public static StrategyProc getInstance(Spread spread)
{
if (instance == null)
{
instance = new StrategyProc(spread);
}
return (instance);
}
public Session()
{
spread = new Spread();
instrumentA = new Instrument();
instrumentB = new Instrument();
instruments = new List<Instrument>();
instruments.Add(instrumentA);
instruments.Add(instrumentB);
}
private StrategyProc(Spread spread)
{
this.spread = spread;
orders = new List<SpreadOrder>();
lastfill = new Dictionary<string, double>();
closeouts = new Dictionary<string, Thread>();
offOrders = new Dictionary<string, Order>();
fillbugs = new Dictionary<string, SpreadOrder>();
scratchLegs = new Queue<Order>();
procSpread = SpreadProc.getInstance();
procSpread.OnFill += this.OnFill;
procSpread.OnUpdate += this.OnUpdate;
}
public Zscore(Spread spread)
{
procSpread = SpreadProc.getInstance();
this.tickers = new string[] { procSpread.productOne.Product
,procSpread.productTwo.Product };
this.multipliers = new double[] {procSpread.productOne.InstrumentMultiplier
,procSpread.productTwo.InstrumentMultiplier };
this.ratio = new int[] { procSpread.productOne.Size, procSpread.productTwo.Size };
market = Market.getInstance(tickers);
this.spreads = new List<Quote>();
this.zslist = new List<double>();
this.threshold = spread.Threshold;
this.trendfollow = spread.TrendFollow;
this.pricelength = spread.PriceLength;
this.signame = spread.Signal;
this.signame = signame.ToUpper();
}
public void resetStrategy(Session session)
{
signal.resetparams( new object[] { session.spread.Threshold
,session.spread.TrendFollow
,session.spread.PriceLength
,session.spread.Signal });
spread = session.spread;
}
public SignalFactory(Spread spread)
{
this.spread = spread;
this.signalName = spread.Signal.ToUpper();
}