private string[] SendSpreadOrder(string buySell, double[] prices)
{
string action = buySell == "Buy" ? "Sell" : "Buy";
double aPrice = prices[0];
double bPrice = prices[1];
string a = procSpread.SendOrder(buySell, aPrice, procSpread.productOne);
string b = procSpread.SendOrder(action, bPrice, procSpread.productTwo);
Order one = new Order(buySell, procSpread.instruments[0].Size, aPrice, a, procSpread.productOne);
Order two = new Order(action, procSpread.instruments[1].Size, bPrice, b, procSpread.productTwo);
SpreadOrder so = new SpreadOrder(new Order[] { one, two } , Interlocked.Add(ref spreadIDcount, 1) );
orders.Add(so);
//log the cost of the spread
if (log.IsInfoEnabled)
log.Info(
new System.Text.StringBuilder("spreadID:").AppendFormat("{0} orders: {1} {2} {3} @ {4}"
,spreadIDcount,a,b,buySell,prices[2] )
);
return new string[] { a, b };
}
public SpreadOrder( Order[] orders, int spreadid )
{
this.orders = orders;
this.level = Math.Abs(
orders[0].Price * orders[0].IPROC.Size - orders[1].Price * orders[0].IPROC.Size
);
this.spreadid = spreadid;
}