public void SelectOption(string exchange, string contract, string expiredate)
{
var optionList = (from c in _contractList
where c.Exchange == exchange && c.UnderlyingContract == contract && c.ExpireDate == expiredate
select c).ToList();
var strikeList = (from o in optionList
orderby o.StrikePrice
select o.StrikePrice).Distinct().ToList();
var callList = (from o in optionList
where o.ContractType == (int)ContractType.CONTRACTTYPE_CALL_OPTION
orderby o.StrikePrice
select new ContractKeyVM(exchange, o.Contract)).ToList();
var putList = (from o in optionList
where o.ContractType == (int)ContractType.CONTRACTTYPE_PUT_OPTION
orderby o.StrikePrice
select new ContractKeyVM(exchange, o.Contract)).ToList();
ClearTheoPlot();
CallPutTDOptionVMCollection.Clear();
_optionTheoCallVMList.Clear();
_optionTheoPutVMList.Clear();
var retList = _otcHandler.MakeCallPutTDOptionData(strikeList, callList, putList);
foreach (var vm in retList)
{
CallPutTDOptionVMCollection.Add(vm);
_optionTheoCallVMList.Add(new KeyValuePair <ContractKeyVM, double>(vm.CallOptionVM, vm.StrikePrice));
_optionTheoPutVMList.Add(new KeyValuePair <ContractKeyVM, double>(vm.PutOptionVM, vm.StrikePrice));
VolatilityModelVM.TheoAskVolLine.Add(DataPoint.Undefined);
VolatilityModelVM.TheoBidVolLine.Add(DataPoint.Undefined);
VolatilityModelVM.TheoMidVolLine.Add(DataPoint.Undefined);
VolatilityModelVM.TheoAskVolLine1.Add(DataPoint.Undefined);
VolatilityModelVM.TheoBidVolLine1.Add(DataPoint.Undefined);
VolatilityModelVM.TheoMidVolLine1.Add(DataPoint.Undefined);
double value = (vm.PutStrategyVM != null && vm.PutStrategyVM.AskEnabled) ? 1 : 0;
VolatilityModelVM.TheoPutAskVolScatter.Add(new ScatterPoint(vm.StrikePrice, 0, 0, value, vm.PutStrategyVM));
value = (vm.PutStrategyVM != null && vm.PutStrategyVM.BidEnabled) ? 1 : 0;
VolatilityModelVM.TheoPutBidVolScatter.Add(new ScatterPoint(vm.StrikePrice, 0, 0, value, vm.PutStrategyVM));
value = (vm.CallStrategyVM != null && vm.CallStrategyVM.AskEnabled) ? 1 : 0;
VolatilityModelVM.TheoCallAskVolScatter.Add(new ScatterPoint(vm.StrikePrice, 0, 0, value, vm.CallStrategyVM));
value = (vm.CallStrategyVM != null && vm.CallStrategyVM.BidEnabled) ? 1 : 0;
VolatilityModelVM.TheoCallBidVolScatter.Add(new ScatterPoint(vm.StrikePrice, 0, 0, value, vm.CallStrategyVM));
}
}
private void pricingModelCB_SelectionChanged(object sender, SelectionChangedEventArgs e)
{
var modelParam = pricingModelCB.SelectedItem as ModelParamsVM;
if (modelParam != null)
{
riskFree_Interest.DataContext = modelParam;
var option = CallPutTDOptionVMCollection.FirstOrDefault();
if (option?.CallStrategyVM == null || option.CallStrategyVM.PricingModel == modelParam.InstanceName)
{
return;
}
option.CallStrategyVM.PricingModel = modelParam.InstanceName;
_otcOptionHandler.UpdateStrategyModel(option.CallStrategyVM, StrategyVM.Model.PM);
option.PutStrategyVM.PricingModel = modelParam.InstanceName;
_otcOptionHandler.UpdateStrategyModel(option.PutStrategyVM, StrategyVM.Model.PM);
}
}
private void Adjustment_ValueChanged(object sender, RoutedPropertyChangedEventArgs <object> e)
{
if (e.OldValue != null)
{
if (_otcOptionHandler != null)
{
var callPutTDOptionVM = CallPutTDOptionVMCollection.FirstOrDefault();
if (callPutTDOptionVM != null)
{
var strategyVM = callPutTDOptionVM.CallStrategyVM;
if (strategyVM != null)
{
var pricingContract = strategyVM.PricingContractParams.FirstOrDefault();
if (pricingContract != null)
{
pricingContract.Adjust = (double)e.NewValue;
_otcOptionHandler.UpdateStrategyPricingContracts(strategyVM, StrategyVM.Model.PM);
}
}
}
}
}
}
private async void expireDateCB_SelectionChanged(object sender, SelectionChangedEventArgs e)
{
if (AutoOrder_CheckBox.IsChecked.Value)
{
AutoOrderUpdate(false);
}
var exchange = exchangeCB.SelectedValue?.ToString();
if (exchange != null)
{
if (expireDateCB.SelectedValue != null)
{
var ed = expireDateCB.SelectedValue.ToString();
var uc = underlyingContractCB.SelectedValue.ToString();
var optionList = (from c in _contractList
where c.Exchange == exchange && c.UnderlyingContract == uc && c.ExpireDate == ed
select c).ToList();
var strikeList = (from o in optionList
orderby o.StrikePrice descending
