private double MakeBuySpread()
{
IGenericFactory <double> factory =
new BuySpreadFactory(this.leftLeg, this.rightLeg, this.quotesProvider);
return(factory.Make());
}
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 BuySpreadFactory_returns_zero()
{
this.orderBook.Update(0, "Si-12.13_FT", 32000, 85, 32001, 25);
this.orderBook.Update(0, "Eu-12.13_FT", 43800, 200, 43805, 210);
IGenericFactory <double> factory =
new BuySpreadFactory(this.leftLeg, this.rightLeg, this.orderBook);
Assert.AreEqual(0, factory.Make());
}
