//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);
}
}
public void trade(string sym, double bid, double ask)
{
if (!mktdict.ContainsKey(sym))
{
Quote quote = new Quote();
quote.bid = bid;
quote.ask = ask;
mktdict[sym] = quote;
}
else
{
mktdict[sym].bid = bid;
mktdict[sym].ask = ask;
}
}
