private static TWPosition FindTWPosition(string account, Position pos)
{
// this loop could be eliminated if the long symbol name gets persisted in database
foreach (KeyValuePair <string, TWPosition> p in twpositions[account])
{
TWPosition twpos = p.Value;
if ((pos.Symbol == twpos.Symbol) && (pos.Type == twpos.Type) && (pos.Strike == twpos.Strike) && (pos.ExpDate == twpos.ExpDate))
{
return(twpos);
}
}
return(null);
}
private static decimal DefaultCapital(string account, string strat, Positions positions)
{
decimal multiplier = 100;
TWPosition twpos = FindTWPosition(account, positions.ElementAt(0).Value);
if (twpos != null)
{
multiplier = twpos.Multiplier;
}
if (strat.Length >= 8)
{
strat = strat.Substring(0, 8);
if ((strat == "Iron Con") || (strat == "Vertical"))
{
Dictionary <string, decimal> strikeRange = new Dictionary <string, decimal> {
{ "Call", 0 }, { "Put", 0 }
};
foreach (KeyValuePair <string, Position> item in positions)
{
Position p = item.Value;
strikeRange[p.Type] += (p.Strike * p.Quantity);
}
if (Math.Abs(strikeRange["Put"]) > Math.Abs(strikeRange["Call"]))
{
return(Math.Abs(strikeRange["Put"]) * multiplier);
}
else
{
return(Math.Abs(strikeRange["Call"]) * multiplier);
}
}
}
return(0);
}
public static TWPositions Positions(string accountNumber)
{
Dictionary <string, decimal> marketValues = new Dictionary <string, decimal>();
Dictionary <string, Int32> orderIds = new Dictionary <string, Int32>();
SetHeaders(Token);
// retrieve current values
string reply = Web.DownloadString("https://api.tastyworks.com/margin/accounts/" + accountNumber);
JObject package = JObject.Parse(reply);
List <JToken> list = package["data"]["underlyings"].Children().ToList();
foreach (JToken item in list)
{
// capture the value of all of the options plus the underlaying
JToken prices = item["marks"];
foreach (JProperty price in prices)
{
if (!marketValues.ContainsKey(price.Name))
{
marketValues.Add(price.Name, Convert.ToDecimal(price.Value));
}
}
// capture any orders associated with the underlying
string symbol = item["underlying-symbol"].ToString();
JToken orders = item["order-ids"];
for (int i = 0; i < orders.Count(); i++)
{
if (!orderIds.ContainsKey(symbol))
{
Int32 order = Convert.ToInt32(orders[i]);
orderIds.Add(symbol, order);
}
}
}
SetHeaders(Token); // reset, lost after previous call
// retrieve specific positions
reply = Web.DownloadString("https://api.tastyworks.com/accounts/" + accountNumber + "/positions");
package = JObject.Parse(reply);
TWPositions returnList = new TWPositions();
list = package["data"]["items"].Children().ToList();
foreach (JToken item in list)
{
TWPosition inst = new TWPosition();
inst.Symbol = item["underlying-symbol"].ToString();
inst.OptionSymbol = item["symbol"].ToString();
inst.Quantity = Convert.ToDecimal(item["quantity"]);
if (item["quantity-direction"].ToString() == "Short")
{
inst.Quantity *= -1;
}
DateTime exp = Convert.ToDateTime(item["expires-at"]).Trim(TimeSpan.TicksPerDay);
inst.PreviousClose = Convert.ToDecimal(item["close-price"]);
if (inst.PreviousClose == 0)
{
inst.PreviousClose = Convert.ToDecimal(item["average-open-price"]);
}
inst.Multiplier = Convert.ToDecimal(item["multiplier"]);;
if (marketValues.ContainsKey(inst.OptionSymbol))
{
inst.Market = marketValues[inst.OptionSymbol] * inst.Multiplier;
}
if (marketValues.ContainsKey(inst.Symbol))
{
inst.UnderlyingPrice = marketValues[inst.Symbol];
}
inst.OrderActive = orderIds.ContainsKey(inst.Symbol);
SymbolDecoder symbol = new SymbolDecoder(inst.OptionSymbol, item["instrument-type"].ToString());
inst.Type = symbol.Type;
inst.ExpDate = symbol.Expiration;
inst.Strike = symbol.Strike;
returnList.Add(inst.OptionSymbol.Length > 0 ? inst.OptionSymbol : inst.Symbol, inst);
}
return((returnList.Count > 0) ? returnList : null);
}
public string ValidateCurrentHoldings()
{
string returnValue = "";
Dictionary <string, TWPositions> overallPositions = null;
// always start with clean data
if (TastyWorks.ActiveSession())
{
overallPositions = new Dictionary <string, TWPositions>();
foreach (Account a in accounts)
{
if (a.Active)
{
// retrieve Tastyworks positions for given account
TWPositions pos = TastyWorks.Positions(a.ID);
overallPositions.Add(a.ID, pos);
}
}
}
else
{
MessageBox.Show("Login to TastyWorks failed", "Error");
return("LoginFailed");
}
foreach (KeyValuePair <string, TWPositions> item in overallPositions)
{
// cycle thru each account
TWPositions accountPositions = item.Value;
// skip if the account is empty of positions
