Arbitrage (EDUCATIONAL EXEMPLE)

/*

//////////////////////  ATTENTION \\\\\\\\\\\\\\\\\\\\\\\\\

Note that this indicator does not display the exact profit values but gives an idea of the possibility of triangular arbitrage.
For this indicator to be perfect, it should take into account the Ask and Bid prices, commissions, and maximum latency time.

*/

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using cAlgo.API;
using cAlgo.API.Collections;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;

namespace cAlgo
{
    [Levels(0, 10, 25, 50)]
    [Indicator(AccessRights = AccessRights.None)]
    public class Arbitrage : Indicator
    {
        [Parameter("Symbol List", DefaultValue = "EURUSD", Group = "Symbol Management")]
        public string Symbol1 { get; set; }
        [Parameter("Symbol List", DefaultValue = "USDJPY", Group = "Symbol Management")]
        public string Symbol2 { get; set; }
        [Parameter("Symbol List", DefaultValue = "EURJPY", Group = "Symbol Management")]
        public string Symbol3 { get; set; }

        [Parameter("Symbol List", DefaultValue = EnumCalculation.See_Profit, Group = "Symbol Management")]
        public EnumCalculation Calculation { get; set; }

        public enum EnumCalculation
        {
            Is_It_Arbitrable,
            See_Profit,
        }

        [Parameter("Inital Amount", DefaultValue = 100000, Group = "See Profit")]
        public int InitalAmount { get; set; }

        [Output("Result")]
        public IndicatorDataSeries Result { get; set; }

        private Bars symb1, symb2, symb3;

        protected override void Initialize()
        {
            symb1 = MarketData.GetBars(TimeFrame, Symbol1);
            symb2 = MarketData.GetBars(TimeFrame, Symbol2);
            symb3 = MarketData.GetBars(TimeFrame, Symbol3);
            if (!IsBacktesting)
            {
                while (symb1.OpenTimes[0] > Bars.OpenTimes[0])
                    symb1.LoadMoreHistory();
                while (symb2.OpenTimes[0] > Bars.OpenTimes[0])
                    symb2.LoadMoreHistory();
                while (symb3.OpenTimes[0] > Bars.OpenTimes[0])
                    symb3.LoadMoreHistory();
            }
        }
        public override void Calculate(int index)
        {
            var indexSymbol1 = symb1.OpenTimes.GetIndexByTime(Bars.OpenTimes.Last(0));
            var indexSymbol2 = symb2.OpenTimes.GetIndexByTime(Bars.OpenTimes.Last(0));
            var indexSymbol3 = symb3.OpenTimes.GetIndexByTime(Bars.OpenTimes.Last(0));

            double rateSymbol1 = symb1.ClosePrices[indexSymbol1];
            double rateSymbol2 = symb2.ClosePrices[indexSymbol2];
            double rateSymbol3 = symb3.ClosePrices[indexSymbol3];

            double impliedRateSymbol3 = rateSymbol1 * rateSymbol2;
            double isItArbitrable = impliedRateSymbol3 - rateSymbol3;

            double amountSymbol1 = InitalAmount * symb1.ClosePrices[indexSymbol1];
            double amountSymbol2 = amountSymbol1 * symb2.ClosePrices[indexSymbol2];
            double finalAmount = amountSymbol2 / symb3.ClosePrices[indexSymbol3];

            double profit = finalAmount - InitalAmount;

            Result[index] = Calculation == EnumCalculation.Is_It_Arbitrable ? isItArbitrable : profit;

            IndicatorArea.DrawStaticText("Attention", "------->   ATTENTION   <-------  \nNote that this indicator does not display the exact profit values but gives an idea of the possibility of triangular arbitrage.\nFor this indicator to be perfect, it should take into account the Ask and Bid prices, commissions, and maximum latency time.", VerticalAlignment.Bottom, HorizontalAlignment.Center, Color.Red);

        }
    }
}