public void CalculateSpreadOnQuotesUpdate(string symbol)
{
if (!arbitrageSettings.HasSymbol(symbol))
{
return;
}
double buySpreadPrice = new BuySpreadFactory(this.arbitrageSettings.LeftLeg, this.arbitrageSettings.RightLeg, this.orderBook).Make();
double sellSpreadPrice = new SellSpreadFactory(this.arbitrageSettings.LeftLeg, this.arbitrageSettings.RightLeg, this.orderBook).Make();
if (buySpreadPrice == 0 || sellSpreadPrice == 0)
{
return;
}
SpreadValue lastSpread = GetLastSpreadValue();
if (lastSpread != null &&
lastSpread.BuyBeforePrice == buySpreadPrice &&
lastSpread.SellAfterPrice == sellSpreadPrice)
{
return;
}
SpreadValue spreadValue = new SpreadValue(arbitrageSettings.Id, BrokerDateTime.Make(DateTime.Now), sellSpreadPrice, buySpreadPrice);
this.logger.Log(String.Format("{0:dd/MM/yyyy H:mm:ss.fff}, {1}, выполнено вычисление нового значения {2}.", DateTime.Now, this.GetType().Name, spreadValue.ToString()));
this.tradingData.Get <ObservableCollection <SpreadValue> >().Add(spreadValue);
}
public void SpreadValue_constructor_test()
{
int id = 1;
DateTime dt = new DateTime(2199, 12, 1);
double sellAfterPrice = 1.3385;
double buyBeforePrice = 1.3385;
SpreadValue sv = new SpreadValue(id, dt, sellAfterPrice, buyBeforePrice);
Assert.AreEqual(id, sv.Id);
Assert.AreEqual(dt, sv.DateTime);
Assert.AreEqual(sellAfterPrice, sv.SellAfterPrice);
Assert.AreEqual(buyBeforePrice, sv.BuyBeforePrice);
}
public void SpreadValue_ToString_test()
{
CultureInfo ci = CultureInfo.InvariantCulture;
DateTime date = DateTime.Now;
SpreadValue sp = new SpreadValue(1, date, 1.255, 1.188);
string expected = String.Format("SpreadValue: {0},{1:dd/MM/yyyy H:mm:ss.fff},{2},{3}",
sp.Id,
sp.DateTime,
sp.SellAfterPrice.ToString("0.0000", ci),
sp.BuyBeforePrice.ToString("0.0000", ci));
Assert.AreEqual(expected, sp.ToString());
}
public void CalculateSpreadOnOrderBookChange_calculate_spread_test()
{
Assert.IsFalse(this.tradingData.Get <IEnumerable <SpreadValue> >().Any(s => s.Id == this.arbitrageSettings.Id));
this.orderBook.Update(0, this.leftStrategy.Symbol, 5, 10, 6, 10);
Assert.IsFalse(this.tradingData.Get <IEnumerable <SpreadValue> >().Any(s => s.Id == this.arbitrageSettings.Id));
this.orderBook.Update(0, this.rightStrategy.Symbol, 4, 10, 5, 10);
Assert.IsTrue(this.tradingData.Get <IEnumerable <SpreadValue> >().Any(s => s.Id == this.arbitrageSettings.Id));
SpreadValue spreadValue = this.tradingData.Get <IEnumerable <SpreadValue> >().Last();
Assert.AreEqual(this.arbitrageSettings.Id, spreadValue.Id);
Assert.AreEqual(1.5, spreadValue.BuyBeforePrice);
Assert.AreEqual(1, spreadValue.SellAfterPrice);
}
public string ToConsole()
{
var spread = SpreadType == SpreadType.Percentage ? SpreadPercentage.ToString("p2") : SpreadValue.ToString("f2");
var message = $"{FromExchangeName}-{ToExchangeName} \t {RunningStatus} \t Volume! Maximum:{MaximumVolume:f2} Minimum:{MinimumVolume} Per:{PerVolume:f2} \t Available:{AvailabeVolume:f2} \t Spread:{spread} ";
return(message);
}
