# Venice market, version 6.1, 23/4/03
# Copyright 2002 Marco LiCalzi and Paolo Pellizzari

comment <- "benchmark case as described in paper"

# initialize
price <- 1000
howmanystock <- c(1,1,1,1,1)
howmany <- c(256,64,16,4,1)*5
cumhm <- cumsum(howmany) #cumulative howmany
numagent <- sum(howmany) #number of agents in the simulation
v <- runif(numagent,960,1040)
cash <- rep(0,numagent)
stock <- rep(0,numagent)
stock[1:howmany[1]] <- howmanystock[1]
for(i in 2:length(howmany))
    stock[(cumhm[i-1]+1):cumhm[i]] <- howmanystock[i]

# observe that initial cash is worth double stock   
cash <- stock*price*2

lb <- 300 # length of book

h <- trunc(rexp(numagent,1/249)-249)+1 #horizon exponentially distributed

print(summary(h))
r <- 0.02 # riskfree rate of return per year
gam <- runif(numagent,0,0.03) # premium in percent per year 
flag <- rep(1,numagent) #all alive, 1 means active, <0 waiting to revive
index <- 1:numagent

epochs <- 3000
closets <- rep(0,epochs)
avgts <- rep(0,epochs)
volume <- rep(0,epochs)
maxts <- rep(0,epochs)
mints <- rep(0,epochs)
meanvts <- rep(0,epochs)
meanvbookts <- rep(0,epochs)
avgprice <- 0
maxprice <- price
minprice <- price

buybook <- as.data.frame(matrix(0,ncol=3,nrow=lb))
colnames(buybook) <- c("ind","price","q")
sellbook <- as.data.frame(matrix(0,ncol=3,nrow=lb))
colnames(sellbook) <- c("ind","price","q")
ord <- as.data.frame(t(c(0,0,0)))
colnames(ord) <- c("ind","price","q")
# init book with orders having zero quantity (just to have non empty books) 
# ord is a variable to contain order

checksellbook <- function(ord,b){
    i <- 1
    if (ord$price<b$price[1]) i<- lb+1 #price too low to buy
    while(ord$q>0 && i<=lb){
	if (b$price[i]<=ord$price && b$q[i]>0.5) {
	    qexchanged <- min(ord$q,b$q[i]) #q exchanged
	    ord$q <<- ord$q-qexchanged #adjust quantity of order
	    b$q[i] <<- b$q[i]-qexchanged #adjust quantity of book
	    cash[b$ind[i]] <<- cash[b$ind[i]] + qexchanged*b$price[i] #increase cash of book (that is selling)
	    stock[b$ind[i]] <<- stock[b$ind[i]] - qexchanged #decrease q of book
	    cash[ord$ind] <<- cash[ord$ind] - qexchanged*b$price[i] #decrease cash of the owner of buy order
	    stock[ord$ind] <<- stock[ord$ind] + qexchanged
	    price <<- b$price[i] #transaction occurred, hence new price
	    ntrans <<- ntrans + 1
	    avgprice <<- avgprice + price
	    totexch <<- totexch+qexchanged
	    if (price>maxprice) maxprice <<- price
	    if (price<minprice) minprice <<- price
	}
	i <- i+1	
    }
    #if not complete then add to buybook
    if(ord$q>0){
	buybook[lb,] <<- ord #insert in last position
	buybook <<- buybook[rev(order(buybook$price)),] # rearrange book
    }  
}

