コード例 #1
0
        public static ArbitrageTimeStatistics Instance(string symbol)
        {
            ArbitrageTimeStatistics value = null;

            if (!_dictInstance.TryGetValue(symbol, out value))
            {
                lock (o)
                {
                    if (!_dictInstance.TryGetValue(symbol, out value))
                    {
                        _dictInstance.Add(symbol, new ArbitrageTimeStatistics(symbol));
                        value = _dictInstance[symbol];
                    }
                }
            }
            return(value);
        }
コード例 #2
0
ファイル: WatcherSymbol.cs プロジェクト: hombrevrc/FDK
        private void Run(SingleAdviser <int> first, SingleAdviser <int> second, Level2 f, Level2 s, ref Arbitrage arb)
        {
            if (f.Bids.Count == 0 || s.Asks.Count == 0 || s.Ask - f.Bid > -float.Epsilon)
            {
                if (null != arb)
                {
                    arb.EndDateTime = DateTime.UtcNow;
                    arb.Duration    = (arb.EndDateTime - arb.StartDateTime).TotalMilliseconds;
                    ArbitrageDetail prevArbDetail = arb.ArbitrageDetails.Last();
                    prevArbDetail.EndTickTime = arb.EndDateTime;
                    prevArbDetail.duration    = (prevArbDetail.EndTickTime - prevArbDetail.StartTickTime).TotalMilliseconds;

                    double test = Math.Abs(arb.ArbitrageDetails.Sum(p => p.duration));
                    if (test - arb.Duration > 0.0000000001)
                    {
                        Console.WriteLine("DurationError");
                    }

                    Arbitrage refArbitrage = arb;
                    //Task.Factory.StartNew(() =>
                    //{
                    //    using (Model.ArbitrageContext arbContext = new Model.ArbitrageContext())
                    //    {
                    //        arbContext.Arbitrages.Add(refArbitrage);
                    //        arbContext.SaveChanges();
                    //    }
                    //});

                    arb = null;

                    if (!dictSPairs.Any(p => p.Value.m_firstBidSecondAskArbitrage != null))
                    {
                        ArbitrageTimeStatistics ars = ArbitrageTimeStatistics.Instance(f.Symbol);
                        ars.TotalSecondsArbitradge += (DateTime.UtcNow - ars.StartArbitrageDateTime).TotalSeconds;
                        ars.StartArbitrageDateTime  = DateTime.MinValue;

                        Console.WriteLine("Symbol={3}; ArbitrageTime={0} seconds; Percent={1}%; InHourSeconds={2}", ars.TotalSecondsArbitradge,
                                          ars.TotalSecondsArbitradge * 100 / (DateTime.UtcNow - ArbitrageTimeStatistics.StartAppDateTime).TotalSeconds,
                                          ars.TotalSecondsArbitradge * 3600 / (DateTime.UtcNow - ArbitrageTimeStatistics.StartAppDateTime).TotalSeconds,
                                          f.Symbol);
                    }
                }
            }
            else
            {
                DateTime utcNow = DateTime.UtcNow;

                if (arb == null)
                {
                    arb = new Arbitrage(utcNow, first.Tag, second.Tag, m_symbol);
                }

                ArbitrageDetail arbDetail = new ArbitrageDetail(utcNow);
                if (f.Asks.Count > 0)
                {
                    arbDetail.B1Ask1       = f.Asks[0].Price;
                    arbDetail.B1Ask1Volume = f.Asks[0].Volume;
                }
                arbDetail.B1Bid1       = f.Bids[0].Price;
                arbDetail.B1Bid1Volume = f.Bids[0].Volume;
                arbDetail.B2Ask1       = s.Asks[0].Price;
                arbDetail.B2Ask1Volume = s.Asks[0].Volume;
                if (s.Bids.Count > 0)
                {
                    arbDetail.B2Bid1       = s.Bids[0].Price;
                    arbDetail.B2Bid1Volume = s.Bids[0].Volume;
                }
                if (arb.ArbitrageDetails.Count != 0)
                {
                    ArbitrageDetail previos = arb.ArbitrageDetails.Last();
                    previos.EndTickTime = arbDetail.StartTickTime;
                    previos.duration    = (previos.EndTickTime - previos.StartTickTime).TotalMilliseconds;
                }
                arbDetail.spread = s.Ask - f.Bid;
                arb.ArbitrageDetails.Add(arbDetail);

                if (ArbitrageTimeStatistics.Instance(f.Symbol).StartArbitrageDateTime == DateTime.MinValue)
                {
                    ArbitrageTimeStatistics.Instance(f.Symbol).StartArbitrageDateTime = DateTime.UtcNow;
                }

                //CheckDoubleArbitrage(first.Tag, second.Tag);
            }
        }