void UpdateEventPoint(
String spotCode, String futureCode, TradingDirection spotDirection,
DateTime dateTimeFrom, PairTradingData tradingData, EventPoint ep)
{
if (spotDirection == TradingDirection.Long)
{
ep.LongCode = spotCode;
ep.ShortCode = futureCode;
}
else
{
ep.LongCode = futureCode;
ep.ShortCode = spotCode;
}
ep.DateTimeFrom = dateTimeFrom;
if (tradingData != null)
{
ep.DateTimeTo = tradingData.MaxDateTime;
ep.RangeMax = tradingData.MaxPnL;
ep.RangeMin = tradingData.MinPnL;
}
else
{
ep.DateTimeTo = new DateTime(2999, 12, 31);
ep.RangeMax = double.NaN;
ep.RangeMin = double.NaN;
}
}
public List<EventPoint> GetEventPoints(
PeriodicMarketDataCollection spot,
PeriodicMarketDataCollection future,
TradingDirection spotDirection)
{
List<EventPoint> eventPoints = new List<EventPoint>();
for (int i = 0; i < spot.Rmds.Count - 1; ++i)
{
RawMarketData spotStartRmd = spot.Rmds[i];
RawMarketData futureStartRmd = future.Rmds[i];
Trace.Assert(spotStartRmd.LastUpdatedTime == futureStartRmd.LastUpdatedTime);
if (!RawMarketDataUtil.IsValidBidAskCurPrice(spotStartRmd) ||
!RawMarketDataUtil.IsValidBidAskCurPrice(futureStartRmd))
{
EventPoint ep = new EventPoint();
UpdateEventPoint(spotStartRmd.Code, futureStartRmd.Code, spotDirection,
spotStartRmd.LastUpdatedTime, null, ep);
eventPoints.Add(ep);
}
else
{
PairTradingData tradingData = new PairTradingData(spotDirection);
tradingData.SetEnterPrices(spotStartRmd, futureStartRmd, spotDirection);
for (int j = i + 1; j < spot.Rmds.Count; ++j)
{
RawMarketData spotCurRmd = spot.Rmds[j];
RawMarketData futureCurRmd = future.Rmds[j];
if (!RawMarketDataUtil.IsValidBidAskCurPrice(spotCurRmd) ||
!RawMarketDataUtil.IsValidBidAskCurPrice(futureCurRmd))
{
continue;
}
tradingData.UpdateExitNowPnL(spotCurRmd, futureCurRmd, spotDirection);
}
EventPoint ep = new EventPoint();
UpdateEventPoint(spotStartRmd.Code, futureStartRmd.Code, spotDirection,
spotStartRmd.LastUpdatedTime, tradingData, ep);
eventPoints.Add(ep);
}
}
return eventPoints;
}