//worst case. buy offer and sell bid private void CalcSpreadQuote() { Quote spreadQuote = new Quote(); spreadQuote.bid = market.ask(tickers[0]) * multipliers[0] * ratio[0] - market.bid(tickers[1]) * multipliers[1] * ratio[1]; spreadQuote.ask = market.bid(tickers[0]) * multipliers[0] * ratio[0] - market.ask(tickers[1]) * multipliers[1] * ratio[1]; spreadQuote.symbol = "spread"; spreads.Add(spreadQuote); if (spreads.Count > pricelength) { spreads.RemoveAt(0); } }
public void trade(string sym, double bid, double ask) { if (!mktdict.ContainsKey(sym)) { Quote quote = new Quote(); quote.bid = bid; quote.ask = ask; mktdict[sym] = quote; } else { mktdict[sym].bid = bid; mktdict[sym].ask = ask; } }