public InteractiveSeries Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, double scaleMult, double ratePct, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (smile == null) || (optSer == null))
{
return(Constants.EmptySeries);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if ((oldInfo == null) ||
(oldInfo.ContinuousFunction == null) || (oldInfo.ContinuousFunctionD1 == null))
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double futPx = 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.EmptySeries);
}
if (!DoubleUtil.IsPositive(futPx))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, futPx);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(scaleMult))
{
//throw new ScriptException("Argument 'scaleMult' contains NaN for some strange reason. scaleMult:" + scaleMult);
return(Constants.EmptySeries);
}
if (Double.IsNaN(ratePct))
{
//throw new ScriptException("Argument 'ratePct' contains NaN for some strange reason. rate:" + rate);
return(Constants.EmptySeries);
}
double ivAtm, slopeAtm, shape;
if ((!oldInfo.ContinuousFunction.TryGetValue(futPx, out ivAtm)) ||
(!oldInfo.ContinuousFunctionD1.TryGetValue(futPx, out slopeAtm)))
{
return(Constants.EmptySeries);
}
if (m_setIvByHands)
{
ivAtm = m_ivAtmPct.Value / Constants.PctMult;
}
if (m_setSlopeByHands)
{
slopeAtm = m_slopePct.Value / Constants.PctMult;
//slopeAtm = slopeAtm / F / Math.Pow(dT, Pow + shape);
}
//if (setShapeByHands)
{
shape = m_shapePct.Value / Constants.PctMult;
}
if (!DoubleUtil.IsPositive(ivAtm))
{
// [{0}] ivAtm must be positive value. ivAtm:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.IvAtmMustBePositive", GetType().Name, ivAtm);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
if (Double.IsNaN(slopeAtm))
{
// [{0}] Smile skew at the money must be some number. skewAtm:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.SkewAtmMustBeNumber", GetType().Name, slopeAtm);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
SmileInfo templateInfo;
#region Fill templateInfo
if (m_useLocalTemplate)
{
InteractiveSeries templateSmile = m_context.LoadObject(m_frozenSmileId) as InteractiveSeries;
if (templateSmile == null)
{
// [{0}] There is no LOCAL smile with ID:{1}
string msg = RM.GetStringFormat("SmileImitation5.NoLocalSmile", GetType().Name, m_frozenSmileId);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
SmileInfo locInfo = new SmileInfo();
locInfo.F = futPx;
locInfo.dT = dT;
locInfo.RiskFreeRate = oldInfo.RiskFreeRate;
List <double> locXs = new List <double>();
List <double> locYs = new List <double>();
foreach (InteractiveObject oldObj in templateSmile.ControlPoints)
{
if (!oldObj.AnchorIsActive)
{
continue;
}
double k = oldObj.Anchor.ValueX;
double sigma = oldObj.Anchor.ValueY;
double x = Math.Log(k / futPx) / Math.Pow(dT, DefaultPow + shape) / ivAtm;
double sigmaNormalized = sigma / ivAtm;
locXs.Add(x);
locYs.Add(sigmaNormalized);
}
try
{
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(locXs, locYs);
locInfo.ContinuousFunction = spline;
locInfo.ContinuousFunctionD1 = spline.DeriveD1();
templateInfo = locInfo;
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
}
else
{
//templateSmile = context.LoadGlobalObject(globalSmileID, true) as InteractiveSeries;
templateInfo = m_context.LoadGlobalObject(m_globalSmileId, true) as SmileInfo;
if (templateInfo == null)
{
// [{0}] There is no global templateInfo with ID:{1}. I'll try to use default one.
string msg = RM.GetStringFormat("SmileImitation5.TemplateWasSaved", GetType().Name, m_globalSmileId);
m_context.Log(msg, MessageType.Error, true);
System.Xml.Linq.XDocument xDoc = System.Xml.Linq.XDocument.Parse(SmileFunction5.XmlSmileRiz4Nov1);
System.Xml.Linq.XElement xInfo = xDoc.Root;
SmileInfo templateSmile = SmileInfo.FromXElement(xInfo);
// Обновляю уровень IV ATM?
