internal static void FillNodeInfoDeribit(InteractivePointActive ip,
double f, double dT, IOptionStrikePair sInfo,
StrikeType optionType, OptionPxMode optPxMode,
double optPx, double optQty, double optSigma, DateTime optTime, bool returnPct, double riskfreeRatePct, double scaleMult)
{
// Вызов базовой реализации
FillNodeInfo(ip, f, dT, sInfo, optionType, optPxMode, optPx, optQty, optSigma, optTime, returnPct, riskfreeRatePct);
// Заменяю тултип, чтобы в нем были и биткойны и доллары
var opTypeStr = String.Intern(optionType.ToString());
var opTypeSpace = String.Intern(new string(' ', opTypeStr.Length));
// Пробелы по виду занимают меньше места, чем буквы, поэтому чуть-чуть подравниваю?
opTypeSpace += " ";
if (optQty > 0)
{
ip.Tooltip = String.Format(CultureInfo.InvariantCulture,
" K:{0}; IV:{1:###0.00}%\r\n" +
" {2} px(B) {3:##0.0000} qty {4}\r\n" +
" {5} px($) {6:######0.00} qty {4}",
sInfo.Strike, optSigma * Constants.PctMult, opTypeStr, optPx, optQty,
opTypeSpace, optPx * scaleMult);
}
else
{
ip.Tooltip = String.Format(CultureInfo.InvariantCulture,
" K:{0}; IV:{1:###0.00}%\r\n" +
" {2} px(B) {3:##0.0000}\r\n" +
" {4} px($) {5:######0.00}",
sInfo.Strike, optSigma * Constants.PctMult, opTypeStr, optPx,
opTypeSpace, optPx * scaleMult);
}
}
public InteractiveSeries Execute(ISecurity security)
{
var interactiveObjects = new List <InteractiveObject>();
for (byte i = 0; i < 31; i++)
{
var j = (byte)(i << 3);
var interactivePointActive = new InteractivePointActive(i, i)
{
BackColor = new Color(j, 0, 0),
ForeColor = new Color(0, j, 0),
IsActive = true,
Label = i.ToString(),
Color = new AlphaColor(255, j, 0, 0),
DateTime = DateTime.UtcNow.AddDays(1),
ValueXBackColor = new AlphaColor(255, j, 0, 0),
ValueXForeColor = new AlphaColor(255, 0, j, 0),
ValueYBackColor = new AlphaColor(255, 0, j, 0),
ValueYForeColor = new AlphaColor(255, 0, 0, j),
DateTimeBackColor = new AlphaColor(255, 0, 0, j),
DateTimeForeColor = new AlphaColor(255, j, 0, 0),
};
interactiveObjects.Add(new InteractiveObject {
Anchor = interactivePointActive
});
}
return(new InteractiveSeries(interactiveObjects));
}
internal static void FillNodeInfo(InteractivePointActive ip,
double f, double dT, IOptionStrikePair sInfo,
StrikeType optionType, OptionPxMode optPxMode,
double optSigma, bool returnPct, bool isVisiblePoints, double scaleMult, double riskfreeRatePct)
{
if (optionType == StrikeType.Any)
{
throw new ArgumentException("Option type 'Any' is not supported.", "optionType");
}
bool isCall = (optionType == StrikeType.Call);
double optPx = FinMath.GetOptionPrice(f, sInfo.Strike, dT, optSigma, 0, isCall);
// Сразу переводим котировку из баксов в битки
optPx /= scaleMult;
// ReSharper disable once UseObjectOrCollectionInitializer
SmileNodeInfo nodeInfo = new SmileNodeInfo();
nodeInfo.F = f;
nodeInfo.dT = dT;
nodeInfo.RiskFreeRate = riskfreeRatePct;
nodeInfo.Sigma = returnPct ? optSigma * Constants.PctMult : optSigma;
nodeInfo.OptPx = optPx;
nodeInfo.Strike = sInfo.Strike;
// Сюда мы приходим когда хотим торговать, поэтому обращение к Security уместно
nodeInfo.Security = (optionType == StrikeType.Put) ? sInfo.Put.Security : sInfo.Call.Security;
nodeInfo.PxMode = optPxMode;
nodeInfo.OptionType = optionType;
nodeInfo.Pair = sInfo;
//nodeInfo.ScriptTime = optTime;
nodeInfo.CalendarTime = DateTime.Now;
nodeInfo.Symbol = nodeInfo.Security.Symbol;
nodeInfo.DSName = nodeInfo.Security.SecurityDescription.DSName;
nodeInfo.Expired = nodeInfo.Security.SecurityDescription.Expired;
nodeInfo.FullName = nodeInfo.Security.SecurityDescription.FullName;
ip.Tag = nodeInfo;
//ip.Color = Colors.Yellow;
ip.IsActive = isVisiblePoints;
ip.Geometry = Geometries.Ellipse;
ip.DragableMode = DragableMode.None;
//ip.Value = new System.Windows.Point(sInfo.Strike, nodeInfo.Sigma);
// Поскольку цены скорее всего расчетные, показываю на 1 знак болььше, чем объявлена точность в инструменте
int decim = Math.Max(0, nodeInfo.Security.Decimals + 1);
string optPxStr = optPx.ToString("N" + decim, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture,
" K: {0}; IV: {1:#0.00}%\r\n {2} px {3}",
sInfo.Strike, optSigma * Constants.PctMult, optionType, optPx);
}
public InteractiveSeries Execute(InteractiveSeries ser1, InteractiveSeries ser2, int barNum)
{
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
if ((ser1 == null) && (ser2 == null))
{
return(Constants.EmptySeries);
}
else if ((ser1 == null) && (ser2 != null))
{
return(ser2);
}
else if ((ser1 != null) && (ser2 == null))
{
return(ser1);
}
var query = (from s1 in ser1.ControlPoints
from s2 in ser2.ControlPoints
where DoubleUtil.AreClose(s1.Anchor.Value.X, s2.Anchor.Value.X)
select new { cp1 = s1, cp2 = s2 });
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (var pair in query)
{
double x = pair.cp1.Anchor.Value.X;
double y = pair.cp1.Anchor.Value.Y + pair.cp2.Anchor.Value.Y;
InteractivePointActive ip = new InteractivePointActive(x, y);
//ip.Geometry = Geometries.Rect;
ip.Tooltip = String.Format("F:{0}; PnL:{1}", x, y);
controlPoints.Add(new InteractiveObject(ip));
}
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
return(res);
}
private void InteractiveSplineOnClickEvent(object sender, InteractiveActionEventArgs eventArgs)
{
OptionPxMode pxMode = m_isLong ? OptionPxMode.Ask : OptionPxMode.Bid;
PositionsManager posMan = PositionsManager.GetManager(m_context);
// Из практики торговли часто бывает ситуация, что торговля заблокирована, а снять задачу котирования УЖЕ хочется.
