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DataStorage.js
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DataStorage.js
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// this module stores all game data for high frequency trading
Redwood.factory("DataStorage", function () {
var api = {};
api.createDataStorage = function (group, groupNum, speedCost, startingWealth) {
var dataStorage = {};
dataStorage.startTime = 0; // experiment start time
dataStorage.group = group; // array containing uid of every player in this group
dataStorage.groupNum = groupNum; // identifier for this group
dataStorage.curFundPrice = 0; // current fundamental price. used for finding fp delta
dataStorage.speedCost = speedCost;
dataStorage.startingWealth = startingWealth;
dataStorage.playerSpreadValues = {};// associative array of each player's current spread value
dataStorage.speedChanges = []; // array of speed change events: [timestamp, speed, uid]
dataStorage.stateChanges = []; // array of state change events: [timestamp, state, uid]
dataStorage.spreadChanges = []; // array of spread change events: [timestamp, spread, uid]
dataStorage.profitChanges = []; // array of profit change events: [timestamp, deltaProfit, uid]
dataStorage.investorArrivals = []; // array of investor arrival events: [timestamp, buyOrSell]
dataStorage.fundPriceChanges = []; // array of fundamental price change events: [timestamp, deltaPrice, cumPrice]
dataStorage.playerOrders = []; // array of player order lists [timestamp, [player order]]
dataStorage.buyOrderChanges = []; // array of changes in the buy order book [timestamp, [buy order book after], [buy order book before]]
dataStorage.sellOrderChanges = []; // array of changes in the sell order book [timestamp, [sell order book], [buy order book before]]
dataStorage.playerFinalProfits = {};
dataStorage.init = function (startFP, startTime, maxSpread) {
this.startTime = startTime;
this.curFundPrice = startFP;
this.fundPriceChanges.push([0, startFP, startFP]);
this.investorArrivals.push([0, "NA"]);
this.buyOrderChanges.push([0, [], []]);
this.sellOrderChanges.push([0, [], []]);
for (let user of this.group) {
this.speedChanges.push([0, "NO", user]);
this.stateChanges.push([0, "OUT", user]);
this.spreadChanges.push([0, "NA", user]);
this.profitChanges.push([0, 0, user]);
this.playerSpreadValues[user] = maxSpread / 2;
}
$("#ui").append("<button class='btn' id='export-btn-" + groupNum + "' type='button'>Export Group " + this.groupNum + " CSV</button>");
$("#export-btn-" + groupNum)
.button()
.click(function () {
dataStorage.exportDataCsv();
});
};
dataStorage.storeMsg = function (message) {
switch (message.msgType) {
case "USPEED" :
this.storeSpeedChange(message.msgData[2], message.msgData[1] ? "YES" : "NO", message.msgData[0]);
break;
case "UOUT" :
this.storeStateChange(message.msgData[1], "OUT", message.msgData[0]);
break;
case "UMAKER" :
this.storeStateChange(message.msgData[1], "MAKER", message.msgData[0]);
break;
case "USNIPE" :
this.storeStateChange(message.msgData[1], "SNIPE", message.msgData[0]);
break;
case "UUSPR" :
this.storeSpreadChange(message.msgData[2], message.msgData[1], message.msgData[0]);
break;
case "C_TRA" :
this.storeTransaction(message.timeStamp, message.msgData[1], message.msgData[2], message.msgData[3], message.msgData[4]);
break;
case "FPC" :
this.storeFPC(message.timeStamp, message.msgData[1])
}
};
dataStorage.storePlayerOrder = function (timestamp, order) {
this.playerOrders.push([timestamp - this.startTime, order]);
};
dataStorage.storeBuyOrderState = function (timestamp, buyOrders, buyOrdersBefore) {
// use jquery extend to do a deep copy of market state
this.buyOrderChanges.push([timestamp - this.startTime, $.extend(true, [], buyOrders), buyOrdersBefore]);
};
dataStorage.storeSellOrderState = function (timestamp, sellOrders, sellOrdersBefore) {
this.sellOrderChanges.push([timestamp - this.startTime, $.extend(true, [], sellOrders), sellOrdersBefore]);
};
dataStorage.storeSpeedChange = function (timestamp, speed, uid) {
this.speedChanges.push([timestamp - this.startTime, speed, uid]);
};
dataStorage.storeStateChange = function (timestamp, state, uid) {
this.stateChanges.push([timestamp - this.startTime, state, uid]);
if (state == "MAKER") {
this.spreadChanges.push([timestamp - this.startTime, this.playerSpreadValues[uid], uid]);
}
else {
this.spreadChanges.push([timestamp - this.startTime, "NA", uid]);
}
};
