public static void AddRow(int index, string date)
{
Row row = RowList.Get(index);
string rowS = date + ";" + row.EntryTriangle.Symbol1.Name + ";" +
row.EntryTriangle.Symbol1.MarketData.Ask.ToString() + ";" +
row.EntryTriangle.Symbol1.MarketData.Bid.ToString() + ";" +
row.EntryTriangle.Symbol1.MarketData.Quantity.ToString() + ";" +
row.EntryTriangle.Symbol2.Name.ToString() + ";" +
row.EntryTriangle.Symbol2.MarketData.Ask.ToString() + ";" +
row.EntryTriangle.Symbol2.MarketData.Bid.ToString() + ";" +
row.EntryTriangle.Symbol2.MarketData.Quantity.ToString() + ";" +
row.EntryTriangle.Symbol3.Name.ToString() + ";" +
row.EntryTriangle.Symbol3.MarketData.Ask.ToString() + ";" +
row.EntryTriangle.Symbol3.MarketData.Bid.ToString() + ";" +
row.EntryTriangle.Symbol3.MarketData.Quantity.ToString() + ";" + row.EntryTriangle.CalculateArbitrage().ToString() + "\n";
sb.Append(rowS);
//lastIndex += 1;
//xlWorkSheet.Cells[lastIndex, 1] = row.EntryTriangle.Symbol1.Name;
//xlWorkSheet.Cells[lastIndex, 2] = row.EntryTriangle.Symbol1.MarketData.Ask;
//xlWorkSheet.Cells[lastIndex, 3] = row.EntryTriangle.Symbol1FactorAsset;
//xlWorkSheet.Cells[lastIndex, 4] = row.EntryTriangle.Symbol2.Name;
//xlWorkSheet.Cells[lastIndex, 5] = row.EntryTriangle.Symbol2.MarketData.Bid;
//xlWorkSheet.Cells[lastIndex, 6] = row.EntryTriangle.Symbol2FactorAsset;
//xlWorkSheet.Cells[lastIndex, 7] = row.EntryTriangle.Symbol3.Name;
//xlWorkSheet.Cells[lastIndex, 8] = row.EntryTriangle.Symbol3.MarketData.Bid;
//xlWorkSheet.Cells[lastIndex, 9] = row.EntryTriangle.Symbol3FactorAsset;
//xlWorkSheet.Cells[lastIndex, 10] = row.EntryTriangle.CalculateArbitrage();
}
public static void OpenPosition(int index, string date,
double sm1Ask, double sm1Bid, double sm2Ask, double sm2Bid, double sm3Ask, double sm3Bid)
{
Row row = RowList.Get(index);
if (!row.EntryTriangle.isOpen)
{
MapRow(index, date, sm1Ask, sm1Bid, sm2Ask, sm2Bid, sm3Ask, sm3Bid);
row.EntryTriangle.isOpen = true;
}
}
public static string GetRow(int i)
{
string output = "Entry";
Row row = RowList.Get(i);
output += "," + row.EntryTriangle.Symbol1.Name;
output += "," + row.EntryTriangle.Symbol2.Name;
output += "," + row.EntryTriangle.Symbol3.Name;
return(output);
}
public static string MapRow(int rowIndex, string date,
double sm1Ask, double sm1Bid, double sm2Ask, double sm2Bid, double sm3Ask, double sm3Bid)
{
Row row = RowList.Get(rowIndex);
row.EntryTriangle.Symbol1.MarketData.Ask = sm1Ask;
row.EntryTriangle.Symbol1.MarketData.Bid = sm1Bid;
row.EntryTriangle.Symbol2.MarketData.Ask = sm2Ask;
row.EntryTriangle.Symbol2.MarketData.Bid = sm2Bid;
row.EntryTriangle.Symbol3.MarketData.Ask = sm3Ask;
row.EntryTriangle.Symbol3.MarketData.Bid = sm3Bid;
row.EntryTriangle.SetFactorValue();
ExcelWriter.AddRow(rowIndex, date);
if (row.EntryTriangle.CalculateArbitrage() > 0 && !row.EntryTriangle.isOpen)
{
return(row.EntryTriangle.Symbol1.Name + "," + row.EntryTriangle.Symbol1FactorAsset + "," +
row.EntryTriangle.Symbol2.Name + "," + row.EntryTriangle.Symbol2FactorAsset + ","
+ row.EntryTriangle.Symbol3.Name + "," + row.EntryTriangle.Symbol3FactorAsset);
}
else
{
return("-1");
}
}