//if (posMan.BlockTrading)
//{
// //string msg = String.Format("[{0}] Trading is blocked. Please, change 'Block Trading' parameter.", m_optionPxMode);
// string msg = String.Format(RM.GetString("OptHandlerMsg.PositionsManager.TradingBlocked"), pxMode);
// m_context.Log(msg, MessageType.Info, true);
// return;
//}
InteractivePointActive tmp = eventArgs.Point;
if ((tmp.Tag == null) || (!(tmp.Tag is PositionsManager.IvTargetInfo)))
{
string msg = String.Format("[{0}.ClickEvent] Denied #1", GetType().Name);
m_context.Log(msg, MessageType.Warning, false);
return;
}
{
string msg = String.Format(CultureInfo.InvariantCulture, "[{0}.ClickEvent] Strike: {1}", GetType().Name, eventArgs.Point.ValueX);
m_context.Log(msg, MessageType.Warning, false);
}
var ivTarget = tmp.Tag as PositionsManager.IvTargetInfo;
// Передаю событие в PositionsManager
//posMan.InteractiveSplineOnQuoteIvEvent(m_context, sender, eventArgs);
// ОЧЕНЬ БОЛЬШОЙ ВОПРОС ЧТО БУДЕТ С КОНТЕКСТОМ ПРИ ЭТОМ???
int res = posMan.CancelVolatility(m_context, ivTarget, "Left-click");
if (res > 0)
{
string msg = String.Format(RM.GetString("OptHandlerMsg.PositionsManager.IvTargetCancelled"), pxMode, ivTarget);
m_context.Log(msg, MessageType.Info, true, new Dictionary <string, object> {
{ "VOLATILITY_ORDER_CANCELLED", msg }
});
// Вызываем принудительный пересчет агента, чтобы немедленно убрать заявку из стакана
m_context.Recalc();
}
}
internal static void FillNodeInfo(InteractivePointActive ip,
double f, double dT, IOptionStrikePair sInfo,
StrikeType optionType, OptionPxMode optPxMode,
double optSigma, bool returnPct, bool isVisiblePoints, double riskfreeRatePct)
{
if (optionType == StrikeType.Any)
{
throw new ArgumentException("Option type 'Any' is not supported.", "optionType");
}
bool isCall = (optionType == StrikeType.Call);
double optPx = FinMath.GetOptionPrice(f, sInfo.Strike, dT, optSigma, 0, isCall);
// ReSharper disable once UseObjectOrCollectionInitializer
SmileNodeInfo nodeInfo = new SmileNodeInfo();
nodeInfo.F = f;
nodeInfo.dT = dT;
nodeInfo.RiskFreeRate = riskfreeRatePct;
nodeInfo.Sigma = returnPct ? optSigma * Constants.PctMult : optSigma;
nodeInfo.OptPx = optPx;
nodeInfo.Strike = sInfo.Strike;
// Сюда мы приходим когда хотим торговать, поэтому обращение к Security уместно
nodeInfo.Security = (optionType == StrikeType.Put) ? sInfo.Put.Security : sInfo.Call.Security;
nodeInfo.PxMode = optPxMode;
nodeInfo.OptionType = optionType;
nodeInfo.Pair = sInfo;
//nodeInfo.ScriptTime = optTime;
nodeInfo.CalendarTime = DateTime.Now;
nodeInfo.Symbol = nodeInfo.Security.Symbol;
nodeInfo.DSName = nodeInfo.Security.SecurityDescription.DSName;
nodeInfo.Expired = nodeInfo.Security.SecurityDescription.Expired;
nodeInfo.FullName = nodeInfo.Security.SecurityDescription.FullName;
ip.Tag = nodeInfo;
ip.Color = AlphaColors.Yellow;
ip.IsActive = isVisiblePoints;
ip.Geometry = Geometries.Ellipse;
ip.DragableMode = DragableMode.None;
//ip.Value = new System.Windows.Point(sInfo.Strike, nodeInfo.Sigma);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture,
"F:{0}; K:{1}; IV:{2:#0.00}%\r\n{3} px {4}",
f, sInfo.Strike, optSigma * Constants.PctMult, optionType, optPx);
}
protected static void FillNodeInfo(InteractivePointLight ip,
double f, double dT, IOptionStrikePair sInfo,
StrikeType optionType, OptionPxMode optPxMode,
double optSigma, bool returnPct, double pctRate)
{
if (optionType == StrikeType.Any)
{
throw new ArgumentException("Option type 'Any' is not supported.", "optionType");
}
bool isCall = (optionType == StrikeType.Call);
double optPx = FinMath.GetOptionPrice(f, sInfo.Strike, dT, optSigma, pctRate, isCall);
// ReSharper disable once UseObjectOrCollectionInitializer
SmileNodeInfo nodeInfo = new SmileNodeInfo();
nodeInfo.F = f;
nodeInfo.dT = dT;
nodeInfo.RiskFreeRate = pctRate;
nodeInfo.Sigma = returnPct ? optSigma * Constants.PctMult : optSigma;
nodeInfo.OptPx = optPx;
nodeInfo.Strike = sInfo.Strike;
nodeInfo.Security = (optionType == StrikeType.Put) ? sInfo.Put.Security : sInfo.Call.Security;
nodeInfo.PxMode = optPxMode;
nodeInfo.OptionType = optionType;
nodeInfo.Pair = sInfo;
//nodeInfo.ScriptTime = optTime;
nodeInfo.CalendarTime = DateTime.Now;
nodeInfo.Symbol = nodeInfo.Security.Symbol;
nodeInfo.DSName = nodeInfo.Security.SecurityDescription.DSName;
nodeInfo.FullName = nodeInfo.Security.SecurityDescription.FullName;
nodeInfo.Expired = nodeInfo.Security.SecurityDescription.Expired;
ip.Tag = nodeInfo;
ip.Value = new Point(sInfo.Strike, nodeInfo.Sigma);
if (ip is InteractivePointActive)
{
InteractivePointActive ipa = (InteractivePointActive)ip;
ipa.Tooltip = String.Format("K:{0}; IV:{1:#0.00}%\r\n{2} {3} @ {4}",
sInfo.Strike, optSigma * Constants.PctMult, optionType, optPx, DefaultOptQty);
}
}
protected static void FillNodeInfo(InteractivePointActive ip,
double f, double dT, IOptionStrikePair sInfo,
StrikeType optionType, OptionPxMode optPxMode,
double optSigma, bool returnPct, bool isVisiblePoints)
{
if (optionType == StrikeType.Any)
{
throw new ArgumentException("Option type 'Any' is not supported.", "optionType");
}
bool isCall = (optionType == StrikeType.Call);
double optPx = FinMath.GetOptionPrice(f, sInfo.Strike, dT, optSigma, 0, isCall);
SmileNodeInfo nodeInfo = new SmileNodeInfo();
nodeInfo.F = f;
nodeInfo.dT = dT;
nodeInfo.Sigma = returnPct ? optSigma * Constants.PctMult : optSigma;
nodeInfo.OptPx = optPx;
nodeInfo.Strike = sInfo.Strike;
nodeInfo.Security = (optionType == StrikeType.Put) ? sInfo.Put.Security : sInfo.Call.Security;
nodeInfo.PxMode = optPxMode;
nodeInfo.OptionType = optionType;
nodeInfo.Pair = sInfo;
//nodeInfo.ScriptTime = optTime;
nodeInfo.CalendarTime = DateTime.Now;
nodeInfo.Symbol = nodeInfo.Security.Symbol;
nodeInfo.Expired = nodeInfo.Security.SecurityDescription.Expired;
ip.Tag = nodeInfo;
ip.Color = AlphaColors.Yellow;
ip.IsActive = isVisiblePoints;
ip.Geometry = Geometries.Ellipse;
ip.DragableMode = DragableMode.None;
//ip.Value = new System.Windows.Point(sInfo.Strike, nodeInfo.Sigma);
ip.Tooltip = String.Format("F:{0}; K:{1}; IV:{2:#0.00}%\r\n{3} {4} @ {5}",
f, sInfo.Strike, optSigma * Constants.PctMult, optionType, optPx, DefaultOptQty);
}
/// <summary>
/// Обработчик под тип входных данных INTERACTIVESPLINE
/// </summary>
/// <param name="price">цена БА</param>
/// <param name="time">время до экспирации в долях года</param>
/// <param name="optPrices">опционные цены</param>
/// <param name="rate">процентная ставка</param>
/// <param name="barNum">индекс бара в серии</param>
/// <returns>улыбка, восстановленная из цен опционов</returns>
public InteractiveSeries Execute(double price, double time, InteractiveSeries optPrices, double scaleMult, double rate, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optPrices == null) || (optPrices.ControlPoints.Count <= 0))
{
return(Constants.EmptySeries);
}
IReadOnlyList <InteractiveObject> cps = optPrices.ControlPoints;
double f = price;