// and confirm each aligns with what is in current database by
// iterating thru all the positions in the current account
//
int i = 0;
while ((accountPositions != null) && (i < accountPositions.Count))
{
TWPosition position = accountPositions.ElementAt(i).Value;
// iterate thru each group
foreach (KeyValuePair <int, TransactionGroup> grpItem in this)
{
TransactionGroup grp = grpItem.Value;
// examine closer if right account and underlying
if ((item.Key == grp.Account) && (position.Symbol == grp.Symbol))
{
// iterate thru everthing in the group
int j = 0;
while ((j < grp.Holdings.Count) && (position.Quantity != 0))
{
Position dbpos = grp.Holdings[grp.Holdings.Keys.ElementAt(j)];
// look for matching security
if ((position.Type == dbpos.Type) && (position.Strike == dbpos.Strike) && (position.ExpDate == dbpos.ExpDate))
{
position.Quantity -= dbpos.Quantity;
grp.Holdings.Remove(grp.Holdings.Keys.ElementAt(j));
}
else
{
j++;
}
}
}
}
if (position.Quantity == 0)
{
accountPositions.Remove(accountPositions.ElementAt(i).Key);
}
else
{
i++;
}
}
}
// catch anything left over in database
foreach (KeyValuePair <int, TransactionGroup> grpItem in this)
{
TransactionGroup grp = grpItem.Value;
if (grp.Holdings.Count > 0)
{
// something left
if (returnValue.Length == 0)
{
returnValue = "Unmatched positons in the database:\n";
}
returnValue += grp.Holdings.ToString();
}
}
// add anything left from the TW query
foreach (KeyValuePair <string, TWPositions> positionsPair in overallPositions)
{
bool firstPass = true;
// nothing to do if account is empty
if (positionsPair.Value != null)
{
foreach (KeyValuePair <string, TWPosition> p in positionsPair.Value)
{
TWPosition pos = p.Value;
if (firstPass)
{
firstPass = false;
if (returnValue.Length > 0)
{
returnValue += "\n";
}
returnValue += "Unmatched from TastyWorks account:\n";
}
returnValue += (pos.Type == "Stock") ? pos.Symbol : pos.Symbol + pos.ExpDate.ToString("yyMMdd") + pos.Strike.ToString("0000.0") + pos.Type + " : " + pos.Quantity.ToString() + "\n";
}
}
}
return(returnValue);
}
private void RetrieveCurrentData(TransactionGroup grp)
{
decimal currentValue = 0;
decimal previousCloseValue = 0;
try
{
// retrieve and cache current data from tastyworks for this a subsequent passes
if (twpositions == null)
{
if (TastyWorks.ActiveSession())
{
List <string> symbols = new List <string>();
twpositions = new Dictionary <string, TWPositions>();
foreach (Account a in accounts)
{
if (a.Active)
{
// retrieve Tastyworks positions for given account
TWPositions pos = TastyWorks.Positions(a.ID);
twpositions.Add(a.ID, pos);
if (pos != null)
{
foreach (KeyValuePair <string, TWPosition> p in pos)
{
if (!symbols.Contains(p.Value.Symbol))
{
symbols.Add(p.Value.Symbol);
}
}
}
}
}
twmarketinfo = TastyWorks.MarketInfo(symbols); // get IV's
}
}
// ensure that positions got instanciated AND that the particular account isn't empty
if ((twpositions != null) && (twpositions.Count > 0) && (twpositions[grp.Account] != null))
{
foreach (KeyValuePair <string, Position> item in grp.Holdings)
{
Position pos = item.Value;
// this loop could be eliminated if the long symbol name gets persisted in database
foreach (KeyValuePair <string, TWPosition> p in twpositions[grp.Account])
{
TWPosition twpos = p.Value;
if ((pos.Symbol == twpos.Symbol) && (pos.Type == twpos.Type) && (pos.Strike == twpos.Strike) && (pos.ExpDate == twpos.ExpDate))
{
//Debug.WriteLine(twpos.Market);
currentValue += pos.Quantity * twpos.Market;
previousCloseValue += pos.Quantity * twpos.PreviousClose * twpos.Multiplier;
// capture current details while we have it
pos.Market = twpos.Market;
pos.Multiplier = twpos.Multiplier;
pos.UnderlyingPrice = twpos.UnderlyingPrice;
// capture the underlying price from the first position for the overall group
if (grp.UnderlyingPrice == 0)
{
grp.UnderlyingPrice = twpos.UnderlyingPrice;
}
// update groups order status based on any of items constituent holdings
grp.OrderActive = twpos.OrderActive;
}
}
}
}
grp.CurrentValue = currentValue;
grp.PreviousCloseValue = previousCloseValue;
grp.ChangeFromPreviousClose = currentValue - previousCloseValue;
if (twmarketinfo.ContainsKey(grp.ShortSymbol))
{
grp.ImpliedVolatility = twmarketinfo[grp.ShortSymbol].ImpliedVolatility;
grp.ImpliedVolatilityRank = twmarketinfo[grp.ShortSymbol].ImpliedVolatilityRank;
grp.DividendYield = twmarketinfo[grp.ShortSymbol].DividendYield;
}
}
catch (Exception ex)
{
Debug.WriteLine("RetrieveCurrentData: " + ex.Message);
}
}