private void CalculateShortestPath()
{
EdgeWeightedDigraph G = new EdgeWeightedDigraph(m_a.Rows);
for (int v = 0; v < m_a.Rows; v++)
{
for (int w = 0; w < m_a.Cols; w++)
{
DirectedEdge e = new DirectedEdge(v, w, -Math.Log(m_a[v, w]));
G.addEdge(e);
}
}
BellmanFordSP spt = new BellmanFordSP(G, 0);
if (spt.negativeCycleCount > 2)
{
double stake = 25000;
double arbitrage = 1;
ArbitrageCycle cycle = new ArbitrageCycle(m_currentTime);
foreach (DirectedEdge e in spt.negativeCycle)
{
double weight = Math.Exp(-e.Weight);
arbitrage *= weight;
cycle.Edges.Add(new DirectedEdge(e.From, e.To, weight));
}
if (!m_activeArbitrage.Contains(cycle, ARBITRAGE_CYCLE_COMPARER))
{
m_activeArbitrage.Add(cycle);
Status(cycle.Summary);
Status("arbitrage(" + arbitrage + ") stake(" + stake + ") balance(" + (arbitrage * stake) + ") profit(" + Math.Round(((arbitrage * stake) / stake) - 1, 5) + "%)");
}
}
}
private void FillWatchArbitrage()
{
int currencyCount = m_a.Rows;
int offset = 0;
m_watchArbitrage.Clear();
for (int i = 0; i < currencyCount; i++)
{
for (int j = 0; j < currencyCount; j++)
{
int first = i;
int second = j;
if (first == second)
{
continue;
}
for (int k = 0; k < currencyCount; k++)
{
int third = k;
if (third == first)
{
continue;
}
if (third == second)
{
continue;
}
ArbitrageCycle c = new ArbitrageCycle(DateTime.Now);
c.Edges.Add(new DirectedEdge(first, second, offset++));
c.Edges.Add(new DirectedEdge(second, third, offset++));
c.Edges.Add(new DirectedEdge(third, first, offset++));
if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_watchArbitrage.Add(c);
}
c = new ArbitrageCycle(DateTime.Now);
c.Edges.Add(new DirectedEdge(first, third, offset++));
c.Edges.Add(new DirectedEdge(third, second, offset++));
c.Edges.Add(new DirectedEdge(second, first, offset++));
if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_watchArbitrage.Add(c);
}
/*
* for (int l = 0; l < currencyCount; l++)
* {
* int forth = l;
*
* if (forth == first) continue;
* if (forth == second) continue;
* if (forth == third) continue;
*
* c = new ArbitrageCycle(DateTime.Now);
* c.Edges.Add(new DirectedEdge(first, second, offset++));
* c.Edges.Add(new DirectedEdge(second, third, offset++));
* c.Edges.Add(new DirectedEdge(third, forth, offset++));
* c.Edges.Add(new DirectedEdge(forth, first, offset++));
* if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
* {
* m_watchArbitrage.Add(c);
*
*
* c = new ArbitrageCycle(DateTime.Now);
* c.Edges.Add(new DirectedEdge(first, second, offset++));
* c.Edges.Add(new DirectedEdge(second, forth, offset++));
* c.Edges.Add(new DirectedEdge(forth, third, offset++));
* c.Edges.Add(new DirectedEdge(third, first, offset++));
* if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
* {
* m_watchArbitrage.Add(c);
* }
*
* c = new ArbitrageCycle(DateTime.Now);
* c.Edges.Add(new DirectedEdge(first, third, offset++));
* c.Edges.Add(new DirectedEdge(third, forth, offset++));
* c.Edges.Add(new DirectedEdge(forth, second, offset++));
* c.Edges.Add(new DirectedEdge(second, first, offset++));
* if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
* {
* m_watchArbitrage.Add(c);
* }
*
* c = new ArbitrageCycle(DateTime.Now);
* c.Edges.Add(new DirectedEdge(first, third, offset++));
* c.Edges.Add(new DirectedEdge(third, second, offset++));
* c.Edges.Add(new DirectedEdge(second, forth, offset++));
* c.Edges.Add(new DirectedEdge(forth, first, offset++));
* if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
* {
* m_watchArbitrage.Add(c);
* }
*
* c = new ArbitrageCycle(DateTime.Now);
* c.Edges.Add(new DirectedEdge(first, forth, offset++));
* c.Edges.Add(new DirectedEdge(forth, third, offset++));
* c.Edges.Add(new DirectedEdge(third, second, offset++));
* c.Edges.Add(new DirectedEdge(second, first, offset++));
* if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
* {
