c)
InitialStateMain = BasicFunctions.CreateElmt1(QBefI,QAftI,(QOppI+self.UnitQuant),ExecI=0,ChangePrice=0)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
if IsOldState :
SonIndex=StatesIndex.index(InitialStateMain)
fsGraphSons[j][0].append(SonIndex)
fsGraphSons[SonIndex][1][-1]+=NbPassingTimePeriodBefore
fsGraphSons[SonIndex][2][-1]+=ProbState*q1
if not (IsOldState) :
CountStates+=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[j][0].append(CountStates)
fsGraphSons[CountStates]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[NbPassingTimePeriodBefore],ProbState=[ProbState*q1])
IndexNextStates2[count]=CountStates
count+=1
# Second Case : 1 unit quantity is cancelled from QOpp (Under control c)
# The price isn't modified in this Sub-Case
if (QOppI >= 2*self.UnitQuant):
InitialStateMain = BasicFunctions.CreateElmt1(QBefI,QAftI,(QOppI-self.UnitQuant),ExecI=0,ChangePrice=0)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
if IsOldState :
SonIndex=StatesIndex.index(InitialStateMain)
fsGraphSons[j][0].append(SonIndex)
fsGraphSons[SonIndex][1][-1]+=NbPassingTimePeriodBefore
fsGraphSons[SonIndex][2][-1]+=ProbState*q2
if not (IsOldState) :
CountStates+=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[j][0].append(CountStates)
fsGraphSons[CountStates]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[NbPassingTimePeriodBefore],ProbState=[ProbState*q2])
IndexNextStates2[count]=CountStates
count+=1
# The price is modified in this Sub-Case
if (QOppI < 2*self.UnitQuant):
[qdisc,qins] = self.DiscQtyFunc(QOppI,QSameI)
InitialStateMain = BasicFunctions.CreateElmt1(qins,0,qdisc,ExecI=0,ChangePrice=1)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
priceMovePeriodAuxi += self.PriceJump*ProbState*q2
if IsOldState :
SonIndex=StatesIndex.index(InitialStateMain)
fsGraphSons[j][0].append(SonIndex)
fsGraphSons[SonIndex][1][-1]+=NbPassingTimePeriodBefore
fsGraphSons[SonIndex][2][-1]+=ProbState*q2
if not (IsOldState) :
CountStates+=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[j][0].append(CountStates)
fsGraphSons[CountStates]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[NbPassingTimePeriodBefore],ProbState=[ProbState*q2])
IndexNextStates2[count]=CountStates
count+=1
# Third Case : 1 unit quantity is added to QSame (Under Control c)
InitialStateMain = BasicFunctions.CreateElmt1(QBefI,(QAftI+self.UnitQuant),QOppI,ExecI=0,ChangePrice=0)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
if IsOldState :
SonIndex = StatesIndex.index(InitialStateMain)
fsGraphSons[j][0].append(SonIndex)
fsGraphSons[SonIndex][1][-1]+=NbPassingTimePeriodBefore
fsGraphSons[SonIndex][2][-1]+=ProbState*q3
if not (IsOldState) :
CountStates+=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[j][0].append(CountStates)
fsGraphSons[CountStates]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[NbPassingTimePeriodBefore],ProbState=[ProbState*q3])
IndexNextStates2[count]=CountStates
count+=1
# Fourth Case : 1 unit quantity is cancelled from QSame (Under control c)
# In this Sub-Case the price doesn't change
if (QBefI >= 2*self.UnitQuant):
InitialStateMain = BasicFunctions.CreateElmt1((QBefI-self.UnitQuant),QAftI,QOppI,ExecI=0,ChangePrice=0)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
if IsOldState :
SonIndex = StatesIndex.index(InitialStateMain)
fsGraphSons[j][0].append(SonIndex)
fsGraphSons[SonIndex][1][-1]+=NbPassingTimePeriodBefore
fsGraphSons[SonIndex][2][-1]+=ProbState*q4
if not (IsOldState) :
CountStates+=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[j][0].append(CountStates)
fsGraphSons[CountStates]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[NbPassingTimePeriodBefore],ProbState=[ProbState*q4])
IndexNextStates2[count]=CountStates
count+=1
# In this Sub-Case the order is executed but the price doesn't change
if ((QBefI < 2*self.UnitQuant) and (QAftI + QBefI >= 2*self.UnitQuant)):
InitialStateMain = BasicFunctions.CreateElmt1((QBefI + QAftI - self.UnitQuant),0,QOppI,ExecI=1,ChangePrice=0)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
if IsOldState :
SonIndex = StatesIndex.index(InitialStateMain)
fsGraphSons[j][0].append(SonIndex)
fsGraphSons[SonIndex][1][-1]+=NbPassingTimePeriodBefore
fsGraphSons[SonIndex][2][-1]+=ProbState*q4
if not (IsOldState) :
CountStates+=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[j][0].append(CountStates)
fsGraphSons[CountStates]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[NbPassingTimePeriodBefore],ProbState=[ProbState*q4])
IndexNextStates2[count]=CountStates
count+=1
# Under control "c" : In this sub case the order is executed and the price changes
if (QBefI+QAftI < 2*self.UnitQuant) :
[qdisc,qins] = self.DiscQtyFunc(QSameI,QOppI)
InitialStateMain = BasicFunctions.CreateElmt1(qdisc,0,qins,ExecI=1,ChangePrice=-1)
IdState=BasicFunctions.IdStates(InitialStateMain)
IsOldState = (IdState in IdStatesIndex)
priceMovePeriodAuxi -= self.PriceJump*ProbState*q4
if IsOldState :
SonIndex=StatesIndex.index(InitialStateMain)
fsGraphSons[j][0].append(SonIndex)
fsGraphSons[SonIndex][1][-1]+=NbPassingTimePeriodBefore
fsGraphSons[SonIndex][2][-1]+=ProbState*q4
if not (IsOldState) :
CountStates+=1
StatesIndex.append(InitialStateMain)
IdStatesIndex.add(BasicFunctions.IdStates(InitialStateMain))
fsGraphSons[j][0].append(CountStates)
fsGraphSons[CountStates]=BasicFunctions.CreateGraphElmt(Sons=list(),NbPassingTime=[NbPassingTimePeriodBefore],ProbState=[ProbState*q4])
IndexNextStates2[count]=CountStates
count+=1
# Fifth case : Nothing happens
# Under control c
fsGraphSons[j][0].append(j)
if (QBefI >= 2*self.UnitQuant):
sumProbUnExec += ProbState*(q1+q2+q3+q4)
if (QBefI < 2*self.UnitQuant):
sumProbExec += ProbState*q4
sumProbUnExec += ProbState*(q1+q2+q3)
priceMovePeriod += priceMovePeriodAuxi
ProbPeriod[(i+2),0]=sumProbUnExec # unexecuted states
ProbPeriod[(i+2),1]=sumProbExec # executed states
MeanPriceMove[i+2]=priceMovePeriod
IndexNextStates = IndexNextStates2[:count]
return({"Element":StatesIndex,"Graph":fsGraphSons,"Separation":separation,"ProbPeriod":ProbPeriod,"MeanPriceMove":MeanPriceMove})