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)}");
}
}
}
private IEnumerable <IPositionGroup> GetPositionGroups(IEnumerable <IPosition> positions)
{
foreach (var positionsByUnderlying in positions
.Where(position => position.Symbol.SecurityType.HasOptions() || position.Symbol.SecurityType.IsOption())
.GroupBy(position => position.Symbol.HasUnderlying? position.Symbol.Underlying : position.Symbol))
{
var optionPosition = positionsByUnderlying.FirstOrDefault(position => position.Symbol.SecurityType.IsOption());
if (optionPosition == null)
{
// if there isn't any option position we aren't really interested, can't create any option strategy!
continue;
}
var contractMultiplier = (_securities[optionPosition.Symbol].SymbolProperties as OptionSymbolProperties)?.ContractUnitOfTrade ?? 100;
var optionPositionCollection = OptionPositionCollection.FromPositions(positionsByUnderlying, contractMultiplier);
var matches = _strategyMatcher.MatchOnce(optionPositionCollection);
if (matches.Strategies.Count == 0)
{
continue;
}
foreach (var matchedStrategy in matches.Strategies)
{
var positionsToGroup = matchedStrategy.OptionLegs
.Select(optionLeg => (IPosition) new Position(optionLeg.Symbol, optionLeg.Quantity, 1))
.Concat(matchedStrategy.UnderlyingLegs.Select(underlyingLeg => new Position(underlyingLeg.Symbol, underlyingLeg.Quantity * contractMultiplier, 1)))
.ToArray();
yield return(new PositionGroup(new OptionStrategyPositionGroupBuyingPowerModel(matchedStrategy), positionsToGroup));
}
}
}
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);
}
