List<DateTimeDoublePair> GetIndicators_Raw(
DateTime targetDate,
DayDataKtbAvg spotYesAvg,
PeriodicMarketDataCollection spotData,
DayDataKtbAvg futureYesAvg,
PeriodicMarketDataCollection futureData)
{
List<DateTimeDoublePair> ret = new List<DateTimeDoublePair>();
double spotAvgPrice = spotYesAvg.PriceAvg;
double spotDuration = spotYesAvg.DurationAvg;
double futureAvgPrice = futureYesAvg.PriceAvg;
double futureDuration = futureYesAvg.DurationAvg;
double kMinValue = -4;
foreach (RawMarketData spotRmd in spotData.Rmds)
{
DateTime curDateTime = spotRmd.LastUpdatedTime;
RawMarketData futureRmd = futureData.GetRmdData(curDateTime);
if (RawMarketDataUtil.IsValidBidAskCurPrice(spotRmd) &&
RawMarketDataUtil.IsValidBidAskCurPrice(futureRmd))
{
if (IsOverSpotBidAskSpread(spotRmd))
{
ret.Add(new DateTimeDoublePair(curDateTime, kMinValue));
}
else
{
double spotMidPrice = (spotRmd.AskPrice1 + spotRmd.BidPrice1) / 2;
double futureMidPrice = (futureRmd.AskPrice1 + futureRmd.BidPrice1) / 2;
double spotPart = (spotAvgPrice - spotMidPrice) / spotDuration;
double futurePart = 100 * (futureMidPrice - futureAvgPrice) / futureDuration;
double indicator = spotPart + futurePart;
ret.Add(new DateTimeDoublePair(curDateTime, indicator));
}
}
else
{
ret.Add(new DateTimeDoublePair(curDateTime, double.NaN));
}
}
return ret;
}
