private static void UpdateContract(OptionContract contract, Tick tick)
{
if (tick.TickType == TickType.Trade)
{
contract.LastPrice = tick.Price;
}
else if (tick.TickType == TickType.Quote)
{
if (tick.AskPrice != 0m)
{
contract.AskPrice = tick.AskPrice;
contract.AskSize = tick.AskSize;
}
if (tick.BidPrice != 0m)
{
contract.BidPrice = tick.BidPrice;
contract.BidSize = tick.BidSize;
}
}
}
private static bool HandleOptionData(DateTime algorithmTime, BaseData baseData, OptionChains optionChains, Security security, Lazy<Slice> sliceFuture)
{
var symbol = baseData.Symbol;
OptionChain chain;
var canonical = Symbol.Create(symbol.ID.Symbol, SecurityType.Option, symbol.ID.Market);
if (!optionChains.TryGetValue(canonical, out chain))
{
chain = new OptionChain(canonical, algorithmTime);
optionChains[canonical] = chain;
}
var universeData = baseData as OptionChainUniverseDataCollection;
if (universeData != null)
{
if (universeData.Underlying != null)
{
chain.Underlying = universeData.Underlying;
}
foreach (var contractSymbol in universeData.FilteredContracts)
{
chain.FilteredContracts.Add(contractSymbol);
}
return false;
}
OptionContract contract;
if (!chain.Contracts.TryGetValue(baseData.Symbol, out contract))
{
var underlyingSymbol = Symbol.Create(baseData.Symbol.ID.Symbol, SecurityType.Equity, baseData.Symbol.ID.Market);
contract = new OptionContract(baseData.Symbol, underlyingSymbol)
{
Time = baseData.EndTime,
LastPrice = security.Close,
BidPrice = security.BidPrice,
BidSize = security.BidSize,
AskPrice = security.AskPrice,
AskSize = security.AskSize,
UnderlyingLastPrice = chain.Underlying != null ? chain.Underlying.Price : 0m
};
chain.Contracts[baseData.Symbol] = contract;
var option = security as Option;
if (option != null)
{
contract.SetOptionPriceModel(() => option.PriceModel.Evaluate(option, sliceFuture.Value, contract));
}
}
// populate ticks and tradebars dictionaries with no aux data
switch (baseData.DataType)
{
case MarketDataType.Tick:
var tick = (Tick)baseData;
chain.Ticks.Add(tick.Symbol, tick);
UpdateContract(contract, tick);
break;
case MarketDataType.TradeBar:
var tradeBar = (TradeBar)baseData;
chain.TradeBars[symbol] = tradeBar;
contract.LastPrice = tradeBar.Close;
break;
case MarketDataType.QuoteBar:
var quote = (QuoteBar)baseData;
chain.QuoteBars[symbol] = quote;
UpdateContract(contract, quote);
break;
case MarketDataType.Base:
chain.AddAuxData(baseData);
break;
}
return true;
}
private static void UpdateContract(OptionContract contract, QuoteBar quote)
{
if (quote.Ask != null && quote.Ask.Close != 0m)
{
contract.AskPrice = quote.Ask.Close;
contract.AskSize = quote.LastAskSize;
}
if (quote.Bid != null && quote.Bid.Close != 0m)
{
contract.BidPrice = quote.Bid.Close;
contract.BidSize = quote.LastBidSize;
}
}
/// <summary>
/// Creates a new <see cref="OptionPriceModelResult"/> containing the current <see cref="Security.Price"/>
/// and a default, empty instance of <see cref="FirstOrderGreeks"/>
/// </summary>
/// <param name="security">The option security object</param>
/// <param name="slice">The current data slice. This can be used to access other information
/// available to the algorithm</param>
/// <param name="contract">The option contract to evaluate</param>
/// <returns>An instance of <see cref="OptionPriceModelResult"/> containing the theoretical
/// price of the specified option contract</returns>
public OptionPriceModelResult Evaluate(Security security, Slice slice, OptionContract contract)
{
return new OptionPriceModelResult(security.Price, new FirstOrderGreeks());
}
