public bool Evaluate()
{
/*
* E = 10^-12
*
* A==B :: ABS(A-B) < E
*
* A>B :: A-B>= +E
*
* A<B :: A-B<= -E
*
* A>=B :: A-B> -E
*
* A<=B :: A-B< +E
*
* A!=B :: ABS(A-B)>= E
*/
if (sOriginalExpression != null && sOriginalExpression.Length > 0)
{
double epsilon = optionStrategy.instrument.tickSize / 1000;
Stack result = new Stack();
double oper1 = 0.0, oper2 = 0.0;
bool oper1bool = false, oper2bool = false;
ReversePolishNotationToken token = new ReversePolishNotationToken();
// While there are input tokens left
foreach (object obj in output)
{
// Read the next token from input.
token = (ReversePolishNotationToken)obj;
switch (token.TokenValueType)
{
case TokenType.Number:
// If the token is a value
// Push it onto the stack.
result.Push(double.Parse(token.TokenValue));
break;
case TokenType.Constant:
// If the token is a value
// Push it onto the stack.
result.Push(EvaluateConstant(token.TokenValue));
break;
case TokenType.GreaterThan:
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2 = (double)result.Pop();
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
//result.Push(oper1 > oper2);
result.Push(oper1 - oper2 >= epsilon);
}
break;
case TokenType.GreaterThanOrEqualTo:
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2 = (double)result.Pop();
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
//result.Push(oper1 >= oper2);
result.Push(oper1 - oper2 > -epsilon);
}
break;
case TokenType.LessThan:
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2 = (double)result.Pop();
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
//result.Push(oper1 < oper2);
result.Push(oper1 - oper2 <= -epsilon);
}
break;
case TokenType.LessThanOrEqualTo:
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2 = (double)result.Pop();
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
//result.Push(oper1 <= oper2);
result.Push(oper1 - oper2 < epsilon);
}
break;
case TokenType.EqualTo:
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2 = (double)result.Pop();
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
//result.Push(oper1 == oper2);
result.Push(Math.Abs(oper1 - oper2) < epsilon);
}
break;
case TokenType.And:
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2bool = (bool)result.Pop();
oper1bool = (bool)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(oper1bool && oper2bool);
}
break;
case TokenType.Or:
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2bool = (bool)result.Pop();
oper1bool = (bool)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(oper1bool || oper2bool);
}
break;
case TokenType.Plus:
// NOTE: n is 2 in this case
// If there are fewer than n values on the stack
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2 = (double)result.Pop();
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(oper1 + oper2);
}
break;
case TokenType.Minus:
// NOTE: n is 2 in this case
// If there are fewer than n values on the stack
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2 = (double)result.Pop();
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(oper1 - oper2);
}
break;
case TokenType.Multiply:
// NOTE: n is 2 in this case
// If there are fewer than n values on the stack
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2 = (double)result.Pop();
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(oper1 * oper2);
}
break;
case TokenType.Divide:
// NOTE: n is 2 in this case
// If there are fewer than n values on the stack
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2 = (double)result.Pop();
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(oper1 / oper2);
}
break;
case TokenType.Exponent:
// NOTE: n is 2 in this case
// If there are fewer than n values on the stack
if (result.Count >= 2)
{
// So, pop the top n values from the stack.
oper2 = (double)result.Pop();
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(Math.Pow(oper1, oper2));
}
break;
case TokenType.UnaryMinus:
// NOTE: n is 1 in this case
// If there are fewer than n values on the stack
if (result.Count >= 1)
{
// So, pop the top n values from the stack.
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(-oper1);
}
break;
case TokenType.Sine:
// NOTE: n is 1 in this case
// If there are fewer than n values on the stack
if (result.Count >= 1)
{
// So, pop the top n values from the stack.
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(Math.Sin(oper1));
}
break;
case TokenType.Cosine:
// NOTE: n is 1 in this case
// If there are fewer than n values on the stack
if (result.Count >= 1)
{
// So, pop the top n values from the stack.
