public EntityResponse <OptionChain> GetOptionChain(string underlying)
{
EntityResponse <StockQuoteInfo> stockQuote = GetStockQuote(underlying);
if (!stockQuote.IsSuccess)
{
return(EntityResponse <OptionChain> .Error(stockQuote));
}
EntityResponse <List <OptionBasicInformation> > optionBasicInformationResponse = _marketDataProvider.GetOptionBasicInformation(underlying);
if (!optionBasicInformationResponse.IsSuccess)
{
return(EntityResponse <OptionChain> .Error(optionBasicInformationResponse));
}
double interestRate = _riskFreeRateProvider.GetRiskFreeRate();
decimal spotPrice = stockQuote.Entity.LastPrice == 0
? (stockQuote.Entity.PreviousClose ?? 0)
: (stockQuote.Entity.LastPrice ?? 0);
//filtering OptionBasicInformation and get all not expired
DateTime nowInmarketTimeZone = _marketWorkTimeService.NowInMarketTimeZone.Date;
List <OptionBasicInformation> optionsBasicInformation = optionBasicInformationResponse.Entity
.Where(item => item.ExpireDate.Date >= nowInmarketTimeZone.Date)
.ToList();
List <string> optionNumbers = optionsBasicInformation.Select(item => item.OptionNumber).Distinct().ToList();
EntityResponse <List <OptionQuotation> > optionQuotesResponse = GetOptionQuotesByOptionNumbers(optionNumbers);
if (!optionQuotesResponse.IsSuccess)
{
return(EntityResponse <OptionChain> .Error(optionQuotesResponse));
}
// To filter the optionBasicInformation
Dictionary <string, OptionQuotation> optionQuotesDict = new Dictionary <string, OptionQuotation>();
foreach (OptionQuotation itemOptionQuotation in optionQuotesResponse.Entity)
{
optionQuotesDict.Add(itemOptionQuotation.OptionNumber, itemOptionQuotation);
}
if (!MemoryCache.IsOptionChainCacheExpired(underlying))
{
// memory cache working.
MemoryCache.OptionChainCache[underlying].OptionChains.UpdateQuotation((double)spotPrice, interestRate, optionQuotesResponse.Entity);
return(MemoryCache.OptionChainCache[underlying].OptionChains);
}
// todo: 4 requests here. Big problem with performance
SecurityInformationCache securityInfo = _marketDataProvider
.GetAllSecuritiesInformation().FirstOrDefault(s => s.SecurityCode == underlying);
if (securityInfo == null)
{
return(ErrorCode.SZKingdomLibraryNoRecords);
}
HashSet <OptionPair> chains = new HashSet <OptionPair>();
foreach (OptionBasicInformation optionBasicInformation in optionsBasicInformation)
{
// Filter the option if the quotation of the specified options cannot be found
if (!optionQuotesDict.ContainsKey(optionBasicInformation.OptionNumber))
{
continue;
}
DateAndNumberOfDaysUntil expiry = _marketWorkTimeService
.GetNumberOfDaysLeftUntilExpiry(optionBasicInformation.ExpireDate);
OptionPair pair = new OptionPair
{
Expiry = expiry,
StrikePrice = (double)optionBasicInformation.StrikePrice,
PremiumMultiplier = optionBasicInformation.OptionUnit,
SecurityCode = optionBasicInformation.OptionUnderlyingCode,
SecurityName = optionBasicInformation.OptionUnderlyingName
};
if (!chains.Contains(pair))
{
chains.Add(pair);
}
else
{
pair = chains.Single(c => c.Equals(pair));
}
Option op = new Option(pair, optionBasicInformation.OptionNumber, optionBasicInformation.OptionCode)
{
Name = optionBasicInformation.OptionName,
OptionName = optionBasicInformation.OptionName,
OpenInterest = optionBasicInformation.UncoveredPositionQuantity,
SecurityCode = optionBasicInformation.OptionUnderlyingCode,
PreviousClose = (double)optionBasicInformation.PreviousClosingPrice,
Greeks = new Greeks()
};
if (optionBasicInformation.OptionType == OptionType.Call)
{
op.LegType = LegType.Call;
pair.CallOption = op;
}
else
{
op.LegType = LegType.Put;
pair.PutOption = op;
}
}
OptionChain chain = new OptionChain(chains, (double)spotPrice, interestRate, optionQuotesResponse.Entity);
MemoryCache.AddOrUpdateOptionChainCache(underlying, chain);
return(chain);
}
