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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, batchLength, period) {
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.batchLength = batchLength;
dataStorage.playerSpreadValues = {};// associative array of each player's current spread value
dataStorage.period = period;
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.equilibriumPrices = []; // array of equilibrium prices for each batch
dataStorage.numTransactions = []; // array of numbers of transactions for for each batch
dataStorage.batches = [];
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 + " Period " + this.period + " 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 "BATCH" :
this.storeBatch(message.batchType, message.timeStamp, message.numTransactions);
break;
case "C_TRA" :
// this.storeTransaction(message.timeStamp, message.msgData[1], message.msgData[2], message.msgData[3], message.msgData[4]);
this.storeTransaction(message.timeStamp, message.price, message.FPC, message.buyerID, message.sellerID);
break;
case "FPC" :
this.storeFPC(message.timeStamp, message.msgData[1])
}
};
dataStorage.storeTransaction = function (timestamp, price, fundPrice, buyer, seller) {
if (buyer != 0) {
this.profitChanges.push([timestamp - this.startTime, fundPrice - price, buyer]); //push price to eq
this.storeEqPrice(timestamp, price);
}
if (seller != 0) {
this.profitChanges.push([timestamp - this.startTime, price - fundPrice, seller]);
this.storeEqPrice(timestamp, price);
}
};
dataStorage.storeNumTransactions = function (timestamp, transactions) {
this.numTransactions.push([timestamp - this.startTime, transactions]); //changed to *1000000 4/17/17
};
dataStorage.storeEqPrice = function (timestamp, price) {
this.equilibriumPrices.push([timestamp - this.startTime, price]);
};
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.storeBatch = function (batchType, timestamp, transactions) {
this.batches.push([timestamp - this.startTime, batchType]);
if(transactions != null){
this.storeNumTransactions(timestamp, transactions);
}
};
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 + 7;
// 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 batch start and finish to data array
for (let entry of this.batches) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0]; //timestamp
if(entry[1] === 'B'){ //batch start
row[numColumns] = "Batch_Start";
}
else{ //batch end
row[numColumns] = "Batch_End";
}
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 equilibrium price data
for (let entry of this.equilibriumPrices) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0];
row[numColumns - 5] = entry[1];
data.push(row);
}
// add num transactions data
for (let entry of this.numTransactions) {
let row = new Array(numColumns).fill(null);
row[0] = entry[0];
row[numColumns - 6] = entry[1];
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);
}
}
}
// 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; //dvalue
if (row[numColumns - 1] == null) row[numColumns - 1] = "NA"; //investors
if (row[numColumns - 4] == null) row[numColumns - 4] = "NA"; //porder
if (row[numColumns - 5] == null) row[numColumns - 5] = "NA"; //eq price
if (row[numColumns - 6] == null) row[numColumns - 6] = "NA"; //num transactiosn
if (row[numColumns] == null) row[numColumns] = "NA"; //batch type
}
// fill empty cells with the value above themeq
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 dvalue based on fund_value
for (let row = 1; row < data.length; row++) {
dval = data[row][numColumns - 2] - data[row-1][numColumns -2];
if (dval != 0){ //change in fund
data[row][numColumns - 3] = dval;
}
}
// 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 / 1000000000;
}
}
}
//make timestamps readable
for (let row = 1; row < data.length; row++) {
data[row][0] = padTime(printTime(data[row][0]));
}
// 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("num_transactions", "price", "porder", "dvalue", "fund_value", "investor_buy_sell", "batch_type");
// get file name by formatting start time as readable string
var filename = printTime(this.startTime) + '_fba_group_' + this.groupNum + '_period_' + this.period + '.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();
this.playerFinalProfits = {};
// fill player final profits array with cumulative profit value from last line of data
for (let index = 0; index < this.group.length; index++) {
var player = this.group[index];
this.playerFinalProfits[player] = data[data.length - 1][index * 5 + 5];
}
};
return dataStorage;
};
return api;
});