public static int GetNearestOptionStrikePrice(DerivativeSymbolQuote di, bool isCall, bool isBuy)
{
var symbol = di.UnderlyingSymbol;
//var isCall = StockUtils.IsCallOption(di.InstrumentType);
if (symbol != "NIFTY" && symbol != "CNXBAN")
{
return(-1);
}
var price = (int)di.LastTradedPriceDouble;
var mod = price % 100;
if (isCall)
{
price = price - mod + 100;
if (isBuy)
{
price += 100;
}
return(price);
}
else
{
price = price - mod;
if (!isBuy)
{
price -= 100;
}
return(price - mod);
}
}
public void UpdateMinMax()
{
// Update Min Max
DerivativeSymbolQuote maxDi = MaxTick.Di;
DerivativeSymbolQuote minDi = MinTick.Di;
PercChangeFromMax = 100 * ((StockUtils.GetPriceForAnalysis(CurrTick.Di) - StockUtils.GetPriceForAnalysis(maxDi)) / StockUtils.GetPriceForAnalysis(maxDi));
PercChangeFromMin = 100 * ((StockUtils.GetPriceForAnalysis(CurrTick.Di) - StockUtils.GetPriceForAnalysis(minDi)) / StockUtils.GetPriceForAnalysis(minDi));
if (PercChangeFromMax >= 0)
{
// New Max
MaxTick = CurrTick;
}
else if (PercChangeFromMin <= 0)
{
// New Min
MinTick = CurrTick;
}
// Get trend
if (Math.Abs(CurrTick.Di.PercChangeFromPrevious) > 1.5)
{
DominantDirection = CurrTick.Di.PercChangeFromPrevious > 0 ? MarketDirection.UP : MarketDirection.DOWN;
}
}
public static double GetPriceForAnalysis(DerivativeSymbolQuote di)
{
//if (AlgoParams.UseProbableTradeValue)
//{
// if (di.ProbableNextTradeValue != -1)
// return di.ProbableNextTradeValue;
//}
if (di.LastTradedPriceDouble > 0)
{
return(di.LastTradedPriceDouble);
}
return(di.LastTradedPriceDouble);
}
public DTick(DerivativeSymbolQuote di, int tickNumber)
{
Di = di;
TickNumber = tickNumber;
}
public static DerivativeSymbolQuote ParseTickString(string s, TickFormatType tickFormat)
{
if (string.IsNullOrEmpty(s))
{
return(null);
}
DerivativeSymbolQuote dqi = null;
try
{
if (tickFormat == TickFormatType.IEOD)
{
//ABB,20091007,09:55:07,786.10,786.10,786.10,786.10,0,0
string[] parts = s.Split(',');
IFormatProvider culture = new CultureInfo("en-US", true);
string dateString = parts[1] + ":" + parts[2];
DateTime dt = DateTime.ParseExact(dateString, "yyyyMMdd:HH:mm:ss", culture);
//string tempStr = parts[1].Insert(4, "-").Insert(7, "-");
//DateTime lastTradeTime = DateTime.Parse(tempStr);
//tempStr = parts[2];
//lastTradeTime += TimeSpan.Parse(tempStr);
double ltp = double.Parse(parts[3]);
//double bid = double.Parse(parts[4]);
//double offer = double.Parse(parts[5]);
// default 1000 offer and bid qty and volume traded as 0
//dqi = new DerivativeQuoteInformation(dt, LTP, bid, offer, 1000, 1000, 0);
dqi = new DerivativeSymbolQuote(dt, ltp, ltp, ltp, 1000, 1000, 0);
}
else if (tickFormat == TickFormatType.Custom)
{
//20090910:10:40:59;273.4;273.3;273.45;2500;2500;0
string[] parts = s.Split(';');
IFormatProvider culture = new CultureInfo("en-US", true);
DateTime dt = DateTime.ParseExact(parts[0], "yyyyMMdd:HH:mm:ss", culture);
int volumeTraded = 0;
if (parts.Length == 7)
{
volumeTraded = int.Parse(parts[6]);
}
dqi = new DerivativeSymbolQuote(
dt,
double.Parse(parts[1]),
double.Parse(parts[2]),
double.Parse(parts[3]),
int.Parse(parts[4]),
int.Parse(parts[5]),
volumeTraded
);
}
else if (tickFormat == TickFormatType.EOD)
{
// Date,Open,High,Low,Close,Volume,Adj Close
// 2011-04-13,675.00,694.30,665.75,687.75,743800,687.75
try
{
string[] parts = s.Split(',');
IFormatProvider culture = new CultureInfo("en-US", true);
DateTime dt = DateTime.ParseExact(parts[0], "yyyy-MM-dd", culture);
double ltp = double.Parse(parts[1]); // Some close prices are incorrect in EOD data files, so consider open price
double close = double.Parse(parts[4]); // close (adj close is highly variant and confusing)
dqi = new DerivativeSymbolQuote(
dt,
ltp,
ltp,
close,
1000,
1000,
0
);
}
catch { }
}
else if (tickFormat == TickFormatType.OnlyLTP)
{
// Date,LTP
// 20090910:10:40:59,273.4
try
{
string[] parts = s.Split(',');
IFormatProvider culture = new CultureInfo("en-US", true);
DateTime dt = DateTime.ParseExact(parts[0], "yyyyMMdd:HH:mm:ss", culture);
double ltp = double.Parse(parts[1]);
dqi = new DerivativeSymbolQuote(
dt,
ltp,
ltp,
ltp,
1000,
1000,
0
);
}
catch { }
}
}
catch (Exception ex)
{
Logger.LogException(ex);
}
return(dqi);
}
