public Order?DecideOrder(PositionDelta delta)
{
OptionQuote quote = delta.Quote ?? MarketDataClient.GetOptionQuote(delta.Symbol);
// TODO: Remove after testing
//Log.Warning("Not getting real quote");
//OptionQuote quote = new OptionQuote(delta.Symbol, delta.Price * (float).99, delta.Price * (float)1.01, delta.Price, delta.Price * (float)1.06, (float)1.0);
if (quote.Time < DateTime.Now.AddSeconds(-15))
{
Log.Information("Getting new quote. Old quote- {@Quote}", quote);
quote = MarketDataClient.GetOptionQuote(delta.Symbol);
}
Log.Information("{DeltaType} delta {@Delta}- current mark price {Mark}. Symbol {Symbol}", delta.DeltaType, delta, quote.Mark.ToString("0.00"), delta.Symbol);
Position?currentPos = BrokerClient.GetPosition(delta.Symbol);
if (delta.DeltaType == DeltaType.SELL)
{
return(DecideSell(delta, currentPos));
}
else if (delta.DeltaType == DeltaType.ADD ||
delta.DeltaType == DeltaType.NEW)
{
return(DecideBuy(delta, currentPos, quote));
}
else
{
Log.Error("Unrecognized deltaType: {type}", delta.DeltaType);
return(null);
}
}
public async Task <List <object> > GetOptionChain(string symbol)
{
if (symbol == null)
{
throw new ArgumentNullException("symbols");
}
var quotes = new List <object>();
var url = "/v1/marketdata/chains?" +
"symbol=" + symbol + "&includeQuotes=true";
var text = await this.http.GetStringAsync(url);
OptionQuote optionChain = JsonConvert.DeserializeObject <OptionQuote>(text);
foreach (var optionDate in optionChain.callExpDateMap.Keys)
{
DateTime date = DateTime.ParseExact(optionDate.Substring(0, 10), "yyyy-MM-dd", null);
foreach (var strikeArr in optionChain.callExpDateMap[optionDate].Values)
{
foreach (var strike in strikeArr)
{
try
{
strike.ExpirationDate = date;
strike.Underlyer = symbol;
quotes.Add(strike);
} catch (Exception ex)
{
Console.WriteLine(ex.Message);
Console.WriteLine(ex.InnerException?.Message);
}
}
}
}
return(quotes);
}
public override OptionQuote GetOptionQuote(string symbol)
{
if (!OptionSymbolUtils.IsOptionSymbol(symbol))
{
throw new ArgumentException("Provided symbol is not an option symbol: " + symbol);
}
string tdAmSymbol = OptionSymbolUtils.ConvertDateFormat(symbol, OptionSymbolUtils.StandardDateFormat, Constants.TDOptionDateFormat);
RestClient client = new RestClient("https://api.tdameritrade.com/v1/marketdata/" + tdAmSymbol + "/quotes");
RestRequest request = CreateRequest(Method.GET);
IRestResponse response = ExecuteRequest(client, request);
if (!response.IsSuccessful || response.Content.Contains("Symbol not found"))
{
throw new MarketDataException("Get quote unsuccessful for symbol " + symbol);
}
Regex responseRegex = new Regex("{\"assetType.*?}");
Match match = responseRegex.Match(response.Content);
OptionQuote quote = JsonConvert.DeserializeObject <TDOptionQuote>(match.Value);
return(quote);
}
protected override Position InstantiateWithSymbolOverride(string overrideSymbol, OptionQuote quote)
{
return(new Position(overrideSymbol, Quantity, (float)Average));
}
protected override FilledOrder InstantiateWithSymbolOverride(string overrideSymbol, OptionQuote quote)
{
return(new FilledOrder(overrideSymbol, (float)FilledPrice, Instruction, OrderType, (float)Limit, Quantity, Time, quote));
