// get stock latest options chain
public ArrayList GetOptionsChain(string ticker)
{
ticker = CorrectSymbol(ticker);
string symbol;
Krs.Ats.IBNet.SecurityType type;
if (ticker.StartsWith("^"))
{
symbol = ticker.TrimStart(new char[] { '^' });
type = Krs.Ats.IBNet.SecurityType.Option;
}
else if (ticker.StartsWith("~"))
{
symbol = ticker.TrimStart(new char[] { '~' });
type = Krs.Ats.IBNet.SecurityType.FutureOption;
}
else
{
symbol = ticker;
type = Krs.Ats.IBNet.SecurityType.Option;
}
Tws.ContData cont = tws.RequestDetails(symbol, null, config["Exchange.Option"], type, config["Currency"], true);
if (cont == null)
{
return(null);
}
ArrayList list = new ArrayList();
// progress report
int current, last = 0, n = 0;
BackgroundWorker bw = null;
if (host != null)
{
bw = host.BackgroundWorker;
}
List <Krs.Ats.IBNet.ContractDetails> cont_list = new List <Krs.Ats.IBNet.ContractDetails>();
int download_mode = int.Parse(config["DownloadMode"]);
DateTime max_expdate_filter = DateTime.Parse(config["MaxExpirationLimit"]);
DateTime min_expdate_filter = DateTime.Parse(config["MinExpirationLimit"]);
double max_strike_filter = double.NaN;
double min_strike_filter = double.NaN;
if (quote_cache.ContainsKey(ticker))
{
Quote quote = quote_cache[ticker];
max_strike_filter = (1 + double.Parse(config["MaxStrikeLimit"]) * 0.01) * quote.price.last;
min_strike_filter = (1 + double.Parse(config["MinStrikeLimit"]) * 0.01) * quote.price.last;
}
MappingSet mapping = null;
if (download_mode == 1)
{
mapping = new MappingSet();
// update type list table
mapping.TypeTable.AddTypeTableRow("Call", "Call", false);
mapping.TypeTable.AddTypeTableRow("Put", "Put", false);
// update expiration/strike list table
foreach (Krs.Ats.IBNet.ContractDetailsEventArgs d in cont.contracts)
{
try
{
if (d.ContractDetails.Summary.SecurityType != Krs.Ats.IBNet.SecurityType.Option &&
d.ContractDetails.Summary.Right == Krs.Ats.IBNet.RightType.Undefined)
{
continue;
}
// expiration date
DateTime expdate = Tws.TwsDateStringToDateTime(d.ContractDetails.Summary.Expiry);
if (mapping.ExpirationTable.FindByExpiration(expdate) == null)
{
mapping.ExpirationTable.AddExpirationTableRow(expdate, expdate.ToString("d-MMM-yyyy"), false);
}
// strike
double strike = d.ContractDetails.Summary.Strike;
if (mapping.StrikeTable.FindByStrike(strike) == null)
{
mapping.StrikeTable.AddStrikeTableRow(strike, strike.ToString("N2"), false);
}
}
catch { }
}
mapping.AcceptChanges();
// open dialog to select filter
OptionsFilterForm optionsFilterForm = new OptionsFilterForm(mapping);
optionsFilterForm.ShowDialog();
}
foreach (Krs.Ats.IBNet.ContractDetailsEventArgs d in cont.contracts)
{
try
{
if (d.ContractDetails.Summary.SecurityType != Krs.Ats.IBNet.SecurityType.Option &&
d.ContractDetails.Summary.Right == Krs.Ats.IBNet.RightType.Undefined)
{
continue;
}
if (download_mode != 0)
{
// expiration date
DateTime expdate = Tws.TwsDateStringToDateTime(d.ContractDetails.Summary.Expiry);
// strike
double strike = d.ContractDetails.Summary.Strike;
// type
string optype = d.ContractDetails.Summary.Right == Krs.Ats.IBNet.RightType.Call ? "Call" : "Put";
if (download_mode == 1 && mapping != null) // dynamic filter
{
if (!mapping.ExpirationTable.FindByExpiration(expdate).Enabled ||
!mapping.StrikeTable.FindByStrike(strike).Enabled ||
!mapping.TypeTable.FindByType(optype).Enabled)
{
continue;
}
}
else if (download_mode == 2) // predefined filter
{
if ((expdate > max_expdate_filter) ||
(expdate < min_expdate_filter) ||
(!double.IsNaN(max_strike_filter) && strike > max_strike_filter) ||
(!double.IsNaN(min_strike_filter) && strike < min_strike_filter))
{
continue;
}
}
}
cont_list.Add(d.ContractDetails);
}
catch { }
}
bool filter_no_price_options = bool.Parse(config["FilterNoPriceOptions"]);
int max_parallel_tickers = int.Parse(config["MaxParallelTickers"]);
for (int i = 0; i < cont_list.Count; i += max_parallel_tickers)
{
try
{
List <Krs.Ats.IBNet.ContractDetails> cont_sub_list = cont_list.GetRange(i, (int)Math.Min(max_parallel_tickers, cont_list.Count - i));
List <Tws.TickData> tick_list = tws.RequestQuote(symbol, config["Exchange.Option"], null, type, null, cont_sub_list);
if (tick_list == null || tick_list.Count != cont_sub_list.Count)
{
continue;
}
// keep rate down
