public static DataSet GetSpreads(FilterConditions filterConditions)
{
DataTable filteredDataTable = OCHelper.AddRecordsToDataTable(filterConditions);
DataSet dataSet = new DataSet();
DataSet dataSetCE = new DataSet();
DataSet dataSetPE = new DataSet();
if (filterConditions.ContractType.Equals(enumContractType.CE.ToString()))
{
dataSetCE = CalculateSpreads(filteredDataTable, enumContractType.CE.ToString(), filterConditions);
dataSet = OCHelper.MergeDataSets(dataSet, dataSetCE);
}
if (filterConditions.ContractType.Equals(enumContractType.PE.ToString()))
{
dataSetPE = CalculateSpreads(filteredDataTable, enumContractType.PE.ToString(), filterConditions);
dataSet = OCHelper.MergeDataSets(dataSet, dataSetPE);
}
if (filterConditions.ContractType.Equals("ALL"))
{
dataSetCE = CalculateSpreads(filteredDataTable, enumContractType.CE.ToString(), filterConditions);
dataSet = OCHelper.MergeDataSets(dataSet, dataSetCE);
dataSetPE = CalculateSpreads(filteredDataTable, enumContractType.PE.ToString(), filterConditions);
dataSet = OCHelper.MergeDataSets(dataSet, dataSetPE);
}
return(dataSet);
}
private static DataSet GetFilterAllStrategies(FilterConditions filterConditions)
{
DataSet dataSetResult = new DataSet();
DataTable filteredDataTable = OCHelper.AddRecordsToDataTable(filterConditions);
DataSet dataSetCEBF = new DataSet();
DataSet dataSetPEBF = new DataSet();
DataSet dataSetPEIC = new DataSet();
dataSetCEBF = Butterfly.GetButterflySpreadStrategies(filteredDataTable, enumContractType.CE.ToString(), filterConditions);
dataSetResult = OCHelper.MergeDataSets(dataSetResult, dataSetCEBF);
dataSetPEBF = Butterfly.GetButterflySpreadStrategies(filteredDataTable, enumContractType.PE.ToString(), filterConditions);
dataSetResult = OCHelper.MergeDataSets(dataSetResult, dataSetPEBF);
dataSetPEIC = IronCondorClass.CalculateIronCondors(filteredDataTable, filterConditions);
dataSetResult = OCHelper.MergeDataSets(dataSetResult, dataSetPEIC);
return(dataSetResult);
}
private static DataSet CalculateSpreads(DataTable filteredDataTable, string contractType, FilterConditions filterConditions)
{
DataSet dataSet = new DataSet();
Records recordsObject = MySession.Current.RecordsObject;
//Find Lowest and Highest value in the given table column
int iLowestSP = int.MaxValue;
int iHighestSP = int.MinValue;
foreach (DataRow dr in filteredDataTable.Rows)
{
int accountLevel = Convert.ToInt32(dr.Field <string>("StrikePrice"));
iLowestSP = Math.Min(iLowestSP, accountLevel);
iHighestSP = Math.Max(iHighestSP, accountLevel);
}
//Find difference between two strike prices
List <int> prices = recordsObject.strikePrices;
int diffStrikePrice = 0;
if (prices.Count > 2)
{
diffStrikePrice = (prices[1] - prices[0]);
}
//double iHighterSPIterator = iLowestSP;
//double iMiddleSPIterator = iLowestSP;
//double iLowerSPIterator = iLowestSP;
//int iMiddleLowerRange = 0;
//int iMiddleHigherRange = 0;
//If "NONE" selected in the ddlb
//if (filterConditions.SPExpiry == 0)
//{
// iMiddleLowerRange = iLowestSP + diffStrikePrice;
// iMiddleHigherRange = iHighestSP;
//}
//else
//{
// iMiddleLowerRange = filterConditions.SPExpiry;
// iMiddleHigherRange = filterConditions.SPExpiry + 1;
//}
int currentStrikePrice = OCHelper.RoundTo100(recordsObject.underlyingValue);
int maxDiff = iHighestSP - currentStrikePrice;
//for (int iMiddle = iMiddleLowerRange; iMiddle < iMiddleHigherRange; iMiddle = iMiddle + diffStrikePrice)
//{
for (int iHigher = iHighestSP; iHigher > iLowestSP; iHigher -= diffStrikePrice) //int iHigher = iLowestSP + diffStrikePrice; iHigher <= iHighestSP; iHigher += +diffStrikePrice
{
for (int iLower = iHigher - diffStrikePrice; iLower >= iLowestSP; iLower -= diffStrikePrice) //int iLower = iLowestSP; iLower < iHigher; iLower += diffStrikePrice
{
//iMiddleSPIterator = iMiddle;
//iHighterSPIterator = iHigher;
//iLowerSPIterator = iLower;
if (iLower >= iHigher ||
iHigher > iHighestSP ||
iLower < iLowestSP)
{
continue;
}
string selectQuery = "(Contract = '" + contractType + "')" +
" AND ((StrikePrice = " + (iLower) + " AND TransactionType = 'Buy') OR (StrikePrice = " + (iHigher) +
" AND TransactionType = 'Sell')) AND (ExpiryDate = #" + filterConditions.ExpiryDate + "#)";
DataRow[] drs = filteredDataTable.Select(selectQuery, "StrikePrice ASC");
DataTable dt = filteredDataTable.Clone();
//Create new datatable with name
DataTable dtResult = new DataTable("dt" + contractType + iLower + iHigher);
OCHelper.AddColumnsToOutputGrid(dtResult);
foreach (DataRow dr in drs)
{
//This is alternate code for Calculation code in AddRecordsToDataTable function in OCHelper
//for (int iCellCount = 9; iCellCount < dr.ItemArray.Length; iCellCount++)
//{
// dr[iCellCount] =
// FO.CalcExpVal(dr["Contract"].ToString(),
// dr["TransactionType"].ToString(),
// Convert.ToDouble(dr["StrikePrice"]),
// Convert.ToDouble(dr["Premium"]),
// Convert.ToDouble(dr.Table.Columns[iCellCount].ColumnName));
//}
dt.ImportRow(dr);
}
for (int i = 0; i < dt.Rows.Count; i++)
{
double sum = 0;
var strikePrice = dt.Rows[i]["StrikePrice"].ToString();
//int quantity = 0;
for (int j = 0; j < dt.Rows.Count; j++)
{
var rowStrikePrice = dt.Rows[j]["StrikePrice"].ToString();
//if (rowStrikePrice == iMiddleSPIterator.ToString())
//{
// sum += Convert.ToDouble(dt.Rows[j][strikePrice]) * 2;
//}
if (rowStrikePrice == iLower.ToString() || rowStrikePrice == iHigher.ToString())
{
sum += Convert.ToDouble(dt.Rows[j][strikePrice]);
}
}
int quantity = Convert.ToInt32(dt.Rows[i]["LotSize"]);
int newquantity = quantity;
//if (strikePrice.Equals(iMiddleSPIterator.ToString()))
// newquantity = quantity * 2;
dtResult.Rows.Add(new string[] {
dt.Rows[i]["TradingSymbol"].ToString(),
dt.Rows[i]["Contract"].ToString(),
dt.Rows[i]["TransactionType"].ToString(),
dt.Rows[i]["StrikePrice"].ToString(),
newquantity.ToString(),
dt.Rows[i]["Premium"].ToString(),
Math.Round(quantity * sum, 2).ToString()
});
}
if (dtResult.Rows.Count >= 2)
{
dataSet.Tables.Add(dtResult);
}
}
}
//}
return(dataSet);
}
