private void OnTradingDeskOptionParamsReceived(TradingDeskOptionVM tdOptionVM)
{
if (_strategySet != null && tdOptionVM.WingsReturnVM != null && _strategySet.ContainsKey(tdOptionVM))
{
_wingsReturnVM.SlopeCurr = tdOptionVM.WingsReturnVM.SlopeCurr;
_wingsReturnVM.SlopeCurrOffset = tdOptionVM.WingsReturnVM.SlopeCurrOffset;
_wingsReturnVM.VolCurr = tdOptionVM.WingsReturnVM.VolCurr;
_wingsReturnVM.VolCurrOffset = tdOptionVM.WingsReturnVM.VolCurrOffset;
}
}
public IList <CallPutTDOptionVM> MakeCallPutTDOptionData(IList <double> strikeList, IList <ContractKeyVM> callList, IList <ContractKeyVM> putList, IList <MarketDataVM> marketDataList = null)
{
var retList = new List <CallPutTDOptionVM>();
for (int i = 0; i < callList.Count; i++)
{
var callOption = new TradingDeskOptionVM {
Exchange = callList[i].Exchange, Contract = callList[i].Contract
};
var putOption = new TradingDeskOptionVM {
Exchange = putList[i].Exchange, Contract = putList[i].Contract
};
if (marketDataList != null)
{
callOption.MarketDataVM = marketDataList.FirstOrDefault(c => c.Contract == callList[i].Contract);
putOption.MarketDataVM = marketDataList.FirstOrDefault(c => c.Contract == putList[i].Contract);
}
callOption.InitProperties();
putOption.InitProperties();
var callStrategyVM = StrategyVMCollection.FirstOrDefault(s => s.EqualContract(callList[i]));
if (callStrategyVM != null)
{
callStrategyVM.Depth = 1;
}
var putStrategyVM = StrategyVMCollection.FirstOrDefault(s => s.EqualContract(putList[i]));
if (putStrategyVM != null)
{
putStrategyVM.Depth = 1;
}
retList.Add(new CallPutTDOptionVM()
{
StrikePrice = strikeList[i],
CallOptionVM = callOption,
PutOptionVM = putOption,
CallStrategyVM = callStrategyVM,
PutStrategyVM = putStrategyVM
});
}
return(retList);
}
public static TradingDeskOptionVM UpdatePosition(this IEnumerable <CallPutTDOptionVM> collection, PositionVM newVM)
{
TradingDeskOptionVM quote = null;
var cp = collection.FirstOrDefault((pb) => string.Compare(pb.PutOptionVM.Contract, newVM.Contract, true) == 0);
if (cp != null)
{
quote = cp.PutOptionVM;
}
else
{
cp = collection.FirstOrDefault((pb) => string.Compare(pb.CallOptionVM.Contract, newVM.Contract, true) == 0);
if (cp != null)
{
quote = cp.CallOptionVM;
}
}
if (quote != null)
{
if (newVM.Direction == PositionDirectionType.PD_LONG)
{
quote.LongPosition = newVM.Position;
}
else if (newVM.Direction == PositionDirectionType.PD_SHORT)
{
quote.ShortPosition = newVM.Position;
}
quote.Position = quote.LongPosition - quote.ShortPosition;
}
if (cp != null)
{
cp.TotalPosition = 1;
cp.MixFuture = 1;
}
return(quote);
}
private void OnTradingDeskOptionParams(PBTradingDeskOptionParams tradingDeskOption)
{
TradingDeskOptionVM quote = new TradingDeskOptionVM
