/// <summary> Constructor. </summary> /// /// <remarks> Paul, 27/02/2015. </remarks> /// /// <param name="spreadPercent"> The spread percent. </param> /// <param name="windowPercent"> The window percent. </param> /// <param name="feedPrice"> The feed price. </param> /// <param name="inventoryRatio"> The inventory ratio. </param> public PriceDiscovery(decimal spreadPercent, decimal windowPercent, decimal feedPrice, decimal inventoryRatio) { decimal desiredSpread = GetSpreadBtc(feedPrice, spreadPercent); m_windowRange = GetSpreadBtc(feedPrice, windowPercent); m_glosten = new GlostenMilgromDesiredSpread(desiredSpread, feedPrice - m_windowRange / 2, feedPrice + m_windowRange / 2, inventoryRatio); }
/// <summary> Constructor. </summary> /// /// <remarks> Paul, 27/02/2015. </remarks> /// /// <param name="spreadPercent"> The spread percent. </param> /// <param name="windowPercent"> The window percent. </param> /// <param name="feedPrice"> The feed price. </param> /// <param name="inventoryRatio"> The inventory ratio. </param> public PriceDiscovery(decimal spreadPercent, decimal windowPercent, decimal feedPrice, decimal inventoryRatio) { decimal desiredSpread = GetSpreadBtc(feedPrice, spreadPercent); m_windowRange = GetSpreadBtc(feedPrice, windowPercent); m_glosten = new GlostenMilgromDesiredSpread(desiredSpread, feedPrice - m_windowRange / 2, feedPrice + m_windowRange / 2, inventoryRatio); }