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);
}
public override double Process(DateTime time)
{
double temp_value = Model.Project.Outputs[gap_position].Value;
if (next_value_to_change == 0)
{
if (temp_value > min_node)
{
next_peak = temp_value;
peak_time = time;
next_value_to_change = -min_node;
fut_ask = inputs[Fut].Ask;
}
if (temp_value < -min_node)
{
next_peak = temp_value;
peak_time = time;
next_value_to_change = min_node;
fut_bid = inputs[Fut].Bid;
}
}
if (next_value_to_change < 0)
{
if (temp_value > next_peak)
{
next_peak = temp_value;
peak_time = time;
fut_ask = inputs[Fut].Ask;
}
if (temp_value < -min_node)
{
Value = next_peak;
ValueTime = peak_time;
IsNewValue = true;
ProcessorAction?.Invoke(new object[] { "Max", Value, fut_ask, ValueTime });
next_value_to_change = min_node;
dealprice[dealcounter] = fut_ask;
dealtime[dealcounter] = ValueTime;
dealcounter++;
if (dealtype == DealType.NONE)
{
dealtype = DealType.LONG;
}
next_peak = temp_value;
peak_time = time;
fut_ask = inputs[Fut].Ask;
}
}
if (next_value_to_change > 0)
{
if (temp_value < next_peak)
{
next_peak = temp_value;
peak_time = time;
fut_bid = inputs[Fut].Bid;
}
if (temp_value > min_node)
{
Value = next_peak;
ValueTime = peak_time;
IsNewValue = true;
ProcessorAction?.Invoke(new object[] { "Min", Value, fut_bid, ValueTime });
next_value_to_change = -min_node;
//next_value_to_change = min_node;
dealprice[dealcounter] = fut_bid;
dealtime[dealcounter] = ValueTime;
dealcounter++;
if (dealtype == DealType.NONE)
{
dealtype = DealType.SHORT;
}
next_peak = temp_value;
peak_time = time;
fut_bid = inputs[Fut].Bid;
}
}
if (dealcounter == 2)
{
double profit = 0;
if (dealtype == DealType.SHORT)
{
profit = dealprice[0] - dealprice[1];
}
else
{
profit = dealprice[1] - dealprice[0];
}
if (profit > 0)
{
global_profit += profit;
Deal(file_name_profit, dealtime[0], dealtime[1], profit, dealprice, global_profit, dealtype);
}
else
{
global_lose += profit;
Deal(file_name_lose, dealtime[0], dealtime[1], profit, dealprice, global_lose, dealtype);
}
dealtime[0] = dealtime[1];
dealprice[0] = dealprice[1];
dealcounter = 1;
if (dealtype == DealType.LONG)
{
dealtype = DealType.SHORT;
}
else
{
dealtype = DealType.LONG;
}
}
return(Value);
//throw new NotImplementedException();
}