if (Double.IsNaN(ivAtm))
{
ivAtm = oldInfo.ContinuousFunction.Value(futPx);
m_context.Log(String.Format("[DEBUG:{0}] ivAtm was NaN. I'll use value ivAtm:{1}", GetType().Name, ivAtm), MessageType.Warning, true);
if (Double.IsNaN(ivAtm))
{
throw new Exception(String.Format("[DEBUG:{0}] ivAtm is NaN.", GetType().Name));
}
}
templateSmile.F = futPx;
templateSmile.dT = dT;
templateSmile.RiskFreeRate = oldInfo.RiskFreeRate;
m_context.StoreGlobalObject(m_globalSmileId, templateSmile, true);
// [{0}] Default templateInfo was saved to Global Cache with ID:{1}.
msg = RM.GetStringFormat("SmileImitation5.TemplateWasSaved", GetType().Name, m_globalSmileId);
m_context.Log(msg, MessageType.Warning, true);
templateInfo = templateSmile;
}
}
#endregion Fill templateInfo
if (!m_setIvByHands)
{
m_ivAtmPct.Value = ivAtm * Constants.PctMult;
}
if (!m_setShapeByHands)
{
// так я ещё не умею
}
if (!m_setSlopeByHands)
{
// Пересчитываю наклон в безразмерку
double dSigmaDx = slopeAtm * futPx * Math.Pow(dT, DefaultPow + shape);
m_slopePct.Value = dSigmaDx * Constants.PctMult;
// и теперь апдейчу локальную переменную slopeAtm:
slopeAtm = m_slopePct.Value / Constants.PctMult;
}
// Это функция в нормированных координатах
// поэтому достаточно обычной симметризации
// PROD-3111: заменяю вызов на SmileFunctionExtended
//SimmetrizeFunc simmFunc = new SimmetrizeFunc(templateInfo.ContinuousFunction);
//SimmetrizeFunc simmFuncD1 = new SimmetrizeFunc(templateInfo.ContinuousFunctionD1);
//SmileFunction5 smileFunc = new SmileFunction5(simmFunc, simmFuncD1, ivAtm, slopeAtm, shape, futPx, dT);
SmileFunctionExtended smileFunc = new SmileFunctionExtended(
(NotAKnotCubicSpline)templateInfo.ContinuousFunction, ivAtm, slopeAtm, shape, futPx, dT);
smileFunc.UseTails = m_useSmileTails;
List <double> xs = new List <double>();
List <double> ys = new List <double>();
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
if (pairs.Length < 2)
{
string msg = String.Format("[{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
double minK = pairs[0].Strike;
double maxK = pairs[pairs.Length - 1].Strike;
double futStep = optSer.UnderlyingAsset.Tick;
double dK = pairs[1].Strike - pairs[0].Strike;
double width = (SigmaMult * ivAtm * Math.Sqrt(dT)) * futPx;
width = Math.Max(width, 10 * dK);
// Нельзя вылезать за границу страйков???
width = Math.Min(width, Math.Abs(futPx - minK));
width = Math.Min(width, Math.Abs(maxK - futPx));
// Generate left invisible tail
if (m_generateTails)
{
GaussSmile.AppendLeftTail(smileFunc, xs, ys, minK, dK, false);
}
SortedDictionary <double, IOptionStrikePair> strikePrices;
if (!SmileImitation5.TryPrepareImportantPoints(pairs, futPx, futStep, width, out strikePrices))
{
string msg = String.Format("[{0}] It looks like there is no suitable points for the smile. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
//for (int j = 0; j < pairs.Length; j++)
foreach (var kvp in strikePrices)
{
bool showPoint = (kvp.Value != null);
//IOptionStrikePair pair = pairs[j];
//// Сверхдалекие страйки игнорируем
//if ((pair.Strike < futPx - width) || (futPx + width < pair.Strike))
//{
// showPoint = false;
//}
//double k = pair.Strike;
double k = kvp.Key;
double sigma;
if (!smileFunc.TryGetValue(k, out sigma))
{
continue;
}
double vol = sigma;
if (!DoubleUtil.IsPositive(sigma))
{
continue;
}
//InteractivePointActive ip = new InteractivePointActive(k, vol);
//ip.Color = (optionPxMode == OptionPxMode.Ask) ? Colors.DarkOrange : Colors.DarkCyan;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect; // (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
// Иначе неправильно выставляются координаты???
//ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, PctMult * sigma);
InteractivePointLight ip;
if (showPoint)
{
var tip = new InteractivePointActive(k, vol);
if (k <= futPx) // Puts
{
SmileImitationDeribit5.FillNodeInfo(tip, futPx, dT, kvp.Value, StrikeType.Put, OptionPxMode.Mid, sigma, false, m_showNodes, scaleMult, ratePct);
}
else // Calls
{
SmileImitationDeribit5.FillNodeInfo(tip, futPx, dT, kvp.Value, StrikeType.Call, OptionPxMode.Mid, sigma, false, m_showNodes, scaleMult, ratePct);
}
ip = tip;
}
else
{
ip = new InteractivePointLight(k, vol);
}
InteractiveObject obj = new InteractiveObject(ip);
//if (showPoint)
// Теперь мы понимаем, что точки либо рисуются
// потому что это страйки (и тогда они автоматом InteractivePointActive)
// либо они присутствуют, но не рисуются их узлы. Потому что они InteractivePointLight.
{
controlPoints.Add(obj);
}
xs.Add(k);
ys.Add(vol);
}
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries();
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
// Generate right invisible tail
if (m_generateTails)
{
GaussSmile.AppendRightTail(smileFunc, xs, ys, maxK, dK, false);
}
var baseSec = optSer.UnderlyingAsset;
DateTime scriptTime = baseSec.Bars[baseSec.Bars.Count - 1].Date;
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo info = new SmileInfo();
info.F = futPx;
info.dT = dT;
info.Expiry = optSer.ExpirationDate;
info.ScriptTime = scriptTime;
info.RiskFreeRate = ratePct;
info.BaseTicker = baseSec.Symbol;
info.ContinuousFunction = smileFunc;
info.ContinuousFunctionD1 = smileFunc.DeriveD1();
res.Tag = info;
SetHandlerInitialized(now);
return(res);
}
public InteractiveSeries Execute(double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (smile == null) || (optSer == null))
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
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.EmptySeries);
}
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, false);
}
return(Constants.EmptySeries);
}
double futPx = oldInfo.F;
double ivAtm;
if (!oldInfo.ContinuousFunction.TryGetValue(futPx, out ivAtm))
{
string msg = String.Format("[{0}] Unable to get IV ATM from smile. Tag:{1}", GetType().Name, smile.Tag);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
if (pairs.Length < 2)
{
string msg = String.Format("[{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
List <double> xs = new List <double>();
List <double> ys = new List <double>();
double futStep = optSer.UnderlyingAsset.Tick;
PositionsManager posMan = PositionsManager.GetManager(m_context);
SortedDictionary <double, IOptionStrikePair> futPrices;
if (!SmileImitation5.TryPrepareImportantPoints(pairs, futPx, futStep, -1, out futPrices))
{
string msg = String.Format("[{0}] It looks like there is no suitable points for the smile. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (var kvp in futPrices)
{
double f = kvp.Key;
bool tradableStrike = (kvp.Value != null);
double rawGreek;
GetBaseGreek(posMan, optSer.UnderlyingAsset, optSer.UnderlyingAsset.Bars.Count - 1, f, m_greek, out rawGreek);
for (int j = 0; j < pairs.Length; j++)
{
IOptionStrikePair pair = pairs[j];
double totalGreek;
//double putDelta = FinMath.GetOptionDelta(f, pair.Strike, dT, sigma.Value, 0, false);
GetPairGreek(posMan, smile, pair, f, dT, m_greek, out totalGreek);
rawGreek += totalGreek;
}
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = AlphaColors.Green;
double y = rawGreek;
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; {1}:{2}", f, m_greek, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
ys.Add(y);
}
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.Expiry = optSer.ExpirationDate;
info.ScriptTime = now;
info.RiskFreeRate = oldInfo.RiskFreeRate;
info.BaseTicker = optSer.UnderlyingAsset.Symbol;
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
return(res);
