/*
* fire signal when the extremas and check to see if we are diverging/ converging
*/
private void convergence()
{
Convergence zlistConv = LocalExtrema.releventWrap(zslist);
Convergence mktConv = LocalExtrema.releventWrap(spreads);
/*
* if (zlistConv.IsHi)
* {
* if (log.IsDebugEnabled) log.Debug("zlisdt HI");
* }
* if (zlistConv.IsLow)
* {
* if (log.IsDebugEnabled) log.Debug("zlisdt Low");
* }
* if (mktConv.IsHi)
* {
* if (log.IsDebugEnabled) log.Debug("mktConv HI");
* }
* if (mktConv.IsLow)
* {
* if (log.IsDebugEnabled) log.Debug("mktConv Low");
* }
*/
if (zlistConv.IsHi && mktConv.IsLow)
{
if (log.IsDebugEnabled)
{
log.Debug(
new System.Text.StringBuilder("Buy convergence: mkt: ")
.AppendFormat("{0} ~ {1}", spreads[spreads.Count - 1].bid, spreads[spreads.Count - 1].ask)
);
}
OnTradeEvt(new TradeEventArgs("Buy"));
}
else if (zlistConv.IsLow && mktConv.IsHi)
{
if (log.IsDebugEnabled)
{
log.Debug(
new System.Text.StringBuilder("Sell convergence: mkt: ")
.AppendFormat("{0} ~ {1}", spreads[spreads.Count - 1].bid, spreads[spreads.Count - 1].ask)
);
}
OnTradeEvt(new TradeEventArgs("Sell"));
}
/*
* else if (zlistConv.IsLow && mktConv.IsLow)
* {
* action = "same low";
* }
* else if (zlistConv.IsHi && mktConv.IsHi)
* {
* action = "same hi";
* }
*/
}
public static List <double> extremas(List <Quote> spreads)
{
List <double> mids = new List <double>();
foreach (Quote q in spreads)
{
mids.Add((q.bid + q.ask) * 0.5);
}
return(LocalExtrema.extremas(mids));
}
public static Convergence releventWrap(List <double> zlist)
{
List <double> ext = LocalExtrema.extremas(zlist);
return(LocalExtrema.relevant(ext));
}
public static Convergence releventWrap(List <Quote> spreads)
{
List <double> ext = LocalExtrema.extremas(spreads);
return(LocalExtrema.relevant(ext));
}