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Limit Order Book Pricer

Submit your code via department electronic submission system. http://www.csc.liv.ac.uk/cgi-bin/submit.pl

Please submit a single file called x3xx.R (cs-username.R) This file must contain a function called pricer

pricer can call other functions in the same file

But the function pricer should not be executed when the file is sourced with source('cs-username.R')

Problem

Create R program to analyse log file of a limit order market The log file contains messages that describe changes to the book Each message either • adds an order to the book, or • reduces the size of an order in the book (possibly removing the order entirely)

Example Input

28800538 A b S 44.26 100  
28800562 A c B 44.10 100  
28800744 R b 100  
28800758 A d B 44.18 157  
28800773 A e S 44.38 100  
28800796 R d 157  
28800812 A f B 44.18 157  
28800974 A g S 44.27 100  
28800975 R e 100  
28812071 R f 100  
28813129 A h B 43.68 50

Problem

You should write a function called pricer It takes an positive integer called targetsize and an argument and calculates: • total expense to buy targetsize shares (by taking as many asks as necessary, lowest first), and • total income if you sold targetsize shares (by hitting as many bids as necessary, highest first) Each time the income or expense changes, it prints the changed value to an output file in the format described below

Corresponding example output

For targetsize = 200

28800758 S 8832.56  
28800796 S NA  
28800812 S 8832.56  
28800974 B 8865.00  
28800975 B NA  
28812071 S NA  
28813129 S 8806.50

Arguments to pricer function

The function pricer should take three arguments as follows pricer <- function(infile, outfile, targetsize)

• infile is a string which contain the path to the input file which is read from the harddrive; the file infile contains the messages of the limit order book log file • pricer should write its output to the a file with path specified the string outfile, which is an argument to pricer • the final argument is targetsize, which is a natural number, e.g., 1 or 100, or 250

Example call to pricer

• suppose you have stored the a sample input file "sample1.txt" in the current working directory; and • suppose you have created an output directory called "output" in the current working directory; • suppose you want to try the function with targetsize=250 Then a call to pricer might then be:

pricer(infile="sample1.txt",  
outfile="output/output1_250.txt",  
targ

Test Data

You can download three sample input files here: https://www2.csc.liv.ac.uk/~rahul/teaching/comp226/assess.html For these three sample inputs, output for three values of targetsize are given, so you have 9 examples to use for testing Your program needs to workwith any value of ` ``targetsize

Sample files

Input Format

The input file will contain one message per line Each message is a series of fields separated by spaces, e.g. 28800538 A b S 44.26 100 An Add Order to Book message looks like this: timestamp 'A' order-id side price size A Reduce Order message looks like this: timestamp 'R' order-id size The log file messages are sorted by timestamp

Output Format

pricer's output should be one message per line in this format: timestamp action total 28800758 S 8832.56

• If pricer encounters an error in an input message, it prints a warning to the R console and goes to the next message • Note: the book initially contains no orders, and the buying expense and selling income start as 'NA' • Since pricer only produces output when the income/expense changes, it does not print anything until the total size of all bids or asks meets or exceeds targetsize

data.frame

• data.frame is a data structure in R, like a matrix, but • unlike a matrix, the columns can be of different types

> df <- data.frame(a=1:3,  
b=c("A","B","C"),  
stringsAsFactors=F)  
> df  
a b  
1 1 A  
2 2 B  
3 3 C

部分解答

pricer <- function(infile,outfile,targetsize) {
  #infile<-"E:\\input.txt"
  #outfile<-"E:\\output1.txt"
  #targetsize=250
  
 
  
  Sbook=data.frame(Timestamp=c(NA),Type=c(NA),OrderId=c(NA),Side=c(NA),Price=c(NA),Size=c(NA))
  Bbook=data.frame(Timestamp=c(NA),Type=c(NA),OrderId=c(NA),Side=c(NA),Price=c(NA),Size=c(NA))
  Sbook<- Sbook[-1,]
  Bbook<- Bbook[-1,]
  flag1=0
  flag2=0
  
  
  for (i in 1: nrow(trade)){#type=A
    if(trade[i,"Type"]=="A"){
      if(trade[i,"Side"]=="B") {
        
        Bbook=rbind(Bbook,trade[i,])
        if(is.null(bprice(Bbook,targetsize))==FALSE) {
          cat(file=outfile,append=TRUE,trade[i,"Timestamp"], " S ", format(bprice(Bbook,targetsize),nsmall=2),'\n')
          flag2=1
        }
        else{ if(flag2==1)cat(file=outfile,append=TRUE,trade[i,"Timestamp"], " S NA",'\n')}
      }
      else {
        Sbook=rbind(trade[i,],Sbook)
        if(is.null(price(Sbook,targetsize))==FALSE) {
          cat(file=outfile,append=TRUE,trade[i,"Timestamp"], " B ", format(price(Sbook,targetsize),nsmall=2),'\n')
          flag1=1
        }
        else{ if(flag1==1)cat(file=outfile,append=TRUE,trade[i,"Timestamp"], " B NA",'\n')}
      
      }
    }
    #type=R
    else{
      reduceS=which(Sbook[1:i-1,"Order-Id"]==trade[i,"Order-Id"])
      if(is.null(reduceS)!=TRUE){
        Sbook[reduceS,"Size"]=as.numeric(Sbook[reduceS,"Size"])-as.numeric(trade[i,"Size"])
        if(length(Sbook[reduceS,"Size"])==0)Sbook=Sbook[-reduceS,]
        if(is.null(price(Sbook,targetsize))==FALSE) {
          cat(file=outfile,append=TRUE,trade[i,"Timestamp"], " B ", format(price(Sbook,targetsize),nsmall=2),'\n')
          flag1=1
        }
        else{ if(flag1==1)cat(file=outfile,append=TRUE,trade[i,"Timestamp"], " B NA",'\n')}
        
        
      }else {
        reduceB=which(Bbook[1:i-1,"Order-Id"]==trade[i,"Order-Id"])
        Bbook[reduceB,"Size"]=as.numeric(Bbook[reduceB,"Size"])-as.numeric(trade[i,"Size"])
        if(length(Bbook[reduceB,"Size"])==0)Bbook=Bbook[-reduceB,]
        if(is.null(bprice(Bbook,targetsize))==FALSE) {
          cat(file=outfile,append=TRUE,trade[i,"Timestamp"], " S ", format(bprice(Bbook,targetsize),nsmall=2),'\n')
          flag2=1
        }
        else{ if(flag2==1)cat(file=outfile,append=TRUE,trade[i,"Timestamp"], " S NA",'\n')}
        
        
      }
    }
   
    
    
  }
}