edu.cuny.cat.market.quoting
Class SpreadBasedQuotingPolicy

java.lang.Object
  edu.cuny.cat.market.AuctioneerPolicy
      edu.cuny.cat.market.quoting.QuotingPolicy
          edu.cuny.cat.market.quoting.DoubleSidedQuotingPolicy
              edu.cuny.cat.market.quoting.SpreadBasedQuotingPolicy

All Implemented Interfaces:

AuctionEventListener, edu.cuny.config.param.Parameterizable, edu.cuny.obj.Resetable

public class SpreadBasedQuotingPolicy
extends DoubleSidedQuotingPolicy

A quoting policy extending DoubleSidedQuotingPolicy that adjusts ask and bid quotes when the ask quote falls below the bid quote. When that happens, the ask quote is set to be a point above their average and the bid quote below the average. The spread between the quotes is configurable.

This quoting policy is useful when LazyMaxVolumeShoutEngine is used.

Parameters

base .spread double > 0 (10 by default)	(the spread to be maintained between the ask quote and the bid quote when the former falls below the latter.)

Default Base

spread_based_quoting

Version:

$Revision: 1.7 $

Author:

Jinzhong Niu

Field Summary

static double	DEFAULT_SPREAD
static java.lang.String	P_DEF_BASE
static java.lang.String	P_SPREAD
protected double	spread

Fields inherited from class edu.cuny.cat.market.AuctioneerPolicy

auctioneer

Constructor Summary

SpreadBasedQuotingPolicy()

Method Summary

double	askQuote(ShoutEngine shoutEngine) gets the ask quote as the minimum of the lowest unmatched ask and the lowest matched bid.
double	bidQuote(ShoutEngine shoutEngine) gets the bid quote as the maximum of the highest matched ask and the highest unmatched bid.
void	setup(edu.cuny.config.param.ParameterDatabase parameters, edu.cuny.config.param.Parameter base)
java.lang.String	toString()

Methods inherited from class edu.cuny.cat.market.quoting.QuotingPolicy

midQuote

Methods inherited from class edu.cuny.cat.market.AuctioneerPolicy

eventOccurred, getAuctioneer, initialize, reset, setAuctioneer

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Field Detail

P_SPREAD

public static final java.lang.String P_SPREAD

See Also:

Constant Field Values

P_DEF_BASE

public static final java.lang.String P_DEF_BASE

See Also:

Constant Field Values

DEFAULT_SPREAD

public static final double DEFAULT_SPREAD

See Also:

Constant Field Values

spread

protected double spread

Constructor Detail

SpreadBasedQuotingPolicy

public SpreadBasedQuotingPolicy()

Method Detail

setup

public void setup(edu.cuny.config.param.ParameterDatabase parameters,
                  edu.cuny.config.param.Parameter base)

Specified by:

setup in interface edu.cuny.config.param.Parameterizable

Overrides:

setup in class AuctioneerPolicy

askQuote

public double askQuote(ShoutEngine shoutEngine)

gets the ask quote as the minimum of the lowest unmatched ask and the lowest matched bid. If a bid beats it, the bid will be matched with some ask. With QuoteBeatingAcceptingPolicy, an ask beating it will be accepted.

Overrides:

askQuote in class DoubleSidedQuotingPolicy

Parameters:

shoutEngine - the shout engine processing shouts

Returns:

ask quote

bidQuote

public double bidQuote(ShoutEngine shoutEngine)

gets the bid quote as the maximum of the highest matched ask and the highest unmatched bid. If an ask beats it, the ask will be matched with some bid. With QuoteBeatingAcceptingPolicy, a bid beating it will be accepted.

Overrides:

bidQuote in class DoubleSidedQuotingPolicy

Parameters:

shoutEngine - the shout engine processing shouts

Returns:

bid quote

toString

public java.lang.String toString()

Overrides:

toString in class AuctioneerPolicy