public override double Process(DateTime time)
{
bool flag = true;
//double mean;
double spread, spread_midle, spread_howmuch;
if (filt_spread)
{
if (GapWorker.spread_worker(/*time, ref time_prev_spred, */ ref spread_col, ref spread_count, koef, inputs[Opt], out spread, out spread_midle, out spread_howmuch))
{
flag = false;
}
}
if (flag)
{
midle_opt_price = (inputs[Opt].Ask + inputs[Opt].Bid) / 2;
}
if (midle_opt_price > inputs[Opt].Ask || midle_opt_price < inputs[Opt].Bid)
{
midle_opt_price = (inputs[Opt].Ask + inputs[Opt].Bid) / 2;
Array.Clear(spread_col, 0, spread_col.Length);
}
//ProcessorAction?.Invoke(new object[] { flag, midle_opt_price });
return(midle_opt_price);
}
public override double Process(DateTime time)
{
bool flag = true;
double mean;
double spread, spread_midle, spread_howmuch;
if (filt_spread)
{
if (GapWorker.spread_worker(ref spread_col_call, ref spread_count_call, koef, inputs[Call], out spread, out spread_midle, out spread_howmuch))
{
//logger.LogEvent(time, "Спред опционна Call " + spread + " вырос более чем в " + spread_howmuch + " раза от среднего спреда " + spread_midle);
flag = false;
}
if (GapWorker.spread_worker(ref spread_col_put, ref spread_count_put, koef, inputs[Put], out spread, out spread_midle, out spread_howmuch))
{
//logger.LogEvent(time, "Спред опционна Put " + spread + " вырос более чем в " + spread_howmuch + " раза от среднего спреда " + spread_midle);
flag = false;
}
}
if (flag)
{
midle_opt_price_put = (inputs[Put].Ask + inputs[Put].Bid) / 2;
midle_opt_price_call = (inputs[Call].Ask + inputs[Call].Bid) / 2;
}
if (midle_opt_price_put > inputs[Put].Ask || midle_opt_price_put < inputs[Put].Bid)
{
midle_opt_price_put = (inputs[Put].Ask + inputs[Put].Bid) / 2;
Array.Clear(spread_col_put, 0, spread_col_put.Length);
}
if (midle_opt_price_call > inputs[Call].Ask || midle_opt_price_call < inputs[Call].Bid)
{
midle_opt_price_call = (inputs[Call].Ask + inputs[Call].Bid) / 2;
Array.Clear(spread_col_call, 0, spread_col_call.Length);
}
double pt = inputs[Fut].Point;
if (pt <= 0)
{
pt = 1.0;
}
double gap = (Strike - midle_opt_price_put + midle_opt_price_call - (inputs[Fut].Bid + inputs[Fut].Ask) / 2) / pt;
double midle_gap;
bool flag2 = GapWorker.new_gap(ref x, ref pos, ref ready, gap, out midle_gap);
gap -= midle_gap;
flag = flag & flag2;
ProcessorAction?.Invoke(new object[] { gap, inputs[Fut].Ask, inputs[Fut].Bid, time });
return(gap);
}