/// <summary>
/// To get an option for the underlying futures.
/// </summary>
/// <param name="future">Underlying futures.</param>
/// <param name="provider">The provider of information about instruments.</param>
/// <param name="strike">Strike.</param>
/// <param name="expirationDate">The options expiration date.</param>
/// <param name="optionType">Option type.</param>
/// <returns>Options contract.</returns>
public static Security GetOption(this Security future, ISecurityProvider provider, decimal strike, DateTimeOffset expirationDate, OptionTypes optionType)
{
if (future == null)
{
throw new ArgumentNullException(nameof(future));
}
if (provider == null)
{
throw new ArgumentNullException(nameof(provider));
}
var option = provider
.Lookup(new Security
{
Strike = strike,
OptionType = optionType,
ExpiryDate = expirationDate,
UnderlyingSecurityId = future.Id
})
.FirstOrDefault();
if (option == null)
{
throw new ArgumentException(LocalizedStrings.Str707Params.Put(future.Id), nameof(future));
}
return(option);
}
/// <summary>
/// To get opposite option (for Call to get Put, for Put to get Call).
/// </summary>
/// <param name="option">Options contract.</param>
/// <param name="provider">The provider of information about instruments.</param>
/// <returns>The opposite option.</returns>
public static Security GetOppositeOption(this Security option, ISecurityProvider provider)
{
if (provider == null)
{
throw new ArgumentNullException(nameof(provider));
}
option.CheckOption();
var oppositeOption = provider
.Lookup(new Security
{
OptionType = option.OptionType == OptionTypes.Call ? OptionTypes.Put : OptionTypes.Call,
Strike = option.Strike,
ExpiryDate = option.ExpiryDate,
UnderlyingSecurityId = option.UnderlyingSecurityId,
})
.FirstOrDefault();
if (oppositeOption == null)
{
throw new ArgumentException(LocalizedStrings.Str706Params.Put(option.Id), nameof(option));
}
return(oppositeOption);
}
/// <summary>
/// To get derivatives by the underlying asset.
/// </summary>
/// <param name="asset">Underlying asset.</param>
/// <param name="provider">The provider of information about instruments.</param>
/// <param name="expirationDate">The expiration date.</param>
/// <returns>The list of derivatives.</returns>
/// <remarks>
/// It returns an empty list if derivatives are not found.
/// </remarks>
public static IEnumerable <Security> GetDerivatives(this Security asset, ISecurityProvider provider, DateTimeOffset?expirationDate = null)
{
return(provider.Lookup(new Security
{
UnderlyingSecurityId = asset.Id,
ExpiryDate = expirationDate,
}));
}
/// <inheritdoc />
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_subscriptions.Clear();
break;
}
case MessageTypes.SecurityLookup:
{
if (_securityProvider != null)
{
var lookupMsg = (SecurityLookupMessage)message;
var securities = lookupMsg.SecurityId == default
? _securityProvider.LookupAll()
: _securityProvider.Lookup(lookupMsg);
foreach (var security in securities)
{
SendOutMessage(security.Board.ToMessage());
SendOutMessage(security.ToMessage(originalTransactionId: lookupMsg.TransactionId));
}
SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = lookupMsg.TransactionId
});
return;
}
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.IsSubscribe)
{
_subscriptions.Add(mdMsg.TransactionId);
}
break;
}
case ExtendedMessageTypes.EmulationState:
SendOutMessage(message);
return;
}
base.OnSendInMessage(message);
}
/// <inheritdoc />
public IEnumerable <Security> Lookup(SecurityLookupMessage criteria)
{
return(_inner.SyncGet(d => d.Values.Filter(criteria).ToArray()).Concat(_underlying.Lookup(criteria)).Distinct());
}
/// <summary>
/// To get an option for the underlying futures.
/// </summary>
/// <param name="future">Underlying futures.</param>
/// <param name="provider">The provider of information about instruments.</param>
/// <param name="strike">Strike.</param>
/// <param name="expirationDate">The options expiration date.</param>
/// <param name="optionType">Option type.</param>
/// <returns>Options contract.</returns>
public static Security GetOption(this Security future, ISecurityProvider provider, decimal strike, DateTimeOffset expirationDate, OptionTypes optionType)
{
if (future == null)
throw new ArgumentNullException("future");
if (provider == null)
throw new ArgumentNullException("provider");
var option = provider
.Lookup(new Security
{
Strike = strike,
OptionType = optionType,
ExpiryDate = expirationDate,
UnderlyingSecurityId = future.Id
})
.FirstOrDefault();
if (option == null)
throw new ArgumentException(LocalizedStrings.Str707Params.Put(future.Id), "future");
return option;
}
/// <summary>
/// To get opposite option (for Call to get Put, for Put to get Call).
/// </summary>
/// <param name="option">Options contract.</param>
/// <param name="provider">The provider of information about instruments.</param>
/// <returns>The opposite option.</returns>
public static Security GetOppositeOption(this Security option, ISecurityProvider provider)
{
if (provider == null)
throw new ArgumentNullException("provider");
option.CheckOption();
var oppositeOption = provider
.Lookup(new Security
{
OptionType = option.OptionType == OptionTypes.Call ? OptionTypes.Put : OptionTypes.Call,
Strike = option.Strike,
ExpiryDate = option.ExpiryDate,
UnderlyingSecurityId = option.UnderlyingSecurityId,
})
.FirstOrDefault();
if (oppositeOption == null)
throw new ArgumentException(LocalizedStrings.Str706Params.Put(option.Id), "option");
return oppositeOption;
}
/// <summary>
/// To get derivatives by the underlying asset.
/// </summary>
/// <param name="asset">Underlying asset.</param>
/// <param name="provider">The provider of information about instruments.</param>
/// <param name="expirationDate">The expiration date.</param>
/// <returns>The list of derivatives.</returns>
/// <remarks>
/// It returns an empty list if derivatives are not found.
/// </remarks>
public static IEnumerable<Security> GetDerivatives(this Security asset, ISecurityProvider provider, DateTimeOffset? expirationDate = null)
{
return provider.Lookup(new Security
{
UnderlyingSecurityId = asset.Id,
ExpiryDate = expirationDate,
});
}
public override IEnumerable <Security> Lookup(Security criteria)
{
return(_securityProvider.Lookup(criteria));
}