dataStorage.storeSpreadChange = function (timestamp, spread, uid) {
this.spreadChanges.push([timestamp - this.startTime, spread, uid]);
this.playerSpreadValues[uid] = spread;
};
dataStorage.storeTransaction = function (timestamp, price, fundPrice, buyer, seller) {
if (buyer != 0) {
this.profitChanges.push([timestamp - this.startTime, fundPrice - price, buyer]);
}
if (seller != 0) {
this.profitChanges.push([timestamp - this.startTime, price - fundPrice, seller]);
}
};
dataStorage.storeFPC = function (timestamp, price) {
this.fundPriceChanges.push([timestamp - this.startTime, price - this.curFundPrice, price]);
this.curFundPrice = price;
};
// function to combine all data into one big array and download it as a CSV
dataStorage.exportDataCsv = function () {
var data = [];
// associative array to map each player to a unique index
var playerToIndex = {};
for (let index = 0; index < this.group.length; index++) {
playerToIndex[this.group[index]] = index;
}
var numColumns = this.group.length * 5 + 9;
// iterate through every entry in each storage array
// add speed changes to data array
for (let entry of this.speedChanges) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0];
row[playerToIndex[entry[2]] * 5 + 3] = entry[1];
data.push(row);
}
// add state changes to data array
for (let entry of this.stateChanges) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0];
row[playerToIndex[entry[2]] * 5 + 1] = entry[1];
data.push(row);
}
// add spread changes to data array
for (let entry of this.spreadChanges) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0];
row[playerToIndex[entry[2]] * 5 + 2] = entry[1];
data.push(row);
}
// add profit changes to data array
for (let entry of this.profitChanges) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0];
row[playerToIndex[entry[2]] * 5 + 4] = entry[1];
data.push(row);
}
// add investor changes to data array
for (let entry of this.investorArrivals) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0];
row[numColumns - 1] = entry[1];
data.push(row);
}
// add fundamental price changes to data array
for (let entry of this.fundPriceChanges) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0];
row[numColumns - 3] = entry[1];
row[numColumns - 2] = entry[2];
data.push(row);
}
// add player order lists to data array
for (let entry of this.playerOrders) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0];
row[numColumns - 4] = entry[1].join(' ');
data.push(row);
}
// add buy order changes to data array
for (let entry of this.buyOrderChanges) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0];
// add before market state to data
if (entry[2].length === 0) row[numColumns - 8] = "EMPTY";
else {
let ids = [];
let times = [];
let origTimes = [];
let prices = [];
for (let marketCol of entry[2].reverse()) {
for (let marketRow of marketCol.reverse()) {
ids.push(playerToIndex[marketRow.id] + 1);
times.push(marketRow.timestamp - this.startTime);
prices.push(marketRow.price);
origTimes.push(marketRow.originTimestamp - this.startTime);
}
}
row[numColumns - 8] = "\"{'id': (" + ids.join(', ') + "), 'time': (" + times.join(', ') + "), 'price': (" + prices.join(', ') + "), 'time_orig': (" + origTimes.join(', ') + ")}\"";
}
// add after market state to data
if (entry[1].length === 0) row[numColumns - 7] = "EMPTY";
else {
let ids = [];
let times = [];
let origTimes = [];
let prices = [];
for (let marketCol of entry[1].reverse()) {
for (let marketRow of marketCol.reverse()) {
ids.push(playerToIndex[marketRow.id] + 1);
times.push(marketRow.timestamp - this.startTime);
prices.push(marketRow.price);
origTimes.push(marketRow.originTimestamp - this.startTime);
}
}
row[numColumns - 7] = "\"{'id': (" + ids.join(', ') + "), 'time': (" + times.join(', ') + "), 'price': (" + prices.join(', ') + "), 'time_orig': (" + origTimes.join(', ') + ")}\"";
}
data.push(row);
}
// add sell order changes to data array
for (let entry of this.sellOrderChanges) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0];
// add before market state to data
if (entry[2].length === 0) row[numColumns - 6] = "EMPTY";
else {
let ids = [];
let times = [];
let origTimes = [];
let prices = [];
for (let marketCol of entry[2].reverse()) {
for (let marketRow of marketCol.reverse()) {
ids.push(playerToIndex[marketRow.id] + 1);
times.push(marketRow.timestamp - this.startTime);
prices.push(marketRow.price);
origTimes.push(marketRow.originTimestamp - this.startTime);
}
}
