public void CreateNewDhstrategy(decimal futuresPosition, SynchronizedDictionary <Security, decimal> optionsPositions)
{
StrategyForTest = new DeltaHedgerStrategy(futuresPosition, optionsPositions);
List <Security> securitiesToReg = new List <Security>();
securitiesToReg.AddRange(optionsPositions.Keys);
securitiesToReg.Add(StSecurity);
StrategyForTest.SetStrategyEntitiesForWork(StConnector, StSecurity, StPortfolio);
}
public PrimaryStrategy CreateStrategyFromString(StrategyTypes strategyType, string inputParams)
{
PrimaryStrategy resultStrategy = null;
Security resultStrategySecurity = null;
var strategyParams = inputParams.Split(SeparatorAfterVal.ToCharArray(), StringSplitOptions.None);
if (_connector == null)
{
throw new NullReferenceException("_connector");
}
switch (strategyType)
{
case StrategyTypes.Dhs:
var dhs1FutCode = strategyParams[0];
var dhs2OptCode = strategyParams[1];
var dhs3DeltaStep = strategyParams[2];
var dhs4DeltaBuffer = strategyParams[3];
var dhs5HedgeLevels = strategyParams[4];
var dhs6MinFPos = strategyParams[5];
var dhs7MaxFPos = strategyParams[6];
var tempOptList = ParseToStringArr(dhs2OptCode)
.Select(s => _dataManager.LookupThroughExistingSecurities(s));
decimal futPosition = _connector.GetSecurityPosition(_defaultPortfolio,
_dataManager.LookupThroughExistingSecurities(dhs1FutCode));
SynchronizedDictionary <Security, decimal> optionsPositions =
_connector.GetSecuritiesPositions(_defaultPortfolio, tempOptList.ToList());
var dhsStrategy = new DeltaHedgerStrategy(futPosition, optionsPositions);
if (!CheckIfDefault(dhs3DeltaStep))
{
dhsStrategy.DeltaStep = ParseDecimalValue(dhs3DeltaStep);
}
if (!CheckIfDefault(dhs4DeltaBuffer))
{
dhsStrategy.DeltaBuffer = ParseDecimalValue(dhs4DeltaBuffer);
}
if (!CheckIfDefault(dhs5HedgeLevels))
{
ParseToStringArr(dhs5HedgeLevels).ForEach(s =>
{
if (s.ToCharArray()[0] == 'u')
{
dhsStrategy.AddHedgeLevel(PriceDirection.Up, ParseDecimalValue(s.Substring(1)));
}
else if (s.ToCharArray()[0] == 'd')
{
dhsStrategy.AddHedgeLevel(PriceDirection.Down, ParseDecimalValue(s.Substring(1)));
}
else
{
throw new ArgumentException("cannot parse such a value into a price level, possible directions are 'u' or 'd'.");
}
});
}
if (!CheckIfDefault(dhs6MinFPos))
{
dhsStrategy.MinFuturesPositionVal = ParseDecimalValue(dhs6MinFPos);
}
if (!CheckIfDefault(dhs7MaxFPos))
{
dhsStrategy.MaxFuturesPositionVal = ParseDecimalValue(dhs7MaxFPos);
}
resultStrategySecurity = _dataManager.LookupThroughExistingSecurities(dhs1FutCode);
resultStrategy = dhsStrategy;
break;
case StrategyTypes.Lqs:
var lqs1SecCode = strategyParams[0];
var lqs2Side = strategyParams[1];
var lqs3Volume = strategyParams[2];
var lqs4PriceShift = strategyParams[3];
var lqs5WorstPrice = strategyParams[4];
var lqs6AlwaysPlaces = strategyParams[5];
Sides lSide;
var worstPrice = 0M;
if (!Enum.TryParse(lqs2Side, true, out lSide))
{
throw new ArgumentException("cannot parse side value (enum exception)");
}
if (!CheckIfDefault(lqs5WorstPrice))
{
worstPrice = ParseDecimalValue(lqs5WorstPrice);
}
var lqsStrategy = new LimitQuoterStrategy(
lSide,
ParseDecimalValue(lqs3Volume),
ParseDecimalValue(lqs4PriceShift),
worstPrice);
if (!CheckIfDefault(lqs6AlwaysPlaces))
{
lqsStrategy.IsLimitOrdersAlwaysRepresent = ParseBoolValue(lqs6AlwaysPlaces);
}
resultStrategySecurity = _dataManager.LookupThroughExistingSecurities(lqs1SecCode);
resultStrategy = lqsStrategy;
break;
case StrategyTypes.Mqs:
var mqs1SecCode = strategyParams[0];
var mqs2Side = strategyParams[1];
var mqs3Volume = strategyParams[2];
var mqs4TargetPrice = strategyParams[3];
Sides mSide;
if (!Enum.TryParse(mqs2Side, true, out mSide))
{
throw new ArgumentException("cannot parse side value (enum exception)");
}
var mqsStrategy = new MarketQuoterStrategy(
mSide,
ParseDecimalValue(mqs3Volume),
ParseDecimalValue(mqs4TargetPrice));
resultStrategySecurity = _dataManager.LookupThroughExistingSecurities(mqs1SecCode);
resultStrategy = mqsStrategy;
break;
case StrategyTypes.Pcs:
var pcs1SecCode = strategyParams[0];
var pcs2ClosePrice = strategyParams[1];
var pcs3SignalSecCode = strategyParams[2];
var pcs4SecDirection = strategyParams[3];
var pcs5PosToClose = strategyParams[4];
PriceDirection pDirection;
if (!Enum.TryParse(pcs4SecDirection, true, out pDirection))
{
throw new ArgumentException("cannot parse price direction value (enum exception)");
}
var pcsStrategy = new PositionCloserStrategy(
ParseDecimalValue(pcs2ClosePrice),
pDirection,
ParseDecimalValue(pcs5PosToClose));
if (!CheckIfDefault(pcs3SignalSecCode))
{
pcsStrategy.SecurityWithSignalToClose =
_dataManager.LookupThroughExistingSecurities(pcs3SignalSecCode);
}
resultStrategySecurity = _dataManager.LookupThroughExistingSecurities(pcs1SecCode);
resultStrategy = pcsStrategy;
break;
case StrategyTypes.Sss:
var sss1SecCode = strategyParams[0];
var sss2CurPosition = strategyParams[1];
var sss3CurPositionPrice = strategyParams[2];
var sss4Spread = strategyParams[3];
var sss5Lot = strategyParams[4];
var sss6EnterSide = strategyParams[5];
var sss7LimitedFuturesNumber = strategyParams[6];
Sides sSide;
if (!Enum.TryParse(sss6EnterSide, true, out sSide))
{
throw new ArgumentException("cannot parse side value (enum exception)");
}
var sssStrategy = new SpreaderStrategy(
ParseDecimalValue(sss2CurPosition),
ParseDecimalValue(sss3CurPositionPrice),
ParseDecimalValue(sss4Spread),
ParseDecimalValue(sss5Lot),
sSide);
if (!CheckIfDefault(sss7LimitedFuturesNumber))
{
sssStrategy.LimitedFuturesValueAbs = ParseDecimalValue(sss7LimitedFuturesNumber);
}
resultStrategySecurity = _dataManager.LookupThroughExistingSecurities(sss1SecCode);
resultStrategy = sssStrategy;
break;
}
resultStrategy?.SetStrategyEntitiesForWork(_connector, resultStrategySecurity, _defaultPortfolio);
return(resultStrategy);
}
