public static void HedgeStrategiesAgainstDelta(MySqlConnection conn, DataTable priceTable)
{
List <string> HedgeStrategyList = HedgeStrategies.GetStrategyList2Hedge(conn: conn);
List <string> DeltaStrategyList = HedgeStrategies.GetDeltaStrategyList(conn: conn);
string ActiveDeltaStrategy = DeltaStrategyList[DeltaStrategyList.Count - 1];
Console.WriteLine("Calculating hedges for strategies...");
foreach (string item in HedgeStrategyList)
{
Console.WriteLine(item);
HedgeStrategies.HedgeStrategyAgainstDelta(alias: item, deltaAlias: ActiveDeltaStrategy, conn: conn, priceTable: priceTable);
}
}
DataTable GenerateHedgeTable(MySqlConnection conn)
{
string DeltaStrategy = HedgeStrategies.GetDeltaStrategyList(conn: conn).Last();
//string DeltaStrategy = HedgeStrategies.GetDeltaStrategyList(conn: conn).First();
DataTable DeltaNetPosition = TA.Strategy.GetNetPosition(alias: DeltaStrategy, conn: conn);
DeltaNetPosition.Columns.Add("TickerHead", typeof(string));
DeltaNetPosition.Columns.Add("TickerClass", typeof(string));
DeltaNetPosition.Columns.Add("ContINDX", typeof(int));
for (int i = 0; i < DeltaNetPosition.Rows.Count; i++)
{
ContractUtilities.ContractSpecs Cs = ContractUtilities.ContractMetaInfo.GetContractSpecs(ticker: DeltaNetPosition.Rows[i].Field <string>("Ticker"));
DeltaNetPosition.Rows[i]["TickerHead"] = Cs.tickerHead;
DeltaNetPosition.Rows[i]["TickerClass"] = Cs.tickerClass;
DeltaNetPosition.Rows[i]["ContINDX"] = Cs.contINDX;
}
DataRow[] FlatCurvePositions = (from x in DeltaNetPosition.AsEnumerable()
where Underlying.FlatCurveTickerClassList.Any(b => x.Field <string>("TickerClass").Contains(b))
select x).ToArray();
DataRow[] NonFlatCurvePositions = (from x in DeltaNetPosition.AsEnumerable()
where !Underlying.FlatCurveTickerClassList.Any(b => x.Field <string>("TickerClass").Contains(b))
select x).ToArray();
DataTable FlatCurveHedgeTable = new DataTable();
FlatCurveHedgeTable.Columns.Add("Ticker", typeof(string));
FlatCurveHedgeTable.Columns.Add("TickerHead", typeof(string));
FlatCurveHedgeTable.Columns.Add("IsSpreadQ", typeof(bool));
FlatCurveHedgeTable.Columns.Add("Hedge", typeof(int));
DataTable NonFlatCurveHedgeTable = new DataTable();
NonFlatCurveHedgeTable.Columns.Add("Ticker", typeof(string));
NonFlatCurveHedgeTable.Columns.Add("TickerHead", typeof(string));
NonFlatCurveHedgeTable.Columns.Add("IsSpreadQ", typeof(bool));
NonFlatCurveHedgeTable.Columns.Add("Hedge", typeof(int));
if (FlatCurvePositions.Count() > 0)
{
DataTable FlatCurveTable = FlatCurvePositions.CopyToDataTable();
ContractUtilities.ContractList liquidContractList = new ContractUtilities.ContractList(FlatCurveTable.AsEnumerable().Select(s => s.Field <string>("TickerHead")).Distinct().ToArray());
Dictionary <string, string> LiquidContractDictionary = new Dictionary <string, string>();
foreach (string item in liquidContractList.dbTickerList)
{
LiquidContractDictionary.Add(ContractUtilities.ContractMetaInfo.GetContractSpecs(item).tickerHead, item);
}
var grouped = FlatCurveTable.AsEnumerable().GroupBy(r => r["TickerHead"]).Select(w => new
{
TickerHead = w.Key.ToString(),
Qty = w.Sum(r => decimal.Parse(r["Qty"].ToString())),
}).ToList();
for (int i = 0; i < grouped.Count; i++)
{
FlatCurveHedgeTable.Rows.Add();
FlatCurveHedgeTable.Rows[i]["Ticker"] = LiquidContractDictionary[grouped[i].TickerHead];
FlatCurveHedgeTable.Rows[i]["TickerHead"] = grouped[i].TickerHead;
FlatCurveHedgeTable.Rows[i]["IsSpreadQ"] = false;
FlatCurveHedgeTable.Rows[i]["Hedge"] = Math.Round(-grouped[i].Qty);
}
}
if (NonFlatCurvePositions.Count() > 0)
{
DataTable SortedNonFlatCurvePositions = NonFlatCurvePositions.AsEnumerable()
