Adaptive.ReactiveTrader.Server.Pricing.RandomWalkPriceGenerator.Sequence C# (CSharp) Method

        public IEnumerable<SpotPriceDto> Sequence()
        {
            var previousMid = _initial;

            while (true)
            {
                var pow = (decimal) Math.Pow(10, _precision);
                var newMid = previousMid + Random.Next(-5, 6)/pow;

                // check that the new Mid does not drift too far from sampleRate (3%)
                if (Math.Abs(newMid - _initial)/_initial > .03m)
                    newMid = _initial;

                previousMid = newMid;

                yield return new SpotPriceDto
                {
                    Symbol = Symbol,
                    ValueDate = DateTime.UtcNow.AddDays(2).Date.ToWeekday(),
                    Mid = newMid,
                    Ask = newMid + _halfSpread/pow,
                    Bid = newMid - _halfSpread/pow,
                    CreationTimestamp = Stopwatch.GetTimestamp()
                };
            }
        }
    }