{
Exchange = tradingDeskOption.Exchange,
Contract = tradingDeskOption.Contract
};
if (FindTradingDeskData(quote) != null)
{
if (tradingDeskOption.ImpliedVol != null)
{
quote.ImpliedVolVM = new VolatilityVM
{
AskVol = tradingDeskOption.ImpliedVol.AskVolatility,
BidVol = tradingDeskOption.ImpliedVol.BidVolatility,
MidVol = (tradingDeskOption.ImpliedVol.BidVolatility + tradingDeskOption.ImpliedVol.AskVolatility) / 2
};
if (double.IsNaN(quote.ImpliedVolVM.MidVol))
{
quote.ImpliedVolVM.MidVol = double.IsNaN(quote.ImpliedVolVM.AskVol) ? quote.ImpliedVolVM.BidVol : quote.ImpliedVolVM.AskVol;
}
}
if (tradingDeskOption.TheoData != null)
{
quote.TheoDataVM = new OptionPricingVM
{
AskPrice = tradingDeskOption.TheoData.AskPrice,
AskSize = tradingDeskOption.TheoData.AskSize,
AskVol = tradingDeskOption.TheoData.AskVolatility,
Delta = tradingDeskOption.TheoData.Delta,
Gamma = tradingDeskOption.TheoData.Gamma,
Theta = tradingDeskOption.TheoData.Theta,
Vega = tradingDeskOption.TheoData.Vega,
Rho = tradingDeskOption.TheoData.Rho,
BidPrice = tradingDeskOption.TheoData.BidPrice,
BidSize = tradingDeskOption.TheoData.BidSize,
BidVol = tradingDeskOption.TheoData.BidVolatility,
MidVol = tradingDeskOption.TheoData.MidVolatility,
MidPrice = (tradingDeskOption.TheoData.BidPrice + tradingDeskOption.TheoData.AskPrice) / 2,
};
}
if (tradingDeskOption.WingsReturn != null)
{
quote.WingsReturnVM = new WingsReturnVM
{
ATMFPrice = tradingDeskOption.WingsReturn.FAtm,
RefPrice = tradingDeskOption.WingsReturn.FRef,
SyncFPrice = tradingDeskOption.WingsReturn.FSyn,
X0 = tradingDeskOption.WingsReturn.X0,
X1 = tradingDeskOption.WingsReturn.X1,
X2 = tradingDeskOption.WingsReturn.X2,
X3 = tradingDeskOption.WingsReturn.X3,
SlopeCurr = tradingDeskOption.WingsReturn.SlopeCurr,
SlopeCurrOffset = tradingDeskOption.WingsReturn.SlopeCurrOffset,
VolCurr = tradingDeskOption.WingsReturn.VolCurr,
VolCurrOffset = tradingDeskOption.WingsReturn.VolCurrOffset,
};
}
if (tradingDeskOption.TheoDataTemp != null)
{
quote.TempTheoDataVM = new OptionPricingVM
{
AskVol = tradingDeskOption.TheoDataTemp.AskVolatility,
BidVol = tradingDeskOption.TheoDataTemp.BidVolatility,
MidVol = tradingDeskOption.TheoDataTemp.MidVolatility,
};
}
if (tradingDeskOption.TheoData.BidPrice >= tradingDeskOption.MarketData?.AskPrice)
{
quote.TheoDataVM.Biddirection = 2;
}
else
{
if (tradingDeskOption.TheoData.BidPrice >= tradingDeskOption.MarketData?.BidPrice)
{
quote.TheoDataVM.Biddirection = 1;
}
else if (tradingDeskOption.TheoData.BidPrice < tradingDeskOption.MarketData?.AskPrice)
{
quote.TheoDataVM.Biddirection = -1;
}
else if (tradingDeskOption.TheoData.BidPrice < tradingDeskOption.MarketData?.AskPrice)