}
public InteractiveSeries Execute(double time, InteractiveSeries smile, IOptionSeries optSer, double btcUsdIndex, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (smile == null) || (optSer == null))
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
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.EmptySeries);
}
if (!DoubleUtil.IsPositive(btcUsdIndex))
{
// TODO: сделать ресурс! [{0}] Price of BTC/USD must be positive value. scaleMult:{1}
//string msg = RM.GetStringFormat("OptHandlerMsg.CurrencyScaleMustBePositive", GetType().Name, scaleMult);
string msg = String.Format("[{0}] Price of BTC/USD must be positive value. scaleMult:{1}", GetType().Name, btcUsdIndex);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
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, false);
}
return(Constants.EmptySeries);
}
double futPx = oldInfo.F;
double ivAtm;
if (!oldInfo.ContinuousFunction.TryGetValue(futPx, out ivAtm))
{
string msg = String.Format("[{0}] Unable to get IV ATM from smile. Tag:{1}", GetType().Name, smile.Tag);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
if (pairs.Length < 2)
{
string msg = String.Format("[{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
List <double> xs = new List <double>();
List <double> ys = new List <double>();
double futStep = optSer.UnderlyingAsset.Tick;
PositionsManager posMan = PositionsManager.GetManager(m_context);
ReadOnlyCollection <IPosition> basePositions = posMan.GetClosedOrActiveForBar(optSer.UnderlyingAsset);
var optPositions = SingleSeriesProfile.GetAllOptionPositions(posMan, pairs);
SortedDictionary <double, IOptionStrikePair> futPrices;
if (!SmileImitation5.TryPrepareImportantPoints(pairs, futPx, futStep, -1, out futPrices))
{
string msg = String.Format("[{0}] It looks like there is no suitable points for the smile. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
// Чтобы учесть базис между фьючерсом и индексом, вычисляю их отношение:
// Пример: BtcInd==9023; FutPx==8937 --> indexDivByFutRatio == 1.009623
double indexDivByFutRatio = btcUsdIndex / futPx;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
// Список точек для вычисления дельт + улыбки для этих точек
var deltaPoints = new List <Tuple <double, InteractivePointActive> >();
foreach (var kvp in futPrices)
{
// Если у нас новая цена фьючерса, значит, будет новая цена индекса
double f = kvp.Key;
// И при пересчете опционов в баксы НУЖНО ИСПОЛЬЗОВАТЬ ИМЕННО ЕЁ!!!
double newScaleMult = f * indexDivByFutRatio;
bool tradableStrike = (kvp.Value != null);
CashPnlUsd cashPnlUsd;
CashPnlBtc cashPnlBtc;
GetBasePnl(basePositions, lastBarIndex, f, m_futNominal, out cashPnlUsd, out cashPnlBtc);
double cashDollars = cashPnlUsd.CashUsd;
double pnlDollars = cashPnlUsd.PnlUsd;
double cashBtc = cashPnlBtc.CashBtc;
double pnlBtc = cashPnlBtc.PnlBtc;
SmileInfo actualSmile = SingleSeriesProfile.GetActualSmile(oldInfo, m_greekAlgo, f);
// Флаг того, что ПНЛ по всем инструментам был расчитан верно
bool pnlIsCorrect = true;
for (int j = 0; (j < pairs.Length) && pnlIsCorrect; j++)
{
var tuple = optPositions[j];
IOptionStrikePair pair = pairs[j];
//int putBarCount = pair.Put.UnderlyingAsset.Bars.Count;
//int callBarCount = pair.Call.UnderlyingAsset.Bars.Count;
CashPnlUsd pairCashUsd;
CashPnlBtc pairCashBtc;
bool localRes = TryGetPairPnl(actualSmile, pair.Strike, lastBarIndex, lastBarIndex,
tuple.Item1, tuple.Item2, f, dT, newScaleMult,
out pairCashUsd, out pairCashBtc);
pnlIsCorrect &= localRes;
cashDollars += pairCashUsd.CashUsd;
pnlDollars += pairCashUsd.PnlUsd;
cashBtc += pairCashBtc.CashBtc;
pnlBtc += pairCashBtc.PnlBtc;
}
// Профиль позиции будет рисоваться только если ПНЛ был посчитан верно по ВСЕМ инструментам!
if (pnlIsCorrect)
{
InteractivePointLight ip;
// Показаны будут только узлы, совпадающие с реальными страйками.