select o.StrikePrice).Distinct().ToList();
var callList = (from o in optionList
where o.ContractType == (int)ContractType.CONTRACTTYPE_CALL_OPTION
orderby o.StrikePrice descending
select new ContractKeyVM(exchange, o.Contract)).ToList();
var putList = (from o in optionList
where o.ContractType == (int)ContractType.CONTRACTTYPE_PUT_OPTION
orderby o.StrikePrice descending
select new ContractKeyVM(exchange, o.Contract)).ToList();
var marketDataList = await _marketdataHandler.SubMarketDataAsync(optionList.Select(c => new ContractKeyVM(c.Exchange, c.Contract)));
var retList = _otcOptionHandler.MakeCallPutTDOptionData(strikeList, callList, putList, marketDataList);
_subbedContracts = await _otcOptionHandler.SubTradingDeskDataAsync(optionList.Select(c => new ContractKeyVM(c.Exchange, c.Contract)));
CallPutTDOptionVMCollection.Clear();
foreach (var vm in retList)
{
CallPutTDOptionVMCollection.Add(vm);
var CallPositionLong = 0;
var CallPositionShort = 0;
var PutPositionLong = 0;
var PutPositionShort = 0;
var CallPositionVMLong = _tradeExHandler.PositionVMCollection.FirstOrDefault(c => c.Contract == vm.CallOptionVM.Contract && c.Direction == PositionDirectionType.PD_LONG);
var PutPositionVMLong = _tradeExHandler.PositionVMCollection.FirstOrDefault(c => c.Contract == vm.PutOptionVM.Contract && c.Direction == PositionDirectionType.PD_LONG);
var CallPositionVMShort = _tradeExHandler.PositionVMCollection.FirstOrDefault(c => c.Contract == vm.CallOptionVM.Contract && c.Direction == PositionDirectionType.PD_SHORT);
var PutPositionVMShort = _tradeExHandler.PositionVMCollection.FirstOrDefault(c => c.Contract == vm.PutOptionVM.Contract && c.Direction == PositionDirectionType.PD_SHORT);
if (CallPositionVMLong != null)
{
CallPositionLong = CallPositionVMLong.Position;
}
if (CallPositionVMShort != null)
{
CallPositionShort = CallPositionVMShort.Position;
}
if (PutPositionVMLong != null)
{
PutPositionLong = PutPositionVMLong.Position;
}
if (PutPositionVMShort != null)
{
PutPositionShort = PutPositionVMShort.Position;
}
vm.PutOptionVM.Position = PutPositionLong - PutPositionShort;
vm.CallOptionVM.Position = CallPositionLong - CallPositionShort;
}
var strategyVM = CallPutTDOptionVMCollection.FirstOrDefault().CallStrategyVM ??
CallPutTDOptionVMCollection.LastOrDefault().CallStrategyVM;
if (strategyVM != null)
{
pricingModelCB.ItemsSource = null;
volModelLB.Content = null;
riskFree_Interest.DataContext = null;
adjustment.DataContext = null;
AutoOrder_CheckBox.DataContext = null;
underlyingEX1.ItemsSource = null;
underlyingCB1.ItemsSource = null;
orderConditionCombo.SelectedValue = null;
underlyingContractCB1.ItemsSource = null;
underlyingEX1.ItemsSource = _futurecontractList.Select(c => c.Exchange).Distinct();
pricingModelCB.ItemsSource = _otcOptionHandler.GetModelParamsVMCollection("pm");
if (strategyVM != null)
{
var pricingContractParamVM = strategyVM.PricingContractParams?.FirstOrDefault();
if (pricingContractParamVM != null)
{
var futureexchange = pricingContractParamVM.Exchange;
var futurecontract = pricingContractParamVM.Contract;
var futureunderlying = _futurecontractList.FirstOrDefault(c => c.Exchange == futureexchange && c.Contract == futurecontract)?.ProductID;
var adjust = pricingContractParamVM.Adjust;
var pricingmodel = strategyVM.PricingModel;
var volmodel = strategyVM.VolModel;
pricingModelCB.SelectedValue = pricingmodel;
underlyingEX1.SelectedValue = futureexchange;
underlyingCB1.SelectedValue = futureunderlying;
underlyingContractCB1.SelectedValue = futurecontract;
volModelLB.Content = volmodel;
adjustment.Value = adjust;
AutoOrder_CheckBox.DataContext = strategyVM;
CountertextBox.DataContext = strategyVM;
AutoMaxTradeUpdate((int)CountertextBox.Value);
TickSizeIUD.DataContext = strategyVM;
orderConditionCombo.SelectedValue = OrderConditionType.LIMIT;
var modelVM = pricingModelCB.SelectedItem as ModelParamsVM;
if (modelVM != null)
{
riskFree_Interest.DataContext = modelVM;
}
}
}
}
}
}
}
private void OnPositionUpdated(PositionVM vm)
{
CallPutTDOptionVMCollection.UpdatePosition(vm);
}
private void OnTradingDeskOptionParamsReceived(TradingDeskOptionVM vm)
{
CallPutTDOptionVMCollection.Update(vm);
}
