edu.cuny.cat.market.matching
Class SplineThetaShoutEngine

java.lang.Object
  edu.cuny.cat.market.AuctioneerPolicy
      edu.cuny.cat.market.matching.ShoutEngine
          edu.cuny.cat.market.matching.LazyMaxVolumeShoutEngine
              edu.cuny.cat.market.matching.ThetaShoutEngine
                  edu.cuny.cat.market.matching.SplineThetaShoutEngine

All Implemented Interfaces:

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

Direct Known Subclasses:

SplineThetaShoutEngineWithNumberedParam, SplineThetaShoutEngineWithStringParam

public class SplineThetaShoutEngine
extends ThetaShoutEngine

An adaptive version of ThetaShoutEngine in which theta changes according to an interpolated cubic spline. This aims to allow the shout engine to adjust the level of matching dynamically within a trading day. This class is not based on configuration from parameter files but from setters. To that end, some subclasses of this class should be used.

Version:

$Revision: 1.4 $

Author:

Jinzhong Niu

Field Summary

protected org.apache.commons.math3.analysis.polynomials.PolynomialSplineFunction	spline cubic spline function generated based on thetas.
protected double[]	thetas thetas to generated spline interpolation.

Fields inherited from class edu.cuny.cat.market.matching.ThetaShoutEngine

DEFAULT_THETA, orderly, P_DEF_BASE, P_ORDERLY, P_THETA, theta

Fields inherited from class edu.cuny.cat.market.matching.LazyMaxVolumeShoutEngine

asks, bids, bIn, bOut, matchingVolume, sIn, sOut, uniform

Fields inherited from class edu.cuny.cat.market.matching.ShoutEngine

AscendingOrder, DescendingOrder

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

auctioneer

Constructor Summary

SplineThetaShoutEngine()

Method Summary

void	eventOccurred(AuctionEvent event)
void	setThetas(double[] thetas)
protected void	setupSpline(int dayLen) initialize the spline interpolation function with the given number of rounds within a day.
java.lang.String	toString()

Methods inherited from class edu.cuny.cat.market.matching.ThetaShoutEngine

calculateEquilibriumQuantity, calculateMatchingQuantity, calculateUnorderlyQuantity, getDemandAboveLowestAsk, getOrderly, getTheta, matchShouts, setOrderly, setTheta, setup, validateTheta

Methods inherited from class edu.cuny.cat.market.matching.LazyMaxVolumeShoutEngine

ascendingAskIterator, askIterator, bidIterator, descendingBidIterator, distributeShouts, distributeShoutsFromHead, distributeShoutsFromTail, getHighestMatchedAsk, getHighestUnmatchedBid, getLowestMatchedBid, getLowestUnmatchedAsk, getMatchedAsks, getMatchedBids, getMatchedVolume, getNumOfMatchedAsks, getNumOfMatchedBids, getNumOfUnmatchedAsks, getNumOfUnmatchedBids, getUnmatchedAsks, getUnmatchedBids, getUnmatchedDemand, getUnmatchedSupply, matchedAskIterator, matchedBidIterator, newShout, prettyPrint, printState, randomizeMatches, removeShout, reset, updateMatchedShouts

Methods inherited from class edu.cuny.cat.market.matching.ShoutEngine

getMatchedShouts

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

thetas

protected double[] thetas

thetas to generated spline interpolation.

spline

protected org.apache.commons.math3.analysis.polynomials.PolynomialSplineFunction spline

cubic spline function generated based on thetas.

Constructor Detail

SplineThetaShoutEngine

public SplineThetaShoutEngine()

Method Detail

setThetas

public void setThetas(double[] thetas)

Parameters:

thetas -

setupSpline

protected void setupSpline(int dayLen)

initialize the spline interpolation function with the given number of rounds within a day.

Parameters:

dayLen - number of rounds per day

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 ThetaShoutEngine