// Потенциально это позволит сделать эти узлы пригодными для торговли по клику наподобие улыбки.
if (m_showNodes && tradableStrike)
{
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive tmp = new InteractivePointActive();
tmp.IsActive = m_showNodes && tradableStrike;
string pnlUsdStr = (cashDollars + pnlDollars).ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
string pnlBtcStr = (cashBtc + pnlBtc).ToString(DefaultBtcTooltipFormat, CultureInfo.InvariantCulture);
tmp.Tooltip = String.Format(CultureInfo.InvariantCulture, " F: {0}\r\n PnL($): {1}\r\n PnL(B): {2}", f, pnlUsdStr, pnlBtcStr);
// Если у нас получился сплайн по профилю позиции, значит мы можем вычислить дельту!
if (m_showNodes && tradableStrike)
{
// Готовим важные точки
var tuple = new Tuple <double, InteractivePointActive>(f, tmp);
deltaPoints.Add(tuple);
}
ip = tmp;
}
else
{
ip = new InteractivePointLight();
}
// PROD-6103 - Выводить профиль позиции в биткойнах
if (ProfileAsBtc)
{
ip.Value = new Point(f, cashBtc + pnlBtc);
}
else
{
ip.Value = new Point(f, cashDollars + pnlDollars);
}
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
// PROD-6103 - Выводить профиль позиции в биткойнах
if (ProfileAsBtc)
{
ys.Add(cashBtc + pnlBtc);
}
else
{
ys.Add(cashDollars + pnlDollars);
}
} // End if (pnlIsCorrect)
} // End foreach (var kvp in futPrices)
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.RiskFreeRate = oldInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
// Если у нас получился сплайн по профилю позиции, значит мы можем вычислить дельту!
for (int j = 1; j < deltaPoints.Count - 1; j++)
{
var tuple = deltaPoints[j];
double f = tuple.Item1;
var ip = tuple.Item2;
double actualDelta, deltaLeft, deltaRight;
if (m_twoSideDelta)
{
double prevF = deltaPoints[j - 1].Item1;
double nextF = deltaPoints[j + 1].Item1;
double currY = deltaPoints[j].Item2.ValueY;
double prevY = deltaPoints[j - 1].Item2.ValueY;
double nextY = deltaPoints[j + 1].Item2.ValueY;
deltaLeft = (currY - prevY) / (f - prevF);
deltaRight = (nextY - currY) / (nextF - f);
// Считаем дельты слева и справа
// Мы передвинули улыбку в точку f и считаем дельту позиции В ЭТОЙ ЖЕ ТОЧКЕ(!)
//if (info.ContinuousFunction.TryGetValue(f - 100 * futStep, out deltaLeft) &&
// info.ContinuousFunctionD1.TryGetValue(f + 100 * futStep, out deltaRight))
{
// Первый пробел уже учтен в Tooltip
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "{0}\r\n LeftD: {1:0.0}; RightD: {2:0.0}",
ip.Tooltip, deltaLeft, deltaRight);
}
}
else
{
// Мы передвинули улыбку в точку f и считаем дельту позиции В ЭТОЙ ЖЕ ТОЧКЕ(!)
if (info.ContinuousFunctionD1.TryGetValue(f, out actualDelta))
{
// Первый пробел уже учтен в Tooltip
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "{0}\r\n D: {1:0.0}", ip.Tooltip, actualDelta);
}
}
}
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
SetHandlerInitialized(now, true);
return(res);
}
/// <summary>
/// Обработчик под тип входных данных OPTION_SERIES
/// </summary>
public InteractiveSeries Execute(double price, double trueTimeToExpiry, IOptionSeries optSer, double ratePct, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.EmptySeries);
}
// PROD-5952 - Не надо дергать стакан без нужды
//optSer.UnderlyingAsset.UpdateQueueData();
FinInfo bSecFinInfo = optSer.UnderlyingAsset.FinInfo;
if (bSecFinInfo.LastPrice == null)
{
return(Constants.EmptySeries);
}
double futPx = price;
// ФОРТС использует плоское календарное время
DateTime optExpiry = optSer.ExpirationDate.Date.Add(m_expiryTime);
double dT = (optExpiry - bSecFinInfo.LastUpdate).TotalYears();
if (Double.IsNaN(dT) || (dT < Double.Epsilon))
{
// [{0}] Time to expiry must be positive value. dT:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
if (Double.IsNaN(futPx) || (futPx < Double.Epsilon))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, futPx);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
if (Double.IsNaN(trueTimeToExpiry) || (trueTimeToExpiry < Double.Epsilon))
{
string msg = String.Format("[{0}] trueTimeToExpiry must be positive value. dT:{1}", GetType().Name, trueTimeToExpiry);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
if (Double.IsNaN(ratePct))
{
//throw new ScriptException("Argument 'ratePct' contains NaN for some strange reason. rate:" + rate);
return(Constants.EmptySeries);
}
double effectiveTime = m_rescaleTime ? trueTimeToExpiry : dT;
List <double> xs = new List <double>();
List <double> ys = new List <double>();
IOptionStrikePair[] pairs = (from pair in optSer.GetStrikePairs()
//orderby pair.Strike ascending -- уже отсортировано!