if (i % 500 == 0 && i != 0)
{
Thread.Sleep(5000);
}
for (int j = 0; j < tick_list.Count; j++)
{
try
{
Tws.TickData tick = tick_list[j];
Option option = new Option();
option.symbol = "." + cont_sub_list[j].Summary.LocalSymbol.Replace(" ", "").Trim();
option.stock = ticker.Trim(); // cont_sub_list[j].Summary.Symbol;
option.type = cont_sub_list[j].Summary.Right == Krs.Ats.IBNet.RightType.Call ? "Call" : "Put";
option.expiration = Tws.TwsDateStringToDateTime(cont_sub_list[j].Summary.Expiry);
option.strike = cont_sub_list[j].Summary.Strike;
option.stocks_per_contract = (double)decimal.Parse(cont_sub_list[j].Summary.Multiplier);
option.price.ask = tick.price.ask;
if (option.price.ask <= 0)
{
option.price.ask = double.NaN;
}
option.price.bid = tick.price.bid;
if (option.price.bid <= 0)
{
option.price.bid = double.NaN;
}
option.price.last = tick.price.last;
if (option.price.last <= 0)
{
option.price.last = double.NaN;
}
if (tick.price.last > 0 && tick.price.close > 0)
{
option.price.change = tick.price.last - tick.price.close;
}
else
{
option.price.change = double.NaN;
}
option.volume.total = tick.size.volume;
option.open_int = tick.size.open_int;
try
{
option.update_timestamp = TimeZone.CurrentTimeZone.ToLocalTime(tick.timestamp);
}
catch { }
if (!filter_no_price_options ||
!double.IsNaN(option.price.last) ||
!double.IsNaN(option.price.ask) ||
!double.IsNaN(option.price.bid))
{
list.Add(option);
}
}
catch { }
// update progress bar
n++;
if (bw != null)
{
current = n * 95 / cont_list.Count;
if (current != last)
{
bw.ReportProgress(current);
last = current;
}
}
}
}
catch { }
}
return(list);
}
// get stock latest quote
public Quote GetQuote(string ticker)
{
ticker = CorrectSymbol(ticker);
string symbol;
Krs.Ats.IBNet.SecurityType type;
if (ticker.StartsWith("^"))
{
symbol = ticker.TrimStart(new char[] { '^' });
type = Krs.Ats.IBNet.SecurityType.Index;
}
else if (ticker.StartsWith("~"))
{
symbol = ticker.TrimStart(new char[] { '~' });
type = Krs.Ats.IBNet.SecurityType.Future;
}
else
{
symbol = ticker;
type = Krs.Ats.IBNet.SecurityType.Stock;
}
List <Tws.TickData> tick_list;
if (type == Krs.Ats.IBNet.SecurityType.Index)
{
tick_list = tws.RequestQuote(symbol, config["Exchange.Underlying"], config["Exchange.Option"], type, config["Currency"], null);
}
else
{
tick_list = tws.RequestQuote(symbol, config["Exchange.Underlying"], null, type, config["Currency"], null);
}
if (tick_list == null || tick_list.Count == 0)
{
return(null);
}
Tws.TickData tick = tick_list[0];
Quote quote = new Quote();
quote.stock = ticker;
// resolve name & last closing price
string name = nlk.GetNameBySymbol(symbol, config["Exchange.Underlying"], config["Currency"], type);
if (!string.IsNullOrEmpty(name))
{
quote.name = name;
}
else if (!string.IsNullOrEmpty(tick.name))
{
quote.name = tick.name;
}
else
{
quote.name = quote.stock;
}
// if price is not available try to get it from the lookup
if (tick.price.ask <= 0 && tick.price.bid <= 0 && tick.price.last <= 0)
{
tick.price.last = nlk.GetLastPriceBySymbol(symbol, config["Exchange.Underlying"], config["Currency"], type);
}
// copy prices
quote.price.last = tick.price.last;
if (quote.price.last <= 0)
{
quote.price.last = double.NaN;
}
quote.price.ask = tick.price.ask;
if (quote.price.ask <= 0)
{
quote.price.ask = double.NaN;
}
quote.price.bid = tick.price.bid;
if (quote.price.bid <= 0)
{
quote.price.bid = double.NaN;
}
quote.price.low = tick.price.low;
if (quote.price.low <= 0)
{
quote.price.low = double.NaN;
}
quote.price.high = tick.price.high;
if (quote.price.high <= 0)
{
quote.price.high = double.NaN;
}
quote.price.open = tick.price.close;
if (quote.price.open <= 0)
{
quote.price.open = double.NaN;
}
if (quote.price.last > 0 && quote.price.open > 0)
{
quote.price.change = quote.price.last - quote.price.open;
}
else
{
quote.price.change = double.NaN;
}
// copy volume
quote.volume.total = tick.size.volume;
quote.general.dividend_rate = 0;
quote.update_timestamp = TimeZone.CurrentTimeZone.ToLocalTime(tick.timestamp);
// save in cache
if (quote_cache.ContainsKey(ticker))
{
quote_cache[ticker] = quote;
}
else
{
if (quote_cache.Count >= MAX_CACHE_SIZE)
{
quote_cache.Remove(quote_cache.Keys.GetEnumerator().Current);
}
quote_cache.Add(ticker, quote);
}
return(quote);
}
