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 ArbitrageSettings_has_symbol_with_exising_symbol()
{
Assert.IsTrue(arbitrageSettings.HasSymbol("RTS-12.13_FT"));
Assert.IsTrue(arbitrageSettings.HasSymbol("Si-12.13_FT"));
}