double dT = time;
if (!DoubleUtil.IsPositive(f))
{
//throw new ScriptException("Argument 'price' contains NaN for some strange reason. f:" + f);
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(scaleMult))
{
//throw new ScriptException("Argument 'scaleMult' contains NaN for some strange reason. scaleMult:" + scaleMult);
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(dT))
{
return(Constants.EmptySeries);
}
if (Double.IsNaN(rate))
{
//throw new ScriptException("Argument 'rate' contains NaN for some strange reason. rate:" + rate);
return(Constants.EmptySeries);
}
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
for (int j = 0; j < cps.Count; j++)
{
InteractiveObject strikeObj = cps[j];
double strike = strikeObj.Anchor.ValueX;
// Сверхдалекие страйки игнорируем
if ((strike < m_minStrike) || (m_maxStrike < strike))
{
continue;
}
double optPx;
double stradlePx = Double.NaN;
double putPx = Double.NaN, callPx = Double.NaN;
if (m_optionType == StrikeType.Put)
{
putPx = strikeObj.Anchor.ValueY;
optPx = putPx;
// Здесь нельзя сразу домножать на scaleMultiplier! Потому что тогда в метод FillNodeInfo пойдут бредовые цены.
}
else if (m_optionType == StrikeType.Call)
{
callPx = strikeObj.Anchor.ValueY;
optPx = callPx;
// Здесь нельзя сразу домножать на scaleMultiplier! Потому что тогда в метод FillNodeInfo пойдут бредовые цены.
}
else
{
stradlePx = strikeObj.Anchor.ValueY;
optPx = stradlePx;
// Здесь нельзя сразу домножать на scaleMultiplier! Потому что тогда в метод FillNodeInfo пойдут бредовые цены.
}
double sigma = Double.NaN;
double putSigma = Double.NaN, callSigma = Double.NaN, stradleSigma = Double.NaN, precision;
if (DoubleUtil.IsPositive(putPx))
{
// Цену опциона переводим в баксы только в момент вычисления айви
putSigma = FinMath.GetOptionSigma(f, strike, dT, putPx * scaleMult, rate, false, out precision);
putSigma = Math.Min(putSigma, m_maxSigma);
if (putSigma <= 0)
{
putSigma = Double.NaN;
}
else
{
if (m_optionType == StrikeType.Put)
{
sigma = putSigma;
}
}
}
if (DoubleUtil.IsPositive(callPx))
{
// Цену опциона переводим в баксы только в момент вычисления айви
callSigma = FinMath.GetOptionSigma(f, strike, dT, callPx * scaleMult, rate, true, out precision);
callSigma = Math.Min(callSigma, m_maxSigma);
if (callSigma <= 0)
{
callSigma = Double.NaN;
}
else
{
if (m_optionType == StrikeType.Call)
{
sigma = callSigma;
}
}
}
if (DoubleUtil.IsPositive(stradlePx))
{
// Цену опциона переводим в баксы только в момент вычисления айви
stradleSigma = FinMath.GetStradleSigma(f, strike, dT, stradlePx * scaleMult, rate, out precision);
stradleSigma = Math.Min(stradleSigma, m_maxSigma);
if (stradleSigma <= 0)
{
stradleSigma = Double.NaN;
}
else
{
if (m_optionType == StrikeType.Any)
{
sigma = stradleSigma;
}
}
}
if (Double.IsNaN(sigma) || (sigma <= 0) ||
Double.IsNaN(optPx) || (optPx <= 0))
{
continue;
}
InteractivePointActive ip = new InteractivePointActive();
{
//ip.Color = (m_optionPxMode == OptionPxMode.Ask) ? Colors.DarkOrange : Colors.DarkCyan;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect; // (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
//ip.IsActive = true;
ip.Value = new Point(strike, sigma);
string nowStr = DateTime.Now.ToString(DateTimeFormatWithMs, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "K:{0}; IV:{1:#0.00}%\r\n{2} {3} @ {4}\r\nDate: {5}",
strike, sigma * Constants.PctMult, m_optionType, optPx, 1, nowStr);
}
InteractiveObject obj = new InteractiveObject(ip);
if (m_optionType == StrikeType.Put)
{
if (!Double.IsNaN(putSigma))
{
//FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Put, m_optionPxMode, putPx, putQty, putSigma, putTime, false);
controlPoints.Add(obj);
}
}
else if (m_optionType == StrikeType.Call)
{
if (!Double.IsNaN(callSigma))
{
//FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Call, m_optionPxMode, callPx, callQty, callSigma, callTime, false);
controlPoints.Add(obj);
}
}
else if (m_optionType == StrikeType.Any)
{
if (!Double.IsNaN(stradleSigma))
{
if (m_optionPxMode == OptionPxMode.Ask)
{
//if (putSigma < callSigma)
// FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Put, m_optionPxMode, putPx, putQty, putSigma, putTime, false);
//else
// FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Call, m_optionPxMode, callPx, callQty, callSigma, callTime, false);
}
else if (m_optionPxMode == OptionPxMode.Bid)
{
//if (putSigma > callSigma)
// FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Put, m_optionPxMode, putPx, putQty, putSigma, putTime, false);
//else
// FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Call, m_optionPxMode, callPx, callQty, callSigma, callTime, false);
}
controlPoints.Add(obj);
}
}
}
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
SmileInfo info;
if (!IvSmile.TryPrepareSmileInfo(m_context, f, dT, rate, new DateTime(), new DateTime(), null, res, out info))
{
return(Constants.EmptySeries);
}
return(res);
}
/// <summary>
/// Обработчик под тип входных данных OPTION_SERIES
/// </summary>
/// <param name="price">цена БА</param>
/// <param name="time">время до экспирации в долях года</param>
/// <param name="optSer">опционная серия</param>
/// <param name="rate">процентная ставка</param>
/// <param name="barNum">индекс бара в серии</param>
/// <returns>улыбка, восстановленная из цен опционов</returns>
public InteractiveSeries Execute(double price, double time, IOptionSeries optSer, double scaleMult, double rate, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.EmptySeries);
}
double f = price;
double dT = time;
if (!DoubleUtil.IsPositive(f))
{
//throw new ScriptException("Argument 'price' contains NaN for some strange reason. f:" + f);
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(scaleMult))
{
//throw new ScriptException("Argument 'scaleMult' contains NaN for some strange reason. scaleMult:" + scaleMult);
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(dT))
{
return(Constants.EmptySeries);
}
if (Double.IsNaN(rate))
{
//throw new ScriptException("Argument 'rate' contains NaN for some strange reason. rate:" + rate);
return(Constants.EmptySeries);
}
IOptionStrikePair[] strikes = (from strike in optSer.GetStrikePairs()
//orderby strike.Strike ascending -- уже отсортировано
select strike).ToArray();
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
for (int j = 0; j < strikes.Length; j++)
{
IOptionStrikePair sInfo = strikes[j];
// Сверхдалекие страйки игнорируем
if ((sInfo.Strike < m_minStrike) || (m_maxStrike < sInfo.Strike))
{
continue;
}
double putPxBtc, callPxBtc, putPxUsd, callPxUsd;
double putQty, callQty;
DateTime putTime, callTime;
{
putPxBtc = IvSmile.GetOptPrice(m_context, f, sInfo.Put, m_optionPxMode, sInfo.Tick * m_shiftAsk, sInfo.Tick * m_shiftBid, out putQty, out putTime);
putPxUsd = putPxBtc * scaleMult;
// Здесь нельзя сразу домножать на scaleMultiplier! Потому что тогда в метод FillNodeInfo пойдут бредовые цены.
