private async void ViewProfitColors(OptionTrade trade)
{
if (trade.Spread.ExpirationDate == Experation && trade.Spread.Options[0].Strike > 0)
{
double breakEven = await trade.Spread.BreakEven(trade.TradeDate);
if (trade.Spread.ProfitDirection == -1)
{
if (Strike <= breakEven)
{
labelStrike.BackColor = Color.Green;
}
else
{
labelStrike.BackColor = Color.Red;
}
}
if (trade.Spread.ProfitDirection == 1)
{
if (Strike >= breakEven)
{
labelStrike.BackColor = Color.Green;
}
else
{
labelStrike.BackColor = Color.Red;
}
}
}
}
public async void Fill(OptionTrade trade, DateTime dataDate)
{
Clear();
if (trade.Spread.Options[0] != null || trade.Spread.Options[0].Strike != 0)
{
_trade = trade;
if (trade.Spread.Options[0].Strike > 0 && trade.Spread.Options[1].Strike == 0)
{
if ((trade.Spread.Options[0].OptionType == OptionType.Call && trade.Spread.Options[0].PositionType == PositionType.Short))
{
return;
}
Option[] newSpreadOption = new Option[1];
newSpreadOption[0] = trade.Spread.Options[0];
_trade.Spread = new Spread(newSpreadOption);
}
double cost = await _trade.Spread.Cost(dataDate);
labelCostValue.Text = cost.ToString();
_filled = true;
if (cost > 0)
{
labelCostValue.ForeColor = Color.Green;
}
else if (cost < 0)
{
labelCostValue.ForeColor = Color.Red;
}
}
}
private async Task <bool> OpenPosition(OptionTrade trade, Api.Interval interval)
{
TimeSpan updateSpan = DateTime.UtcNow - trade.TradeDate;
StockData data = await StockDataBase.Get(trade.Spread.Stock, interval, updateSpan);
OptionPosition position = GetPosition(trade.Spread);
position.Spread = trade.Spread;
double totalBalance = await TotalBalance(trade.TradeDate, interval);
position.EntryDate = trade.TradeDate;
double margin = await trade.Spread.MaxLoss(trade.TradeDate);
double budget = totalBalance * trade.PortfolioPercentage;
if (trade.Amount == 0)
{
position.Amount = (int)(budget / (margin * (1 + Slippage) + Fee));
}
else
{
double totalCost = (margin * (1 + Slippage) + Fee) * trade.Amount;
if (Cash >= totalCost)
{
position.Amount = trade.Amount;
}
else
{
position.Amount = 0;
}
}
Cash -= position.Amount * (margin * (1 + Slippage) + Fee);
return(true);
}
public async Task <OptionTradeList> Find(Stock stock, DateTime startDate, DateTime endDate)
{
OptionTradeList tradeList = new OptionTradeList(stock, Api.Interval.Daily);
StockData data = await StockDataBase.Get(stock, Api.Interval.Daily);
int startIndex = data.FindDateIndex(startDate);
int endIndex = data.FindDateIndex(endDate);
int tradeHoldLenght = 30;
double tradeHoldMaxGain = 0.9;
double tradeHoldMaxLoss = -0.25;
double portofolioPercentage = 0.8;
bool inTrade = false;
for (int i = startIndex; i <= endIndex; i++)
{
DateTime today = data.TimeSeries.DataPoints[i].DateTime;
if (!inTrade)
{
double close = data.TimeSeries.DataPoints[i].Close;
Spread spread = Spread.GetSpread(stock, SpreadType.LongCallVertical, close - close * 0.1, 5, today.AddDays(40), today);
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = portofolioPercentage,
Spread = spread
};
tradeList.Trades.Add(trade);
inTrade = true;
}
else
{
OptionTrade lastTrade = tradeList.Trades[tradeList.Trades.Count - 1];
double openPrice = await lastTrade.Spread.Price(lastTrade.TradeDate);
double currentPrice = await lastTrade.Spread.Price(today);
double percentageGain = (currentPrice - openPrice) / openPrice;
int dateIndex = data.FindDateIndex(lastTrade.TradeDate);
if (i - dateIndex >= tradeHoldLenght || lastTrade.Spread.DaysUntilExpiration(today) < 5 || percentageGain > tradeHoldMaxGain || percentageGain < tradeHoldMaxLoss)
{
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = 0,
Spread = lastTrade.Spread
};
tradeList.Trades.Add(trade);
inTrade = false;
}
}
}
return(tradeList);
}
public void SetTrade(OptionTrade trade)
{
_previewTrade = trade;
foreach (OptionChainDateExpandable expandable in panelChain.Controls)
{
expandable.ShowTrade(trade);
}
TradeChanged?.Invoke(trade);
}
private async void FillLabelsGainLoss(OptionTrade trade, DateTime dataDate)
{
double maxGain = await trade.Spread.MaxProfit(dataDate) * trade.Amount;
labelMaxGainValue.Text = maxGain.ToString();
