public void fillGrid(//Instrument instrument,
LiveADMDataList liveADMDataList, Instrument instrument, double futurePrice)
{
//this.liveADMDataList = liveADMDataList;
this.instrument = instrument;
this.futurePrice = futurePrice;
if (liveADMDataList.liveADMLegList.Count > 0)
{
// Type optionPLColTypes = typeof(OPTION_PL_COLUMNS);
// Array optionPLColTypesArray = Enum.GetNames(optionPLColTypes);
//Type optionSpreadContractTypes = typeof(OPTION_SPREAD_CONTRACT_TYPE);
//optionSpreadContractTypesArray = Enum.GetNames(optionSpreadContractTypes);
gridViewSpreadGrid.ColumnCount = optionArrayTypes.optionPLColTypesArray.Length - 1;
DataGridViewComboBoxColumn myCboBox = new DataGridViewComboBoxColumn();
for (int contractTypeCount = 0; contractTypeCount < optionArrayTypes.optionSpreadContractTypesArray.Length; contractTypeCount++)
{
myCboBox.Items.Add(optionArrayTypes.optionSpreadContractTypesArray.GetValue(contractTypeCount).ToString());
}
gridViewSpreadGrid.Columns.Insert(0, myCboBox);
gridViewSpreadGrid.EnableHeadersVisualStyles = false;
DataGridViewCellStyle colTotalPortStyle = gridViewSpreadGrid.ColumnHeadersDefaultCellStyle;
colTotalPortStyle.BackColor = Color.Black;
colTotalPortStyle.ForeColor = Color.White;
DataGridViewCellStyle rowTotalPortStyle = gridViewSpreadGrid.RowHeadersDefaultCellStyle;
rowTotalPortStyle.BackColor = Color.Black;
rowTotalPortStyle.ForeColor = Color.White;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.CONTRACT_TYPE].Width = 80;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.STRIKE].Width = 60;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.AVG_PRICE].Width = 60;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.NET].Width = 60;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.IMPLIED_VOL].Width = 60;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.DAYS_TO_EXP].Width = 60;
//gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.RISK_FREE].Width = 60;
StringBuilder sb = new StringBuilder();
for (int i = 0; i < optionArrayTypes.optionPLColTypesArray.Length; i++)
{
sb.Clear();
sb.Append(optionArrayTypes.optionPLColTypesArray.GetValue(i).ToString());
gridViewSpreadGrid
.Columns[i]
.HeaderCell.Value = sb.ToString().Replace('_', ' ');
}
gridViewSpreadGrid.RowCount = liveADMDataList.liveADMLegList.Count;
for (int legCount = 0; legCount < liveADMDataList.liveADMLegList.Count; legCount++)
{
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.CONTRACT_TYPE].Value =
optionArrayTypes.optionSpreadContractTypesArray.GetValue(liveADMDataList.liveADMLegList[legCount].callPutOrFuture).ToString();
//gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.STRIKE].Value =
// liveADMDataList.liveADMLegList[legCount].strike;
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.STRIKE].Value =
ConversionAndFormatting.convertToTickMovesString(
liveADMDataList.liveADMLegList[legCount].strike,
instrument.optionStrikeIncrement,
instrument.optionStrikeDisplay);
//ConversionAndFormatting.convertToTickMovesString(
// avgPrice,
// instrument.optionTickSize, instrument.optionTickDisplay);
double avgPrice = liveADMDataList.liveADMLegList[legCount].averagePrice;
//* instrument.admFuturePriceFactor;
if (liveADMDataList.liveADMLegList[legCount].callPutOrFuture ==
(int)OPTION_SPREAD_CONTRACT_TYPE.FUTURE)
{
//double decimals = Math.Pow(10,-(instrument.tickSize.ToString().Substring(
//instrument.tickSize.ToString().IndexOf(".") + 1).Length));
