edu.cuny.cat.market.accepting
Class SlidingMatchedAverageBeatingAcceptingPolicy

java.lang.Object
  edu.cuny.cat.market.AuctioneerPolicy
      edu.cuny.cat.market.accepting.ShoutAcceptingPolicy
          edu.cuny.cat.market.accepting.OnlyNewShoutDecidingAcceptingPolicy
              edu.cuny.cat.market.accepting.QuoteBeatingAcceptingPolicy
                  edu.cuny.cat.market.accepting.SlidingMatchedAverageBeatingAcceptingPolicy

All Implemented Interfaces:

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

Direct Known Subclasses:

SlidingAverageBeatingAcceptingPolicy

public class SlidingMatchedAverageBeatingAcceptingPolicy
extends QuoteBeatingAcceptingPolicy

A variant of EquilibriumBeatingAcceptingPolicy, which was used by PSUCAT in CAT 2007 competition. It uses a sliding average of transaction prices to estimate the equilibrium price and uses the standard deviation to set delta loosing the restriction.

Version:

$Revision: 1.3 $

Author:

Jinzhong Niu

Field Summary

protected static IllegalShoutException	askException
protected static IllegalShoutException	bidException Reusable exceptions for performance
protected double	expectedHighestAsk
protected double	expectedLowestBid
protected edu.cuny.ai.learning.SlidingWindowLearner	learner
static java.lang.String	P_DEF_BASE
static java.lang.String	P_LEARNER
static java.lang.String	SLIDING_AVERAGE_TRANSACTION_PRICE

Fields inherited from class edu.cuny.cat.market.accepting.QuoteBeatingAcceptingPolicy

DISCLAIMER

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

auctioneer

Constructor Summary

SlidingMatchedAverageBeatingAcceptingPolicy()

Method Summary

protected void	askNotAnImprovementException()
protected void	bidNotAnImprovementException()
void	check(Shout shout) implements the NYSE shout improvement rule.
void	eventOccurred(AuctionEvent event)
void	reset() resets the state to be the same as the policy is created and initialized.
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.accepting.OnlyNewShoutDecidingAcceptingPolicy

check

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

getAuctioneer, initialize, setAuctioneer

Methods inherited from class java.lang.Object

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

Field Detail

P_LEARNER

public static final java.lang.String P_LEARNER

See Also:

Constant Field Values

P_DEF_BASE

public static final java.lang.String P_DEF_BASE

See Also:

Constant Field Values

SLIDING_AVERAGE_TRANSACTION_PRICE

public static final java.lang.String SLIDING_AVERAGE_TRANSACTION_PRICE

See Also:

Constant Field Values

bidException

protected static IllegalShoutException bidException

Reusable exceptions for performance

askException

protected static IllegalShoutException askException

expectedHighestAsk

protected double expectedHighestAsk

expectedLowestBid

protected double expectedLowestBid

learner

protected edu.cuny.ai.learning.SlidingWindowLearner learner

Constructor Detail

SlidingMatchedAverageBeatingAcceptingPolicy

public SlidingMatchedAverageBeatingAcceptingPolicy()

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

reset

public void reset()

Description copied from class: AuctioneerPolicy

resets the state to be the same as the policy is created and initialized.

Specified by:

reset in interface edu.cuny.obj.Resetable

Overrides:

reset in class AuctioneerPolicy

check

public void check(Shout shout)
           throws IllegalShoutException

Description copied from class: QuoteBeatingAcceptingPolicy

implements the NYSE shout improvement rule.

Overrides:

check in class QuoteBeatingAcceptingPolicy

Parameters:

shout - the shout being checked.

Throws:

IllegalShoutException

bidNotAnImprovementException

protected void bidNotAnImprovementException()
                                     throws IllegalShoutException

Throws:

IllegalShoutException

askNotAnImprovementException

protected void askNotAnImprovementException()
                                     throws IllegalShoutException

Throws:

IllegalShoutException

eventOccurred

public void eventOccurred(AuctionEvent event)

Specified by:

eventOccurred in interface AuctionEventListener

Overrides:

eventOccurred in class AuctioneerPolicy

toString

public java.lang.String toString()

Overrides:

toString in class AuctioneerPolicy