public (Instruments.Trade trade, ProductEvent creationEvent) CreateOption(int quantity, int unitPrice,
string counterparty, string portfolio, string underlying, decimal strike, bool isPut, bool cashSettlement,
bool isAmerican, int monthsToMaturity)
{
var tid = _connector.GenerateUniqueIds("trade_id", 1);
var cid = _connector.GenerateUniqueIds("contract_id", 1);
var eid = _connector.GenerateUniqueIds("event_id", 1);
var trade = new Instruments.Trade
{
ContractId = "EQD-" + cid[0],
Id = tid[0],
ValueDate = DateTime.Today.AddDays(1),
TradeDate = DateTime.Today,
Timestamp = DateTime.Now,
Counterparty = counterparty,
IsDestroyed = false,
Portfolio = portfolio,
Version = 1,
IsLastVersion = true
};
var product = new EquityOption
{
Exercise = isAmerican ? EquityOption.ExerciseType.American : EquityOption.ExerciseType.European,
Type = isPut ? EquityOption.OptionType.Put : EquityOption.OptionType.Call,
Settlement = cashSettlement ? EquityOption.SettlementType.Cash : EquityOption.SettlementType.Physical,
MaturityDate = DateTime.Today.AddMonths(monthsToMaturity),
UnitPrice = unitPrice,
Quantity = quantity,
Underlying = underlying,
Strike = strike
};
trade.Product = product;
var evt = new Create(eid[0], trade.ContractId);
return(trade, evt);
}
public (Instruments.Trade trade, ProductEvent increaseEvent) IncreaseOption(Instruments.Trade trade, decimal deltaQuantity)
{
var newVersion = trade.Clone();
var tid = _connector.GenerateUniqueIds("trade_id", 1);
newVersion.Version++;
newVersion.Id = tid[0];
newVersion.Timestamp = DateTime.Now;
var option = (EquityOption)newVersion.Product;
option.Quantity += deltaQuantity;
trade.IsLastVersion = false;
var eid = _connector.GenerateUniqueIds("event_id", 1);
var evt = new Increase(eid[0], deltaQuantity, trade.ContractId);
return(newVersion, evt);
}
