static FutureMasterAndCorrelation GetSingleContractCorrelation(CurrencyType baseCurrency, CurrencyType quoteCurrency)
{
var item = _futuresMap.SingleOrDefault(m => m.CurrencyPairBase == baseCurrency.ToForexCode() && m.CurrencyPairQuote == quoteCurrency.ToForexCode());
if (null != item)
{
return new FutureMasterAndCorrelation {
FutureMaster = InstrumentProvider.GetFutureMaster(SymbolProviderType.Generic, item.FutureMasterName),
Correlation = 1,
}
}
;
item = _futuresMap.SingleOrDefault(m => m.CurrencyPairBase == quoteCurrency.ToForexCode() && m.CurrencyPairQuote == baseCurrency.ToForexCode());
if (null != item)
{
return new FutureMasterAndCorrelation {
FutureMaster = InstrumentProvider.GetFutureMaster(SymbolProviderType.Generic, item.FutureMasterName),
Correlation = -1,
}
}
;
return(null);
}