}
{
callPxBtc = IvSmile.GetOptPrice(m_context, f, sInfo.Call, m_optionPxMode, sInfo.Tick * m_shiftAsk, sInfo.Tick * m_shiftBid, out callQty, out callTime);
callPxUsd = callPxBtc * scaleMult;
// Здесь нельзя сразу домножать на scaleMultiplier! Потому что тогда в метод FillNodeInfo пойдут бредовые цены.
}
double putSigma = Double.NaN, callSigma = Double.NaN, precision;
if (DoubleUtil.IsPositive(putPxBtc))
{
// Цену опциона переводим в баксы только в момент вычисления айви
putSigma = FinMath.GetOptionSigma(f, sInfo.Strike, dT, putPxUsd, rate, false, out precision);
putSigma = Math.Min(putSigma, m_maxSigma);
if (putSigma <= 0)
{
putSigma = Double.NaN;
}
}
if (DoubleUtil.IsPositive(callPxBtc))
{
// Цену опциона переводим в баксы только в момент вычисления айви
callSigma = FinMath.GetOptionSigma(f, sInfo.Strike, dT, callPxUsd, rate, true, out precision);
callSigma = Math.Min(callSigma, m_maxSigma);
if (callSigma <= 0)
{
callSigma = Double.NaN;
}
}
InteractivePointActive ip = new InteractivePointActive();
{
//ip.Color = (m_optionPxMode == OptionPxMode.Ask) ? Colors.DarkOrange : Colors.DarkCyan;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect; // (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
//ip.IsActive = true;
//ip.Value = new Point(d2.V1, d2.V2);
//ip.Tooltip = String.Format("K:{0}; IV:{1:#0.00}", d2.V1, d2.V2 * PctMult);
}
InteractiveObject obj = new InteractiveObject(ip);
if (m_optionType == StrikeType.Put)
{
if (DoubleUtil.IsPositive(putSigma))
{
// Здесь используем первичную цену в том виде, как ее нам дал Дерибит
FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Put, m_optionPxMode, putPxBtc, putQty, putSigma, putTime, false, rate, scaleMult);
controlPoints.Add(obj);
}
}
else if (m_optionType == StrikeType.Call)
{
if (DoubleUtil.IsPositive(callSigma))
{
// Здесь используем первичную цену в том виде, как ее нам дал Дерибит
FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Call, m_optionPxMode, callPxBtc, callQty, callSigma, callTime, false, rate, scaleMult);
controlPoints.Add(obj);
}
}
else if (m_optionType == StrikeType.Any)
{
if (DoubleUtil.IsPositive(putSigma) && DoubleUtil.IsPositive(callSigma))
{
// Здесь используем первичную цену в том виде, как ее нам дал Дерибит
if (m_optionPxMode == OptionPxMode.Ask)
{
if (putSigma < callSigma)
{
FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Put, m_optionPxMode, putPxBtc, putQty, putSigma, putTime, false, rate, scaleMult);
}
else
{
FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Call, m_optionPxMode, callPxBtc, callQty, callSigma, callTime, false, rate, scaleMult);
}
}
else if (m_optionPxMode == OptionPxMode.Bid)
{
if (putSigma > callSigma)
{
FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Put, m_optionPxMode, putPxBtc, putQty, putSigma, putTime, false, rate, scaleMult);
}
else
{
FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Call, m_optionPxMode, callPxBtc, callQty, callSigma, callTime, false, rate, scaleMult);
}
}
controlPoints.Add(obj);
}
else if (DoubleUtil.IsPositive(putSigma) && Double.IsNaN(callSigma))
{
// Здесь используем первичную цену в том виде, как ее нам дал Дерибит
FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Put, m_optionPxMode, putPxBtc, putQty, putSigma, putTime, false, rate, scaleMult);
controlPoints.Add(obj);
}
else if (Double.IsNaN(putSigma) && DoubleUtil.IsPositive(callSigma))
{
// Здесь используем первичную цену в том виде, как ее нам дал Дерибит
FillNodeInfoDeribit(ip, f, dT, sInfo, StrikeType.Call, m_optionPxMode, callPxBtc, callQty, callSigma, callTime, false, rate, scaleMult);
controlPoints.Add(obj);
}
}
}
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
SmileInfo info;
var baseSec = optSer.UnderlyingAsset;
DateTime scriptTime = baseSec.Bars[baseSec.Bars.Count - 1].Date;
if (!IvSmile.TryPrepareSmileInfo(m_context, f, dT, rate, optSer.ExpirationDate, scriptTime, baseSec.Symbol, res, out info))
{
return(Constants.EmptySeries);
}
return(res);
}
public InteractiveSeries Execute(double price, double time, IOptionSeries optSer, double riskFreeRatePct, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.EmptySeries);
}
// В оптимизации ничего рисовать не надо
if (Context.IsOptimization)
{
return(Constants.EmptySeries);
}
double futPx = price;
double dT = time;
if (!DoubleUtil.IsPositive(futPx))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, futPx);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(dT))
{
// [{0}] Time to expiry must be positive value. dT:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
// TODO: Нужно ли писать отдельный код для лаборатории? Чтобы показывать позиции из симуляции?
// if (!Context.Runtime.IsAgentMode)
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
var allRealtimeSecs = Context.Runtime.Securities;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
for (int j = 0; j < pairs.Length; j++)
{
IOptionStrikePair pair = pairs[j];
#region Process put
{
var put = pair.Put.Security;
// TODO: Нужно ли тут проверить наличие позиций???