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(Math.Cos(oper1));
}
break;
case TokenType.Tangent:
// NOTE: n is 1 in this case
// If there are fewer than n values on the stack
if (result.Count >= 1)
{
// So, pop the top n values from the stack.
oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(Math.Tan(oper1));
}
break;
case TokenType.SyntheticClose:
// NOTE: n is 1 in this case
// If there are fewer than n values on the stack
//if (result.Count >= 1)
{
// So, pop the top n values from the stack.
//oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(optionSpreadManager.getSyntheticClose(optionStrategy));
}
break;
case TokenType.Volume:
// NOTE: n is 1 in this case
// If there are fewer than n values on the stack
//if (result.Count >= 1)
{
// So, pop the top n values from the stack.
//oper1 = (double)result.Pop();
// Evaluate the function, with the values as arguments.
// Push the returned results, if any, back onto the stack.
result.Push(optionSpreadManager.getCumulativeVolume(optionStrategy));
}
break;
}
}
// If there is only one value in the stack
if (result.Count == 1)
{
// That value is the result of the calculation.
return((bool)result.Pop());
}
else
{
// If there are more values in the stack
// (Error) The user input too many values.
throw new Exception("Evaluation error!");
}
}
else
{
return(false);
}
}
public void Parse(string Expression)
{
output = new Queue();
ops = new Stack();
sOriginalExpression = Expression;
string sBuffer = Expression.ToLower();
// captures numbers. Anything like 11 or 22.34 is captured
sBuffer = Regex.Replace(sBuffer, @"(?<number>\d+(\.\d+)?)", " ${number} ");
// captures these symbols: + - * / ^ ( )
sBuffer = Regex.Replace(sBuffer, @"(?<ops>[+\-*/^()])", " ${ops} ");
// captures alphabets. Currently captures the two math constants PI and E,
// and the 3 basic trigonometry functions, sine, cosine and tangent
sBuffer = Regex.Replace(sBuffer, "(?<alpha>(pi|e|sin|cos|tan|synclose|volume|unreachable|>|<|>=|<=|==|and|or))", " ${alpha} ");
// trims up consecutive spaces and replace it with just one space
sBuffer = Regex.Replace(sBuffer, @"\s+", " ").Trim();
// The following chunk captures unary minus operations.
// 1) We replace every minus sign with the string "MINUS".
// 2) Then if we find a "MINUS" with a number or constant in front,
// then it's a normal minus operation.
// 3) Otherwise, it's a unary minus operation.
// Step 1.
sBuffer = Regex.Replace(sBuffer, "-", "MINUS");
// Step 2. Looking for pi or e or generic number \d+(\.\d+)?
sBuffer = Regex.Replace(sBuffer, @"(?<number>(pi|e|(\d+(\.\d+)?)))\s+MINUS", "${number} -");
// Step 3. Use the tilde ~ as the unary minus operator
sBuffer = Regex.Replace(sBuffer, "MINUS", "~");
sTransitionExpression = sBuffer;
// tokenise it!
saParsed = sBuffer.Split(" ".ToCharArray());
int i = 0;
double tokenvalue;
ReversePolishNotationToken token, opstoken;
for (i = 0; i < saParsed.Length; ++i)
{
token = new ReversePolishNotationToken();
token.TokenValue = saParsed[i];
token.TokenValueType = TokenType.None;
if (double.TryParse(token.TokenValue, out tokenvalue))
{
//tokenvalue = double.Parse(saParsed[i]);
token.TokenValueType = TokenType.Number;
// If the token is a number, then add it to the output queue.
output.Enqueue(token);
}
else
{
switch (saParsed[i])
{
case ">":
token.TokenValueType = TokenType.GreaterThan;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// while there is an operator, o2, at the top of the stack
while (IsOperatorToken(opstoken.TokenValueType))
{
// pop o2 off the stack, onto the output queue;
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
break;
}
}
}
// push o1 onto the operator stack.
ops.Push(token);
break;
case ">=":
token.TokenValueType = TokenType.GreaterThanOrEqualTo;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// while there is an operator, o2, at the top of the stack
while (IsOperatorToken(opstoken.TokenValueType))
{
// pop o2 off the stack, onto the output queue;
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
break;
}
}
}
// push o1 onto the operator stack.
