/*
 * Legal Notice
 *
 * This document and associated source code (the "Work") is a part of a
 * benchmark specification maintained by the TPC.
 *
 * The TPC reserves all right, title, and interest to the Work as provided
 * under U.S. and international laws, including without limitation all patent
 * and trademark rights therein.
 *
 * No Warranty
 *
 * 1.1 TO THE MAXIMUM EXTENT PERMITTED BY APPLICABLE LAW, THE INFORMATION
 *     CONTAINED HEREIN IS PROVIDED "AS IS" AND WITH ALL FAULTS, AND THE
 *     AUTHORS AND DEVELOPERS OF THE WORK HEREBY DISCLAIM ALL OTHER
 *     WARRANTIES AND CONDITIONS, EITHER EXPRESS, IMPLIED OR STATUTORY,
 *     INCLUDING, BUT NOT LIMITED TO, ANY (IF ANY) IMPLIED WARRANTIES,
 *     DUTIES OR CONDITIONS OF MERCHANTABILITY, OF FITNESS FOR A PARTICULAR
 *     PURPOSE, OF ACCURACY OR COMPLETENESS OF RESPONSES, OF RESULTS, OF
 *     WORKMANLIKE EFFORT, OF LACK OF VIRUSES, AND OF LACK OF NEGLIGENCE.
 *     ALSO, THERE IS NO WARRANTY OR CONDITION OF TITLE, QUIET ENJOYMENT,
 *     QUIET POSSESSION, CORRESPONDENCE TO DESCRIPTION OR NON-INFRINGEMENT
 *     WITH REGARD TO THE WORK.
 * 1.2 IN NO EVENT WILL ANY AUTHOR OR DEVELOPER OF THE WORK BE LIABLE TO
 *     ANY OTHER PARTY FOR ANY DAMAGES, INCLUDING BUT NOT LIMITED TO THE
 *     COST OF PROCURING SUBSTITUTE GOODS OR SERVICES, LOST PROFITS, LOSS
 *     OF USE, LOSS OF DATA, OR ANY INCIDENTAL, CONSEQUENTIAL, DIRECT,
 *     INDIRECT, OR SPECIAL DAMAGES WHETHER UNDER CONTRACT, TORT, WARRANTY,
 *     OR OTHERWISE, ARISING IN ANY WAY OUT OF THIS OR ANY OTHER AGREEMENT
 *     RELATING TO THE WORK, WHETHER OR NOT SUCH AUTHOR OR DEVELOPER HAD
 *     ADVANCE NOTICE OF THE POSSIBILITY OF SUCH DAMAGES.
 *
 * Contributors
 * - Sergey Vasilevskiy, Doug Johnson
 */

/******************************************************************************
 *   Description:        This class represents an extension of the
 *                       MEEApproximation class orginally written by Sergey for
 *                       EGenLoader.
 *                       This new class now provides additional functionality
 *                       for use at runtime by the MEE as well. All of the
 *                       price/time functionality needed to emulate a securities
 *                       behavior in the market is captured here.
 *
 ******************************************************************************/

#ifndef MEE_SECURITY_H
#define MEE_SECURITY_H

#include "utilities/EGenUtilities_stdafx.h"
#include "TradeTypeIDs.h"
#include "SecurityPriceRange.h"

namespace TPCE {

class CMEESecurity {
private:
	CRandom m_rnd;
	CMoney m_fRangeLow;       // price range start
	CMoney m_fRangeHigh;      // price range end
	CMoney m_fRange;          // price range length (high - low)
	int m_iPeriod;            // time to get to the same price (in seconds)
	INT32 m_TradingTimeSoFar; // for picking up where we last left off on the
	                          // price curve

	CDateTime *m_pBaseTime; // Wall clock time corresponding to m_fInitialTime
	CDateTime *m_pCurrentTime;

	// Mean delay between Pending and Submission times
	// for an immediatelly triggered (in-the-money) limit
	// order. Calculated outside based on scale factor
	// and the number of customers (e.g. MF rate).
	//
	// The actual delay is randomly calculated in the range
	// [0.5 * Mean .. 1.5 * Mean]
	//
	double m_fMeanInTheMoneySubmissionDelay;

	/*
	 *   Calculate the "unique" starting offset
	 *   in the price curve based on the security ID (0-based)
	 *   0 corresponds to m_fRangeLow price,
	 *   m_fPeriod/2 corresponds to m_fRangeHigh price,
	 *   m_fPeriod corresponds again to m_fRangeLow price
	 *
	 *   PARAMETERS:
	 *           IN  SecurityIndex  - unique security index to generate a unique
	 * starting price
	 *
	 *   RETURNS:
	 *           time from which to calculate initial price
	 */
	inline double InitialTime(TIdent SecurityIndex);

