private IEnumerable <IPositionGroup> GetPositionGroups(IEnumerable <IPosition> positions)
{
foreach (var positionsByUnderlying in positions
.Where(position => position.Symbol.SecurityType.HasOptions() || position.Symbol.SecurityType.IsOption())
.GroupBy(position => position.Symbol.HasUnderlying? position.Symbol.Underlying : position.Symbol))
{
var optionPosition = positionsByUnderlying.FirstOrDefault(position => position.Symbol.SecurityType.IsOption());
if (optionPosition == null)
{
// if there isn't any option position we aren't really interested, can't create any option strategy!
continue;
}
var contractMultiplier = (_securities[optionPosition.Symbol].SymbolProperties as OptionSymbolProperties)?.ContractUnitOfTrade ?? 100;
var optionPositionCollection = OptionPositionCollection.FromPositions(positionsByUnderlying, contractMultiplier);
var matches = _strategyMatcher.MatchOnce(optionPositionCollection);
if (matches.Strategies.Count == 0)
{
continue;
}
foreach (var matchedStrategy in matches.Strategies)
{
var positionsToGroup = matchedStrategy.OptionLegs
.Select(optionLeg => (IPosition) new Position(optionLeg.Symbol, optionLeg.Quantity, 1))
.Concat(matchedStrategy.UnderlyingLegs.Select(underlyingLeg => new Position(underlyingLeg.Symbol, underlyingLeg.Quantity * contractMultiplier, 1)))
.ToArray();
yield return(new PositionGroup(new OptionStrategyPositionGroupBuyingPowerModel(matchedStrategy), positionsToGroup));
}
}
}
public void Setup()
{
_holdings = new[]
{
CreateHolding(1),
CreateHolding(2),
CreateHolding(3),
CreateHolding(4),
CreateHolding(Symbols.SPY, ContractMultiplier * UnderlyingLots)
};
_positions = OptionPositionCollection.Create(Symbols.SPY, ContractMultiplier, _holdings);
}
