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 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) + "%)");
}
}
}