//if (put.Positions.HavePositions)
ISecurityRt secRt;
if (put is ISecurityRt)
{
secRt = (ISecurityRt)put;
}
else
{
secRt = (from s in allRealtimeSecs
where s.SecurityDescription.Equals(put) && (s is ISecurityRt)
select(ISecurityRt) s).SingleOrDefault();
}
if ((secRt != null) && secRt.HasActiveOrders)
{
//secRt.SecurityDescription.TradePlace.DataSource
// ОТЛИЧНО! Эта коллекция позволит мне нарисовать свои заявки (это коллекция реальных заявок агента из таблицы My Orders)
var orders = secRt.Orders.ToList();
foreach (IOrder ord in orders)
{
if (!ord.IsActive)
{
continue;
}
// Объект ord является RealtimeOrder. Его идентификатор совпадает с OrderNumber в таблице MyOrders
if ((m_showLongOrders && ord.IsBuy) ||
((!m_showLongOrders) && (!ord.IsBuy)))
{
// Почему-то InteractivePointLight хоть и давал себя настроить, но не отображался толком.
double sigma = FinMath.GetOptionSigma(futPx, pair.Strike, dT, ord.Price, riskFreeRatePct, false);
var ip = new InteractivePointActive(pair.Strike, sigma);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture,
" F: {0}\r\n K: {1}; IV: {2:P2}\r\n {3} px {4} qty {5}",
futPx, pair.Strike, sigma, pair.Put.StrikeType, ord.Price, ord.RestQuantity);
controlPoints.Add(new InteractiveObject(ip));
}
}
}
}
#endregion Process put
#region Process call
{
var call = pair.Call.Security;
// TODO: Нужно ли тут проверить наличие позиций???
//if (call.Positions.HavePositions)
ISecurityRt secRt;
if (call is ISecurityRt)
{
secRt = (ISecurityRt)call;
}
else
{
secRt = (from s in allRealtimeSecs
where s.SecurityDescription.Equals(call) && (s is ISecurityRt)
select(ISecurityRt) s).SingleOrDefault();
}
if ((secRt != null) && secRt.HasActiveOrders)
{
// ОТЛИЧНО! Эта коллекция позволит мне нарисовать свои заявки (это коллекция реальных заявок агента из таблицы My Orders)
var orders = secRt.Orders.ToList();
foreach (IOrder ord in orders)
{
if (!ord.IsActive)
{
continue;
}
// Объект ord является RealtimeOrder. Его идентификатор совпадает с OrderNumber в таблице MyOrders
if ((m_showLongOrders && ord.IsBuy) ||
((!m_showLongOrders) && (!ord.IsBuy)))
{
// Почему-то InteractivePointLight хоть и давал себя настроить, но не отображался толком.
double sigma = FinMath.GetOptionSigma(futPx, pair.Strike, dT, ord.Price, riskFreeRatePct, true);
var ip = new InteractivePointActive(pair.Strike, sigma);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture,
" F: {0}\r\n K: {1}; IV: {2:P2}\r\n {3} px {4} qty {5}",
futPx, pair.Strike, sigma, pair.Call.StrikeType, ord.Price, ord.RestQuantity);
controlPoints.Add(new InteractiveObject(ip));
}
}
}
}
#endregion Process call
} // End for (int j = 0; j < pairs.Length; j++)
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
return(res);
}
public InteractiveSeries Execute(IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.EmptySeries);
}
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
if (m_countFutures)
{
var futPositions = posMan.GetClosedOrActiveForBar(optSer.UnderlyingAsset);
if (futPositions.Count > 0)
{
double futQty, futCommission;
SingleSeriesProfile.GetTotalCommission(futPositions, barNum, m_longPositions, out futCommission, out futQty);
if (!DoubleUtil.IsZero(futQty))
{
InteractivePointActive ip = new InteractivePointActive(0, futQty);
ip.IsActive = true;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = Colors.DarkOrange;
ip.Tooltip = String.Format("Fut commission:{0}", futCommission);
controlPoints.Add(new InteractiveObject(ip));
}
}
}
for (int j = 0; j < pairs.Length; j++)
{
IOptionStrikePair pair = pairs[j];
double putQty = 0, putCommission = Double.NaN;
{
var putPositions = posMan.GetClosedOrActiveForBar(pair.Put.Security);
if (putPositions.Count > 0)
{
SingleSeriesProfile.GetTotalCommission(putPositions, barNum, m_longPositions, out putCommission, out putQty);
}
}
double callQty = 0, callCommission = Double.NaN;
{
var callPositions = posMan.GetClosedOrActiveForBar(pair.Call.Security);
if (callPositions.Count > 0)
{
SingleSeriesProfile.GetTotalCommission(callPositions, barNum, m_longPositions, out callCommission, out callQty);
}
}
if ((!DoubleUtil.IsZero(putQty)) || (!DoubleUtil.IsZero(callQty)))
{
double y = 0;
switch (m_optionType)
{
case StrikeType.Put:
y = putCommission;
break;
case StrikeType.Call:
y = callCommission;
break;
case StrikeType.Any:
y = putCommission + callCommission;
break;
default:
throw new NotImplementedException("OptionType: " + m_optionType);
}
// Не хочу видеть ячейки таблицы с NaN
if (Double.IsNaN(y))
{
continue;
}
if (
(!DoubleUtil.IsZero(y)) ||
((m_optionType == StrikeType.Any) && ((!DoubleUtil.IsZero(putQty)) || (!DoubleUtil.IsZero(callQty))))) // Хотя вообще-то мы внутри if и второй блок проверок всегда true...
{
InteractivePointActive ip = new InteractivePointActive(pair.Strike, y);
ip.IsActive = true;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = Colors.DarkOrange;
ip.Tooltip = String.Format("K:{0}; Commission:{1}", pair.Strike, y);
controlPoints.Add(new InteractiveObject(ip));
}
}
}
InteractiveSeries res = new InteractiveSeries(); // Здесь правильно делать new
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
return(res);
}
public InteractiveSeries Execute(double price, double time, int barNum)
{
int barsCount = ContextBarsCount;
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
double futPx = price;
double dT = time;
if (Double.IsNaN(dT) || (dT < Double.Epsilon) ||
Double.IsNaN(futPx) || (futPx < Double.Epsilon))
{
return(Constants.EmptySeries);
}
double width = (SigmaMult * m_sigma * Math.Sqrt(dT)) * futPx;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
int half = NumControlPoints / 2; // Целочисленное деление!
