Example #1
0
        public static Greeks operator +(Greeks grk1, Greeks grk2)
        {
            Greeks grk = new Greeks();

            grk.delta = grk1.delta + grk2.delta;
            grk.gamma = grk1.gamma + grk2.gamma;
            grk.vega  = grk1.vega + grk2.vega;
            grk.theta = grk1.theta + grk2.theta;
            return(grk);
        }
Example #2
0
        public void Overwrite(Option o, DirectionT d, CalculationPriceT p)
        {
            underlying = o.underlying;
            symbol     = o.symbol;

            type      = (o.type == Option.OptionT.Call) ? PositionT.Call : PositionT.Put;
            direction = d;

            switch (p)
            {
            case CalculationPriceT.AskBidPrice:
                if (d == DirectionT.Long && o.price.ask > 0 && !double.IsNaN(o.price.ask))
                {
                    price.last = o.price.ask;
                }
                else if (d == DirectionT.Short && o.price.bid > 0 && !double.IsNaN(o.price.bid))
                {
                    price.last = o.price.bid;
                }
                else
                {
                    price.last = o.price.last;
                }
                break;

            case CalculationPriceT.LastPrice:
                if (!double.IsNaN(o.price.last))
                {
                    price.last = o.price.last;
                }
                else
                {
                    price.last = (o.price.ask + o.price.bid) * 0.5;
                }
                break;

            case CalculationPriceT.MidAskBidPrice:
                if (!double.IsNaN(o.price.ask) && !double.IsNaN(o.price.bid))
                {
                    price.last = (o.price.ask + o.price.bid) * 0.5;
                }
                else if (d == DirectionT.Long && o.price.ask > 0 && !double.IsNaN(o.price.ask))
                {
                    price.last = o.price.ask;
                }
                else if (d == DirectionT.Short && o.price.bid > 0 && !double.IsNaN(o.price.bid))
                {
                    price.last = o.price.bid;
                }
                else
                {
                    price.last = o.price.last;
                }
                break;
            }

            if ((flags & FlagT.ManualPrice) == 0)
            {
                price.actual = price.last;
                flags       |= FlagT.ManualPrice; // we set the price only once
            }

            if ((flags & FlagT.ManualContractSize) == 0)
            {
                contract_size = o.contract_size;
            }

            expiration = o.expiration;
            strike     = o.strike;
            volatility = o.greeks.implied_volatility;

            greeks = new Greeks();
            greeks.implied_volatility = o.greeks.implied_volatility;
            greeks.delta = contract_size * quantity * o.greeks.delta;
            greeks.gamma = contract_size * quantity * o.greeks.gamma;
            greeks.theta = contract_size * quantity * o.greeks.theta;
            greeks.vega  = contract_size * quantity * o.greeks.vega;

            quote  = null;
            option = o;
        }
Example #3
0
        public void Overwrite(Quote q, DirectionT d, CalculationPriceT p)
        {
            underlying = q.underlying;
            symbol     = q.underlying;

            type      = PositionT.Underlying;
            direction = d;

            switch (p)
            {
            case CalculationPriceT.AskBidPrice:
                if (d == DirectionT.Long && q.price.ask > 0 && !double.IsNaN(q.price.ask))
                {
                    price.last = q.price.ask;
                }
                else if (d == DirectionT.Short && q.price.bid > 0 && !double.IsNaN(q.price.bid))
                {
                    price.last = q.price.bid;
                }
                else
                {
                    price.last = q.price.last;
                }
                break;

            case CalculationPriceT.LastPrice:
                if (!double.IsNaN(q.price.last))
                {
                    price.last = q.price.last;
                }
                else
                {
                    price.last = (q.price.ask + q.price.bid) * 0.5;
                }
                break;

            case CalculationPriceT.MidAskBidPrice:
                if (!double.IsNaN(q.price.ask) && !double.IsNaN(q.price.bid))
                {
                    price.last = (q.price.ask + q.price.bid) * 0.5;
                }
                else if (d == DirectionT.Long && q.price.ask > 0 && !double.IsNaN(q.price.ask))
                {
                    price.last = q.price.ask;
                }
                else if (d == DirectionT.Short && q.price.bid > 0 && !double.IsNaN(q.price.bid))
                {
                    price.last = q.price.bid;
                }
                else
                {
                    price.last = q.price.last;
                }
                break;
            }

            if ((flags & FlagT.ManualPrice) == 0)
            {
                price.actual = price.last;
            }
            if ((flags & FlagT.ManualContractSize) == 0)
            {
                contract_size = 1;
            }

            expiration = DateTime.MinValue;
            strike     = double.NaN;
            volatility = double.NaN;

            greeks       = new Greeks();
            greeks.delta = contract_size * quantity;
            greeks.gamma = 0;
            greeks.vega  = 0;
            greeks.theta = 0;

            quote  = q;
            option = null;
        }