1/*
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5 * benchmark specification maintained by the TPC.
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33 * Contributors
34 * - Doug Johnson
35 */
36
37/******************************************************************************
38 * Description: This class provides price board functionality for the
39 * MEE. This allows for the lookup of any security's price
40 * at any point in time.
41 ******************************************************************************/
42
43#ifndef MEE_PRICE_BOARD_H
44#define MEE_PRICE_BOARD_H
45
46#include "utilities/EGenUtilities_stdafx.h"
47#include "EGenTables_stdafx.h"
48#include "MEESecurity.h"
49
50#include "input/DataFileManager.h"
51
52namespace TPCE {
53
54class CMEEPriceBoard {
55
56private:
57 // Mean delay between Pending and Submission times
58 // for an immediatelly triggered (in-the-money) limit order.
59 //
60 double m_fMeanInTheMoneySubmissionDelay;
61 CMEESecurity m_Security;
62 const CSecurityFile &m_SecurityFile;
63
64public:
65 TIdent m_iNumberOfSecurities;
66
67 CMEEPriceBoard(INT32 TradingTimeSoFar, CDateTime *pBaseTime, CDateTime *pCurrentTime, const DataFileManager &dfm);
68 ~CMEEPriceBoard(void);
69
70 void GetSymbol(TIdent SecurityIndex,
71 char *szOutput, // output buffer
72 size_t iOutputLen); // size of the output buffer (including null));
73
74 CMoney GetMinPrice();
75
76 CMoney GetMaxPrice();
77
78 CMoney GetCurrentPrice(TIdent SecurityIndex);
79 CMoney GetCurrentPrice(char *pSecuritySymbol);
80
81 CMoney CalculatePrice(char *pSecuritySymbol, double fTime);
82
83 double GetSubmissionTime(char *pSecuritySymbol, double fPendingTime, CMoney fLimitPrice, eTradeTypeID TradeType);
84 double GetSubmissionTime(TIdent SecurityIndex, double fPendingTime, CMoney fLimitPrice, eTradeTypeID TradeType);
85 double GetCompletionTime(TIdent SecurityIndex, double fSubmissionTime,
86 CMoney *pCompletionPrice // output param
87 );
88};
89
90} // namespace TPCE
91
92#endif // MEE_PRICE_BOARD_H
93