private void UpdateTrendState(TrendInfo trendInfo, TradeSide side, ILocalSnapshotService localSnapshotService)
{
var pricesOpt = CalculatePrices(trendInfo.TargetEis, trendInfo.ReferenceEis, side, localSnapshotService);
if (pricesOpt == null)
{
return;
}
var prices = pricesOpt.Value;
var referenceDeltaPrice = PriceTrendCalculator.CalcPriceOffset(prices.ReferencePrice, prices.TargetPrice, 0);
lock (trendInfo.Sync)
{
var mutTrendInfoBySide = trendInfo.GetMutable(side);
var now = _dateTimeService.UtcNow;
mutTrendInfoBySide.UpdateStateIncrementally(referenceDeltaPrice, now);
var isReset = prices.TargetSpread > TargetSpreadThreshold ||
Math.Abs(referenceDeltaPrice) > ReferenceDeltaPriceThreshold;
var exceededDeltaPriceStartTime = trendInfo.ExceededDeltaPriceStartTime;
if (exceededDeltaPriceStartTime != null)
{
if (isReset)
{
trendInfo.TryResetProhibitionPeriod(now, ResetPeriod);
}
else
{
trendInfo.AbortReset();
if (exceededDeltaPriceStartTime + WindowPeriod <= now)
{
// prohibition period is ended
trendInfo.ExceededDeltaPriceStartTime = null;
var buyTrendInfo = trendInfo.GetMutable(TradeSide.Buy);
buyTrendInfo.Equilibrium = buyTrendInfo.CalcMeanDeltaPrice();
var sellTrendInfo = trendInfo.GetMutable(TradeSide.Sell);
sellTrendInfo.Equilibrium = sellTrendInfo.CalcMeanDeltaPrice();
}
}
}
else
{
if (isReset)
{
trendInfo.TryResetProhibitionPeriod(now, ResetPeriod);
}
else
{
trendInfo.AbortReset();
mutTrendInfoBySide.Equilibrium = mutTrendInfoBySide.CalcMeanDeltaPrice();
}
}
}
}
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);
}