row[numColumns - 6] = "\"{'id': (" + ids.join(', ') + "), 'time': (" + times.join(', ') + "), 'price': (" + prices.join(', ') + "), 'time_orig': (" + origTimes.join(', ') + ")}\"";
}
// add after market state to data
if (entry[1].length === 0) row[numColumns - 5] = "EMPTY";
else {
let ids = [];
let times = [];
let origTimes = [];
let prices = [];
for (let marketCol of entry[1].reverse()) {
for (let marketRow of marketCol.reverse()) {
ids.push(playerToIndex[marketRow.id] + 1);
times.push(marketRow.timestamp - this.startTime);
prices.push(marketRow.price);
origTimes.push(marketRow.originTimestamp - this.startTime);
}
}
row[numColumns - 5] = "\"{'id': (" + ids.join(', ') + "), 'time': (" + times.join(', ') + "), 'price': (" + prices.join(', ') + "), 'time_orig': (" + origTimes.join(', ') + ")}\"";
}
data.push(row);
}
// sort data by timestamp
data.sort(function (a, b) {
return a[0] - b[0];
});
// combine rows with same timestamp
var loopAgain = true;
while (loopAgain) {
loopAgain = false;
for (let row = 1; row < data.length; row++) {
if (data[row][0] === data[row - 1][0]) {
loopAgain = true;
for (let col = 0; col < data[row].length; col++) {
if (data[row][col] !== null) {
data[row - 1][col] = data[row][col];
}
}
data.splice(row, 1);
}
}
}
// fill empty market state rows appropriately
for (let row = 1; row < data.length; row++) {
// if buy before column is empty, assume all buy state columns are empty
// probably not the best way to do this
if (data[row][numColumns - 8] === null) {
// copy after state from previous row into both columns for this row
data[row][numColumns - 8] = data[row - 1][numColumns - 7];
data[row][numColumns - 7] = data[row - 1][numColumns - 7];
}
// do the same for sell orders
if (data[row][numColumns - 6] === null) {
data[row][numColumns - 6] = data[row - 1][numColumns - 5];
data[row][numColumns - 5] = data[row - 1][numColumns - 5];
}
}
// set empty delta and investor columns to 0 and NA respectively
for (let row of data) {
for (let index = 0; index < this.group.length; index++) {
if (row[index * 5 + 4] === null) row[index * 5 + 4] = 0;
}
if (row[numColumns - 3] === null) row[numColumns - 3] = 0;
if (row[numColumns - 1] === null) row[numColumns - 1] = "NA";
if (row[numColumns - 4] === null) row[numColumns - 4] = "NA";
}
// fill empty cells with the value above them
for (let row = 1; row < data.length; row++) {
for (let col = 0; col < data[row].length; col++) {
if (data[row][col] === null) data[row][col] = data[row - 1][col];
}
}
// calculate cumulative profits for each player
// set initial cumulative profits
for (let index = 0; index < this.group.length; index++) {
data[0][index * 5 + 5] = this.startingWealth;
}
// calculate for all other rows
for (let row = 0; row < data.length - 1; row++) {
for (let index = 0; index < this.group.length; index++) {
// each row's cumulative profit is the previous row's profit plus dprofit, minus speed cost if applicable
data[row + 1][index * 5 + 5] = data[row][index * 5 + 5] + data[row + 1][index * 5 + 4];
if (data[row][index * 5 + 3] == "YES") {
data[row + 1][index * 5 + 5] -= (data[row + 1][0] - data[row][0]) * this.speedCost / 1000;
}
}
}
// set up headings for each column
data.unshift(["timestamp"]);
for (let index = 0; index < this.group.length; index++) {
data[0].push("status_p" + (index + 1), "spread_p" + (index + 1), "speed_p" + (index + 1), "dprofit_p" + (index + 1), "cumprofit_p" + (index + 1));
}
data[0].push("buy_orders_before", "buy_orders_after", "sell_orders_before", "sell_orders_after", "porder", "dvalue", "cumvalue", "investor_buy_sell");
// get file name by formatting start time as readable string
var d = new Date(this.startTime);
var filename = d.getHours() + '_' + d.getMinutes() + '_' + d.getSeconds() + '_cda_group_' + this.groupNum + '.csv';
// download data 2d array as csv
// stolen from stackoverflow
var csvRows = [];
for (let index = 0; index < data.length; index++) {
csvRows.push(data[index].join(','));
}
var csvString = csvRows.join("\n");
var a = document.createElement('a');
a.href = 'data:attachment/csv,' + encodeURIComponent(csvString);
a.target = '_blank';
a.download = filename;
document.body.appendChild(a);
a.click();
a.remove();
// fill player final profits array with cumulative profit value from last line of data
for (let index = 0; index < this.group.length; index++) {
this.playerFinalProfits[this.group[index]] = data[data.length - 1][index * 5 + 5];
}
};
return dataStorage;
};
return api;
});