public void MatchesAgainstFullPositionCollection()
{
// sort definitions by leg count so that we match more complex definitions first
var options = OptionStrategyMatcherOptions.ForDefinitions(OptionStrategyDefinitions.AllDefinitions
.OrderByDescending(definition => definition.LegCount)
);
var matcher = new OptionStrategyMatcher(options);
var positions = OptionPositionCollection.Empty.AddRange(Option.Position(Option.Underlying, +20),
Option.Position(Option.Call[100, -4]), Option.Position(Option.Put[105, -4]),
Option.Position(Option.Call[105, +4]), Option.Position(Option.Put[110, +4]),
Option.Position(Option.Call[110, -3]), Option.Position(Option.Put[115, -3]),
Option.Position(Option.Call[115, +3]), Option.Position(Option.Put[120, +3]),
Option.Position(Option.Call[120, -5]), Option.Position(Option.Put[125, -5]),
Option.Position(Option.Call[124, +5]), Option.Position(Option.Put[130, +5])
);
var match = matcher.MatchOnce(positions);
foreach (var strategy in match.Strategies)
{
Console.WriteLine($"{strategy.Name}");
foreach (var leg in strategy.OptionLegs)
{
// steal OptionPosition's ToString() implementation
Console.Write($"\t{new OptionPosition(leg.Symbol, leg.Quantity)}");
}
}
}
public void DoesNotDoubleCountPositions()
{
// this test aims to verify that match solutions do not reference the same position in multiple matches
// this behavior is different than the OptionStrategyDefinition.Match, which by design produces all possible
// matches which permits the same position to appear in different matches, allowing the matcher to pick matches
// this test aims to verify that we can match the same definition multiple times if positions allows
// 0: -C110 +C105
// 1: -C115 +C100
var positions = OptionPositionCollection.Empty.AddRange(
Position(Call[110], -1),
Position(Call[115], -1),
Position(Call[100]),
Position(Call[105])
);
var matcher = new OptionStrategyMatcher(OptionStrategyMatcherOptions.ForDefinitions(BearCallSpread));
var matches = matcher.MatchOnce(positions);
Assert.AreEqual(2, matches.Strategies.Count);
}
/// <summary>
/// Creates a custom option strategy group resolver
/// </summary>
/// <param name="strategyMatcherOptions">The option strategy matcher options instance to use</param>
/// <param name="securities">The algorithms securities</param>
public OptionStrategyPositionGroupResolver(SecurityManager securities, OptionStrategyMatcherOptions strategyMatcherOptions)
{
_securities = securities;
_strategyMatcher = new OptionStrategyMatcher(strategyMatcherOptions);
}