ops.Push(token);
break;
case "<":
token.TokenValueType = TokenType.LessThan;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// while there is an operator, o2, at the top of the stack
while (IsOperatorToken(opstoken.TokenValueType))
{
// pop o2 off the stack, onto the output queue;
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
break;
}
}
}
// push o1 onto the operator stack.
ops.Push(token);
break;
case "<=":
token.TokenValueType = TokenType.LessThanOrEqualTo;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// while there is an operator, o2, at the top of the stack
while (IsOperatorToken(opstoken.TokenValueType))
{
// pop o2 off the stack, onto the output queue;
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
break;
}
}
}
// push o1 onto the operator stack.
ops.Push(token);
break;
case "==":
token.TokenValueType = TokenType.EqualTo;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// while there is an operator, o2, at the top of the stack
while (IsOperatorToken(opstoken.TokenValueType))
{
// pop o2 off the stack, onto the output queue;
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
break;
}
}
}
// push o1 onto the operator stack.
ops.Push(token);
break;
case "and":
token.TokenValueType = TokenType.And;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// while there is an operator, o2, at the top of the stack
while (IsOperatorToken(opstoken.TokenValueType))
{
// pop o2 off the stack, onto the output queue;
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
break;
}
}
}
// push o1 onto the operator stack.
ops.Push(token);
break;
case "or":
token.TokenValueType = TokenType.Or;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// while there is an operator, o2, at the top of the stack
while (IsOperatorToken(opstoken.TokenValueType))
{
// pop o2 off the stack, onto the output queue;
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
break;
}
}
}
// push o1 onto the operator stack.
ops.Push(token);
break;
case "+":
token.TokenValueType = TokenType.Plus;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// while there is an operator, o2, at the top of the stack
while (IsOperatorToken(opstoken.TokenValueType))
{
// pop o2 off the stack, onto the output queue;
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
break;
}
}
}
// push o1 onto the operator stack.
ops.Push(token);
break;
case "-":
token.TokenValueType = TokenType.Minus;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// while there is an operator, o2, at the top of the stack
while (IsOperatorToken(opstoken.TokenValueType))
{
// pop o2 off the stack, onto the output queue;
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
break;
}
}
}
// push o1 onto the operator stack.
ops.Push(token);
break;
case "*":
token.TokenValueType = TokenType.Multiply;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// while there is an operator, o2, at the top of the stack
while (IsOperatorToken(opstoken.TokenValueType))
{
if (opstoken.TokenValueType == TokenType.Plus || opstoken.TokenValueType == TokenType.Minus)
{
break;
}
else
{
// Once we're in here, the following algorithm condition is satisfied.
// o1 is associative or left-associative and its precedence is less than (lower precedence) or equal to that of o2, or
// o1 is right-associative and its precedence is less than (lower precedence) that of o2,
// pop o2 off the stack, onto the output queue;
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
break;
}
}
}
}
// push o1 onto the operator stack.
ops.Push(token);
break;
case "/":
token.TokenValueType = TokenType.Divide;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// while there is an operator, o2, at the top of the stack
while (IsOperatorToken(opstoken.TokenValueType))
{
if (opstoken.TokenValueType == TokenType.Plus || opstoken.TokenValueType == TokenType.Minus)
{
break;
}
else
{
// Once we're in here, the following algorithm condition is satisfied.
// o1 is associative or left-associative and its precedence is less than (lower precedence) or equal to that of o2, or
// o1 is right-associative and its precedence is less than (lower precedence) that of o2,
// pop o2 off the stack, onto the output queue;
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
break;
}
}
}
}
// push o1 onto the operator stack.
ops.Push(token);
break;
case "^":
token.TokenValueType = TokenType.Exponent;
// push o1 onto the operator stack.
ops.Push(token);
break;
case "~":
token.TokenValueType = TokenType.UnaryMinus;
// push o1 onto the operator stack.
ops.Push(token);
break;
case "(":
token.TokenValueType = TokenType.LeftParenthesis;
// If the token is a left parenthesis, then push it onto the stack.
ops.Push(token);
break;
case ")":
token.TokenValueType = TokenType.RightParenthesis;
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// Until the token at the top of the stack is a left parenthesis
while (opstoken.TokenValueType != TokenType.LeftParenthesis)
{
// pop operators off the stack onto the output queue
output.Enqueue(ops.Pop());
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
}
else
{
// If the stack runs out without finding a left parenthesis,
// then there are mismatched parentheses.