checkbuybook <- function(ord,b){
    i <- 1
    if (ord$price>b$price[1]) i<- lb+1 #price too high to sell
    while(ord$q>0 && i<=lb){
	if (b$price[i]>=ord$price && b$q[i]>0.5) {
	    qexchanged <- min(ord$q,b$q[i])
	    ord$q <<- ord$q-qexchanged
	    b$q[i] <<- b$q[i]-qexchanged
	    cash[b$ind[i]] <<- cash[b$ind[i]] - qexchanged*b$price[i] #decrease  cash of book
	    stock[b$ind[i]] <<- stock[b$ind[i]] + qexchanged #increase q of book
	    cash[ord$ind] <<- cash[ord$ind] + qexchanged*b$price[i] #increase cash of owner of order
	    stock[ord$ind] <<- stock[ord$ind] - qexchanged #decrease q of the owner
	    price <<- b$price[i] #transaction occurred, hence new price
	    ntrans <<- ntrans + 1
	    avgprice <<- avgprice + price
	    totexch <<- totexch+qexchanged
	    if (price>maxprice) maxprice <<- price
	    if (price<minprice) minprice <<- price	    
	}
	i <- i+1	
    }
    if(ord$q>0){
	sellbook[lb,] <<- ord#inserimento all'ultimo posto
	sellbook <<- sellbook[order(sellbook$price),] # rearrange book
    }
}

# book structure: one row for each order
# 
# buy book sorted with decreasing prices
# sell book sorted with increasing prices
# 
# ind: agent that submits order
# price: limit price
# q: quantity 

plot(0,t="n",xlim=c(0,epochs),ylim=c(900,1100))
print(date())

for(time in 1:epochs){
    perm <- sample(1:numagent,numagent,replace=F)
    v<-v[perm]
    cash<-cash[perm]
    stock<- stock[perm]
    h<-h[perm]
    gam<-gam[perm]
    flag<-flag[perm]
    
buybook <- as.data.frame(matrix(0,ncol=3,nrow=lb))
colnames(buybook) <- c("ind","price","q")
sellbook <- as.data.frame(matrix(0,ncol=3,nrow=lb))
colnames(sellbook) <- c("ind","price","q")
sellbook$price <- rep(10000,lb)
#the book is erased, a brand new day is beginning!

avgprice <- 0
ntrans<-0
totexch <-0
maxprice <- price
minprice <- price

   for(j in 1:numagent){
	if (time==h[j]){
	    ord[1,] <- c(j,price,stock[j]) 
	    if (ord$q>0) {checkbuybook(ord,buybook); points(time,price,pch=19,col=2)}   
	    h[j] <- -20
	}
	temp <- (h[j]-time)/250
	if (time<h[j]){
		temprice <- trunc(v[j]/((r+gam[j])*temp+1))
		ord[1,] <- c(j,temprice,trunc(cash[j]/temprice))
		if (ord$q>0 && abs(ord$price/price)-1< 0.10) checksellbook(ord,sellbook) #trying to buy, hence look at sellbook
		temprice <- ceiling(v[j]/(r*temp+1))
		ord[1,] <- c(j,temprice,stock[j])
		if (ord$q>0 && abs(ord$price/price)-1< 0.10) checkbuybook(ord,buybook) #trying to sell, hence look at buybook
	}
    } #end j

    #looking at inactive agents
    h[h<0] <- h[h<0]+1
    v[h==0] <- price*(1+(runif(sum(h==0))-0.5)/5) #adjust v around price
    h[h==0] <- time+1+trunc(rexp(sum(h==0),1/249))
    
    trunc(rexp(sum(h==0),1/249))
	
if (ntrans>0) avgts[time]<- avgprice/ntrans else avgts[time] <- price
points(time,avgts[time],pch=19,col=4)
lines(c(time,time),c(maxprice,minprice))
points(time,meanvts[time],col=2,pch=19)
closets[time] <- price
volume[time] <- totexch
maxts[time] <- maxprice;if (time%%10==0)print(c(time,price,volume[time]))
mints[time] <- minprice
meanvts[time] <- weighted.mean(v[h>0],cash[h>0]+stock[h>0]*avgts[time])

if (sum(cash<0)>0) {save.image(file="innatural_stop.Rimage");stop()}
if (time%%200==1) save.image(file="vm6.Rimage")

} #time
print(date())
save.image(file="vm6.Rimage")