/// <summary>
/// Retrieves available call and put options for a given ticker.
/// </summary>
/// <param name="mdq">The market data query.</param>
/// <param name="marketData">The requested market data.</param>
/// <returns>The result of the query.</returns>
private RefreshStatus GetCallPriceMarketData(MarketDataQuery mdq, out IMarketData marketData)
{
marketData = null;
Fairmat.MarketData.CallPriceMarketData data = new Fairmat.MarketData.CallPriceMarketData();
List <MEFFHistoricalQuote> options = MEFFAPI.GetOptions(mdq.Ticker, mdq.Date);
foreach (MEFFHistoricalQuote q in options)
{
Console.WriteLine(q.ContractCode + "\t" + q.StrikePrice + "\t" + q.MaturityDate.ToShortDateString() + "\t" + q.SettlPrice);
}
var status = OptionQuotesUtility.GetCallPriceMarketData(this, mdq, options.ConvertAll(x => (OptionQuotes.IOptionQuote)x), data);
if (status.HasErrors)
{
return(status);
}
marketData = data;
Console.WriteLine(data);
return(status);
}
/// <summary>
/// Retrieves available call and put options for a given ticker.
/// </summary>
/// <param name="mdq">The market data query.</param>
/// <param name="marketData">The requested market data.</param>
/// <returns>A <see cref="RefreshStatus"/> with the status of the result.</returns>
private RefreshStatus GetCallPriceMarketData(MarketDataQuery mdq, out IMarketData marketData)
{
marketData = null;
//Check if the market data is in cache
string cachedName = Path.Combine(Path.GetTempPath(), "CallPrices" + mdq.Ticker + mdq.Date.Year + mdq.Date.Month + mdq.Date.Day);
List <YahooOptionChain> optionChains = null;
if (System.IO.File.Exists(cachedName))
{
try
{
optionChains = (List <YahooOptionChain>)DVPLI.ObjectSerialization.ReadFromFile(cachedName);
}
catch
{
//Failed to read from cache
}
}
//if not found in cache try to get from the Yahoo service
if (optionChains == null)
{
//Yahoo returns only last traded options hence, we assume that the only
//valid dates are Today and Yesterday
DateTime tMax = DateTime.Today;
DateTime tMin = tMax.AddDays(-1);
if (tMax.DayOfWeek == DayOfWeek.Monday)
{
tMin = tMax.AddDays(-3);
}
if (mdq.Date.Date < tMin || mdq.Date.Date > tMax)
{
return(new RefreshStatus("Options are not available for the requested period. Set the valuation date to Yesterday"));
}
// Request options does not seems to give the option effectively
// tradaded at a given date but the options that are still being traded.
optionChains = YahooFinanceAPI.RequestOptions(mdq.Ticker);
try
{
DVPLI.ObjectSerialization.WriteToFile(cachedName, optionChains);
}
catch
{
}
}
Fairmat.MarketData.CallPriceMarketData data = new Fairmat.MarketData.CallPriceMarketData();
// Extract a list of YahooOption from the YahooOptionChain List.
List <YahooOption> options = new List <YahooOption>();
foreach (YahooOptionChain q in optionChains)
{
Console.WriteLine(q.Symbol + " " + q.Expiration);
foreach (YahooOption o in q.Options)
{
// Loads into YahooOption the needed information.
o.Maturity = q.Expiration;
options.Add(o);
}
}
// Populate the CallPriceMarketData data structure
var status = OptionQuotesUtility.GetCallPriceMarketData(this, mdq, options.ConvertAll(x => (IOptionQuote)x), data);
if (status.HasErrors)
{
return(status);
}
marketData = data;
Console.WriteLine(data);
return(status);
}
