TrendMarketDepthGenerator разреженные стаканы

Rebelion 30 Januar 2014 · 3 Min. Lesezeit · 687 Aufrufe

тестирование

esper: Выложили 4.2.2.5

[*]Вопрос по генерации стаканов и закрытию позиции.

[*]Plaza. Фильтрация пустых изменений по инструментам.

А можно ли как-то решить вопрос с излишней разреженностью стакана? А то прописываю:

                            var newTrendMarketDepthGenerator = new TrendMarketDepthGenerator(trader.GetSecurityId(security))
                            {
                                Interval = TimeSpan.FromMilliseconds(1),
                                MaxAsksDepth = 10,
                                MaxBidsDepth = 10,
                                UseTradeVolume = true,
                                MaxVolume = 50,
                                GenerateDepthOnEachTrade = true,
                                MinVolume = 5,       
                                MinSpreadStepCount = 1,
                                MaxSpreadStepCount = 2,
                                
                            };

Получаю же такие стаканы (по три бида и три офера последовательно)

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143490.000000000 Volume: 44 Price: 143410.000000000 Volume: 44 Price: 143540.000000000 Volume: 2 Price: 143600.000000000 Volume: 19 Price: 143690.000000000 Volume: 48

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143430.000000000 Volume: 34 Price: 143410.000000000 Volume: 23 Price: 143540.000000000 Volume: 2 Price: 143640.000000000 Volume: 25 Price: 143740.000000000 Volume: 35

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143500.000000000 Volume: 13 Price: 143430.000000000 Volume: 11 Price: 143540.000000000 Volume: 2 Price: 143640.000000000 Volume: 28 Price: 143740.000000000 Volume: 34

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143480.000000000 Volume: 11 Price: 143420.000000000 Volume: 19 Price: 143540.000000000 Volume: 2 Price: 143570.000000000 Volume: 23 Price: 143620.000000000 Volume: 31

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143440.000000000 Volume: 46 Price: 143340.000000000 Volume: 25 Price: 143540.000000000 Volume: 2 Price: 143560.000000000 Volume: 22 Price: 143630.000000000 Volume: 6

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143510.000000000 Volume: 39 Price: 143410.000000000 Volume: 28 Price: 143540.000000000 Volume: 2 Price: 143550.000000000 Volume: 33 Price: 143650.000000000 Volume: 29

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143480.000000000 Volume: 14 Price: 143450.000000000 Volume: 23 Price: 143540.000000000 Volume: 2 Price: 143640.000000000 Volume: 23 Price: 143670.000000000 Volume: 9

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143450.000000000 Volume: 38 Price: 143430.000000000 Volume: 22 Price: 143540.000000000 Volume: 2 Price: 143570.000000000 Volume: 49 Price: 143630.000000000 Volume: 34

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143510.000000000 Volume: 14 Price: 143500.000000000 Volume: 33 Price: 143540.000000000 Volume: 2 Price: 143560.000000000 Volume: 19 Price: 143580.000000000 Volume: 26

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143480.000000000 Volume: 11 Price: 143380.000000000 Volume: 23 Price: 143540.000000000 Volume: 2 Price: 143610.000000000 Volume: 15 Price: 143660.000000000 Volume: 7

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143510.000000000 Volume: 21 Price: 143480.000000000 Volume: 49 Price: 143540.000000000 Volume: 2 Price: 143600.000000000 Volume: 19 Price: 143700.000000000 Volume: 31

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143510.000000000 Volume: 11 Price: 143490.000000000 Volume: 19 Price: 143540.000000000 Volume: 2 Price: 143580.000000000 Volume: 25 Price: 143640.000000000 Volume: 22

00:00:00.0040000Best Bid: Бид 143520.000000000 1 Best Ask: Оффер 143540.000000000 2 Last Trade: 12/20/2013 10:02:54 825985020 143520.000000000 1 Price: 143520.000000000 Volume: 1 Price: 143460.000000000 Volume: 44 Price: 143390.000000000 Volume: 15 Price: 143540.000000000 Volume: 2 Price: 143590.000000000 Volume: 35 Price: 143610.000000000 Volume: 43

Добавление строчек

                                MinSpreadStepCount = 1,
                                MaxSpreadStepCount = 2,

не помогает - стаканы генерируются ровно такие же. Как можно решить/обойти данную проблему?

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