create_orders: create_orders

In norwegianblueparrot/marketsimulatr: A Package For Simulating A Continuous-Time, Stochastic, Double Auction

Description

Generate orders based on roulette wheel selection.

Usage

create_orders(
  time_stamp,
  order_number,
  market_sell,
  market_buy,
  limit_ask,
  limit_bid,
  cancel_bid,
  cancel_ask
)

Arguments

time_stamp	The time of the order
order_number	The order number (i.e. the event number in the simulation loop)
market_sell	The arrival intensity of market sell orders.
market_buy	The arrival intensity of market buy orders.
limit_ask	The arrival intensity of limit ask orders.
limit_bid	The arrival intensity of limit bid orders.
cancel_bid	The cancellation intensity of limit bid orders.
cancel_ask	The cancellation intensity of limit ask orders. This function creates orders. The order type is based on roulette wheel selection, where the "sizes" of the roulette wheel segments are the intensity rates of the the order types. These intensity rate is fed into a Poission distribution to create the timestamp of the order. The order size is created as a random multiple of some number (e.g. all order sizes are multiples of 50)

norwegianblueparrot/marketsimulatr documentation built on Dec. 22, 2021, 3:13 a.m.