Ejemplo n.º 1
0
 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()
        );
   }
Ejemplo n.º 2
0
        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));
            }
        }
Ejemplo n.º 3
0
 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()
                    ));
 }
Ejemplo n.º 4
0
 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));
 }