private void push_renkoVal()
{
if (m_rates.getRenko(0) == null)
{
return;
}
if (Math.Abs(m_dRenkoVal_last - m_rates.getRenko(0).dAsk) < CFATCommon.ESP)
{
return;
}
m_product_A_rk.pushTick(m_product_A.m_dAsk, m_product_A.m_dBid, m_product_A.getTickTime());
//HSM_CCV2
if (m_nType_price == EPRODUCT_TYPE_PRICE.A_BC)
{
m_product_B_rk.pushTick(m_product_B.m_dAsk * m_product_C.getRenko(0).dAsk / m_dRatio_AB,
m_product_B.m_dBid * m_product_C.getRenko(0).dBid / m_dRatio_AB,
m_product_B.getTickTime());
}
if (m_nType_price == EPRODUCT_TYPE_PRICE.A_B05C)
{
m_product_B_rk.pushTick(m_product_B.m_dAsk * 0.5 * (m_product_C.m_dAsk + USDCNY_C0) / m_dRatio_AB,
m_product_B.m_dBid * 0.5 * (m_product_C.m_dBid + USDCNY_C0) / m_dRatio_AB,
m_product_B.getTickTime());
}
if (m_nType_price == EPRODUCT_TYPE_PRICE.A_B)
{
m_product_B_rk.pushTick(m_product_B.m_dAsk, m_product_B.m_dBid, m_product_B.getTickTime());
}
// string sRates = string.Format("{0},{1},{2},{3},{4}", CFATCommon.m_dtCurTime,
// m_product_A_rk.getTick(0).dAsk, m_product_A_rk.getTick(0).dBid,
// m_product_B_rk.getTick(0).dAsk, m_product_B_rk.getTick(0).dBid);
// CFATLogger.record_rates("Test\\renko", sRates);
m_dRenkoVal_last = m_rates.getRenko(0).dAsk;
}
public bool updateRates()
{
m_product_A.getRates();
m_product_B.getRates();
if (m_nType_price != EPRODUCT_TYPE_PRICE.A_B)
{
m_product_C.getRates();
}
switch (m_nType_price)
{
case EPRODUCT_TYPE_PRICE.A_B:
m_dBid = m_product_A.m_dBid - m_product_B.m_dAsk;
m_dAsk = m_product_A.m_dAsk - m_product_B.m_dBid;
break;
case EPRODUCT_TYPE_PRICE.A_BC:
m_dBid = m_product_A.m_dBid - m_product_B.m_dAsk * m_product_C.getRenko(0).dAsk / m_dRatio_AB;
m_dAsk = m_product_A.m_dAsk - m_product_B.m_dBid * m_product_C.getRenko(0).dBid / m_dRatio_AB;
break;
case EPRODUCT_TYPE_PRICE.A_B05C:
m_dBid = m_product_A.m_dBid - m_product_B.m_dAsk * 0.5 * (m_product_C.m_dAsk + USDCNY_C0) / m_dRatio_AB;
m_dAsk = m_product_A.m_dAsk - m_product_B.m_dBid * 0.5 * (m_product_C.m_dBid + USDCNY_C0) / m_dRatio_AB;
break;
default:
return(false);
}
m_rates.pushTick(m_dAsk, m_dBid, m_product_A.getTickTime());
m_dMid = (m_dBid + m_dAsk) / 2;
if (m_bUseRenko)
{
push_renkoVal();
}
return(true);
}