{
quote.TheoDataVM.Biddirection = -2;
}
}
if (tradingDeskOption.TheoData.AskPrice <= tradingDeskOption.MarketData?.BidPrice)
{
quote.TheoDataVM.Askdirection = 2;
}
else
{
if (tradingDeskOption.TheoData.AskPrice <= tradingDeskOption.MarketData?.AskPrice)
{
quote.TheoDataVM.Askdirection = 1;
}
else if (tradingDeskOption.TheoData.AskPrice > tradingDeskOption.MarketData?.AskPrice)
{
quote.TheoDataVM.Askdirection = -1;
}
else if (tradingDeskOption.TheoData.AskPrice > tradingDeskOption.MarketData?.BidPrice)
{
quote.TheoDataVM.Askdirection = -2;
}
}
OnTradingDeskOptionParamsReceived?.Invoke(quote);
}
else
{
UnsubTradingDeskData(new[] { quote });
}
}
public static TradingDeskOptionVM Update(this IEnumerable <CallPutTDOptionVM> collection, TradingDeskOptionVM newVM)
{
TradingDeskOptionVM quote = null;
var cp = collection.FirstOrDefault((pb) => string.Compare(pb.PutOptionVM.Contract, newVM.Contract, true) == 0);
if (cp != null)
{
quote = cp.PutOptionVM;
}
else
{
cp = collection.FirstOrDefault((pb) => string.Compare(pb.CallOptionVM.Contract, newVM.Contract, true) == 0);
if (cp != null)
{
quote = cp.CallOptionVM;
}
}
if (quote != null)
{
if (newVM.ImpliedVolVM != null)
{
quote.ImpliedVolVM.AskVol = newVM.ImpliedVolVM.AskVol;
quote.ImpliedVolVM.BidVol = newVM.ImpliedVolVM.BidVol;
quote.ImpliedVolVM.MidVol = newVM.ImpliedVolVM.MidVol;
}
if (newVM.TheoDataVM != null)
{
quote.TheoDataVM.AskPrice = newVM.TheoDataVM.AskPrice;
quote.TheoDataVM.AskSize = newVM.TheoDataVM.AskSize;
quote.TheoDataVM.AskVol = newVM.TheoDataVM.AskVol;
quote.TheoDataVM.Delta = newVM.TheoDataVM.Delta;
quote.TheoDataVM.Gamma = newVM.TheoDataVM.Gamma;
quote.TheoDataVM.Theta = newVM.TheoDataVM.Theta;
quote.TheoDataVM.Vega = newVM.TheoDataVM.Vega;
quote.TheoDataVM.Rho = newVM.TheoDataVM.Rho;
quote.TheoDataVM.MidVol = newVM.TheoDataVM.MidVol;
quote.TheoDataVM.MidPrice = newVM.TheoDataVM.MidPrice;
quote.TheoDataVM.BidPrice = newVM.TheoDataVM.BidPrice;
quote.TheoDataVM.BidSize = newVM.TheoDataVM.BidSize;
quote.TheoDataVM.BidVol = newVM.TheoDataVM.BidVol;
quote.TheoDataVM.Askdirection = newVM.TheoDataVM.Askdirection;
quote.TheoDataVM.Biddirection = newVM.TheoDataVM.Biddirection;
}
//if (quote.TheoDataVM.BidPrice >= quote.MarketDataVM?.AskPrice)
// quote.TheoDataVM.Biddirection = 2;
//else
//{
// if (quote.TheoDataVM.BidPrice >= quote.MarketDataVM?.BidPrice)
// quote.TheoDataVM.Biddirection = 1;
// else if (quote.TheoDataVM.BidPrice < quote.MarketDataVM?.AskPrice)
// quote.TheoDataVM.Biddirection = -1;
// else if (quote.TheoDataVM.BidPrice < quote.MarketDataVM?.AskPrice)
// quote.TheoDataVM.Biddirection = -2;
//}
//if (quote.TheoDataVM.AskPrice <= quote.MarketDataVM?.BidPrice)