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value =
//liveADMDataList.liveADMLegList[legCount].averagePrice;
ConversionAndFormatting.convertToTickMovesString(
avgPrice,
instrument.tickSize, instrument.tickDisplay);
}
else
{
//double decimals = Math.Pow(10,-(instrument.optionTickSize.ToString().Substring(
//instrument.optionTickSize.ToString().IndexOf(".") + 1).Length));
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value =
//liveADMDataList.liveADMLegList[legCount].averagePrice;
ConversionAndFormatting.convertToTickMovesString(
avgPrice,
instrument.optionTickSize, instrument.optionTickDisplay);
}
//double1.ToString().Substring(double1.ToString().In dexOf(".")+1).Length
//gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value =
// liveADMDataList.liveADMLegList[legCount].averagePrice;
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.NET].Value =
liveADMDataList.liveADMLegList[legCount].numberOfContracts;
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.IMPLIED_VOL].Value = 0;
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.DAYS_TO_EXP].Value = 0;
//gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.RISK_FREE].Value = 0;
}
}
}
public void fillChart()
{
#if DEBUG
try
#endif
{
Series serPrice = new Series();
serPrice.ChartType = SeriesChartType.Line;
serPrice.Name = "Option PL";
//gridViewSpreadGrid.RowCount = liveADMDataList.liveADMLegList.Count;
int legCount = 0;
int futureIdx = -1;
while (legCount < gridViewSpreadGrid.RowCount)
{
String contractType = gridViewSpreadGrid.Rows[legCount]
.Cells[(int)OPTION_PL_COLUMNS.CONTRACT_TYPE].Value.ToString();
if (contractType.CompareTo(optionArrayTypes.optionSpreadContractTypesArray.GetValue(
(int)OPTION_SPREAD_CONTRACT_TYPE.FUTURE)) == 0)
{
futureIdx = legCount;
break;
}
legCount++;
}
int countOftest = 1000;
double futureAvgPrice;
if (futureIdx >= 0)
{
futureAvgPrice = ConversionAndFormatting.convertToTickMovesDouble(
gridViewSpreadGrid.Rows[futureIdx]
.Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value.ToString(),
instrument.tickSize, instrument.tickDisplay);
}
else
{
futureAvgPrice = futurePrice;
}
double[] futurePriceArray = new double[countOftest * 2 + 1];
//double futureAvgPrice = (double)gridViewSpreadGrid.Rows[futureIdx]
// .Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value;
//double futureAvgPrice = (double)gridViewSpreadGrid.Rows[futureIdx]
// .Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value;
//double futureAvgPrice = ConversionAndFormatting.convertToTickMovesDouble(
// gridViewSpreadGrid.Rows[futureIdx]
// .Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value.ToString(),
// instrument.tickSize, instrument.tickDisplay);
//futureAvgPrice /= instrument.admFuturePriceFactor;
double startOfTest =
futureAvgPrice
- countOftest *
instrument.tickSize;
//optionBuilderSpreadStructure[
// currentDateContractListMainIdx[aDMDataListSpreadCount][(int)OPTION_SPREAD_ROLL_INDEXES.OPTION_SPREAD_IDX]
// ].instrument.tickSize;
if (startOfTest < 0)
{
startOfTest = 0;
}
for (int count = 0; count < futurePriceArray.Length; count++)
{
futurePriceArray[count] = startOfTest +
count *
instrument.tickSize;
//optionBuilderSpreadStructure[
//currentDateContractListMainIdx[aDMDataListSpreadCount][(int)OPTION_SPREAD_ROLL_INDEXES.OPTION_SPREAD_IDX]
//].instrument.tickSize;
}
double[,] legPls = new double[gridViewSpreadGrid.RowCount, futurePriceArray.Length];
