93 lines
3.5 KiB
C++
93 lines
3.5 KiB
C++
/*
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* Legal Notice
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*
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* This document and associated source code (the "Work") is a part of a
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* benchmark specification maintained by the TPC.
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*
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* The TPC reserves all right, title, and interest to the Work as provided
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* under U.S. and international laws, including without limitation all patent
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* and trademark rights therein.
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*
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* No Warranty
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*
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* 1.1 TO THE MAXIMUM EXTENT PERMITTED BY APPLICABLE LAW, THE INFORMATION
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* CONTAINED HEREIN IS PROVIDED "AS IS" AND WITH ALL FAULTS, AND THE
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* AUTHORS AND DEVELOPERS OF THE WORK HEREBY DISCLAIM ALL OTHER
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* WARRANTIES AND CONDITIONS, EITHER EXPRESS, IMPLIED OR STATUTORY,
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* INCLUDING, BUT NOT LIMITED TO, ANY (IF ANY) IMPLIED WARRANTIES,
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* DUTIES OR CONDITIONS OF MERCHANTABILITY, OF FITNESS FOR A PARTICULAR
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* PURPOSE, OF ACCURACY OR COMPLETENESS OF RESPONSES, OF RESULTS, OF
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* WORKMANLIKE EFFORT, OF LACK OF VIRUSES, AND OF LACK OF NEGLIGENCE.
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* ALSO, THERE IS NO WARRANTY OR CONDITION OF TITLE, QUIET ENJOYMENT,
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* QUIET POSSESSION, CORRESPONDENCE TO DESCRIPTION OR NON-INFRINGEMENT
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* WITH REGARD TO THE WORK.
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* 1.2 IN NO EVENT WILL ANY AUTHOR OR DEVELOPER OF THE WORK BE LIABLE TO
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* ANY OTHER PARTY FOR ANY DAMAGES, INCLUDING BUT NOT LIMITED TO THE
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* COST OF PROCURING SUBSTITUTE GOODS OR SERVICES, LOST PROFITS, LOSS
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* OF USE, LOSS OF DATA, OR ANY INCIDENTAL, CONSEQUENTIAL, DIRECT,
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* INDIRECT, OR SPECIAL DAMAGES WHETHER UNDER CONTRACT, TORT, WARRANTY,
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* OR OTHERWISE, ARISING IN ANY WAY OUT OF THIS OR ANY OTHER AGREEMENT
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* RELATING TO THE WORK, WHETHER OR NOT SUCH AUTHOR OR DEVELOPER HAD
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* ADVANCE NOTICE OF THE POSSIBILITY OF SUCH DAMAGES.
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*
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* Contributors
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* - Doug Johnson
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*/
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/******************************************************************************
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* Description: This class provides price board functionality for the
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* MEE. This allows for the lookup of any security's price
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* at any point in time.
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******************************************************************************/
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#ifndef MEE_PRICE_BOARD_H
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#define MEE_PRICE_BOARD_H
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#include "utilities/EGenUtilities_stdafx.h"
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#include "EGenTables_stdafx.h"
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#include "MEESecurity.h"
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#include "input/DataFileManager.h"
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namespace TPCE {
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class CMEEPriceBoard {
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private:
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// Mean delay between Pending and Submission times
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// for an immediatelly triggered (in-the-money) limit order.
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//
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double m_fMeanInTheMoneySubmissionDelay;
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CMEESecurity m_Security;
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const CSecurityFile &m_SecurityFile;
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public:
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TIdent m_iNumberOfSecurities;
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CMEEPriceBoard(INT32 TradingTimeSoFar, CDateTime *pBaseTime, CDateTime *pCurrentTime, const DataFileManager &dfm);
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~CMEEPriceBoard(void);
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void GetSymbol(TIdent SecurityIndex,
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char *szOutput, // output buffer
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size_t iOutputLen); // size of the output buffer (including null));
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CMoney GetMinPrice();
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CMoney GetMaxPrice();
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CMoney GetCurrentPrice(TIdent SecurityIndex);
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CMoney GetCurrentPrice(char *pSecuritySymbol);
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CMoney CalculatePrice(char *pSecuritySymbol, double fTime);
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double GetSubmissionTime(char *pSecuritySymbol, double fPendingTime, CMoney fLimitPrice, eTradeTypeID TradeType);
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double GetSubmissionTime(TIdent SecurityIndex, double fPendingTime, CMoney fLimitPrice, eTradeTypeID TradeType);
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double GetCompletionTime(TIdent SecurityIndex, double fSubmissionTime,
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CMoney *pCompletionPrice // output param
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);
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};
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} // namespace TPCE
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#endif // MEE_PRICE_BOARD_H
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