private void TryUpdateDepth(Subscription subscription, MarketDepth depth)
{
if (!_quotesWindows.TryGetValue(depth.Security, out var wnd))
{
return;
}
wnd.Update(depth.ImpliedVolatility(Connector, Connector, _model.ExchangeInfoProvider, depth.LastChangeTime));
}
private void TryUpdateDepth(MarketDepth depth)
{
if (!_quotesWindows.TryGetValue(depth.Security, out var wnd))
{
return;
}
wnd.Update(depth.ImpliedVolatility(Connector, Connector, depth.LastChangeTime));
}
/// <summary>
/// To create the volatility order book from usual order book.
/// </summary>
/// <param name="depth">The order book quotes of which will be changed to volatility quotes.</param>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
/// <param name="currentTime">The current time.</param>
/// <param name="riskFree">The risk free interest rate.</param>
/// <param name="dividend">The dividend amount on shares.</param>
/// <returns>The order book volatility.</returns>
public static MarketDepth ImpliedVolatility(this MarketDepth depth, ISecurityProvider securityProvider, IMarketDataProvider dataProvider, DateTimeOffset currentTime, decimal riskFree = 0, decimal dividend = 0)
{
if (depth == null)
{
throw new ArgumentNullException(nameof(depth));
}
return(depth.ImpliedVolatility(new BlackScholes(depth.Security, securityProvider, dataProvider)
{
RiskFree = riskFree, Dividend = dividend
}, currentTime));
}
private void OnQuotesChanged()
{
DepthCtrl.UpdateDepth(_depth.ImpliedVolatility(Connector, Connector, Connector.CurrentTime));
}