private void UpdateTrendState(TrendInfo trendInfo, TradeSide side, ILocalSnapshotService localSnapshotService)
{
var pricesOpt = CalculatePrices(trendInfo.TargetEis, trendInfo.ReferenceEis, side, localSnapshotService);
if (pricesOpt == null)
{
return;
}
var prices = pricesOpt.Value;
var referenceDeltaPrice = PriceTrendCalculator.CalcPriceOffset(prices.ReferencePrice, prices.TargetPrice, 0);
lock (trendInfo.Sync)
{
var mutTrendInfoBySide = trendInfo.GetMutable(side);
var now = _dateTimeService.UtcNow;
mutTrendInfoBySide.UpdateStateIncrementally(referenceDeltaPrice, now);
var isReset = prices.TargetSpread > TargetSpreadThreshold ||
Math.Abs(referenceDeltaPrice) > ReferenceDeltaPriceThreshold;
var exceededDeltaPriceStartTime = trendInfo.ExceededDeltaPriceStartTime;
if (exceededDeltaPriceStartTime != null)
{
if (isReset)
{
trendInfo.TryResetProhibitionPeriod(now, ResetPeriod);
}
else
{
trendInfo.AbortReset();
if (exceededDeltaPriceStartTime + WindowPeriod <= now)
{
// prohibition period is ended
trendInfo.ExceededDeltaPriceStartTime = null;
var buyTrendInfo = trendInfo.GetMutable(TradeSide.Buy);
buyTrendInfo.Equilibrium = buyTrendInfo.CalcMeanDeltaPrice();
var sellTrendInfo = trendInfo.GetMutable(TradeSide.Sell);
sellTrendInfo.Equilibrium = sellTrendInfo.CalcMeanDeltaPrice();
}
}
}
else
{
if (isReset)
{
trendInfo.TryResetProhibitionPeriod(now, ResetPeriod);
}
else
{
trendInfo.AbortReset();
mutTrendInfoBySide.Equilibrium = mutTrendInfoBySide.CalcMeanDeltaPrice();
}
}
}
}
private static void AddStrategy(
Dictionary <TradePlace, List <TrendInfo> > dictionary,
TradePlace tradePlace,
TrendInfo trendInfo)
{
if (!dictionary.TryGetValue(tradePlace, out var list))
{
list = new List <TrendInfo>();
dictionary[tradePlace] = list;
}
list.Add(trendInfo);
}
private static (ConcurrentDictionary <TradePlace, TrendInfo>, Dictionary <TradePlace, List <TrendInfo> >) CreateTrends(List <StrategyInfo> strategies)
{
var trends = new ConcurrentDictionary <TradePlace, TrendInfo>();
var relatedTrends = new Dictionary <TradePlace, List <TrendInfo> >();
foreach (var strategy in strategies)
{
var trendInfo = new TrendInfo(
strategy.TargetEis,
strategy.ReferenceEis);
if (!trends.TryAdd(strategy.TargetEis.ToTradePlace(), trendInfo))
{
throw new Exception($"Can't add new trend {strategy.TargetEis.ToTradePlace()} in {nameof(TrendService)}");
}
AddStrategy(relatedTrends, strategy.TargetEis.ToTradePlace(), trendInfo);
AddStrategy(relatedTrends, strategy.ReferenceEis.ToTradePlace(), trendInfo);
}
return(trends, relatedTrends);
}
