private static decimal FindTWMarginRequirement(string account, Positions positions)
{
Position pos = positions.ElementAt(0).Value;
// this loop could be eliminated if the long symbol name gets persisted in database
foreach (KeyValuePair <string, TWMargin> p in twMarginReq[account])
{
TWMargin mar = p.Value;
if (pos.Symbol == mar.Symbol)
{
return(mar.CapitalRequirement);
}
}
return(0M);
}
private static decimal DefaultCapital(string account, string strat, Positions positions)
{
decimal multiplier = 100;
TWPosition twpos = FindTWPosition(account, positions.ElementAt(0).Value);
if (twpos != null)
{
multiplier = twpos.Multiplier;
}
if (strat.Length >= 8)
{
strat = strat.Substring(0, 8);
if ((strat == "Iron Con") || (strat == "Vertical"))
{
Dictionary <string, decimal> strikeRange = new Dictionary <string, decimal> {
{ "Call", 0 }, { "Put", 0 }
};
foreach (KeyValuePair <string, Position> item in positions)
{
Position p = item.Value;
strikeRange[p.Type] += (p.Strike * p.Quantity);
}
if (Math.Abs(strikeRange["Put"]) > Math.Abs(strikeRange["Call"]))
{
return(Math.Abs(strikeRange["Put"]) * multiplier);
}
else
{
return(Math.Abs(strikeRange["Call"]) * multiplier);
}
}
}
return(0);
}
private static string GuessStrategy(Positions positions)
{
string retval = "";
if (positions.Count == 1)
{
retval = positions.ElementAt(0).Value.Quantity < 0 ? "Short " : "Long ";
retval += positions.ElementAt(0).Value.Type;
}
else if (positions.Count == 2)
{
if (positions.ElementAt(0).Value.ExpDate != positions.ElementAt(1).Value.ExpDate)
{
retval = "Calendar Spread";
}
else if (positions.ElementAt(0).Value.Type == positions.ElementAt(1).Value.Type)
{
if ((positions.ElementAt(0).Value.Quantity + positions.ElementAt(1).Value.Quantity) != 0)
{
retval = "Ratio " + positions.ElementAt(0).Value.Type + " Spread";
}
else
{
retval = "Vertical " + positions.ElementAt(0).Value.Type + " Spread";
}
}
else if (positions.ElementAt(0).Value.Strike == positions.ElementAt(1).Value.Strike)
{
retval = "Straddle";
}
else
{
retval = "Strangle";
}
}
else if (positions.Count == 4)
{
decimal sum = 0;
DateTime expDate = DateTime.MinValue;
bool dateError = false;
foreach (KeyValuePair <string, Position> item in positions)
{
Position p = item.Value;
sum += p.Quantity;
if (expDate == DateTime.MinValue)
{
expDate = p.ExpDate; // set date first time thru
}
else if (expDate != p.ExpDate)
{
dateError = true; // set flag if any dates don't match
}
if (sum == 0)
{
if (dateError)
{
retval = "Calendar Spread";
}
else
{
retval = "Iron Condor";
}
}
}
}
return(retval += "");
}