/// <summary>
/// Filters the provided <paramref name="positions"/> collection such that any remaining positions are all
/// valid options that match this leg definition instance.
/// </summary>
public OptionPositionCollection Filter(IReadOnlyList <OptionPosition> legs, OptionPositionCollection positions, bool includeUnderlying = true)
{
// first filter down to applicable right
positions = positions.Slice(Right, includeUnderlying);
if (positions.IsEmpty)
{
return(positions);
}
// second filter according to the required side
var side = (PositionSide)Math.Sign(Quantity);
positions = positions.Slice(side, includeUnderlying);
if (positions.IsEmpty)
{
return(positions);
}
// these are ordered such that indexed filters are performed force and
// opaque/complex predicates follow since they require full table scans
foreach (var predicate in _predicates)
{
positions = predicate.Filter(legs, positions, includeUnderlying);
if (positions.IsEmpty)
{
break;
}
}
// at this point, every position in the positions
// collection is a valid match for this definition
return(positions);
}
/// <summary>
/// Filters the specified <paramref name="positions"/> by applying this predicate based on the referenced legs.
/// </summary>
public OptionPositionCollection Filter(IReadOnlyList <OptionPosition> legs, OptionPositionCollection positions, bool includeUnderlying)
{
if (!IsIndexed)
{
// if the predicate references non-indexed properties or contains complex/multiple conditions then
// we'll need to do a full table scan. this is not always avoidable, but we should try to avoid it
return(OptionPositionCollection.Empty.AddRange(
positions.Where(position => _predicate(legs, position))
));
}
var referenceValue = _reference.Resolve(legs);
switch (_reference.Target)
{
case PredicateTargetValue.Right: return(positions.Slice((OptionRight)referenceValue, includeUnderlying));
case PredicateTargetValue.Strike: return(positions.Slice(_comparison, (decimal)referenceValue, includeUnderlying));
case PredicateTargetValue.Expiration: return(positions.Slice(_comparison, (DateTime)referenceValue, includeUnderlying));
default:
throw new ArgumentOutOfRangeException();
}
}