// quote.TheoDataVM.Askdirection = 2;
//else
//{
// if (quote.TheoDataVM.AskPrice <= quote.MarketDataVM?.AskPrice)
// quote.TheoDataVM.Askdirection = 1;
// else if (quote.TheoDataVM.AskPrice > quote.MarketDataVM?.AskPrice)
// quote.TheoDataVM.Askdirection = -1;
// else if (quote.TheoDataVM.AskPrice > quote.MarketDataVM?.BidPrice)
// quote.TheoDataVM.Askdirection = -2;
//}
}
return(quote);
}
private void OnTradingDeskOptionParamsReceived(TradingDeskOptionVM vm)
{
CallPutTDOptionVMCollection.Update(vm);
}
private void OnTradingDeskOptionParamsReceived(TradingDeskOptionVM tdOptionVM)
{
int idx;
if (tdOptionVM.ImpliedVolVM != null)
{
idx = _optionPutVMList.FindIndex(c => c.Key.EqualContract(tdOptionVM));
if (idx >= 0) // Update PutOption
{
double x = _optionPutVMList[idx].Value;
VolatilityModelVM.PutAskVolLine[idx] = double.IsNaN(tdOptionVM.ImpliedVolVM.AskVol) ? DataPoint.Undefined : new DataPoint(x, tdOptionVM.ImpliedVolVM.AskVol);
VolatilityModelVM.PutBidVolLine[idx] = double.IsNaN(tdOptionVM.ImpliedVolVM.BidVol) ? DataPoint.Undefined : new DataPoint(x, tdOptionVM.ImpliedVolVM.BidVol);
VolatilityModelVM.PutMidVolLine[idx] = double.IsNaN(tdOptionVM.ImpliedVolVM.MidVol) ? DataPoint.Undefined : new DataPoint(x, tdOptionVM.ImpliedVolVM.MidVol);
}
idx = _optionCallVMList.FindIndex(c => c.Key.EqualContract(tdOptionVM));
if (idx >= 0) // Update CallOption
{
double x = _optionCallVMList[idx].Value;
VolatilityModelVM.CallAskVolLine[idx] = double.IsNaN(tdOptionVM.ImpliedVolVM.AskVol) ? DataPoint.Undefined : new DataPoint(x, tdOptionVM.ImpliedVolVM.AskVol);
VolatilityModelVM.CallBidVolLine[idx] = double.IsNaN(tdOptionVM.ImpliedVolVM.BidVol) ? DataPoint.Undefined : new DataPoint(x, tdOptionVM.ImpliedVolVM.BidVol);
VolatilityModelVM.CallMidVolLine[idx] = double.IsNaN(tdOptionVM.ImpliedVolVM.MidVol) ? DataPoint.Undefined : new DataPoint(x, tdOptionVM.ImpliedVolVM.MidVol);
}
}
idx = _optionTheoCallVMList.FindIndex(c => c.Key.EqualContract(tdOptionVM));
if (idx < 0)
{
idx = _optionTheoPutVMList.FindIndex(c => c.Key.EqualContract(tdOptionVM));
}
if (idx >= 0)
{
double x = _optionTheoCallVMList[idx].Value;
if (tdOptionVM.TheoDataVM != null)
{
if (!double.IsNaN(tdOptionVM.TheoDataVM.AskVol))
{
VolatilityModelVM.TheoAskVolLine[idx] = new DataPoint(x, tdOptionVM.TheoDataVM.AskVol);
var scatterPt = VolatilityModelVM.TheoPutAskVolScatter[idx];
VolatilityModelVM.TheoPutAskVolScatter[idx] = new ScatterPoint(x, tdOptionVM.TheoDataVM.AskVol, ScatterSize, scatterPt.Value, scatterPt.Tag);
scatterPt = VolatilityModelVM.TheoCallAskVolScatter[idx];
VolatilityModelVM.TheoCallAskVolScatter[idx] = new ScatterPoint(x, tdOptionVM.TheoDataVM.AskVol, ScatterSize, scatterPt.Value, scatterPt.Tag);
