private void ReinitGrid(string pair, int timeToFirstOption, int optionLen, double priceSize, int nPriceIndex, int nTimeIndex)
{
var cfg = _settings.Instruments.First(s => s.Name == pair);
var grid = new OptionsGrid(timeToFirstOption, optionLen, priceSize, nPriceIndex, nTimeIndex, cfg.MarginHit, cfg.MarginMiss, cfg.MaxPayoutCoeff, cfg.BookingFee, cfg.HasWeekend);
var activities = _activities[pair];
var history = _historyHolder.GetHistory(pair);
var currentPrice = history.Last();
grid.InitiateGrid(activities, history.ToList(), cfg.Delta, cfg.MovingWindow, currentPrice, cfg.SmileVar);
_grids[pair] = grid;
string msg = $"{DateTime.UtcNow.ToTimeString()} | [{pair}] Updated. History size:{history.Length}. Current Price:{currentPrice.Date.ToDateTimeString()}";
Console.WriteLine(msg);
_logger.WriteInfoAsync("Calculator.ReinitGrid", null, msg);
}
private async Task Initialize()
{
_grids = new Dictionary <string, OptionsGrid>();
_activities = new Dictionary <string, List <double> >();
Dictionary <string, DateTime> lastreport = new Dictionary <string, DateTime>();
foreach (var instrument in _settings.Instruments)
{
lastreport.Add(instrument.Name, DateTime.UtcNow);
var activity = await _activityManager.GetActivityByName(instrument.Name, instrument.ActivityFileName);
_activities.Add(instrument.Name, activity.ActivityArray.ToList());
var grid = new OptionsGrid(instrument.TimeToFirstOption, instrument.OptionLen, instrument.PriceSize, instrument.NPriceIndex, instrument.NTimeIndex,
instrument.MarginHit, instrument.MarginMiss, instrument.MaxPayoutCoeff, instrument.BookingFee, instrument.HasWeekend);
var history = _historyHolder.GetHistory(instrument.Name);
if (history != null && history.Length > 0)
{
var currentPrice = history.Last();
await _logger.WriteInfoAsync("Calculator.Initialize", null, $"Current Price[{instrument.Name}] Date: {currentPrice.Date.ToDateTimeString()}");
grid.InitiateGrid(_activities[instrument.Name], history.ToList(), instrument.Delta, instrument.MovingWindow, currentPrice, instrument.SmileVar);
_grids.Add(instrument.Name, grid);
Timer instrumentTimer = new Timer(instrument.Period);
instrumentTimer.Elapsed += (sender, args) =>
{
instrumentTimer.Stop();
if (isDisposing)
{
return;
}
var now = DateTime.UtcNow;
var newPrices = _priceCache.GetPrices(instrument.Name);
Price newPrice;
if (newPrices.Length > 0)
{
var lastPrice = newPrices.Last();
newPrice = new Price
{
Date = now,
Ask = lastPrice.Ask,
Bid = lastPrice.Bid
};
}
else
{
var lastHistoryPrice = _historyHolder.GetHistory(instrument.Name).Last();
newPrice = new Price
{
Date = now,
Ask = lastHistoryPrice.Ask,
Bid = lastHistoryPrice.Bid
};
}
_grids[instrument.Name].UpdateCoefficients(newPrices.ToList(), newPrice, instrument.SmileVar);
if (newPrices.Length > 0 && DateTime.UtcNow > lastreport[instrument.Name].AddMinutes(30))
{
string msg = $"{DateTime.UtcNow.ToTimeString()}[{instrument.Name}] Updated. New prices size:{newPrices.Length}. Current Price:{newPrice.Date.ToDateTimeString()}";
Console.WriteLine(msg);
_logger.WriteInfoAsync("Calculator.instrumentTimer.Elapsed", null, msg);
lastreport[instrument.Name] = DateTime.UtcNow;
}
instrumentTimer.Start();
};
instrumentTimer.Start();
}
}
StartSubscriber();
}
