Exemple #1
0
        public override bool Initialize(List <IProcessorInput> inputs, string parameters, ILogger logger)
        {
            this.logger = logger;
            ParametersParser parser = CreateParser(parameters);

            call = parser.GetInt("Call");
            put  = parser.GetInt("Put");
            if (call < 0 || call >= inputs.Count)
            {
                return(false);
            }
            if (put < 0 || put >= inputs.Count)
            {
                return(false);
            }
            strike   = parser.GetDouble("Strike");
            type     = parser.GetInt("Type");
            inp_name = parser.GetString("input_name");
            //inp_name_2 = parser.GetString("input_name_2");

            /* if(inp_name_2 == inp_name)
             * {
             *   inp_name_2 += "_n";
             * }*/
            this.inputs = inputs;
            SyntheticFutureInput.AddKey(inp_name);
            //SyntheticFutureInput.AddKey(inp_name_2);
            return(true);
        }
Exemple #2
0
        public override double Process(DateTime time)
        {
            //if(inputs[call].)
            double syntheticFuture     = 0.0;
            double syntheticFuture_ask = strike + inputs[call].Ask - inputs[put].Ask;
            double syntheticFuture_bid = strike + inputs[call].Bid - inputs[put].Bid;

            //double syntheticFuture_ask_reverse = strike + inputs[call].Ask - inputs[put].Bid;
            //double syntheticFuture_bid_reverse = strike + inputs[call].Bid - inputs[put].Ask;
            SyntheticFutureInput.AddValue(inp_name, syntheticFuture_ask, syntheticFuture_bid);
            //SyntheticFutureInput.AddValue(inp_name_2, syntheticFuture_ask_reverse, syntheticFuture_bid_reverse);
            switch (type)
            {
            case 0:
                syntheticFuture = syntheticFuture_ask;
                break;

            default:
                syntheticFuture = syntheticFuture_bid;
                break;
            }
            return(syntheticFuture);
        }