double dK = width / half;
// Сдвигаю точки, чтобы избежать отрицательных значений
while ((futPx - half * dK) <= Double.Epsilon)
{
half--;
}
for (int j = 0; j < NumControlPoints; j++)
{
double k = futPx + (j - half) * dK;
InteractivePointLight ip;
bool edgePoint = (j == 0) || (j == NumControlPoints - 1);
if (m_showNodes ||
(edgePoint && m_showEdgeLabels)) // На крайние точки повешу Лейблы
{
InteractivePointActive tmp = new InteractivePointActive();
tmp.IsActive = m_showNodes || (edgePoint && m_showEdgeLabels);
//tmp.DragableMode = DragableMode.None;
//tmp.Geometry = Geometries.Rect;
//tmp.Color = Colors.DarkOrange;
tmp.Tooltip = String.Format(CultureInfo.InvariantCulture,
m_tooltipFormat, k, m_value * Constants.PctMult); // "K:{0}; V:{1:0.00}%"
if (edgePoint)
{
tmp.Label = String.Format(CultureInfo.InvariantCulture,
m_labelFormat, m_value * Constants.PctMult); // "V:{0:0.00}%"
}
ip = tmp;
}
else
{
ip = new InteractivePointLight();
}
ip.Value = new Point(k, m_value);
controlPoints.Add(new InteractiveObject(ip));
}
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
SmileInfo info = new SmileInfo();
info.F = futPx;
info.dT = dT;
info.RiskFreeRate = 0;
try
{
ConstantFunction spline = new ConstantFunction(m_value, futPx, dT);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
return(res);
}
public InteractiveSeries Execute(double price, InteractiveSeries line, ISecurity sec, int barNum)
{
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ClickEvent += InteractiveSplineOnClickEvent;
m_clickableSeries = res;
double f = price;
double? sigmaAtm = null;
SmileInfo sInfo = line.GetTag <SmileInfo>();
if ((sInfo != null) && (sInfo.ContinuousFunction != null))
{
double tmp;
if (sInfo.ContinuousFunction.TryGetValue(f, out tmp))
{
if (!Double.IsNaN(tmp))
{
sigmaAtm = tmp;
}
}
}
if (sigmaAtm == null)
{
return(res);
}
double h = Math.Max(m_minHeight, sigmaAtm.Value * m_offset);
// Теперь определяем максимальный размах по вертикали
if (line.ControlPoints.Count > 1)
{
var cps = line.ControlPoints;
double min = Double.MaxValue, max = Double.MinValue;
for (int j = 0; j < cps.Count; j++)
{
var anchor = cps[j].Anchor;
double y = anchor.ValueY;
if (y <= min)
{
min = y;
}
if (max <= y)
{
max = y;
}
}
if ((min < max) && (!Double.IsInfinity(max - min)))
{
h = Math.Max(h, (max - min) * m_offset);
}
}
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
{
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = true;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Ellipse; // Geometries.TriangleDown;
ip.Color = AlphaColors.Magenta;
double y = (sigmaAtm.Value - h);
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
// По умолчанию формат 'P2' -- то есть отображение с точностью 2знака,
// со знаком процента и с автоматическим умножением на 100.
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; Y:{1}", f, yStr);
SmileNodeInfo node = new SmileNodeInfo();
node.OptPx = f;
node.Security = sec;
node.PxMode = OptionPxMode.Bid;
node.Symbol = node.Security.Symbol;
node.DSName = node.Security.SecurityDescription.DSName;
node.Expired = node.Security.SecurityDescription.Expired;
node.FullName = node.Security.SecurityDescription.FullName;
ip.Tag = node;
controlPoints.Add(new InteractiveObject(ip));
}
{
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = true;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Triangle;
ip.Color = AlphaColors.GreenYellow;
double y = (sigmaAtm.Value + h);
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
// По умолчанию формат 'P2' -- то есть отображение с точностью 2знака,
// со знаком процента и с автоматическим умножением на 100.
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; Y:{1}", f, yStr);
SmileNodeInfo node = new SmileNodeInfo();
node.OptPx = f;
node.Security = sec;
node.PxMode = OptionPxMode.Ask;
node.Symbol = node.Security.Symbol;
node.DSName = node.Security.SecurityDescription.DSName;
node.Expired = node.Security.SecurityDescription.Expired;
node.FullName = node.Security.SecurityDescription.FullName;
ip.Tag = node;
controlPoints.Add(new InteractiveObject(ip));
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
return(res);
}
private void InteractiveSplineOnQuoteIvEvent(object sender, InteractiveActionEventArgs eventArgs)
{
OptionPxMode pxMode = (m_qty > 0) ? OptionPxMode.Ask : OptionPxMode.Bid;
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (posMan.BlockTrading)
{
//string msg = String.Format("[{0}] Trading is blocked. Please, change 'Block Trading' parameter.", m_optionPxMode);
string msg = RM.GetStringFormat("OptHandlerMsg.PositionsManager.TradingBlocked", pxMode);
m_context.Log(msg, MessageType.Info, true);
return;
}
InteractivePointActive tmp = eventArgs.Point;
if ((tmp == null) || (tmp.IsActive == null) || (!tmp.IsActive.Value) ||
DoubleUtil.IsZero(m_qty))
{
//string msg = String.Format("[{0}] Unable to get direction of the order. Qty:{1}", pxMode, m_qty);
string msg = RM.GetStringFormat("OptHandlerMsg.PositionsManager.UndefinedOrderDirection", pxMode, m_qty);
m_context.Log(msg, MessageType.Error, true);
return;
}
SmileNodeInfo nodeInfo = tmp.Tag as SmileNodeInfo;
if (nodeInfo == null)
{
//string msg = String.Format("[{0}] There is no nodeInfo. Quote type: {1}; Strike: {2}", pxMode);
string msg = RM.GetStringFormat(CultureInfo.InvariantCulture, "OptHandlerMsg.ThereIsNoNodeInfo",
m_context.Runtime.TradeName, pxMode, eventArgs.Point.ValueX);
m_context.Log(msg, MessageType.Error, true);
return;
}
{
string msg = String.Format(CultureInfo.InvariantCulture, "[{0}.ClickEvent] Strike: {1}", GetType().Name, tmp.ValueX);
m_context.Log(msg, MessageType.Info, false);
}
nodeInfo.OptPx = m_shiftIv;
nodeInfo.ShiftOptPx = m_shiftPriceStep;
nodeInfo.ClickTime = DateTime.Now;
nodeInfo.PxMode = pxMode;
// [2015-10-02] Подписка на данный инструмент, чтобы он появился в коллекции Context.Runtime.Securities
var candids = (from s in Context.Runtime.Securities
where s.SecurityDescription.Name.Equals(nodeInfo.Symbol, StringComparison.InvariantCultureIgnoreCase)
select s).ToList();
candids = (from s in candids
where s.SecurityDescription.DSName.Equals(nodeInfo.DSName, StringComparison.InvariantCultureIgnoreCase)
select s).ToList();
ISecurity testSec = (from s in candids
let secDesc = s.SecurityDescription
where secDesc.FullName.Equals(nodeInfo.FullName, StringComparison.InvariantCultureIgnoreCase)
select s).SingleOrDefault();
if ((testSec == null) && (nodeInfo.Security != null))
{
ISecurity sec = nodeInfo.Security;
int bc = sec.Bars.Count;
string msg = String.Format("[{0}] There is security DsName: {1}; Symbol: {2}; Security: {3} with {4} bars available.",
pxMode, nodeInfo.DSName, nodeInfo.Symbol, nodeInfo.FullName, bc);
Context.Log(msg, MessageType.Info, false);
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = Math.Abs(m_qty * sec.LotTick); // Модуль, потому что тут направление передается через PxMode
nodeInfo.Qty = actQty;
}
else if ((nodeInfo.Pair != null) && (nodeInfo.Pair.Put != null))
{
// Аварийная ветка
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = Math.Abs(m_qty * nodeInfo.Pair.Put.LotTick); // Модуль, потому что тут направление передается через PxMode
nodeInfo.Qty = actQty;
}
else
{
// Аварийная ветка
// Не могу пересчитать целочисленный параметр Qty в фактические лоты конкретного инструмента!
