public override int GetHashCode()
{
int hash = 1;
if (Countdown != 0)
{
hash ^= Countdown.GetHashCode();
}
if (LastTick != false)
{
hash ^= LastTick.GetHashCode();
}
hash ^= changes_.GetHashCode();
if (_unknownFields != null)
{
hash ^= _unknownFields.GetHashCode();
}
return(hash);
}
public void SetQuote(Quote quote, ILogger logger = null)
{
if (quote.IsValidQuote())
{
if (!LastTick.QuoteEqual(quote))
{
bool filtered = false;
// фильтр расширения спреда по сигмам. Сравнивается исходный спред
if (SigmaSpread != 0)
{
if (LastTicks.Size != NumberLastTicks)
{
LastTicks.Size = NumberLastTicks;
}
if (LastTicks.Count >= NumberLastTicks)
{
var s = LastTicks.Sigma(quote, q => (q.Ask - q.Bid));
if (s > SigmaSpread)
{
logger?.LogWarning("SigmaSpread. source quote: {0} was filtered out because sigma ({1} > {2})", quote, s, SigmaSpread);
var standartDeviation = LastTicks.StandardDeviationAndAverage(q => q.Ask - q.Bid);
logger?.LogWarning("SigmaSpread. Current Spread: {0:f5} ; Standart Deviation {1:f5} ; Average {2:f5} ; Sigma {3} ; Sigma in options {4}", quote.Ask - quote.Bid, standartDeviation.Item1, standartDeviation.Item2, s, SigmaSpread);
logger?.ToLogQuotes(LogLevel.Warning, LastTicks, Digits);
filtered = true;
}
}
}
// фильтр шага по сигмам. Сравнивается исходный спред
if (SigmaStep != 0)
{
if (LastSteps.Size != NumberLastSteps)
{
LastSteps.Size = NumberLastSteps;
}
if (LastSteps.Count >= NumberLastSteps)
{
var askStep = Math.Abs(quote.Ask - LastTick.Ask);
var bidStep = Math.Abs(quote.Bid - LastTick.Bid);
var keyValue = new KeyValuePair <double, double>(askStep, bidStep);
var askSigma = LastSteps.Sigma(keyValue, q => q.Key); // Ask Sigma
var bidSigma = LastSteps.Sigma(keyValue, q => q.Value); // Bid Sigma
var askStandartDeviation = LastSteps.StandardDeviationAndAverage(q => q.Key);
var bidStandartDeviation = LastSteps.StandardDeviationAndAverage(q => q.Value);
if (askSigma > SigmaStep && askStep > askStandartDeviation.Item2 && askStep != 0)
{
logger?.LogWarning("SigmaStepAsk. source quote: {0} was filtered out because sigma ({1} > {2})", quote, askSigma, SigmaStep);
logger?.LogWarning("SigmaStepAsk. Current Step: {0:f5} ; Standart Deviation {1:f5} ; Average {2:f5} ; Sigma {3} ; Sigma in options {4}", askStep, askStandartDeviation.Item1, askStandartDeviation.Item2, askSigma, SigmaStep);
logger?.ToLogSteps(LogLevel.Warning, LastSteps, Digits);
filtered = true;
}
if (bidSigma > SigmaStep && bidStep > bidStandartDeviation.Item2 && bidStep != 0)
{
logger?.LogWarning("SigmaStepBid. source quote: {0} was filtered out because sigma ({1} > {2})", quote, bidSigma, SigmaStep);
logger?.LogWarning("SigmaStepBid. Current Step: {0:f5} ; Standart Deviation {1:f5} ; Average {2:f5} ; Sigma {3} ; Sigma in options {4}", bidStep, bidStandartDeviation.Item1, bidStandartDeviation.Item2, bidSigma, SigmaStep);
logger?.ToLogSteps(LogLevel.Warning, LastSteps, Digits);
filtered = true;
}
}
}
// если котировка не отфильтрована, то делаю модификацию этой котировки
if (!filtered)
{
double last_bid = quote.Bid;
double last_ask = quote.Ask;
double point = Math.Pow(10, -Digits);
double contract = Math.Pow(10, Digits);
if (BidMarkup != 0)
{
last_bid += point * BidMarkup;
}
if (AskMarkup != 0)
{
last_ask += point * AskMarkup;
}
if (Percent != 0)
{
double pointModify = (last_ask - last_bid) * Percent / 100 / 2;
last_bid -= pointModify;
last_ask += pointModify;
}
if (Min != -1)
{
double spread = (last_ask - last_bid) * contract;
if (spread < Min)
{
double last_mid = (last_ask + last_bid) / 2;
last_bid = last_mid - (Min * point / 2);
last_ask = last_mid + (Min * point / 2);
}
}
if (Max != -1)
{
double spread = (last_ask - last_bid) * contract;
if (spread > Max)
{
logger?.LogWarning("Max. source quote ({0}) => ({1:f5} {2:f5} {3:f0}) but maximum in option {4}", quote, last_ask, last_bid, spread, Max);
double last_mid = (last_ask + last_bid) / 2;
last_bid = last_mid - (Max * point / 2);
last_ask = last_mid + (Max * point / 2);
}
}
if (Fix != -1)
{
double last_mid = (last_bid + last_ask) / 2;
last_bid = last_mid - (Fix * point / 2);
last_ask = last_mid + (Fix * point / 2);
}
last_bid = Math.Round(last_bid, Digits, MidpointRounding.ToEven);
last_ask = Math.Round(last_ask, Digits, MidpointRounding.ToEven);
if (last_ask != LastAsk || last_bid != LastBid)
{
LastBid = last_bid;
LastAsk = last_ask;
Change = true;
}
}
}
if (SigmaStep != 0 && (LastTick.Ask != 0 && LastTick.Bid != 0) && (quote.Ask != LastTick.Ask && quote.Bid != LastTick.Bid))
{
LastSteps.Enqueue(new KeyValuePair <double, double>(Math.Abs(quote.Ask - LastTick.Ask), Math.Abs(quote.Bid - LastTick.Bid)));
}
LastTick = quote;
if (SigmaSpread != 0)
{
LastTicks.Enqueue(quote);
}
}
}
internal void ChangeStateIn(int timeInSeconds)
{
TimeToChangeState = LastTick.AddSeconds(timeInSeconds);
}
internal void ResumeStateIn(int timeInSeconds)
{
TimeToResumeState = LastTick.AddSeconds(timeInSeconds);
}
internal void ShowFruit(int showForSeconds, FruitType fruitToShow)
{
_fruitVisibleUntil = LastTick.AddSeconds(showForSeconds);
FruitTypeToShow = fruitToShow;
}
