public void SuccessfulPath()
{
var threshold = 0.001; // threshold for the Intrinsic Time, 0.01 is equal to 1%
var priceDiscovery = new PriceDiscovery(threshold);
var filePath = @".\TestData";
var fileName = "EURCHF_UTC_Ticks_Bid_2017.05.21_2017.06.14.csv";
var dateFormat = "yyyy.MM.dd HH:mm:ss.SSS";
try
{
var sr = File.ReadLines(Path.Combine(filePath, fileName));
long i = 0;
bool skipHeader = true;
foreach (var priceLine in sr)
{
if (skipHeader)
{
skipHeader = false;
continue;
}
var price = Tools.PriceLineToPrice(priceLine, ',', 5, dateFormat, 1, 2, 0);
priceDiscovery.Run(price); // should run this method for all historical ticks.
i++;
}
var yearsToMaturity = 1.0 / 365.0 / 24.0; // (1.0 / 365.0 / 24.0) is equal to one hour. It is also the period of the activation time.
const double dividend = 0.0001; // dividends from the original paper.
priceDiscovery.Finish(dividend, yearsToMaturity);
var computedVolatility = priceDiscovery.GetLatestVolatility();
var putPrice = priceDiscovery.LatestPutStrike;
var callPrice = priceDiscovery.LatestCallStrike;
Console.WriteLine("Computed volatility (in Intrinsic Time): " + computedVolatility);
Console.WriteLine($"Ask {priceDiscovery.LatestPrice.FloatAsk} Bid {priceDiscovery.LatestPrice.FloatBid}");
Console.WriteLine("Fixed Ask (call): " + callPrice);
Console.WriteLine("Fixed Bid (put): " + putPrice);
}
catch (Exception ex)
{
Console.WriteLine(ex);
}
}
private async void Start()
{
try
{
var allPairs = await _marketProfileService.GetAllPairsAsync();
foreach (var asset in allPairs)
{
var key = asset.AssetPair;
_lastReceivedAsks[key] = new Quote
{
AssetPair = key,
Price = asset.AskPrice,
Timestamp = asset.AskPriceTimestamp
};
_lastReceivedBids[key] = new Quote
{
AssetPair = key,
Price = asset.BidPrice,
Timestamp = asset.BidPriceTimestamp
};
if (!_priceDiscoveries.TryGetValue(key, out var prd))
{
prd = new PriceDiscovery(Threshold);
_priceDiscoveries[key] = prd;
var timestamp = asset.AskPriceTimestamp > asset.BidPriceTimestamp
? asset.AskPriceTimestamp
: asset.BidPriceTimestamp;
var price = new Price(asset.AskPrice, asset.BidPrice, timestamp);
prd.Run(price);
}
}
}
catch (Exception ex)
{
await _log.WriteFatalErrorAsync(nameof(FixQuotesManager), nameof(Start), "Loading market profile", ex);
throw;
}
}