//double actQty = Math.Abs(m_qty * nodeInfo.Pair.Put.LotTick);
nodeInfo.Qty = Math.Abs(m_qty); // Модуль, потому что тут направление передается через PxMode
string msg = String.Format(CultureInfo.InvariantCulture, "[{0}.ClickEvent] LotTick will be set to 1.", GetType().Name);
m_context.Log(msg, MessageType.Warning, false);
}
// Не страшно, если сюда пойдет null - posMan потом сам найдет нужный опцион
nodeInfo.Security = testSec;
// Передаю событие в PositionsManager
//posMan.InteractiveSplineOnClickEvent(m_context, sender, eventArgs);
posMan.InteractiveSplineOnQuoteIvEvent(m_context, sender, eventArgs);
}
private int FillEditableCurve(SmileInfo info, List <InteractiveObject> controlPoints, List <double> xs, DragableMode dragMode)
{
if (xs.Count < 2)
{
string msg = String.Format("[DEBUG:{0}] Not enough points in argument xs. xs.Count:{0}", xs.Count);
m_context.Log(msg, MessageType.Warning, true);
return(0);
}
int j = 0;
double k = xs[0];
double strikeStep = (xs[xs.Count - 1] - xs[0]) / (xs.Count - 1);
while (k <= xs[xs.Count - 1])
{
if ((j < xs.Count) &&
(k <= xs[j]) && (xs[j] < k + strikeStep))
{
#region Узел должен быть показан и доступен для редактирования
{
double sigma = info.ContinuousFunction.Value(xs[j]);
InteractivePointActive ip = new InteractivePointActive(xs[j], sigma);
ip.IsActive = true;
ip.Geometry = Geometries.Ellipse;
ip.DragableMode = dragMode;
ip.Color = AlphaColors.GreenYellow;
ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", xs[j], Constants.PctMult * sigma);
InteractiveObject obj = new InteractiveObject(ip);
controlPoints.Add(obj);
}
#endregion Узел должен быть показан и доступен для редактирования
j++;
}
else
{
#region Просто точка без маркера
{
double sigma = info.ContinuousFunction.Value(k);
//InteractivePointActive ip = new InteractivePointActive(k, sigma);
//ip.IsActive = false;
//ip.Geometry = Geometries.Ellipse;
//ip.DragableMode = DragableMode.None;
//ip.Color = System.Windows.Media.Colors.Green;
//ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, Constants.PctMult * sigma);
InteractivePointLight ip = new InteractivePointLight(k, sigma);
InteractiveObject obj = new InteractiveObject(ip);
controlPoints.Add(obj);
}
#endregion Просто точка без маркера
}
k += strikeStep;
}
return(j);
}
public InteractiveSeries Execute(IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
if (m_countFutures)
{
var futPositions = posMan.GetClosedOrActiveForBar(optSer.UnderlyingAsset);
if (futPositions.Count > 0)
{
double futQty, futAvgPx;
SingleSeriesProfile.GetAveragePrice(futPositions, barNum, m_longPositions, out futAvgPx, out futQty);
if (!DoubleUtil.IsZero(futQty))
{
double valueToDisplay = m_countQty ? futQty : futAvgPx;
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive ip = new InteractivePointActive(0, valueToDisplay);
ip.IsActive = true;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = Colors.DarkOrange;
ip.Tooltip = String.Format("AvgPx:{0}; Qty:{1}", futAvgPx, futQty);
controlPoints.Add(new InteractiveObject(ip));
}
}
}
for (int j = 0; j < pairs.Length; j++)
{
IOptionStrikePair pair = pairs[j];
double putQty = 0, putAvgPx = Double.NaN;
{
var putPositions = posMan.GetClosedOrActiveForBar(pair.Put.Security);
if (putPositions.Count > 0)
{
SingleSeriesProfile.GetAveragePrice(putPositions, barNum, m_longPositions, out putAvgPx, out putQty);
}
}
double callQty = 0, callAvgPx = Double.NaN;
{
var callPositions = posMan.GetClosedOrActiveForBar(pair.Call.Security);
if (callPositions.Count > 0)
{
SingleSeriesProfile.GetAveragePrice(callPositions, barNum, m_longPositions, out callAvgPx, out callQty);
}
}
if ((!DoubleUtil.IsZero(putQty)) || (!DoubleUtil.IsZero(callQty)))
{
double averagePrice = 0, lotSize = 0;
switch (m_optionType)
{
case StrikeType.Put:
averagePrice = putAvgPx;
lotSize = putQty;
break;
case StrikeType.Call:
averagePrice = callAvgPx;
lotSize = callQty;
break;
//case StrikeType.Any:
// y = putQty + callQty;
// break;
default:
throw new NotSupportedException("OptionType: " + m_optionType);
}
// Не хочу видеть ячейки таблицы с NaN
if (Double.IsNaN(averagePrice))
{
continue;
}
if (!DoubleUtil.IsZero(lotSize))
{
double valueToDisplay = m_countQty ? lotSize : averagePrice;
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive ip = new InteractivePointActive(pair.Strike, valueToDisplay);
ip.IsActive = true;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = Colors.DarkOrange;
ip.Tooltip = String.Format("K:{0}; AvgPx:{1}; Qty:{2}", pair.Strike, averagePrice, lotSize);
controlPoints.Add(new InteractiveObject(ip));
}
}
}
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь правильно делать new
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
SetHandlerInitialized(now);
return(res);
}
public InteractiveSeries Execute(double price, ISecurity sec, int barNum)
{
InteractiveSeries res = new InteractiveSeries();
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(res);
}
res.ClickEvent -= InteractiveSplineOnClickEvent;
res.ClickEvent += InteractiveSplineOnClickEvent;
m_clickableSeries = res;
double f = price;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
{
InteractivePointActive ip = new InteractivePointActive(f, m_sigmaLow);
ip.IsActive = true;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Ellipse;
ip.Color = AlphaColors.BlueViolet;
ip.Tooltip = String.Format("F:{0}; Y:{1:0.00}%", f, m_sigmaLow * Constants.PctMult);
SmileNodeInfo node = new SmileNodeInfo();
node.OptPx = f;
node.Security = sec;
node.PxMode = OptionPxMode.Bid;
node.Symbol = node.Security.Symbol;
node.DSName = node.Security.SecurityDescription.DSName;
node.Expired = node.Security.SecurityDescription.Expired;
node.FullName = node.Security.SecurityDescription.FullName;
ip.Tag = node;
controlPoints.Add(new InteractiveObject(ip));
}
{
InteractivePointActive ip = new InteractivePointActive(f, m_sigmaHigh);
ip.IsActive = true;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Triangle;
ip.Color = AlphaColors.Green;
ip.Tooltip = String.Format("F:{0}; Y:{1:0.00}%", f, m_sigmaHigh * Constants.PctMult);
SmileNodeInfo node = new SmileNodeInfo();
node.OptPx = f;
node.Security = sec;
node.PxMode = OptionPxMode.Ask;
node.Symbol = node.Security.Symbol;
node.DSName = node.Security.SecurityDescription.DSName;
node.Expired = node.Security.SecurityDescription.Expired;
node.FullName = node.Security.SecurityDescription.FullName;
ip.Tag = node;
controlPoints.Add(new InteractiveObject(ip));
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
return(res);
}
/// <summary>
/// Метод под флаг TemplateTypes.INTERACTIVESPLINE
/// </summary>
public InteractiveSeries Execute(InteractiveSeries quotes, InteractiveSeries smile, int barNum)
{
if ((quotes == null) || (smile == null))
{
return(Constants.EmptySeries);
}