.OrderBy(r => r.Field <string>("TickerHead"))
.ThenBy(r => r.Field <int>("contINDX"))
.CopyToDataTable();
List <string> TickerHeadList = SortedNonFlatCurvePositions.AsEnumerable().Select(s => s.Field <string>("TickerHead")).Distinct().ToList();
for (int i = 0; i < TickerHeadList.Count(); i++)
{
DataTable TickerHeadPositions = SortedNonFlatCurvePositions.Select("TickerHead='" + TickerHeadList[i] + "'").CopyToDataTable();
if (TickerHeadPositions.Rows.Count == 1)
{
DataRow Row = NonFlatCurveHedgeTable.NewRow();
NonFlatCurveHedgeTable.Rows.Add();
Row["Ticker"] = TickerHeadPositions.Rows[0].Field <string>("Ticker");
Row["TickerHead"] = TickerHeadList[i];
Row["IsSpreadQ"] = false;
Row["Hedge"] = Math.Round(-TickerHeadPositions.Rows[0].Field <double>("Qty"));
NonFlatCurveHedgeTable.Rows.Add(Row);
continue;
}
int sum = (int)Math.Round(-TickerHeadPositions.AsEnumerable().Sum(x => x.Field <double>("Qty")));
int MaxIndex = TickerHeadPositions.Rows.IndexOf(TickerHeadPositions.Select("Qty = MAX(Qty)")[0]);
int MinIndex = TickerHeadPositions.Rows.IndexOf(TickerHeadPositions.Select("Qty = MIN(Qty)")[0]);
if (sum > 0)
{
DataRow Row = NonFlatCurveHedgeTable.NewRow();
Row["Ticker"] = TickerHeadPositions.Rows[MinIndex].Field <string>("Ticker");
Row["TickerHead"] = TickerHeadList[i];
Row["IsSpreadQ"] = false;
Row["Hedge"] = sum;
NonFlatCurveHedgeTable.Rows.Add(Row);
TickerHeadPositions.Rows[MinIndex]["Qty"] = TickerHeadPositions.Rows[MinIndex].Field <double>("Qty") + sum;
}
else if (sum < 0)
{
DataRow Row = NonFlatCurveHedgeTable.NewRow();
Row["Ticker"] = TickerHeadPositions.Rows[MaxIndex].Field <string>("Ticker");
Row["TickerHead"] = TickerHeadList[i];
Row["IsSpreadQ"] = false;
Row["Hedge"] = sum;
NonFlatCurveHedgeTable.Rows.Add(Row);
TickerHeadPositions.Rows[MaxIndex]["Qty"] = TickerHeadPositions.Rows[MaxIndex].Field <double>("Qty") + sum;
}
bool PositionCleanedQ = false;
while (!PositionCleanedQ)
{
var OrderedRows = TickerHeadPositions.AsEnumerable().OrderByDescending(x => x["Qty"]);
MaxIndex = TickerHeadPositions.Rows.IndexOf(OrderedRows.First());
MinIndex = TickerHeadPositions.Rows.IndexOf(OrderedRows.Last());
PositionCleanedQ = !((TickerHeadPositions.Rows[MaxIndex].Field <double>("Qty") > 0.5) & (TickerHeadPositions.Rows[MinIndex].Field <double>("Qty") < -0.5));
if (PositionCleanedQ)
{
break;
}
int qty = -(int)Math.Round(Math.Min(TickerHeadPositions.Rows[MaxIndex].Field <double>("Qty"), -TickerHeadPositions.Rows[MinIndex].Field <double>("Qty")));
string SpreadTicker;
int HedgeQty;
if (TickerHeadPositions.Rows[MaxIndex].Field <int>("ContINDX") < TickerHeadPositions.Rows[MinIndex].Field <int>("ContINDX"))
{
SpreadTicker = TickerHeadPositions.Rows[MaxIndex].Field <string>("Ticker") + "-" + TickerHeadPositions.Rows[MinIndex].Field <string>("Ticker");
HedgeQty = qty;
}
else
{
HedgeQty = -qty;
SpreadTicker = TickerHeadPositions.Rows[MinIndex].Field <string>("Ticker") + "-" + TickerHeadPositions.Rows[MaxIndex].Field <string>("Ticker");
}
DataRow Row = NonFlatCurveHedgeTable.NewRow();
Row["Ticker"] = SpreadTicker;
Row["TickerHead"] = TickerHeadList[i];
Row["IsSpreadQ"] = true;
Row["Hedge"] = HedgeQty;
NonFlatCurveHedgeTable.Rows.Add(Row);
TickerHeadPositions.Rows[MaxIndex]["Qty"] = TickerHeadPositions.Rows[MaxIndex].Field <double>("Qty") + qty;
TickerHeadPositions.Rows[MinIndex]["Qty"] = TickerHeadPositions.Rows[MinIndex].Field <double>("Qty") - qty;
}
}
}
FlatCurveHedgeTable.Merge(NonFlatCurveHedgeTable);
return(FlatCurveHedgeTable);
}
public static string GetActiveDeltaStrategy(MySqlConnection conn)
{
return(HedgeStrategies.GetDeltaStrategyList(conn: conn).Last());
}
