public static SynthOrderBook FromOrderBook(OrderBook orderBook, AssetPair target)
{
Debug.Assert(orderBook != null);
Debug.Assert(target != null);
Debug.Assert(target.IsEqualOrInverted(orderBook.AssetPair));
var result = new SynthOrderBook(target, new List <OrderBook> {
orderBook
});
return(result);
}
public static SynthOrderBook FromOrderBooks(OrderBook first, OrderBook second, AssetPair target)
{
Debug.Assert(first != null);
Debug.Assert(first.AssetPair != null);
Debug.Assert(second != null);
Debug.Assert(second.AssetPair != null);
Debug.Assert(target != null);
var result = new SynthOrderBook(target, GetOrdered(new List <OrderBook> {
first, second
}, target));
return(result);
}
public Arbitrage(AssetPair assetPair, SynthOrderBook bidSynth, VolumePrice bid, SynthOrderBook askSynth, VolumePrice ask)
{
Debug.Assert(bidSynth != null);
Debug.Assert(askSynth != null);
AssetPair = assetPair;
BidSynth = bidSynth;
AskSynth = askSynth;
Bid = bid;
Ask = ask;
Spread = GetSpread(Bid.Price, Ask.Price);
Volume = Ask.Volume < Bid.Volume ? Ask.Volume : Bid.Volume;
PnL = GetPnL(Bid.Price, Ask.Price, Volume);
ConversionPath = FormatConversionPath(BidSynth.ConversionPath, AskSynth.ConversionPath);
StartedAt = DateTime.UtcNow;
}
