public static object CreateMarketDataSource(string ContractHandle, object[] Timestamps, object[] MidPrices, object SpreadOpt)
{
double spread = Utils.GetOptionalParameter(SpreadOpt, 0.0);
Contract cc = XLOM.Get <Contract>(ContractHandle);
object[] timestamps = Utils.GetVector <object>(Timestamps);
double[] midprices = Utils.GetVector <double>(MidPrices);
int nData = timestamps.Length;
bool oaDate = (timestamps[0].GetType() == typeof(double));
List <ITimestampedDatum> DataSource = new List <ITimestampedDatum>(nData);
for (int i = 0; i < nData; ++i)
{
DateTimeOffset now = new DateTimeOffset((oaDate ? DateTime.FromOADate((double)timestamps[i]) : DateTime.Parse(timestamps[i].ToString())), new TimeSpan(0, 0, 0));
DataSource.Add(new Market(now, cc.Id, (decimal)(midprices[i] * (1 - 0.5 * spread)), (decimal)(midprices[i] * (1 + 0.5 * spread))));
}
DataSourceInfo dsi = new DataSourceInfo("InMemoryMarketDataSource", cc.Id, cc.Symbol);
if (XLOM.Contains(dsi.ToString()))
{
XLOM.Remove(dsi.ToString());
}
return(XLOM.Add(dsi.ToString(), DataSource));
}
public static string DeleteHandle(object[] HandleNames)
{
int removed = 0;
foreach (string s in HandleNames)
{
if (XLOM.Remove(s))
{
removed++;
}
}
return(removed + " objects deleted");
}
public static object CreateImpliedVolDataSource(int ContractId, object[] Timestamps, double[] ImpliedVols)
{
int nData = Timestamps.Length;
bool oaDate = (Timestamps[0].GetType() == typeof(double));
List <ITimestampedDatum> DataSource = new List <ITimestampedDatum>(nData);
for (int i = 0; i < nData; ++i)
{
DateTimeOffset now = new DateTimeOffset((oaDate ? DateTime.FromOADate((double)Timestamps[i]) :
DateTime.Parse(Timestamps[i].ToString())), new TimeSpan(0, 0, 0));
DataSource.Add(new ImpliedVol(now, ContractId, ImpliedVols[i]));
}
DataSourceInfo dsi = new DataSourceInfo("InMemoryImpliedVolDataSource", ContractId, "ATMF");
if (XLOM.Contains(dsi.ToString()))
{
XLOM.Remove(dsi.ToString());
}
return(XLOM.Add(dsi.ToString(), DataSource));
}
public static object CreateDepositRateDataSource(string Currency, object[] Timestamps, double[] DepositRates)
{
int nData = Timestamps.Length;
bool oaDate = (Timestamps[0].GetType() == typeof(double));
List <ITimestampedDatum> DataSource = new List <ITimestampedDatum>(nData);
for (int i = 0; i < nData; ++i)
{
DateTimeOffset now = new DateTimeOffset((oaDate ? DateTime.FromOADate((double)Timestamps[i]) :
DateTime.Parse(Timestamps[i].ToString())), new TimeSpan(0, 0, 0));
DataSource.Add(new DepositRate(now, Currency, DepositRates[i]));
}
DataSourceInfo dsi = new DataSourceInfo("InMemoryDepositRateDataSource", 0, Currency);
if (XLOM.Contains(dsi.ToString()))
{
XLOM.Remove(dsi.ToString());
}
return(XLOM.Add(dsi.ToString(), DataSource));
}
private void DeleteObject(object sender, DataGridViewRowCancelEventArgs e)
{
OMKey key = new OMKey((string)e.Row.Cells[0].Value, (string)e.Row.Cells[1].Value, (int)e.Row.Cells[2].Value);
XLOM.Remove(key.ToString());
}