/// <summary>
/// Specifies a function used to evaluate how desirable a particular solution is. A good implementation for
/// this would be to minimize the total margin required to hold all of the positions.
/// </summary>
public OptionStrategyMatcherOptions WithObjectiveFunction(IOptionStrategyMatchObjectiveFunction function)
{
return(new OptionStrategyMatcherOptions(
_definitions,
MaximumCountPerLeg,
MaximumDuration,
MaximumSolutionCount,
_definitionEnumerator,
function,
_positionEnumerator
));
}
/// <summary>
/// Initializes a new instance of the <see cref="OptionStrategyMatcherOptions"/> class, providing
/// options that control the behavior of the <see cref="OptionStrategyMatcher"/>
/// </summary>
public OptionStrategyMatcherOptions(
IReadOnlyList <OptionStrategyDefinition> definitions,
IReadOnlyList <int> maximumCountPerLeg,
TimeSpan maximumDuration = default(TimeSpan),
int maximumSolutionCount = 100,
IOptionStrategyDefinitionEnumerator definitionEnumerator = null,
IOptionStrategyMatchObjectiveFunction objectiveFunction = null,
IOptionPositionCollectionEnumerator positionEnumerator = null
)
{
if (maximumDuration == default(TimeSpan))
{
maximumDuration = Time.OneMinute;
}
if (definitionEnumerator == null)
{
// by default we want more complex option strategies to have matching priority
definitionEnumerator = new DescendingByLegCountOptionStrategyDefinitionEnumerator();
}
if (objectiveFunction == null)
{
objectiveFunction = new UnmatchedPositionCountOptionStrategyMatchObjectiveFunction();
}
if (positionEnumerator == null)
{
positionEnumerator = new DefaultOptionPositionCollectionEnumerator();
}
_definitions = definitions;
MaximumDuration = maximumDuration;
ObjectiveFunction = objectiveFunction;
MaximumCountPerLeg = maximumCountPerLeg;
_positionEnumerator = positionEnumerator;
_definitionEnumerator = definitionEnumerator;
MaximumSolutionCount = maximumSolutionCount;
}
/// <summary>
/// Initializes a new instance of the <see cref="OptionStrategyMatcherOptions"/> class, providing
/// options that control the behavior of the <see cref="OptionStrategyMatcher"/>
/// </summary>
public OptionStrategyMatcherOptions(
IReadOnlyList <OptionStrategyDefinition> definitions,
IReadOnlyList <int> maximumCountPerLeg,
TimeSpan maximumDuration = default(TimeSpan),
int maximumSolutionCount = 100,
IOptionStrategyDefinitionEnumerator definitionEnumerator = null,
IOptionStrategyMatchObjectiveFunction objectiveFunction = null,
IOptionPositionCollectionEnumerator positionEnumerator = null
)
{
if (maximumDuration == default(TimeSpan))
{
maximumDuration = Time.OneMinute;
}
if (definitionEnumerator == null)
{
definitionEnumerator = new IdentityOptionStrategyDefinitionEnumerator();
}
if (objectiveFunction == null)
{
objectiveFunction = new UnmatchedPositionCountOptionStrategyMatchObjectiveFunction();
}
if (positionEnumerator == null)
{
positionEnumerator = new DefaultOptionPositionCollectionEnumerator();
}
_definitions = definitions;
MaximumDuration = maximumDuration;
ObjectiveFunction = objectiveFunction;
MaximumCountPerLeg = maximumCountPerLeg;
_positionEnumerator = positionEnumerator;
_definitionEnumerator = definitionEnumerator;
MaximumSolutionCount = maximumSolutionCount;
}
