private bool BarrierIsBreached(CommodityBarrierOption option, FuturesQuote quote)
{
if (option.Barrier.Direction == BarrierDirection.Down)
{
return(option.Barrier.Level > quote.Low);
}
return(option.Barrier.Level < quote.High);
}
public static CommodityContract ContractFromQuote(FuturesQuote quote)
{
try
{
var year = quote.Symbol.Substring(quote.Symbol.Length - 4);
var monthCode = quote.Symbol.Substring(quote.Symbol.Length - 5, 1);
var productCode = quote.Symbol.Substring(0, quote.Symbol.Length - 5);
return(new CommodityContract
{
ContractYear = Convert.ToInt32(year),
ContractMonth = Months[monthCode],
ProductCode = productCode
});
}
catch
{
// note of course logging or w/e to notify
return(null);
}
}
private void OnQuote(object sender, FuturesQuote quote)
{
var contract = NotifyOnBarrierEventsReactive.QuoteWithContract.ContractFromQuote(quote);
if (IsValidContract(contract))
{
return;
}
IEnumerable <CommodityBarrierOption> activeBarrierOptionsForContract;
if (!_ActiveBarrierOptionsByContract.TryGetValue(contract, out activeBarrierOptionsForContract))
{
return;
}
activeBarrierOptionsForContract
.Where(option => BarrierIsBreached(option, quote))
.Where(NoticeNotAlreadySent)
.ToList()
.ForEach(option => NotifyTheHumans(option, quote));
}
public QuoteWithContract(FuturesQuote quote)
{
Quote = quote;
Contract = ContractFromQuote(quote);
}
private void NotifyTheHumans(CommodityBarrierOption option, FuturesQuote quote)
{
}
