public void SetEnterPrices(RawMarketData spotStartRmd,
RawMarketData futureStartRmd, TradingDirection spotDirection)
{
if (spotDirection == TradingDirection.Long)
{
LongEnterPrice = spotStartRmd.AskPrice1;
ShortEnterPrice = futureStartRmd.BidPrice1;
}
else
{
LongEnterPrice = futureStartRmd.AskPrice1;
ShortEnterPrice = spotStartRmd.BidPrice1;
}
}
public void UpdateExitNowPnL(RawMarketData spotRmd,
RawMarketData futureRmd, TradingDirection spotDirection)
{
double longExitPrice = 0;
double shortExitPrice = 0;
if (spotDirection == TradingDirection.Long)
{
longExitPrice = spotRmd.BidPrice1;
shortExitPrice = futureRmd.AskPrice1;
}
else
{
longExitPrice = futureRmd.BidPrice1;
shortExitPrice = spotRmd.AskPrice1;
}
double exitNowPnL = ExitNowPnL(longExitPrice, shortExitPrice);
if (exitNowPnL > this.MaxPnL)
{
this.MaxPnL = exitNowPnL;
this.MaxDateTime = spotRmd.LastUpdatedTime;
}
if (exitNowPnL < this.MinPnL)
{
this.MinPnL = exitNowPnL;
}
}
Boolean IsOverSpotBidAskSpread(RawMarketData rmd)
{
const double spotBidAskSpreadMax = 6;
double spread = (rmd.AskPrice1 - rmd.BidPrice1);
if (spread > spotBidAskSpreadMax)
{
return true;
}
return false;
}
