public List <ArbitrageOpportunity> GetArbitrageOpportunities()
{
List <ArbitrageOpportunity> opportunities = new List <ArbitrageOpportunity>();
int currencyCount = prices.GetLength(0);
// Start the data fetch running in parallel
for (int baseCurrencyIdx = 0; baseCurrencyIdx < currencyCount; baseCurrencyIdx++)
{
for (int quoteCurrencyIdx = 0; quoteCurrencyIdx < currencyCount; quoteCurrencyIdx++)
{
if (baseCurrencyIdx == quoteCurrencyIdx)
{
continue;
}
MarketPrice highestBid = null;
MarketPrice lowestAsk = null;
foreach (MarketPrice marketPrice in this.prices[baseCurrencyIdx, quoteCurrencyIdx])
{
if (marketPrice.Bid != null)
{
if (highestBid == null ||
marketPrice.Bid > highestBid.Bid)
{
highestBid = marketPrice;
}
}
if (marketPrice.Ask != null)
{
if (lowestAsk == null ||
marketPrice.Ask < lowestAsk.Ask)
{
lowestAsk = marketPrice;
}
}
}
if (null != highestBid &&
null != lowestAsk)
{
if (highestBid.Bid > lowestAsk.Ask &&
!highestBid.Equals(lowestAsk))
{
opportunities.Add(new ArbitrageOpportunity(lowestAsk, highestBid));
}
}
}
}
return(opportunities);
}
public override bool Equals(object obj)
{
if (!obj.GetType().Equals(this.GetType()))
{
return(false);
}
MarketPrice other = (MarketPrice)obj;
return(this.ExchangeLabel.Equals(other.ExchangeLabel) &&
this.Ask == other.Ask &&
this.Bid == other.Bid);
}
public ArbitrageOpportunity(MarketPrice lowestAsk, MarketPrice highestBid)
{
this.lowestAsk = lowestAsk;
this.highestBid = highestBid;
}
public ArbitrageOpportunity(MarketPrice lowestAsk, MarketPrice highestBid)
{
this.lowestAsk = lowestAsk;
this.highestBid = highestBid;
}