throw new Exception("Unbalanced parenthesis!");
}
}
// Pop the left parenthesis from the stack, but not onto the output queue.
ops.Pop();
}
if (ops.Count > 0)
{
opstoken = (ReversePolishNotationToken)ops.Peek();
// If the token at the top of the stack is a function token
if (IsFunctionToken(opstoken.TokenValueType))
{
// pop it and onto the output queue.
output.Enqueue(ops.Pop());
}
}
break;
case "pi":
token.TokenValueType = TokenType.Constant;
// If the token is a number, then add it to the output queue.
output.Enqueue(token);
break;
case "e":
token.TokenValueType = TokenType.Constant;
// If the token is a number, then add it to the output queue.
output.Enqueue(token);
break;
case "sin":
token.TokenValueType = TokenType.Sine;
// If the token is a function token, then push it onto the stack.
ops.Push(token);
break;
case "cos":
token.TokenValueType = TokenType.Cosine;
// If the token is a function token, then push it onto the stack.
ops.Push(token);
break;
case "tan":
token.TokenValueType = TokenType.Tangent;
// If the token is a function token, then push it onto the stack.
ops.Push(token);
break;
case "synclose":
token.TokenValueType = TokenType.SyntheticClose;
// If the token is a function token, then push it onto the stack.
output.Enqueue(token);
break;
case "volume":
token.TokenValueType = TokenType.Volume;
// If the token is a function token, then push it onto the stack.
output.Enqueue(token);
break;
case "unreachable":
token.TokenValueType = TokenType.UnreachableValue;
sIsUnReachable = true;
// If the token is a function token, then push it onto the stack.
output.Enqueue(token);
break;
}
}
}
// When there are no more tokens to read:
// While there are still operator tokens in the stack:
while (ops.Count != 0)
{
opstoken = (ReversePolishNotationToken)ops.Pop();
// If the operator token on the top of the stack is a parenthesis
if (opstoken.TokenValueType == TokenType.LeftParenthesis)
{
// then there are mismatched parenthesis.
throw new Exception("Unbalanced parenthesis!");
}
else
{
// Pop the operator onto the output queue.
output.Enqueue(opstoken);
}
}
sPostfixExpression = string.Empty;
ReversePolishNotationToken previousToken = new ReversePolishNotationToken();
previousToken.TokenValueType = TokenType.None;
ReversePolishNotationToken previousToken_2 = new ReversePolishNotationToken();
previousToken_2.TokenValueType = TokenType.None;
foreach (object obj in output)
{
opstoken = (ReversePolishNotationToken)obj;
sPostfixExpression += string.Format("{0} ", opstoken.TokenValue);
//switch (previousToken.TokenValueType)
//{
// case TokenType.SyntheticClose:
// sStrategyStateComparisonValues.syntheticCloseCompare = Convert.ToDouble(opstoken.TokenValue);
// break;
// case TokenType.Volume:
// sStrategyStateComparisonValues.volumeCompare = Convert.ToDouble(opstoken.TokenValue);
// break;
//}
if (opstoken.TokenValueType == TokenType.Number)
{
switch (previousToken.TokenValueType)
{
case TokenType.SyntheticClose:
sStrategyStateComparisonValues.syntheticCloseCompare = Convert.ToDouble(opstoken.TokenValue);
break;
case TokenType.Volume:
sStrategyStateComparisonValues.volumeCompare = Convert.ToDouble(opstoken.TokenValue);
break;
}
}
else if (opstoken.TokenValueType == TokenType.UnaryMinus)
{
if (previousToken.TokenValueType == TokenType.Number)
{
switch (previousToken_2.TokenValueType)
{
case TokenType.SyntheticClose:
sStrategyStateComparisonValues.syntheticCloseCompare = -sStrategyStateComparisonValues.syntheticCloseCompare;
break;
case TokenType.Volume:
sStrategyStateComparisonValues.volumeCompare = -sStrategyStateComparisonValues.volumeCompare;
break;
}
}
}
previousToken_2 = previousToken;
previousToken = opstoken;
}
}