double[] spreadPl = new double[futurePriceArray.Length];
double riskFreeRate = Convert.ToDouble(riskFreeTextBox.Text) / 100;
for (int futurePointCount = 0; futurePointCount < futurePriceArray.Length; futurePointCount++)
{
double plTotal = 0;
legCount = 0;
//for (int legCounter = 0; legCounter < gridViewSpreadGrid.RowCount ;
// legCounter++)
while (legCount < gridViewSpreadGrid.RowCount)
{
int cellCount = 0;
bool continueThisLeg = true;
while (cellCount < gridViewSpreadGrid.Rows[legCount].Cells.Count)
{
if (gridViewSpreadGrid.Rows[legCount].Cells[cellCount].Value == null)
{
continueThisLeg = false;
break;
}
cellCount++;
}
if (continueThisLeg)
{
String contractType = gridViewSpreadGrid.Rows[legCount]
.Cells[(int)OPTION_PL_COLUMNS.CONTRACT_TYPE].Value.ToString();
//double strike = Convert.ToDouble(gridViewSpreadGrid.Rows[legCount]
// .Cells[(int)OPTION_PL_COLUMNS.STRIKE].Value);
double strike =
ConversionAndFormatting.convertToTickMovesDouble(
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.STRIKE].Value.ToString(),
instrument.optionStrikeIncrement,
instrument.optionStrikeDisplay);
double daysToExp = Convert.ToDouble(gridViewSpreadGrid.Rows[legCount]
.Cells[(int)OPTION_PL_COLUMNS.DAYS_TO_EXP].Value);
daysToExp /= 365;
double implVol = Convert.ToDouble(gridViewSpreadGrid.Rows[legCount]
.Cells[(int)OPTION_PL_COLUMNS.IMPLIED_VOL].Value);
//implVol = 15;
implVol /= 100;
double numOfContracts = Convert.ToDouble(gridViewSpreadGrid.Rows[legCount]
.Cells[(int)OPTION_PL_COLUMNS.NET].Value);
double avgPrice = 0; // Convert.ToDouble(gridViewSpreadGrid.Rows[legCount]
// .Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value);
if (contractType.CompareTo(optionArrayTypes.optionSpreadContractTypesArray.GetValue(
(int)OPTION_SPREAD_CONTRACT_TYPE.FUTURE)) == 0)
{
avgPrice = ConversionAndFormatting.convertToTickMovesDouble(
gridViewSpreadGrid.Rows[legCount]
.Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value.ToString(),
instrument.tickSize, instrument.tickDisplay);
}
else
{
if (instrument.secondaryOptionTickSizeRule > 0)
{
avgPrice = ConversionAndFormatting.convertToTickMovesDouble(
gridViewSpreadGrid.Rows[legCount]
.Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value.ToString(),
instrument.secondaryOptionTickSize, instrument.optionTickDisplay);
}
else
{
avgPrice = ConversionAndFormatting.convertToTickMovesDouble(
gridViewSpreadGrid.Rows[legCount]
.Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value.ToString(),
instrument.optionTickSize, instrument.optionTickDisplay);
}
}
char typeSymbol;
bool run = true;
double price;
double tickSize;
double tickValue;
if (contractType.CompareTo(optionArrayTypes.optionSpreadContractTypesArray.GetValue(
(int)OPTION_SPREAD_CONTRACT_TYPE.CALL)) == 0)
{
typeSymbol = 'C';
price = OptionCalcs.blackScholes(typeSymbol,
futurePriceArray[futurePointCount],
strike,
daysToExp, riskFreeRate,
implVol);
tickSize = instrument.optionTickSize;
tickValue = instrument.optionTickValue;
//run = false;
}
else if (contractType.CompareTo(optionArrayTypes.optionSpreadContractTypesArray.GetValue(
(int)OPTION_SPREAD_CONTRACT_TYPE.PUT)) == 0)
{
typeSymbol = 'P';
price = OptionCalcs.blackScholes(typeSymbol,
futurePriceArray[futurePointCount],
strike,
daysToExp, riskFreeRate,
implVol);
tickSize = instrument.optionTickSize;
tickValue = instrument.optionTickValue;
//run = false;
}
else
{
typeSymbol = 'F';
price = futurePriceArray[futurePointCount];
