// For a specific strike and maturity, we use the option(call or put) which is out of the money
// this methode is in charge to retreive the current option ric out of the money
private double GetOutTheMoneyOptionPrice(Instrument pos, string optionType)
{
// build option tt code
string targetOptionTtCode = Option.GetOptionTtCode(pos.ProductId, optionType, pos.MaturityDate, pos.Strike.Value);
// get or suscribe option price
double targetOptionPrice;
if (!_instrumentPriceSafeDico.TryGetValue(targetOptionTtCode, out targetOptionPrice))
{
_marketFeed.SuscribeToInstrumentPrice(targetOptionTtCode, pos.Product.ProductType, pos.ProductId, pos.Product.Market, "Mid");
_instrumentPriceSafeDico.TryAdd(targetOptionTtCode, 0);
}
return(targetOptionPrice);
}
private void SuscribeToInstrumentPrices()
{
foreach (var instru in _instruInfoDico.Values)
{
string instruType = "";
if (instru.ProductId == "FESX")
{
instruType = "FUTURE";
}
else if (instru.ProductId == "OESX")
{
instruType = "OPTION";
}
else
{
continue;
}
_marketFeed.SuscribeToInstrumentPrice(instru.TtCode, instruType, instru.ProductId, "Eurex", "Mid");
_instrumentPriceSafeDico.TryAdd(instru.TtCode, 0);
if (!string.IsNullOrEmpty(instru.RefForwardId) && !_instrumentPriceSafeDico.ContainsKey(instru.RefForwardId))
{
if (instru.MaturityDate >= DateTime.Today)
{
DateTime previousDay = Option.PreviousWeekDay(DateTime.Today);
double futureClose = _dbManager.GetSpotClose(previousDay, instru.RefFutureId);
double forwardClose = Option.GetForwardClose(instru.RefForwardId, instru.MaturityDate, futureClose);
double forwardBaseOffset = forwardClose - futureClose;
_fwdBaseOffsetDico.Add(instru.RefForwardId, forwardBaseOffset);
_instrumentPriceSafeDico.TryAdd(instru.RefForwardId, 0);
}
}
}
}
private void ConnectionStatusHandler(IMarketFeed sender, string connectionState)
{
if (connectionState == "Connection_Down")
{
IsRunning = false;
}
else if (connectionState == "Connection_Succeed")
{
_delay = DateTime.Now.AddSeconds(_delayTime);
_instruCollection = _dbManager.GetAllInstruments(Option.PreviousWeekDay(DateTime.Today));
foreach (var instru in _instruCollection)
{
_marketFeed.SuscribeToInstrumentPrice(instru.TtCode, instru.Product.ProductType, instru.ProductId, instru.Product.Market, "Close");
}
}
}