internal static bool TryEstimateGamma(PositionsManager posMan, IOptionSeries optSer, IOptionStrikePair[] pairs,
InteractiveSeries smile, NumericalGreekAlgo greekAlgo,
double f, double dF, double timeToExpiry, out double rawGamma)
{
rawGamma = Double.NaN;
if (timeToExpiry < Double.Epsilon)
{
throw new ArgumentOutOfRangeException("timeToExpiry", "timeToExpiry must be above zero. timeToExpiry:" + timeToExpiry);
}
double delta1, delta2;
bool ok1 = SingleSeriesNumericalDelta.TryEstimateDelta(posMan, optSer, pairs, smile, greekAlgo,
f - dF, dF, timeToExpiry, out delta1);
if (!ok1)
{
return(false);
}
bool ok2 = SingleSeriesNumericalDelta.TryEstimateDelta(posMan, optSer, pairs, smile, greekAlgo,
f + dF, dF, timeToExpiry, out delta2);
if (!ok2)
{
return(false);
}
rawGamma = (delta2 - delta1) / 2.0 / dF;
return(true);
}
public double Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.NaN);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double f = price;
double dT = time;
if (!DoubleUtil.IsPositive(dT))
{
// [{0}] Time to expiry must be positive value. dT:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.NaN);
}
if (!DoubleUtil.IsPositive(f))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, f);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.NaN);
}
if (smile == null)
{
string msg = String.Format("[{0}] Argument 'smile' must be filled with InteractiveSeries.", GetType().Name);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.NaN);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if (oldInfo == null)
{
string msg = String.Format("[{0}] Property Tag of object smile must be filled with SmileInfo. Tag:{1}", GetType().Name, smile.Tag);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.NaN);
}
double rawDelta, res;
double dF = optSer.UnderlyingAsset.Tick;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (SingleSeriesNumericalDelta.TryEstimateDelta(posMan, optSer, pairs, smile, m_greekAlgo, f, dF, dT, out rawDelta))
{
res = rawDelta;
}
else
{
res = Constants.NaN;
}
SmileInfo sInfo = smile.GetTag <SmileInfo>();
if ((sInfo != null) && (sInfo.ContinuousFunction != null))
{
double iv = sInfo.ContinuousFunction.Value(sInfo.F);
string msg = String.Format("[{0}] F:{1}; dT:{2}; smile.F:{3}; smile.dT:{4}; smile.IV:{5}",
GetType().Name, f, dT, sInfo.F, sInfo.dT, iv);
m_context.Log(msg, MessageType.Info, false);
}
m_delta.Value = res;
//context.Log(String.Format("[{0}] Delta: {1}; rawDelta:{2}", MsgId, delta.Value, rawDelta), logColor, true);
if (m_hedgeDelta)
{
#region Hedge logic
try
{
int rounded = Math.Sign(rawDelta) * ((int)Math.Floor(Math.Abs(rawDelta)));
if (rounded == 0)
{
string msg = String.Format("[{0}] Delta is too low to hedge. Delta: {1}", MsgId, rawDelta);
m_context.Log(msg, MessageType.Info, true);
}
else
{
int len = optSer.UnderlyingAsset.Bars.Count;
ISecurity sec = (from s in m_context.Runtime.Securities
where (s.SecurityDescription.Equals(optSer.UnderlyingAsset.SecurityDescription))
select s).SingleOrDefault();
if (sec == null)
{
string msg = String.Format("[{0}] There is no security. Symbol: {1}", MsgId, optSer.UnderlyingAsset.Symbol);
m_context.Log(msg, MessageType.Warning, true);
}
else
{
if (rounded < 0)
{
string signalName = String.Format("\r\nDelta BUY\r\nF:{0}; dT:{1}; Delta:{2}\r\n", f, dT, rawDelta);
m_context.Log(signalName, MessageType.Warning, true);
posMan.BuyAtPrice(m_context, sec, Math.Abs(rounded), f, signalName, null);
}
else if (rounded > 0)
{
string signalName = String.Format("\r\nDelta SELL\r\nF:{0}; dT:{1}; Delta:+{2}\r\n", f, dT, rawDelta);
m_context.Log(signalName, MessageType.Warning, true);
posMan.SellAtPrice(m_context, sec, Math.Abs(rounded), f, signalName, null);
}
}
}
}
finally
{
m_hedgeDelta = false;
}
#endregion Hedge logic
}
SetHandlerInitialized(now);
return(res);
}
public IList <double> Execute(IList <double> prices, IList <double> times, InteractiveSeries smile, IOptionSeries optSer)
{
List <double> positionDeltas = m_context.LoadObject(VariableId + "positionDeltas") as List <double>;
if (positionDeltas == null)
{
positionDeltas = new List <double>();
m_context.StoreObject(VariableId + "positionDeltas", positionDeltas);
}
int len = optSer.UnderlyingAsset.Bars.Count;
for (int j = positionDeltas.Count; j < len; j++)
{
positionDeltas.Add(Constants.NaN);
}
double f = prices[prices.Count - 1];
double dT = times[times.Count - 1];
if ((dT < Double.Epsilon) || Double.IsNaN(dT) || Double.IsNaN(f))
{
return(positionDeltas);
}
double rawDelta, res;
double dF = optSer.UnderlyingAsset.Tick;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (SingleSeriesNumericalDelta.TryEstimateDelta(posMan, optSer, pairs, smile, m_greekAlgo, f, dF, dT, out rawDelta))
{
res = rawDelta;
}
else
{
res = Constants.NaN;
}
positionDeltas[positionDeltas.Count - 1] = res;
m_delta.Value = res;
//context.Log(String.Format("[{0}] Delta: {1}; rawDelta:{2}", MsgId, delta.Value, rawDelta), logColor, true);
if (m_hedgeDelta)
{
#region Hedge logic
try
{
int rounded = Math.Sign(rawDelta) * ((int)Math.Floor(Math.Abs(rawDelta)));
if (rounded == 0)
{
string msg = String.Format("[{0}] Delta is too low to hedge. Delta: {1}", MsgId, rawDelta);
m_context.Log(msg, MessageType.Info, true);
}
else
{
ISecurity sec = (from s in m_context.Runtime.Securities
where (s.SecurityDescription.Equals(optSer.UnderlyingAsset.SecurityDescription))
select s).SingleOrDefault();
if (sec == null)
{
string msg = String.Format("[{0}] There is no security. Symbol: {1}", MsgId, optSer.UnderlyingAsset.Symbol);
m_context.Log(msg, MessageType.Warning, true);
}
else
{
if (rounded < 0)
{
string signalName = String.Format("\r\nDelta BUY\r\nF:{0}; dT:{1}; Delta:{2}\r\n", f, dT, rawDelta);
m_context.Log(signalName, MessageType.Warning, true);
posMan.BuyAtPrice(m_context, sec, Math.Abs(rounded), f, signalName, null);
}
else if (rounded > 0)
{
string signalName = String.Format("\r\nDelta SELL\r\nF:{0}; dT:{1}; Delta:+{2}\r\n", f, dT, rawDelta);
m_context.Log(signalName, MessageType.Warning, true);
posMan.SellAtPrice(m_context, sec, Math.Abs(rounded), f, signalName, null);
}
}
}
}
finally
{
m_hedgeDelta = false;
}
#endregion Hedge logic
}
return(positionDeltas);
}