tickSize = instrument.tickSize;
tickValue = instrument.tickValue;
//run = true;
}
if (run)
{
double pl =
numOfContracts *
(price - avgPrice)
/ tickSize
* tickValue;
plTotal += pl;
legPls[legCount, futurePointCount] = pl;
}
}
legCount++;
}
spreadPl[futurePointCount] = plTotal;
DataPoint dp = new DataPoint();
dp.SetValueXY(
ConversionAndFormatting.convertToTickMovesString(
futurePriceArray[futurePointCount],
instrument.tickSize, instrument.tickDisplay),
//Math.Round(futurePriceArray[futurePointCount], 2),
plTotal);
//dp.SetValueY(plTotal);
serPrice.Points.Add(dp);
}
chart1.Series.Clear();
chart1.ResetAutoValues();
chart1.Series.Add(serPrice);
}
#if DEBUG
catch (Exception ex)
{
TSErrorCatch.errorCatchOut(Convert.ToString(this), ex);
}
#endif
}
public void fillGrid(//Instrument instrument,
OptionBuilderSpreadStructure optionBuilderSpreadStructure,
Instrument instrument, double futurePrice)
{
#if DEBUG
try
#endif
{
//this.liveADMDataList = liveADMDataList;
this.instrument = instrument;
this.futurePrice = futurePrice;
//if (liveADMDataList.liveADMLegList.Count > 0)
{
//Type optionPLColTypes = typeof(OPTION_PL_COLUMNS);
//Array optionPLColTypesArray = Enum.GetNames(optionPLColTypes);
//Type optionSpreadContractTypes = typeof(OPTION_SPREAD_CONTRACT_TYPE);
//optionSpreadContractTypesArray = Enum.GetNames(optionSpreadContractTypes);
gridViewSpreadGrid.ColumnCount = optionArrayTypes.optionPLColTypesArray.Length - 1;
DataGridViewComboBoxColumn myCboBox = new DataGridViewComboBoxColumn();
for (int contractTypeCount = 0; contractTypeCount < optionArrayTypes.optionSpreadContractTypesArray.Length; contractTypeCount++)
{
myCboBox.Items.Add(optionArrayTypes.optionSpreadContractTypesArray.GetValue(contractTypeCount).ToString());
}
gridViewSpreadGrid.Columns.Insert(0, myCboBox);
gridViewSpreadGrid.EnableHeadersVisualStyles = false;
DataGridViewCellStyle colTotalPortStyle = gridViewSpreadGrid.ColumnHeadersDefaultCellStyle;
colTotalPortStyle.BackColor = Color.Black;
colTotalPortStyle.ForeColor = Color.White;
DataGridViewCellStyle rowTotalPortStyle = gridViewSpreadGrid.RowHeadersDefaultCellStyle;
rowTotalPortStyle.BackColor = Color.Black;
rowTotalPortStyle.ForeColor = Color.White;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.CONTRACT_TYPE].Width = 80;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.STRIKE].Width = 60;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.AVG_PRICE].Width = 60;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.NET].Width = 60;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.IMPLIED_VOL].Width = 60;
gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.DAYS_TO_EXP].Width = 60;
//gridViewSpreadGrid.Columns[(int)OPTION_PL_COLUMNS.RISK_FREE].Width = 60;
StringBuilder sb = new StringBuilder();
for (int i = 0; i < optionArrayTypes.optionPLColTypesArray.Length; i++)
{
sb.Clear();
sb.Append(optionArrayTypes.optionPLColTypesArray.GetValue(i).ToString());
gridViewSpreadGrid
.Columns[i]
.HeaderCell.Value = sb.ToString().Replace('_', ' ');
}
gridViewSpreadGrid.RowCount = optionBuilderSpreadStructure.optionBuildLegStructureArray.Length;
for (int legCount = 0; legCount < optionBuilderSpreadStructure.optionBuildLegStructureArray.Length; legCount++)
{
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.CONTRACT_TYPE].Value =
optionArrayTypes.optionSpreadContractTypesArray.GetValue(
