public static ArbitrageTimeStatistics Instance(string symbol)
{
ArbitrageTimeStatistics value = null;
if (!_dictInstance.TryGetValue(symbol, out value))
{
lock (o)
{
if (!_dictInstance.TryGetValue(symbol, out value))
{
_dictInstance.Add(symbol, new ArbitrageTimeStatistics(symbol));
value = _dictInstance[symbol];
}
}
}
return(value);
}
private void Run(SingleAdviser <int> first, SingleAdviser <int> second, Level2 f, Level2 s, ref Arbitrage arb)
{
if (f.Bids.Count == 0 || s.Asks.Count == 0 || s.Ask - f.Bid > -float.Epsilon)
{
if (null != arb)
{
arb.EndDateTime = DateTime.UtcNow;
arb.Duration = (arb.EndDateTime - arb.StartDateTime).TotalMilliseconds;
ArbitrageDetail prevArbDetail = arb.ArbitrageDetails.Last();
prevArbDetail.EndTickTime = arb.EndDateTime;
prevArbDetail.duration = (prevArbDetail.EndTickTime - prevArbDetail.StartTickTime).TotalMilliseconds;
double test = Math.Abs(arb.ArbitrageDetails.Sum(p => p.duration));
if (test - arb.Duration > 0.0000000001)
{
Console.WriteLine("DurationError");
}
Arbitrage refArbitrage = arb;
//Task.Factory.StartNew(() =>
//{
// using (Model.ArbitrageContext arbContext = new Model.ArbitrageContext())
// {
// arbContext.Arbitrages.Add(refArbitrage);
// arbContext.SaveChanges();
// }
//});
arb = null;
if (!dictSPairs.Any(p => p.Value.m_firstBidSecondAskArbitrage != null))
{
ArbitrageTimeStatistics ars = ArbitrageTimeStatistics.Instance(f.Symbol);
ars.TotalSecondsArbitradge += (DateTime.UtcNow - ars.StartArbitrageDateTime).TotalSeconds;
ars.StartArbitrageDateTime = DateTime.MinValue;
Console.WriteLine("Symbol={3}; ArbitrageTime={0} seconds; Percent={1}%; InHourSeconds={2}", ars.TotalSecondsArbitradge,
ars.TotalSecondsArbitradge * 100 / (DateTime.UtcNow - ArbitrageTimeStatistics.StartAppDateTime).TotalSeconds,
ars.TotalSecondsArbitradge * 3600 / (DateTime.UtcNow - ArbitrageTimeStatistics.StartAppDateTime).TotalSeconds,
f.Symbol);
}
}
}
else
{
DateTime utcNow = DateTime.UtcNow;
if (arb == null)
{
arb = new Arbitrage(utcNow, first.Tag, second.Tag, m_symbol);
}
ArbitrageDetail arbDetail = new ArbitrageDetail(utcNow);
if (f.Asks.Count > 0)
{
arbDetail.B1Ask1 = f.Asks[0].Price;
arbDetail.B1Ask1Volume = f.Asks[0].Volume;
}
arbDetail.B1Bid1 = f.Bids[0].Price;
arbDetail.B1Bid1Volume = f.Bids[0].Volume;
arbDetail.B2Ask1 = s.Asks[0].Price;
arbDetail.B2Ask1Volume = s.Asks[0].Volume;
if (s.Bids.Count > 0)
{
arbDetail.B2Bid1 = s.Bids[0].Price;
arbDetail.B2Bid1Volume = s.Bids[0].Volume;
}
if (arb.ArbitrageDetails.Count != 0)
{
ArbitrageDetail previos = arb.ArbitrageDetails.Last();
previos.EndTickTime = arbDetail.StartTickTime;
previos.duration = (previos.EndTickTime - previos.StartTickTime).TotalMilliseconds;
}
arbDetail.spread = s.Ask - f.Bid;
arb.ArbitrageDetails.Add(arbDetail);
if (ArbitrageTimeStatistics.Instance(f.Symbol).StartArbitrageDateTime == DateTime.MinValue)
{
ArbitrageTimeStatistics.Instance(f.Symbol).StartArbitrageDateTime = DateTime.UtcNow;
}
//CheckDoubleArbitrage(first.Tag, second.Tag);
}
}
