Transpiled version (9677L) is out of date.
1 | persistable sclass GeometricPriceCells is PriceCells {
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2 | // cell size in percent |
3 | settable double cellSizeInPercent; |
4 | |
5 | // one of the cell limits |
6 | settable double basePrice = 1000; |
7 | |
8 | *(double *cellSizeInPercent) {}
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9 | *(double *basePrice, double *cellSizeInPercent) {}
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10 | |
11 | double ratio() {
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12 | ret 1+cellSizeInPercent/100; |
13 | } |
14 | |
15 | double toLogScale(double price) {
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16 | ret log(price, ratio()); |
17 | } |
18 | |
19 | double fromLogScale(double logPrice) {
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20 | ret pow(ratio(), logPrice); |
21 | } |
22 | |
23 | double logBasePrice() {
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24 | ret toLogScale(basePrice); |
25 | } |
26 | |
27 | double remainder(double price) {
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28 | ret remainder(toLogScale(price)); |
29 | } |
30 | |
31 | double remainderLog(double logPrice) {
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32 | ret frac(logPrice-logBasePrice()); |
33 | } |
34 | |
35 | // TODO: fix this logic's rounding problems |
36 | |
37 | public bool isCellLimit(double price) {
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38 | ret remainder(price) == 0; |
39 | } |
40 | |
41 | public double nextCellLimitLog(double logPrice) {
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42 | double r = remainderLog(logPrice); |
43 | ret logPrice + 1-r; |
44 | } |
45 | |
46 | public double nextCellLimit(double price) {
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47 | ret fromLogScale(nextCellLimitLog(toLogScale(price))); |
48 | } |
49 | |
50 | public double previousCellLimitLog(double logPrice) {
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51 | double r = remainderLog(logPrice); |
52 | ret logPrice - (r == 0 ? 1 : r); |
53 | } |
54 | |
55 | public double previousCellLimit(double price) {
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56 | ret fromLogScale(previousCellLimitLog(toLogScale(price))); |
57 | } |
58 | |
59 | public double nCellLimitsDown(double price, int n) {
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60 | double logPrice = toLogScale(price); |
61 | logPrice = previousCellLimitLog(logPrice)-(n-1); |
62 | ret fromLogScale(logPrice); |
63 | } |
64 | |
65 | public double nCellLimitsUp(double price, int n) {
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66 | double logPrice = toLogScale(price); |
67 | logPrice = nextCellLimitLog(logPrice)+n; |
68 | ret fromLogScale(logPrice); |
69 | } |
70 | |
71 | public double priceToCellNumber(double price) {
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72 | ret toLogScale(price)-logBasePrice(); |
73 | } |
74 | |
75 | public double cellNumberToPrice(double cellNumber) {
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76 | ret fromLogScale(cellNumber+logBasePrice()); |
77 | } |
78 | |
79 | toString {
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80 | ret formatDouble2(cellSizeInPercent) + "% cells with C0=" + formatPrice(basePrice); |
81 | } |
82 | } |
Began life as a copy of #1036206
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| Snippet ID: | #1036214 |
| Snippet name: | GeometricPriceCells - infinitely many price cells at a constant ratio between adjacent prices |
| Eternal ID of this version: | #1036214/15 |
| Text MD5: | 87fee66aea226691d333e5706413c284 |
| Author: | stefan |
| Category: | javax / trading |
| Type: | JavaX fragment (include) |
| Public (visible to everyone): | Yes |
| Archived (hidden from active list): | No |
| Created/modified: | 2022-12-12 03:10:22 |
| Source code size: | 2096 bytes / 82 lines |
| Pitched / IR pitched: | No / No |
| Views / Downloads: | 214 / 359 |
| Version history: | 14 change(s) |
| Referenced in: | [show references] |