private void FillWatchArbitrage()
{
int currencyCount = m_a.Rows;
int offset = 0;
m_watchArbitrage.Clear();
for (int i = 0; i < currencyCount; i++)
{
for (int j = 0; j < currencyCount; j++)
{
int first = i;
int second = j;
if (first == second) continue;
for (int k = 0; k < currencyCount; k++)
{
int third = k;
if (third == first) continue;
if (third == second) continue;
ArbitrageCycle c = new ArbitrageCycle(DateTime.Now);
c.Edges.Add(new DirectedEdge(first, second, offset++));
c.Edges.Add(new DirectedEdge(second, third, offset++));
c.Edges.Add(new DirectedEdge(third, first, offset++));
if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_watchArbitrage.Add(c);
}
c = new ArbitrageCycle(DateTime.Now);
c.Edges.Add(new DirectedEdge(first, third, offset++));
c.Edges.Add(new DirectedEdge(third, second, offset++));
c.Edges.Add(new DirectedEdge(second, first, offset++));
if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_watchArbitrage.Add(c);
}
/*
for (int l = 0; l < currencyCount; l++)
{
int forth = l;
if (forth == first) continue;
if (forth == second) continue;
if (forth == third) continue;
c = new ArbitrageCycle(DateTime.Now);
c.Edges.Add(new DirectedEdge(first, second, offset++));
c.Edges.Add(new DirectedEdge(second, third, offset++));
c.Edges.Add(new DirectedEdge(third, forth, offset++));
c.Edges.Add(new DirectedEdge(forth, first, offset++));
if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_watchArbitrage.Add(c);
c = new ArbitrageCycle(DateTime.Now);
c.Edges.Add(new DirectedEdge(first, second, offset++));
c.Edges.Add(new DirectedEdge(second, forth, offset++));
c.Edges.Add(new DirectedEdge(forth, third, offset++));
c.Edges.Add(new DirectedEdge(third, first, offset++));
if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_watchArbitrage.Add(c);
}
c = new ArbitrageCycle(DateTime.Now);
c.Edges.Add(new DirectedEdge(first, third, offset++));
c.Edges.Add(new DirectedEdge(third, forth, offset++));
c.Edges.Add(new DirectedEdge(forth, second, offset++));
c.Edges.Add(new DirectedEdge(second, first, offset++));
if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_watchArbitrage.Add(c);
}
c = new ArbitrageCycle(DateTime.Now);
c.Edges.Add(new DirectedEdge(first, third, offset++));
c.Edges.Add(new DirectedEdge(third, second, offset++));
c.Edges.Add(new DirectedEdge(second, forth, offset++));
c.Edges.Add(new DirectedEdge(forth, first, offset++));
if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_watchArbitrage.Add(c);
}
c = new ArbitrageCycle(DateTime.Now);
c.Edges.Add(new DirectedEdge(first, forth, offset++));
c.Edges.Add(new DirectedEdge(forth, third, offset++));
c.Edges.Add(new DirectedEdge(third, second, offset++));
c.Edges.Add(new DirectedEdge(second, first, offset++));
if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_watchArbitrage.Add(c);
}
c = new ArbitrageCycle(DateTime.Now);
c.Edges.Add(new DirectedEdge(first, forth, offset++));
c.Edges.Add(new DirectedEdge(forth, second, offset++));
c.Edges.Add(new DirectedEdge(second, third, offset++));
c.Edges.Add(new DirectedEdge(third, first, offset++));
if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_watchArbitrage.Add(c);
}
}
}*/
}
}
}
}
private void CalculateShortestPath()
{
EdgeWeightedDigraph G = new EdgeWeightedDigraph(m_a.Rows);
for (int v = 0; v < m_a.Rows; v++)
{
for (int w = 0; w < m_a.Cols; w++)
{
DirectedEdge e = new DirectedEdge(v, w, -Math.Log(m_a[v, w]));
G.addEdge(e);
}
}
BellmanFordSP spt = new BellmanFordSP(G, 0);
if (spt.negativeCycleCount > 2)
{
double stake = 25000;
double arbitrage = 1;
ArbitrageCycle cycle = new ArbitrageCycle(m_currentTime);
foreach (DirectedEdge e in spt.negativeCycle)
{
double weight = Math.Exp(-e.Weight);
arbitrage *= weight;
cycle.Edges.Add(new DirectedEdge(e.From, e.To, weight));
}
if (!m_activeArbitrage.Contains(cycle, ARBITRAGE_CYCLE_COMPARER))
{
m_activeArbitrage.Add(cycle);
Status(cycle.Summary);
Status("arbitrage(" + arbitrage + ") stake(" + stake + ") balance(" + (arbitrage * stake) + ") profit(" + Math.Round(((arbitrage * stake) / stake) - 1, 5) + "%)");
}
}
}