(int)optionBuilderSpreadStructure.optionBuildLegStructureArray[legCount]
.optionParameters[(int)OPTION_CONFIG_LIST.OPT_CALL_PUT_OR_FUT]).ToString();
//gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.STRIKE].Value =
// liveADMDataList.liveADMLegList[legCount].strike;
//ConversionAndFormatting.convertToTickMovesString(
// avgPrice,
// instrument.optionTickSize, instrument.optionTickDisplay);
//* instrument.admFuturePriceFactor;
if ((int)optionBuilderSpreadStructure.optionBuildLegStructureArray[legCount]
.optionParameters[(int)OPTION_CONFIG_LIST.OPT_CALL_PUT_OR_FUT] ==
(int)OPTION_SPREAD_CONTRACT_TYPE.FUTURE)
{
//double decimals = Math.Pow(10,-(instrument.tickSize.ToString().Substring(
//instrument.tickSize.ToString().IndexOf(".") + 1).Length));
//bool notFound = true;
int tempLegCounter = 0;
while (tempLegCounter < optionBuilderSpreadStructure.optionBuildLegStructureArray.Length)
{
if (
optionBuilderSpreadStructure.optionBuildLegStructureArray[tempLegCounter]
.optionBuildLegDataAtRollDateList[1].optionSettlementDataArray.Length > 0)
{
break;
}
tempLegCounter++;
}
if (tempLegCounter < optionBuilderSpreadStructure.optionBuildLegStructureArray.Length)
{
double avgPrice = optionBuilderSpreadStructure.optionBuildLegStructureArray[tempLegCounter]
.optionBuildLegDataAtRollDateList[1].optionSettlementDataArray.Last().underlyingFuturesContractSettlement;
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value =
ConversionAndFormatting.convertToTickMovesString(
avgPrice,
instrument.tickSize, instrument.tickDisplay);
}
else
{
double avgPrice = optionBuilderSpreadStructure.optionBuildLegStructureArray[legCount]
.optionBuildLegDataAtRollDateList[1].optionBuildContractLegDataPoint.Last().underlyingFutureClose;
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value =
ConversionAndFormatting.convertToTickMovesString(
avgPrice,
instrument.tickSize, instrument.tickDisplay);
}
}
else
{
//double decimals = Math.Pow(10,-(instrument.optionTickSize.ToString().Substring(
//instrument.optionTickSize.ToString().IndexOf(".") + 1).Length));
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.STRIKE].Value =
ConversionAndFormatting.convertToTickMovesString(
//optionBuilderSpreadStructure.optionBuildLegStructureArray[legCount]
// .optionBuildLegDataAtRollDateList.Last().optionStrikePrice,
optionBuilderSpreadStructure.optionBuildLegStructureArray[legCount]
.optionBuildLegDataAtRollDateList[1]
.optionSettlementDataArray.Last().strikePrice,
instrument.optionStrikeIncrement,
instrument.optionStrikeDisplay);
double avgPrice = optionBuilderSpreadStructure.optionBuildLegStructureArray[legCount]
.optionBuildLegDataAtRollDateList[1].optionSettlementDataArray.Last().optionSettlementPrice;
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.AVG_PRICE].Value =
//liveADMDataList.liveADMLegList[legCount].averagePrice;
ConversionAndFormatting.convertToTickMovesString(
avgPrice,
instrument.optionTickSize, instrument.optionTickDisplay);
}
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.NET].Value =
optionBuilderSpreadStructure.optionBuildLegStructureArray[legCount]
.optionParameters[(int)OPTION_CONFIG_LIST.OPT_CONTRACTS];
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.IMPLIED_VOL].Value = 0;
gridViewSpreadGrid.Rows[legCount].Cells[(int)OPTION_PL_COLUMNS.DAYS_TO_EXP].Value = 0;
}
}
fillChart();
}
#if DEBUG
catch (Exception ex)
{
TSErrorCatch.errorCatchOut(Convert.ToString(this), ex);
}
#endif
}