}
private Order?DecideBuy(PositionDelta delta, Position?currentPos, OptionQuote quote)
{
if (delta.DeltaType == DeltaType.ADD && currentPos == null)
{
Log.Information("No current position corresponding to {DeltaType} delta {@Delta}. Symbol {Symbol}", delta.DeltaType, delta, delta.Symbol);
}
else if (delta.DeltaType == DeltaType.NEW && currentPos != null)
{
Log.Warning("Current position exists {@CurrentPosition} for {DeltaType} delta {@Delta}. Taking no action for Symbol {Symbol}", currentPos, delta.DeltaType, delta, delta.Symbol);
return(null);
}
if (delta.Age.TotalMinutes > _config.MinutesUntilBuyOrderExpires)
{
Log.Warning("New/Add delta expired after {Minutes} minutes for delta {@Delta}. Symbol {Symbol}", delta.Age.TotalMinutes.ToString("0"), delta, delta.Symbol);
return(null);
}
if (delta.Price > _config.MaxBuyPrice)
{
Log.Information("Buy price higher than buy max limit. Skipping order. Symbol {Symbol}, Price={Price}", delta.Symbol, delta.Price);
return(null);
}
float diff = quote.Mark - delta.Price;
float absPercent = Math.Abs(diff / delta.Price);
bool withinHighThreshold = Math.Sign(diff) >= 0 && absPercent <= _config.HighBuyThreshold;
bool withinLowThreshold = Math.Sign(diff) <= 0 && absPercent <= _config.LowBuyThreshold;
int quantity;
string orderType;
float limit = -1;
if (withinHighThreshold && _config.HighBuyStrategy == BuyStrategyType.MARKET ||
withinLowThreshold && _config.LowBuyStrategy == BuyStrategyType.MARKET)
{
orderType = OrderType.MARKET;
quantity = DecideBuyQuantity(quote.AskPrice, delta, currentPos, quote.AskPrice); // Assume we will pay the ask price
}
else if (withinHighThreshold && _config.HighBuyStrategy == BuyStrategyType.DELTA_LIMIT ||
withinLowThreshold && _config.LowBuyStrategy == BuyStrategyType.DELTA_LIMIT)
{
orderType = OrderType.LIMIT;
limit = delta.Price;
quantity = DecideBuyQuantity(limit, delta, currentPos, quote.AskPrice);
}
else if (withinHighThreshold && _config.HighBuyStrategy == BuyStrategyType.THRESHOLD_LIMIT)
{
orderType = OrderType.LIMIT;
limit = delta.Price * (1 + _config.HighBuyLimit);
quantity = DecideBuyQuantity(limit, delta, currentPos, quote.AskPrice);
}
else if (withinLowThreshold && _config.LowBuyStrategy == BuyStrategyType.THRESHOLD_LIMIT)
{
orderType = OrderType.LIMIT;
limit = delta.Price * (1 - _config.LowBuyLimit);
quantity = DecideBuyQuantity(limit, delta, currentPos, quote.AskPrice);
}
else
{
Log.Information("Current mark price not within buy threshold. Skipping order. Symbol {Symbol}, Mark={Mark}", delta.Symbol, quote.Mark.ToString("0.00"));
return(null);
}
if (quantity == 0)
{
Log.Information("Decided buy quantity of 0. Skipping Order. Symbol {Symbol}, CurrentPosition = {@CurrentPosition}, Delta = {@Delta}",
delta.Symbol, currentPos, delta);
return(null);
}
else
{
DateTime cancelTime = delta.Time.Date.Equals(DateTime.Today)
? delta.Time.AddMinutes(_config.MinutesUntilBuyOrderExpires)
: DateTime.Now.AddMinutes(_config.MinutesUntilBuyOrderExpires);
Order order = new Order(delta.Symbol, quantity, InstructionType.BUY_TO_OPEN, orderType, limit, cancelTime);
Log.Information("Decided new Order: {@Order} for Symbol {Symbol}", order, order.Symbol);
return(order);
}
}
