public TrendInfo(
ExchangeIdSymbol targetEis,
ExchangeIdSymbol referenceEis)
{
ReferenceEis = referenceEis;
TargetEis = targetEis;
}
private void UpdateTrends(ExchangeIdSymbol eventEis, TradeSide side, ILocalSnapshotService localSnapshotService)
{
if (!_relatedTrends.TryGetValue(eventEis.ToTradePlace(), out var trendInfoList))
{
return;
}
foreach (var trendInfo in trendInfoList)
{
UpdateTrendState(trendInfo, side, localSnapshotService);
}
}
private (decimal TargetPrice, decimal TargetSpread, decimal ReferencePrice)? CalculatePrices(
ExchangeIdSymbol targetEis,
ExchangeIdSymbol referenceEis,
TradeSide side,
ILocalSnapshotService localSnapshotService)
{
if (!localSnapshotService.TryGetSnapshot(targetEis.ExchangeNameSymbol, out var targetSnapshot))
{
_log.Warning($"Can't get target snapshot {{eis}} in {nameof(TrendService)}", targetEis);
return(null);
}
var filteredTargetTopPrices = PriceTrendCalculator.CalculateFilteredTopPrices(targetEis, _exchangesById, targetSnapshot);
var targetPriceOpt = filteredTargetTopPrices.GetPrice(side);
var targetPriceReverseOpt = filteredTargetTopPrices.GetPrice(side.ChangeSide());
if (targetPriceOpt == null)
{
return(null);
}
if (targetPriceReverseOpt == null)
{
return(null);
}
var referencePriceBySide =
PriceTrendCalculator.CalculateReferencePrice(
referenceEis,
side,
localSnapshotService,
_log,
out _);
if (referencePriceBySide == null)
{
return(null);
}
return(targetPriceOpt.Value, Math.Abs(targetPriceReverseOpt.Value - targetPriceOpt.Value), referencePriceBySide.Value);
}
public void UpdateTrends(ExchangeIdSymbol eis, ILocalSnapshotService localSnapshotService)
{
UpdateTrends(eis, TradeSide.Buy, localSnapshotService);
UpdateTrends(eis, TradeSide.Sell, localSnapshotService);
}
public StrategyInfo(ExchangeIdSymbol targetEis, ExchangeIdSymbol referenceEis, decimal referenceDeltaPriceThresholdRate)
{
TargetEis = targetEis;
ReferenceEis = referenceEis;
ReferenceDeltaPriceThresholdRate = referenceDeltaPriceThresholdRate;
}