* m_watchArbitrage.Add(c);
* }
*
*
* c = new ArbitrageCycle(DateTime.Now);
* c.Edges.Add(new DirectedEdge(first, forth, offset++));
* c.Edges.Add(new DirectedEdge(forth, second, offset++));
* c.Edges.Add(new DirectedEdge(second, third, offset++));
* c.Edges.Add(new DirectedEdge(third, first, offset++));
* if (!m_watchArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
* {
* m_watchArbitrage.Add(c);
* }
* }
* }*/
}
}
}
}
private void CalculateHistorical()
{
IOrderedEnumerable <ArbitrageCycle> set = m_activeArbitrage.OrderByDescending(a => a);
for (int i = 0; i < set.Count(); i++)
{
ArbitrageCycle cycle = set.ElementAt(i);
cycle.Current = m_currentTime;
for (int j = 0; j < cycle.Edges.Count; j++)
{
DirectedEdge edge = cycle.Edges[j];
cycle.Edges[j] = new DirectedEdge(edge.From, edge.To, m_a[edge.From, edge.To]);
}
if (cycle.Profit < 0.001d)
{
m_historicalArbitrage.Add(cycle);
m_activeArbitrage.Remove(cycle);
}
Dispatcher.Invoke(() =>
{
if (m_activeListBox.Items.Count > i)
{
m_activeListBox.Items[i] = cycle.Summary;
}
else
{
m_activeListBox.Items.Add(cycle.Summary);
}
});
}
/*for (int i = 0; i < m_activeArbitrage.Count; i++ )
* {
* ArbitrageCycle cycle = m_activeArbitrage.ToList()[i];
* cycle.Current = m_currentTime;
* for (int j = 0; j < cycle.Edges.Count; j++)
* {
* DirectedEdge edge = cycle.Edges[j];
* cycle.Edges[j] = new DirectedEdge(edge.From, edge.To, m_a[edge.From, edge.To]);
* }
*
* if (cycle.Profit < 0.001d)
* {
* m_historicalArbitrage.Add(cycle);
* m_activeArbitrage.Remove(cycle);
* }
*
*
* Dispatcher.Invoke(() =>
* {
* if (m_activeListBox.Items.Count > i)
* m_activeListBox.Items[i] = cycle.Summary;
* else
* m_activeListBox.Items.Add(cycle.Summary);
* });
* }*/
Dispatcher.Invoke(() =>
{
for (int j = m_activeListBox.Items.Count - 1; j >= m_activeArbitrage.Count; j--)
{
m_activeListBox.Items.RemoveAt(j);
}
});
set = m_historicalArbitrage.OrderByDescending(a => a);
for (int i = 0; i < set.Count(); i++)
{
ArbitrageCycle cycle = set.ElementAt(i);
Dispatcher.Invoke(() =>
{
if (m_historicListBox.Items.Count > i)
{
m_historicListBox.Items[i] = cycle.Summary;
}
else
{
m_historicListBox.Items.Add(cycle.Summary);
}
});
}
Dispatcher.Invoke(() =>
{
for (int j = m_historicListBox.Items.Count - 1; j >= m_historicalArbitrage.Count; j--)
{
m_historicListBox.Items.RemoveAt(j);
}
});
set = m_watchArbitrage.OrderByDescending(a => a);
for (int i = 0; i < set.Count(); i++)
{
ArbitrageCycle cycle = set.ElementAt(i);
cycle.Current = m_currentTime;
for (int j = 0; j < cycle.Edges.Count; j++)
{
DirectedEdge edge = cycle.Edges[j];
cycle.Edges[j] = new DirectedEdge(edge.From, edge.To, m_a[edge.From, edge.To]);
}
Dispatcher.Invoke(() =>
{
if (m_watchListBox.Items.Count > i)
{
m_watchListBox.Items[i] = cycle.Summary;
}
else
{
m_watchListBox.Items.Add(cycle.Summary);
}
});
}
Dispatcher.Invoke(() =>
{
for (int j = m_watchListBox.Items.Count - 1; j >= m_watchArbitrage.Count; j--)
{
m_watchListBox.Items.RemoveAt(j);
}
});
foreach (ArbitrageCycle c in m_activeArbitrage)
{
if (c.Profit > 0.05d && c.Profit < 1000 && !m_stasisArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_stasisArbitrage.Add((ArbitrageCycle)c.Clone());
}
}
foreach (ArbitrageCycle c in m_watchArbitrage)
{
if (c.Profit > 0.05d && c.Profit < 1000 && !m_stasisArbitrage.Contains(c, ARBITRAGE_CYCLE_COMPARER))
{
m_stasisArbitrage.Add((ArbitrageCycle)c.Clone());
}
}
IEnumerable <ArbitrageCycle> set2 = m_stasisArbitrage.AsEnumerable();
for (int i = 0; i < set2.Count(); i++)
{
ArbitrageCycle cycle = set2.ElementAt(i);
Dispatcher.Invoke(() =>
{
if (m_stasisListBox.Items.Count > i)
{
m_stasisListBox.Items[i] = cycle.Summary;
}
else
{
m_stasisListBox.Items.Add(cycle.Summary);
}
});
}
Dispatcher.Invoke(() =>
{
for (int j = m_stasisListBox.Items.Count - 1; j >= m_stasisArbitrage.Count; j--)
{
m_stasisListBox.Items.RemoveAt(j);
}
});
}
