public COMBO_TRADES ComboTrades(double priceTimeoutInSeconds)
{
var combos = (
from c in ComboTradesImpl().ToObservable()
from underPrice in UnderPrice(c.contract).DefaultIfEmpty()
from price in IbClient.ReqPriceSafe(c.contract, priceTimeoutInSeconds, true).DefaultIfEmpty().Take(1)
let multiplier = c.contract.ComboMultiplier
let closePrice = (c.position > 0 ? price.bid : price.ask)
let close = (closePrice * c.position * multiplier).Round(4)
let openPrice = c.open / c.position.Abs() / multiplier
let isOk = openPrice == c.openPrice ? true : throw new Exception(new { calc = new { openPrice }, c.openPrice } +"")
let pmc = Account.ExcessLiquidity / (multiplier * c.position.Abs())
select(
c: IbClient.SetContractSubscription(c.contract)
, c.position
, c.open
, close
, pl: close - c.open
, underPrice
, strikeAvg: c.contract.ComboStrike()
, openPrice
, closePrice
, price: (price.bid, price.ask)
, c.takeProfit
, profit: (c.takeProfit * c.position * multiplier - c.open).Round(2)
, pmc
, c.orderId
)
);
return(combos
.ToArray()
.SelectMany(cmbs => cmbs
.OrderBy(c => c.c.Legs().Count())
.ThenBy(c => c.c.IsOption)
.ThenByDescending(c => c.strikeAvg - c.underPrice)
.ThenByDescending(c => c.c.Instrument)
));
IObservable <double> UnderPrice(Contract contract)
{
if (!contract.IsOption && !contract.IsCombo)
{
return(Observable.Return(0.0));
}
var underSymbol = contract.Symbol + (contract.HasFutureOption ? "U8" : "");
return(
from symbol in IbClient.ReqContractDetailsCached(underSymbol)
from underPrice in IbClient.ReqPriceSafe(symbol.Summary, priceTimeoutInSeconds, false)
select underPrice.ask.Avg(underPrice.bid));
}
}
public IEnumerable <(Contract contract, int position, double open, double openPrice, double takeProfit, int orderId)> ComboTradesImpl()
{
var positions = Positions.Where(p => p.position != 0).ToArray();
var orders = OrderContractsInternal.Where(oc => !oc.isDone).ToArray();
var combos = (
from c in positions /*.ParseCombos(orders)*/.Do(c => IbClient.SetContractSubscription(c.contract))
let order = orders.Where(oc => oc.isSubmitted && oc.contract.Key == c.contract.Key).Select(oc => (oc.order.OrderId, oc.order.LmtPrice)).FirstOrDefault()
select(c.contract, c.position, c.open, c.open / c.position.Abs() / c.contract.ComboMultiplier, order.LmtPrice, order.OrderId)
);
var comboAll = ComboTradesAllImpl().ToArray();
return(combos.Concat(comboAll).Distinct(c => c.contract.Instrument));
}
