public void Overwrite(Option o, DirectionT d, CalculationPriceT p)
{
underlying = o.underlying;
symbol = o.symbol;
type = (o.type == Option.OptionT.Call) ? PositionT.Call : PositionT.Put;
direction = d;
switch (p)
{
case CalculationPriceT.AskBidPrice:
if (d == DirectionT.Long && o.price.ask > 0 && !double.IsNaN(o.price.ask))
{
price.last = o.price.ask;
}
else if (d == DirectionT.Short && o.price.bid > 0 && !double.IsNaN(o.price.bid))
{
price.last = o.price.bid;
}
else
{
price.last = o.price.last;
}
break;
case CalculationPriceT.LastPrice:
if (!double.IsNaN(o.price.last))
{
price.last = o.price.last;
}
else
{
price.last = (o.price.ask + o.price.bid) * 0.5;
}
break;
case CalculationPriceT.MidAskBidPrice:
if (!double.IsNaN(o.price.ask) && !double.IsNaN(o.price.bid))
{
price.last = (o.price.ask + o.price.bid) * 0.5;
}
else if (d == DirectionT.Long && o.price.ask > 0 && !double.IsNaN(o.price.ask))
{
price.last = o.price.ask;
}
else if (d == DirectionT.Short && o.price.bid > 0 && !double.IsNaN(o.price.bid))
{
price.last = o.price.bid;
}
else
{
price.last = o.price.last;
}
break;
}
if ((flags & FlagT.ManualPrice) == 0)
{
price.actual = price.last;
flags |= FlagT.ManualPrice; // we set the price only once
}
if ((flags & FlagT.ManualContractSize) == 0)
{
contract_size = o.contract_size;
}
expiration = o.expiration;
strike = o.strike;
volatility = o.greeks.implied_volatility;
greeks = new Greeks();
greeks.implied_volatility = o.greeks.implied_volatility;
greeks.delta = contract_size * quantity * o.greeks.delta;
greeks.gamma = contract_size * quantity * o.greeks.gamma;
greeks.theta = contract_size * quantity * o.greeks.theta;
greeks.vega = contract_size * quantity * o.greeks.vega;
quote = null;
option = o;
}
public void Overwrite(Quote q, DirectionT d, CalculationPriceT p)
{
underlying = q.underlying;
symbol = q.underlying;
type = PositionT.Underlying;
direction = d;
switch (p)
{
case CalculationPriceT.AskBidPrice:
if (d == DirectionT.Long && q.price.ask > 0 && !double.IsNaN(q.price.ask))
{
price.last = q.price.ask;
}
else if (d == DirectionT.Short && q.price.bid > 0 && !double.IsNaN(q.price.bid))
{
price.last = q.price.bid;
}
else
{
price.last = q.price.last;
}
break;
case CalculationPriceT.LastPrice:
if (!double.IsNaN(q.price.last))
{
price.last = q.price.last;
}
else
{
price.last = (q.price.ask + q.price.bid) * 0.5;
}
break;
case CalculationPriceT.MidAskBidPrice:
if (!double.IsNaN(q.price.ask) && !double.IsNaN(q.price.bid))
{
price.last = (q.price.ask + q.price.bid) * 0.5;
}
else if (d == DirectionT.Long && q.price.ask > 0 && !double.IsNaN(q.price.ask))
{
price.last = q.price.ask;
}
else if (d == DirectionT.Short && q.price.bid > 0 && !double.IsNaN(q.price.bid))
{
price.last = q.price.bid;
}
else
{
price.last = q.price.last;
}
break;
}
if ((flags & FlagT.ManualPrice) == 0)
{
price.actual = price.last;
}
if ((flags & FlagT.ManualContractSize) == 0)
{
contract_size = 1;
}
expiration = DateTime.MinValue;
strike = double.NaN;
volatility = double.NaN;
greeks = new Greeks();
greeks.delta = contract_size * quantity;
greeks.gamma = 0;
greeks.vega = 0;
greeks.theta = 0;
quote = q;
option = null;
}
public Position(Option o, DirectionT d, CalculationPriceT p)
{
Overwrite(o, d, p);
}
public Position(Quote q, DirectionT d, CalculationPriceT p)
{
Overwrite(q, d, p);
}
