public override bool Initialize(List <IProcessorInput> inputs, string parameters, ILogger logger)
{
this.logger = logger;
ParametersParser parser = CreateParser(parameters);
call = parser.GetInt("Call");
put = parser.GetInt("Put");
if (call < 0 || call >= inputs.Count)
{
return(false);
}
if (put < 0 || put >= inputs.Count)
{
return(false);
}
strike = parser.GetDouble("Strike");
type = parser.GetInt("Type");
inp_name = parser.GetString("input_name");
//inp_name_2 = parser.GetString("input_name_2");
/* if(inp_name_2 == inp_name)
* {
* inp_name_2 += "_n";
* }*/
this.inputs = inputs;
SyntheticFutureInput.AddKey(inp_name);
//SyntheticFutureInput.AddKey(inp_name_2);
return(true);
}
public override double Process(DateTime time)
{
//if(inputs[call].)
double syntheticFuture = 0.0;
double syntheticFuture_ask = strike + inputs[call].Ask - inputs[put].Ask;
double syntheticFuture_bid = strike + inputs[call].Bid - inputs[put].Bid;
//double syntheticFuture_ask_reverse = strike + inputs[call].Ask - inputs[put].Bid;
//double syntheticFuture_bid_reverse = strike + inputs[call].Bid - inputs[put].Ask;
SyntheticFutureInput.AddValue(inp_name, syntheticFuture_ask, syntheticFuture_bid);
//SyntheticFutureInput.AddValue(inp_name_2, syntheticFuture_ask_reverse, syntheticFuture_bid_reverse);
switch (type)
{
case 0:
syntheticFuture = syntheticFuture_ask;
break;
default:
syntheticFuture = syntheticFuture_bid;
break;
}
return(syntheticFuture);
}