	/*
	 *  Negative exponential distribution.
	 *
	 *  PARAMETERS:
	 *           IN  fMean  - mean value of the distribution
	 *
	 *  RETURNS:
	 *           random value according to the negative
	 *           exponential distribution with the given mean.
	 */
	inline double NegExp(double fMean);

	/*
	 *   Calculate time required to move between certain prices
	 *   with certain initial direction of price change.
	 *
	 *   PARAMETERS:
	 *           IN  fStartPrice     - price at the start of the time interval
	 *           IN  fEndPrice       - price at the end of the time interval
	 *           IN  iStartDirection - direction (up or down) on the price curve
	 * at the start of the time interval
	 *
	 *   RETURNS:
	 *           seconds required to move from the start price to the end price
	 */
	double CalculateTime(CMoney fStartPrice, CMoney fEndPrice, int iStartDirection);

public:
	/*
	 *  Default constructor (no parameters) to be able
	 *   to allocate an array of security objects.
	 *
	 *  PARAMETERS:
	 *           none.
	 *
	 *  RETURNS:
	 *           not applicable.
	 */
	CMEESecurity();

	/*
	 *  Initialize before the first use.
	 *  Separated from constructor in order to have default (no-parameters)
	 *  constructor.
	 *
	 *  PARAMETERS:
	 *           IN  TradeTimeSoFar                  - point where we last left
	 * off on the price curve IN  pBaseTime                       - wall clock
	 * time corresponding to the initial time for all securities IN pCurrentTime
	 * - current time for the security (determines current price) IN
	 * fMeanInTheMoneySubmissionDelay  - Mean delay between Pending and
	 * Submission times for an immediatelly triggered (in-the-money) limit
	 * order.
	 *
	 *  RETURNS:
	 *           none
	 */
	void Init(INT32 TradingTimeSoFar, CDateTime *pBaseTime, CDateTime *pCurrentTime,
	          double fMeanInTheMoneySubmissionDelay);

	/*
	 *   Calculate price at a certain point in time.
	 *
	 *   PARAMETERS:
	 *           IN  SecurityIndex   - unique security index to generate a
	 * unique starting price IN  fTime           - seconds from initial time
	 *
	 *   RETURNS:
	 *           price according to the triangular function
	 *           that will be achived at the given time
	 */
	CMoney CalculatePrice(TIdent SecurityIndex, double fTime);

	/*
	 *  Calculate current price for the security identified by its index
	 * (0-based).
	 *
	 *  PARAMETERS:
	 *           IN  SecurityIndex  - unique identifier for the security.
	 *
	 *  RETURNS:
	 *           price at this point in time given with integer number of cents.
	 */
	CMoney GetCurrentPrice(TIdent SecurityIndex);

	/*
	 *  Return minimum price on the price curve for any security.
	 *
	 *  PARAMETERS:
	 *           none.
	 *
	 *  RETURNS:
	 *           minimum price given with integer number of cents.
	 */
	CMoney GetMinPrice(void);

	/*
	 *  Return maximum price on the price curve for any security.
	 *
	 *  PARAMETERS:
	 *           none.
	 *
	 *  RETURNS:
	 *           maximum price given with integer number of cents.
	 */
	CMoney GetMaxPrice(void);

	/*
	 *   Calculate triggering time for limit orders.
	 *
	 *   PARAMETERS:
	 *           IN  SecurityIndex   - unique security index to generate a
	 * unique starting price IN  fPendingTime    - pending time of the order, in
	 * seconds from time 0 IN  fLimitPrice     - limit price of the order IN
	 * TradeType       - order trade type
	 *
	 *   RETURNS:
	 *           the expected submission time
	 */
	double GetSubmissionTime(TIdent SecurityIndex, double fPendingTime, CMoney fLimitPrice, eTradeTypeID TradeType);

	/*
	 *   Return the expected completion time and the completion price.
	 *   Completion time is between 0 and 5 seconds
	 *   with 1 sec mean.
	 *
	 *   Used to calculate completion time for
	 *   both limit (first must get submission time)
	 *   and market orders.
	 *
	 *   Equivalent of MEE function sequence
	 *   'receive trade' then 'complete the trade request'.
	 *
	 *   PARAMETERS:
	 *           IN  SecurityIndex       - unique security index to generate a
	 * unique starting price IN  fSubmissionTime     - time when the order was
	 * submitted, in seconds from time 0 OUT pCompletionPrice    - completion
	 * price of the order
	 *
	 *   RETURNS:
	 *           the approximated completion time for the trade
	 *
	 */
	double GetCompletionTime(TIdent SecurityIndex, double fSubmissionTime,
	                         CMoney *pCompletionPrice // output parameter
	);
};

} // namespace TPCE

#endif // MEE_SECURITY_H