}
else
{
VolatilityModelVM.TheoAskVolLine[idx] = DataPoint.Undefined;
var scatterPt = VolatilityModelVM.TheoPutBidVolScatter[idx];
VolatilityModelVM.TheoPutAskVolScatter[idx] = new ScatterPoint(x, tdOptionVM.TheoDataVM.AskVol, 0, scatterPt.Value, scatterPt.Tag);
scatterPt = VolatilityModelVM.TheoCallBidVolScatter[idx];
VolatilityModelVM.TheoCallAskVolScatter[idx] = new ScatterPoint(x, tdOptionVM.TheoDataVM.AskVol, 0, scatterPt.Value, scatterPt.Tag);
VolatilityModelVM.TheoMidVolLine[idx] = DataPoint.Undefined;
}
if (!double.IsNaN(tdOptionVM.TheoDataVM.BidVol))
{
VolatilityModelVM.TheoBidVolLine[idx] = new DataPoint(x, tdOptionVM.TheoDataVM.BidVol);
var scatterPt = VolatilityModelVM.TheoPutBidVolScatter[idx];
VolatilityModelVM.TheoPutBidVolScatter[idx] = new ScatterPoint(x, tdOptionVM.TheoDataVM.BidVol, ScatterSize, scatterPt.Value, scatterPt.Tag);
scatterPt = VolatilityModelVM.TheoCallBidVolScatter[idx];
VolatilityModelVM.TheoCallBidVolScatter[idx] = new ScatterPoint(x, tdOptionVM.TheoDataVM.BidVol, ScatterSize, scatterPt.Value, scatterPt.Tag);
VolatilityModelVM.TheoMidVolLine[idx] = new DataPoint(x, tdOptionVM.TheoDataVM.MidVol);
}
else
{
VolatilityModelVM.TheoBidVolLine[idx] = DataPoint.Undefined;
var scatterPt = VolatilityModelVM.TheoPutBidVolScatter[idx];
VolatilityModelVM.TheoPutBidVolScatter[idx] = new ScatterPoint(x, tdOptionVM.TheoDataVM.BidVol, 0, scatterPt.Value, scatterPt.Tag);
scatterPt = VolatilityModelVM.TheoCallBidVolScatter[idx];
VolatilityModelVM.TheoCallBidVolScatter[idx] = new ScatterPoint(x, tdOptionVM.TheoDataVM.BidVol, 0, scatterPt.Value, scatterPt.Tag);
VolatilityModelVM.TheoMidVolLine[idx] = DataPoint.Undefined;
}
}
if (tdOptionVM.TempTheoDataVM != null)
{
VolatilityModelVM.TheoAskVolLine1[idx] = double.IsNaN(tdOptionVM.TempTheoDataVM.AskVol) ? DataPoint.Undefined : new DataPoint(x, tdOptionVM.TempTheoDataVM.AskVol);
VolatilityModelVM.TheoBidVolLine1[idx] = double.IsNaN(tdOptionVM.TempTheoDataVM.BidVol) ? DataPoint.Undefined : new DataPoint(x, tdOptionVM.TempTheoDataVM.BidVol);
VolatilityModelVM.TheoMidVolLine1[idx] = double.IsNaN(tdOptionVM.TempTheoDataVM.BidVol) ? DataPoint.Undefined : new DataPoint(x, tdOptionVM.TempTheoDataVM.MidVol);
}
if (tdOptionVM.WingsReturnVM != null)
{
VolatilityModelVM.ATMLine = tdOptionVM.WingsReturnVM.ATMFPrice;
VolatilityModelVM.ReferencePriceLine = tdOptionVM.WingsReturnVM.RefPrice;
VolatilityModelVM.SynFLine = tdOptionVM.WingsReturnVM.SyncFPrice;
VolatilityModelVM.X0Line = tdOptionVM.WingsReturnVM.X0;
VolatilityModelVM.X1Line = tdOptionVM.WingsReturnVM.X1;
VolatilityModelVM.X2Line = tdOptionVM.WingsReturnVM.X2;
VolatilityModelVM.X3Line = tdOptionVM.WingsReturnVM.X3;
}
}
}
