//worst case. buy offer and sell bid
private void CalcSpreadQuote()
{
Quote spreadQuote = new Quote();
spreadQuote.bid = market.ask(tickers[0]) * multipliers[0] * ratio[0]
- market.bid(tickers[1]) * multipliers[1] * ratio[1];
spreadQuote.ask = market.bid(tickers[0]) * multipliers[0] * ratio[0]
- market.ask(tickers[1]) * multipliers[1] * ratio[1];
spreadQuote.symbol = "spread";
spreads.Add(spreadQuote);
if (spreads.Count > pricelength)
{
spreads.RemoveAt(0);
}
}
private void OnUpdate(object sender, UpdateEventArgs e)
{
try
{
market.trade(e.update.Symbol, e.update.Bid, e.update.Ask);
attemptScratchLeg();
//--------------XXX make this better---
//--------------------------------------
List <SpreadOrder> delorders = new List <SpreadOrder>();
//check to see if openorders are still attractive
foreach (SpreadOrder so in orders)
{
double[] wkprices = so.workPrices();
if (so.buySell == "Buy")
{
if (wkprices[0] != market.bid(procSpread.productOne.Product) &&
wkprices[1] != market.ask(procSpread.productTwo.Product) &&
so.fillPrice() == 0
)
{
if (log.IsDebugEnabled)
{
log.Debug("buy off market");
}
string[] sok = so.getSOKs();
Order[] legs = so.getLegs();
int delone = procSpread.Delete(sok[0], procSpread.productOne.ttOrderSet);
int deltwo = procSpread.Delete(sok[1], procSpread.productTwo.ttOrderSet);
int filledOne = procSpread.productOne.Size - delone;
int filledTwo = procSpread.productTwo.Size - deltwo;
/*
* if we couldnt get the cancel off we need to close it out but ignore
* if both legs are complete fills
*/
if (delone != 0 || deltwo != 0)
{
if (filledOne != 0)
{
if (log.IsDebugEnabled)
{
log.Debug("cancel didnt go off completely. selling " + filledOne);
}
procSpread.SendOrder("Sell", market.bid(procSpread.productOne.Product), filledOne, procSpread.productOne);
}
else
{
offOrders[sok[0]] = legs[0];
}
if (filledTwo != 0)
{
if (log.IsDebugEnabled)
{
log.Debug("cancel didnt go off completely. buying " + filledTwo);
}
procSpread.SendOrder("Buy", market.ask(procSpread.productTwo.Product), filledTwo, procSpread.productTwo);
}
else
{
offOrders[sok[1]] = legs[1];
}
}
delorders.Add(so);
break;
}
//XXX shift the spread if necassary.
// else if (so.fillPrice() == 0)
// {
// checkSpreadLevel(so);
// }
}
else if (so.buySell == "Sell")
{
if (wkprices[0] != market.ask(procSpread.productOne.Product) &&
wkprices[1] != market.bid(procSpread.productTwo.Product) &&
so.fillPrice() == 0
)
{
if (log.IsDebugEnabled)
{
log.Debug("sell off market");
}
string[] sok = so.getSOKs();
Order[] legs = so.getLegs();
int delone = procSpread.Delete(sok[0], procSpread.productOne.ttOrderSet);
int deltwo = procSpread.Delete(sok[1], procSpread.productTwo.ttOrderSet);
int filledOne = procSpread.productOne.Size - delone;
int filledTwo = procSpread.productTwo.Size - deltwo;
//if we couldnt get the cancel off we need to close it out
if (delone != 0 || deltwo != 0)
{
if (filledOne != 0)
{
if (log.IsDebugEnabled)
{
log.Debug("cancel didnt go off completely. buying " + filledOne);
}
procSpread.SendOrder("Buy", market.ask(procSpread.productOne.Product), filledOne, procSpread.productOne);
}
else
{
offOrders[sok[0]] = legs[0];
}
if (filledTwo != 0)
{
if (log.IsDebugEnabled)
{
log.Debug("cancel didnt go off completely. selling " + filledTwo);
}
procSpread.SendOrder("Sell", market.bid(procSpread.productTwo.Product), filledTwo, procSpread.productTwo);
}
else
{
offOrders[sok[1]] = legs[1];
}
}
delorders.Add(so);
break;
}
//XXX shift the spread if necassary.
// else if (so.fillPrice() == 0)
// {
// checkSpreadLevel(so);
// }
}
}
foreach (SpreadOrder dspo in delorders)
{
orders.Remove(dspo);
}
//--------------------------------------
//--------------------------------------
signal.trader();
}
catch (Exception ex)
{
if (log.IsErrorEnabled)
{
log.Error(ex.StackTrace);
}
}
}