double maxLoss = await trade.Spread.MaxLoss(dataDate) * -trade.Amount;
labelMaxLossValue.Text = maxLoss.ToString();
}
public async void MakeTrade(OptionTrade trade, Api.Interval interval)
{
if (trade.Spread != null)
{
ClosePosition(trade, interval);
bool x = await OpenPosition(trade, interval);
TradeMade?.Invoke(this, new EventArgs());
}
}
private async void ClosePosition(OptionTrade trade, Api.Interval interval)
{
TimeSpan updateSpan = DateTime.UtcNow - trade.TradeDate;
StockData data = await StockDataBase.Get(trade.Spread.Stock, interval, updateSpan);
OptionPosition position = GetPosition(trade.Spread);
double posValue = await GetPositionValue(position, data, trade.TradeDate);
Cash += posValue * (1 - Slippage) - Fee * position.Amount;
position.Amount = 0;
}
private void sellToolStripMenuItem_Click(object sender, EventArgs e)
{
OptionTrade trade = new OptionTrade()
{
Amount = 0,
TradeDate = _dataDate,
Spread = _position.Spread
};
SellPositionEvent?.Invoke(trade);
}
public void ChangeTradeQuantity(int quantity)
{
if (_previewTrade.Spread.Options[0].Strike > 0)
{
OptionTrade newTrade = _previewTrade;
if (quantity >= 1)
{
newTrade.Amount = quantity;
SetTrade(newTrade);
}
}
}
public void ShowTrade(OptionTrade trade)
{
if (trade.Spread.Options.Length > 0)
{
foreach (Control c in panelChain.Controls)
{
if (c is OptionChainStrikeLine)
{
((OptionChainStrikeLine)c).ShowTrade(trade);
}
}
}
}
public async Task <OptionTradeList> Find(Stock stock, DateTime startDate, DateTime endDate)
{
OptionTradeList tradeList = new OptionTradeList(stock, Api.Interval.Daily);
StockData data = await StockDataBase.Get(stock, Api.Interval.Daily);
int startIndex = data.FindDateIndex(startDate);
int endIndex = data.FindDateIndex(endDate);
int tradeHoldLenght = 2;
bool inTrade = false;
for (int i = startIndex; i <= endIndex; i++)
{
if (!inTrade)
{
Option[] options = new Option[2];
options[0] = new Option(stock, OptionType.Put, PositionType.Short, 230, startDate.AddDays(25));
options[1] = new Option(stock, OptionType.Put, PositionType.Long, 240, startDate.AddDays(25));
Spread spread = new Spread(options);
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = 1,
Spread = spread
};
tradeList.Trades.Add(trade);
inTrade = true;
}
else
{
OptionTrade lastTrade = tradeList.Trades[tradeList.Trades.Count - 1];
int dateIndex = data.FindDateIndex(lastTrade.TradeDate);
if (i - dateIndex >= tradeHoldLenght)
{
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = 0,
Spread = lastTrade.Spread
};
tradeList.Trades.Add(trade);
}
}
}
return(tradeList);
}
public void CloseExpiredPositions(DateTime date)
{
foreach (OptionPosition position in Positions)
{
if (position.Spread.DaysUntilExpiration(date) <= 0)
{
OptionTrade closeTrade = new OptionTrade()
{
Amount = 0,
TradeDate = date,
PortfolioPercentage = 0,
Spread = position.Spread
};
ClosePosition(closeTrade, Api.Interval.Daily);
}
}
}
public void ShowTrade(OptionTrade trade)
{
CallUnselect();
PutUnselect();
ClearProfitColors();
if (trade.Spread != null)
{
if (trade.Spread.Options.Length > 0)
{
ViewOption(trade.Spread.Options[0]);
}
if (trade.Spread.Options.Length > 1)
{
ViewOption(trade.Spread.Options[1]);
}
ViewProfitColors(trade);
}
}
public void MakeTrade(OptionTrade trade)
{
if (trade.Spread.Options[0] != null || trade.Spread.Options[0].Strike != 0)
{
if (trade.Spread.Options.Length == 2)
{
if (trade.Spread.Options[0].Strike > 0 && trade.Spread.Options[1].Strike == 0)
{
if ((trade.Spread.Options[0].OptionType == OptionType.Call && trade.Spread.Options[0].PositionType == PositionType.Short))
{
return;
}
Option[] newSpreadOption = new Option[1];
newSpreadOption[0] = trade.Spread.Options[0];
trade.Spread = new Spread(newSpreadOption);
}
}
_portfolio.MakeTrade(trade, Api.Interval.Daily);
}
}
public void Fill(OptionTrade trade, DateTime dataDate)
{
Clear();
if (trade.Spread.Options[0] != null)
{
if (trade.Spread.Options[0].Strike > 0)
{
OptionChain chain = OptionDataBase.Get(trade.Spread.Stock, dataDate);
OptionChainDataPoint option1 = chain.FindOption(trade.Spread.Options[0].OptionType, trade.Spread.Options[0].ExpirationDate, trade.Spread.Options[0].Strike);