select pair).ToArray();
if (pairs.Length < 2)
{
string msg = String.Format("[{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length);
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptySeries);
}
for (int j = 0; j < pairs.Length; j++)
{
//bool showPoint = true;
IOptionStrikePair sInfo = pairs[j];
double k = sInfo.Strike;
//// Сверхдалекие страйки игнорируем
//if ((k < m_minStrike) || (m_maxStrike < k))
//{
// showPoint = false;
//}
if ((sInfo.PutFinInfo == null) || (sInfo.CallFinInfo == null) ||
(!sInfo.PutFinInfo.TheoreticalPrice.HasValue) || (!sInfo.PutFinInfo.Volatility.HasValue) ||
(sInfo.PutFinInfo.TheoreticalPrice.Value <= 0) || (sInfo.PutFinInfo.Volatility.Value <= 0) ||
(!sInfo.CallFinInfo.TheoreticalPrice.HasValue) || (!sInfo.CallFinInfo.Volatility.HasValue) ||
(sInfo.CallFinInfo.TheoreticalPrice.Value <= 0) || (sInfo.CallFinInfo.Volatility.Value <= 0))
{
continue;
}
// Биржа шлет несогласованную улыбку
//double virtualExchangeF = sInfo.CallFinInfo.TheoreticalPrice.Value - sInfo.PutFinInfo.TheoreticalPrice.Value + sInfo.Strike;
if ((m_optionType == StrikeType.Any) || (m_optionType == StrikeType.Put))
{
double optSigma = sInfo.PutFinInfo.Volatility.Value;
if (m_rescaleTime)
{
// optSigma = FinMath.GetOptionSigma(futPx, k, effectiveTime, optPx, 0, false);
optSigma = FinMath.RescaleIvToAnotherTime(dT, optSigma, trueTimeToExpiry);
}
double optPx = sInfo.PutFinInfo.TheoreticalPrice ?? Double.NaN;
//// ReSharper disable once UseObjectOrCollectionInitializer
//InteractivePointActive ip = new InteractivePointActive(k, optSigma);
//ip.IsActive = m_showNodes;
//ip.Geometry = Geometries.Ellipse;
//ip.Color = System.Windows.Media.Colors.Cyan;
//ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}; Px:{2}\r\ndT:{3:0.000}; Date:{4}",
// k, Constants.PctMult * optSigma, optPx,
// FixedValue.ConvertToDisplayUnits(FixedValueMode.YearsAsDays, effectiveTime),
// bSecFinInfo.LastUpdate.ToString(DateTimeFormatWithMs, CultureInfo.InvariantCulture));
if (optSigma > 0)
{
// Это условие позволяет не вставлять точки с совпадающими абсциссами
if ((xs.Count <= 0) ||
(!DoubleUtil.AreClose(k, xs[xs.Count - 1])))
{
xs.Add(k);
ys.Add(optSigma);
}
}
}
if ((m_optionType == StrikeType.Any) || (m_optionType == StrikeType.Call))
{
double optSigma = sInfo.CallFinInfo.Volatility.Value;
if (m_rescaleTime)
{
// optSigma = FinMath.GetOptionSigma(futPx, k, effectiveTime, optPx, 0, false);
optSigma = FinMath.RescaleIvToAnotherTime(dT, optSigma, trueTimeToExpiry);
}
double optPx = sInfo.CallFinInfo.TheoreticalPrice ?? Double.NaN;
//// ReSharper disable once UseObjectOrCollectionInitializer
//InteractivePointActive ip = new InteractivePointActive(k, optSigma);
//ip.IsActive = m_showNodes;
//ip.Geometry = Geometries.Ellipse;
//ip.Color = System.Windows.Media.Colors.Cyan;
//ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}; Px:{2}\r\ndT:{3:0.000}; Date:{4}",
// k, Constants.PctMult * optSigma, optPx,
// FixedValue.ConvertToDisplayUnits(FixedValueMode.YearsAsDays, effectiveTime),
// bSecFinInfo.LastUpdate.ToString(DateTimeFormatWithMs, CultureInfo.InvariantCulture));
