CurrentBullPuts(string symbol, double strikeLevel, int expirationDaysSkip, int count, int gap) {
return (
from cd in IbClient.ReqContractDetailsCached(symbol)
from price in IbClient.ReqPriceSafe(cd.Summary, 5, false).Select(p => p.ask.Avg(p.bid))
from combo in MakeBullPuts(symbol, strikeLevel.IfNaN(price), expirationDaysSkip, 1, count, gap)
from p in IbClient.ReqPriceSafe(combo.contract, 2, true).DefaultIfEmpty()
let strikeAvg = combo.options.Average(o => o.Strike)
select (
instrument: combo.contract.Instrument,
p.bid,
p.ask,
p.time,//.ToString("HH:mm:ss"),
delta: p.ask.Avg(p.bid) - combo.options.Sum(o => o.IntrinsicValue(price)),
strikeAvg,
price,
breakEven: (up: strikeAvg + price, dn: strikeAvg - price),
combo
)).ToArray()
.Select(b => b
.OrderByDescending(t => t.delta)
//.Select((t, i) => (t, i))
//.OrderBy(t => t.i > 1)
//.ThenBy(t => t.t.ask.Avg(t.t.bid) / t.t.delta)
//.ThenByDescending(t => t.t.delta)
//.Select(t => t.t)
.ToArray()
);
}
public COMBO_TRADES ComboTrades(double priceTimeoutInSeconds)
{
var combos = (
from c in ComboTradesImpl().ToObservable()
from underPrice in UnderPrice(c.contract).DefaultIfEmpty()
from price in IbClient.ReqPriceSafe(c.contract, priceTimeoutInSeconds, true).DefaultIfEmpty().Take(1)
let multiplier = c.contract.ComboMultiplier
let closePrice = (c.position > 0 ? price.bid : price.ask)
let close = (closePrice * c.position * multiplier).Round(4)
let openPrice = c.open / c.position.Abs() / multiplier
let isOk = openPrice == c.openPrice ? true : throw new Exception(new { calc = new { openPrice }, c.openPrice } +"")
let pmc = Account.ExcessLiquidity / (multiplier * c.position.Abs())
select(
c: IbClient.SetContractSubscription(c.contract)
, c.position
, c.open
, close
, pl: close - c.open
, underPrice
, strikeAvg: c.contract.ComboStrike()
, openPrice
, closePrice
, price: (price.bid, price.ask)
, c.takeProfit
, profit: (c.takeProfit * c.position * multiplier - c.open).Round(2)
, pmc
, c.orderId
)
);
return(combos
.ToArray()
.SelectMany(cmbs => cmbs
.OrderBy(c => c.c.Legs().Count())
.ThenBy(c => c.c.IsOption)
.ThenByDescending(c => c.strikeAvg - c.underPrice)
.ThenByDescending(c => c.c.Instrument)
));
IObservable <double> UnderPrice(Contract contract)
{
if (!contract.IsOption && !contract.IsCombo)
{
return(Observable.Return(0.0));
}
var underSymbol = contract.Symbol + (contract.HasFutureOption ? "U8" : "");
return(
from symbol in IbClient.ReqContractDetailsCached(underSymbol)
from underPrice in IbClient.ReqPriceSafe(symbol.Summary, priceTimeoutInSeconds, false)
select underPrice.ask.Avg(underPrice.bid));
}
}
CurrentStraddles(string symbol, double strikeLevel, int expirationDaysSkip, int count, int gap)
{
return((
from cd in IbClient.ReqContractDetailsCached(symbol)
from price in IbClient.ReqPriceSafe(cd.Summary, 5, false).Select(p => p.ask.Avg(p.bid))
from combo in MakeStraddles(symbol, strikeLevel.IfNaN(price), expirationDaysSkip, 1, count, gap)
from p in IbClient.ReqPriceSafe(combo.contract, 2, true).DefaultIfEmpty()
select CurrentComboInfo(price, combo, p)).ToArray()
.Select(b => b
.OrderBy(t => t.ask.Avg(t.bid))
.Select((t, i) => ((t, i)))
.OrderBy(t => t.i > 1)
.ThenBy(t => t.t.ask.Avg(t.t.bid) / t.t.delta)
.ThenByDescending(t => t.t.delta)
.Select(t => t.t)
.ToArray()
));
}
public void OpenLimitOrder(Contract contract, int quantity, double profit, bool useMarketPrice, bool useTakeProfit, int minTickMultiplier = 1, [CallerMemberName] string Caller = "") {
double ask((double ask, double bid, DateTime time) p) => useMarketPrice ? p.ask : p.bid;
double bid(double a, double b) => useMarketPrice ? b : a;
IbClient.ReqPriceSafe(contract, 1, true).Select(p => quantity > 0 ? ask(p) : bid(p.ask, p.bid))
.Subscribe(price => OpenTrade(contract, "", quantity, price, profit, useTakeProfit, DateTime.MaxValue, minTickMultiplier, Caller));
}