if (trade.Spread.Options[0].PositionType == PositionType.Long)
{
orderLineUI1.Fill(option1, trade.Amount);
}
else if (trade.Spread.Options[0].PositionType == PositionType.Short)
{
orderLineUI1.Fill(option1, trade.Amount * -1);
}
}
}
if (trade.Spread.Options[1] != null)
{
if (trade.Spread.Options[1].Strike > 0)
{
OptionChain chain = OptionDataBase.Get(trade.Spread.Stock, dataDate);
OptionChainDataPoint option1 = chain.FindOption(trade.Spread.Options[1].OptionType, trade.Spread.Options[1].ExpirationDate, trade.Spread.Options[1].Strike);
if (trade.Spread.Options[1].PositionType == PositionType.Long)
{
orderLineUI2.Fill(option1, trade.Amount);
}
else if (trade.Spread.Options[1].PositionType == PositionType.Short)
{
orderLineUI2.Fill(option1, trade.Amount * -1);
}
}
}
}
public void ViewTrade(OptionTrade trade, DateTime date)
{
_currentDate = date;
_chainUI.SetTrade(trade);
orderUI1.ViewOrder(trade, _currentDate);
}
private void FireOrderPlaced(OptionTrade trade)
{
OrderPlacedClicked?.Invoke(trade);
}
public void ViewOrder(OptionTrade trade, DateTime dataDate)
{
orderListUI1.Fill(trade, dataDate);
orderBuyUI1.Fill(trade, dataDate);
FillLabelsGainLoss(trade, dataDate);
}
private void PlaceOrder(OptionTrade trade)
{
_sim.MakeTrade(trade);
}
private void QuantityMoreClicked(object sender, EventArgs e)
{
OptionTrade currentTrade = _chainUI.CurrentTrade;
_chainUI.ChangeTradeQuantity(currentTrade.Amount + 1);
}
private void ChainUITradeChanged(OptionTrade trade)
{
orderUI1.ViewOrder(trade, _currentDate);
}
public async Task <OptionTradeList> Find(Stock stock, DateTime startDate, DateTime endDate)
{
OptionTradeList tradeList = new OptionTradeList(stock, Api.Interval.Daily);
StockData data = await StockDataBase.Get(stock, Api.Interval.Daily);
int startIndex = data.FindDateIndex(startDate);
int endIndex = data.FindDateIndex(endDate);
int period = 40;
double priceGainGate = -0.5;
double volumeGainGate = 0.5;
int tradeHoldLenght = 15;
double tradeHoldMaxGain = 0.9;
double tradeHoldMaxLoss = -0.25;
double portofolioPercentage = 0.8;
bool inTrade = false;
for (int i = startIndex; i <= endIndex; i++)
{
if (!inTrade)
{
{
DateTime today = data.TimeSeries.DataPoints[i].DateTime;
double open = data.TimeSeries.DataPoints[i].Open;
double close = data.TimeSeries.DataPoints[i].Close;
double percentageGain = (close - open) / open;
if (percentageGain > priceGainGate)
{
double volume = data.TimeSeries.DataPoints[i].Volume;
double volumeSMA = Indicators.GetSMA(data, i, period, PricePoint.Volume);
double volumePercentageGain = (volume - volumeSMA) / volumeSMA;
if (volumePercentageGain > volumeGainGate)
{
Option[] options = new Option[2];
options[0] = new Option(stock, OptionType.Call, PositionType.Long, Math.Round(close, 0) - 5, today.AddDays(40));
options[1] = new Option(stock, OptionType.Call, PositionType.Short, Math.Round(close, 0) + 0, today.AddDays(40));
Spread spread = new Spread(options);
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = portofolioPercentage,
Spread = spread
};
tradeList.Trades.Add(trade);
inTrade = true;
}
}
}
}
else
{
OptionTrade lastTrade = tradeList.Trades[tradeList.Trades.Count - 1];
DateTime today = data.TimeSeries.DataPoints[i].DateTime;
int dateIndex = data.FindDateIndex(lastTrade.TradeDate);
double openPrice = await lastTrade.Spread.Price(lastTrade.TradeDate);
double currentPrice = await lastTrade.Spread.Price(today);
double percentageGain = (currentPrice - openPrice) / openPrice;
if (i - dateIndex >= tradeHoldLenght || lastTrade.Spread.DaysUntilExpiration(today) < 5 || percentageGain > tradeHoldMaxGain || percentageGain < tradeHoldMaxLoss)
{
OptionTrade trade = new OptionTrade
{
TradeDate = data.TimeSeries.DataPoints[i].DateTime,
PortfolioPercentage = 0,
Spread = lastTrade.Spread
};
tradeList.Trades.Add(trade);
inTrade = false;
}
}
}
return(tradeList);
}
private void FireSellEvent(OptionTrade trade)
{
SellPositionEvent?.Invoke(trade);
}
private void OrderPlacedClicked(OptionTrade trade)
{
Clear();
OrderPlaced?.Invoke(trade);
}