if (optSigma > 0)
{
// Это условие позволяет не вставлять точки с совпадающими абсциссами
if ((xs.Count <= 0) ||
(!DoubleUtil.AreClose(k, xs[xs.Count - 1])))
{
xs.Add(k);
ys.Add(optSigma);
}
}
}
}
#region 3. Строим сплайн по биржевой улыбке с узлами в страйках
NotAKnotCubicSpline spline = null, splineD1 = null;
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
spline = new NotAKnotCubicSpline(xs, ys);
splineD1 = spline.DeriveD1();
}
else
{
return(Constants.EmptySeries);
}
}
catch (Exception ex)
{
string msg = String.Format("bSecFinInfo.LastUpdate:{0}; Bars.Last.Date:{1}\r\n\r\nException:{2}",
bSecFinInfo.LastUpdate, optSer.UnderlyingAsset.Bars[optSer.UnderlyingAsset.Bars.Count - 1].Date, ex);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
#endregion 3. Строим сплайн по биржевой улыбке с узлами в страйках
#region 5. С помощью сплайна уже можно строить гладкую улыбку
double futStep = optSer.UnderlyingAsset.Tick;
double dK = pairs[1].Strike - pairs[0].Strike;
SortedDictionary <double, IOptionStrikePair> strikePrices;
if (!SmileImitation5.TryPrepareImportantPoints(pairs, futPx, futStep, -1, out strikePrices))
{
string msg = String.Format("[WARNING:{0}] It looks like there is no suitable points for the smile. pairs.Length:{1}", GetType().Name, pairs.Length);
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptySeries);
}
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
//for (int j = 0; j < pairs.Length; j++)
foreach (var kvp in strikePrices)
{
bool showPoint = (kvp.Value != null);
double k = kvp.Key;
double sigma;
if (!spline.TryGetValue(k, out sigma))
{
continue;
}
double vol = sigma;
if (Double.IsNaN(sigma) || Double.IsInfinity(sigma) || (sigma < Double.Epsilon))
{
continue;
}
InteractivePointLight ip;
if (m_showNodes && showPoint)
{
// Как правило, эта ветка вообще не используется,
// потому что я не смотрю узлы биржевой улыбки.
double optPx = Double.NaN;
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive tip = new InteractivePointActive(k, vol);
tip.IsActive = m_showNodes && showPoint;
tip.Geometry = Geometries.Ellipse;
tip.Color = AlphaColors.Cyan;
tip.Tooltip = String.Format("K:{0}; IV:{1:P2}; Px:{2}\r\ndT:{3:0.000}; Date:{4}",
k, vol, optPx,
FixedValue.ConvertToDisplayUnits(FixedValueMode.YearsAsDays, effectiveTime),
bSecFinInfo.LastUpdate.ToString(DateTimeFormatWithMs, CultureInfo.InvariantCulture));
ip = tip;
}
else
{
ip = new InteractivePointLight(k, vol);
}
InteractiveObject obj = new InteractiveObject(ip);
controlPoints.Add(obj);
}
#endregion 5. С помощью сплайна уже можно строить гладкую улыбку
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
var baseSec = optSer.UnderlyingAsset;
DateTime scriptTime = baseSec.Bars[baseSec.Bars.Count - 1].Date;
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo info = new SmileInfo();
info.F = futPx;
info.dT = effectiveTime;
info.Expiry = optSer.ExpirationDate;
info.ScriptTime = scriptTime;
info.RiskFreeRate = ratePct;
info.BaseTicker = baseSec.Symbol;
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = splineD1;
res.Tag = info;
return(res);
}