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(quotes);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if ((oldInfo == null) || (oldInfo.ContinuousFunction == null))
{
return(Constants.EmptySeries);
}
InteractiveSeries res = quotes;
double futPx = oldInfo.F;
double dT = oldInfo.dT;
foreach (InteractiveObject obj in res.ControlPoints)
{
SmileNodeInfo nodeInfo = obj.Anchor.Tag as SmileNodeInfo;
if (nodeInfo == null)
{
continue;
}
double realOptPx = nodeInfo.OptPx;
bool isCall = (nodeInfo.OptionType == StrikeType.Call);
double sigma = oldInfo.ContinuousFunction.Value(nodeInfo.Strike);
if (Double.IsNaN(sigma) || (sigma < Double.Epsilon))
{
//string msg = String.Format("[DEBUG:{0}] Invalid sigma:{1} for strike:{2}", GetType().Name, sigma, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
double theorOptPx = FinMath.GetOptionPrice(futPx, nodeInfo.Strike, dT, sigma, oldInfo.RiskFreeRate, isCall);
if (Double.IsNaN(theorOptPx) || (theorOptPx < Double.Epsilon))
{
//string msg = String.Format("[DEBUG:{0}] Invalid theorOptPx:{1} for strike:{2}", GetType().Name, theorOptPx, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
if (nodeInfo.PxMode == OptionPxMode.Ask)
{
double doLevel = theorOptPx - m_widthPx * nodeInfo.Pair.Tick;
if (realOptPx <= doLevel)
{
var anchor = (InteractivePointActive)obj.Anchor;
// ReSharper disable once UseObjectOrCollectionInitializer
var tmp = new InteractivePointActive();
tmp.IsActive = true;
tmp.Tag = anchor.Tag;
tmp.Tooltip = null; // anchor.Tooltip;
int decimals = (nodeInfo.Security != null) ? nodeInfo.Security.Decimals : 0;
string pot = Math.Abs(theorOptPx - realOptPx).ToString("N" + decimals, CultureInfo.InvariantCulture);
tmp.Label = anchor.Tooltip + " (" + pot + ")";
tmp.ValueX = anchor.ValueX;
tmp.ValueY = anchor.ValueY + m_outlet;
tmp.DragableMode = DragableMode.None;
tmp.Size = m_outletSize;
//tmp.Color = Colors.White;
//tmp.Geometry = m_outletGeometry; // Geometries.Ellipse;
obj.ControlPoint1 = tmp;
}
}
if (nodeInfo.PxMode == OptionPxMode.Bid)
{
double upLevel = theorOptPx + m_widthPx * nodeInfo.Pair.Tick;
if (realOptPx >= upLevel)
{
var anchor = (InteractivePointActive)obj.Anchor;
// ReSharper disable once UseObjectOrCollectionInitializer
var tmp = new InteractivePointActive();
tmp.IsActive = true;
tmp.Tag = anchor.Tag;
tmp.Tooltip = null; // anchor.Tooltip;
int decimals = (nodeInfo.Security != null) ? nodeInfo.Security.Decimals : 0;
string pot = Math.Abs(theorOptPx - realOptPx).ToString("N" + decimals, CultureInfo.InvariantCulture);
tmp.Label = anchor.Tooltip + " (" + pot + ")";
tmp.ValueX = anchor.ValueX;
tmp.ValueY = anchor.ValueY - m_outlet;
tmp.DragableMode = DragableMode.None;
tmp.Size = m_outletSize;
//tmp.Color = Colors.White;
//tmp.Geometry = m_outletGeometry; // Geometries.Ellipse;
obj.ControlPoint1 = tmp;
}
}
}
res.ClickEvent -= InteractiveSplineOnClickEvent;
res.ClickEvent += InteractiveSplineOnClickEvent;
m_clickableSeries = res;
return(res);
}
public InteractiveSeries Execute(double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
//InteractiveSeries res = context.LoadObject(cashKey + "positionDelta") as InteractiveSeries;
//if (res == null)
//{
// res = new InteractiveSeries();
// context.StoreObject(cashKey + "positionDelta", res);
//}
InteractiveSeries res = new InteractiveSeries();
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(res);
}
//double F = prices[prices.Count - 1];
double dT = time;
if (Double.IsNaN(dT) || (dT < Double.Epsilon))
{
// [{0}] Time to expiry must be positive value. dT:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
if (smile == null)
{
string msg = String.Format("[{0}] Argument 'smile' must be filled with InteractiveSeries.", GetType().Name);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if (oldInfo == null)
{
string msg = String.Format("[{0}] Property Tag of object smile must be filled with SmileInfo. Tag:{1}", GetType().Name, smile.Tag);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
//// TODO: переписаться на обновление старых значений
//res.ControlPoints.Clear();
List <double> xs = new List <double>();
List <double> ys = new List <double>();
var smilePoints = smile.ControlPoints;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (InteractiveObject iob in smilePoints)
{
double rawVega, f = iob.Anchor.ValueX;
if (TryEstimateVega(posMan, optSer, pairs, smile, m_greekAlgo, f, m_sigmaStep, dT, out rawVega))
{
// Переводим вегу в дифференциал 'изменение цены за 1% волы'.
rawVega /= Constants.PctMult;
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = System.Windows.Media.Colors.Green;
double y = rawVega;
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format("F:{0}; V:{1}", f, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
ys.Add(y);
}
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.RiskFreeRate = oldInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
return(res);
}
public InteractiveSeries Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, double ratePct, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (smile == null) || (optSer == null))
{
return(Constants.EmptySeries);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if ((oldInfo == null) ||
(oldInfo.ContinuousFunction == null) || (oldInfo.ContinuousFunctionD1 == null))
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double futPx = price;
double dT = time;
if (Double.IsNaN(dT) || (dT < Double.Epsilon))
{
// [{0}] Time to expiry must be positive value. dT:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
if (Double.IsNaN(futPx) || (futPx < Double.Epsilon))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, futPx);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
if (Double.IsNaN(ratePct))
{
//throw new ScriptException("Argument 'ratePct' contains NaN for some strange reason. rate:" + rate);
return(Constants.EmptySeries);
}
double ivAtm, slopeAtm;
if ((!oldInfo.ContinuousFunction.TryGetValue(futPx, out ivAtm)) ||
(!oldInfo.ContinuousFunctionD1.TryGetValue(futPx, out slopeAtm)))
{
return(Constants.EmptySeries);
}
if (m_setIvByHands)
{
ivAtm = m_ivAtmPct.Value / Constants.PctMult;
}
if (m_setSlopeByHands)
{
slopeAtm = m_internalSlopePct.Value / Constants.PctMult;
slopeAtm = slopeAtm / futPx / Math.Sqrt(dT);
}
if (Double.IsNaN(ivAtm) || (ivAtm < Double.Epsilon))
{
// [{0}] ivAtm must be positive value. ivAtm:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.IvAtmMustBePositive", GetType().Name, ivAtm);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
if (Double.IsNaN(slopeAtm))
{
// [{0}] Smile skew at the money must be some number. skewAtm:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.SkewAtmMustBeNumber", GetType().Name, slopeAtm);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
//{
// string msg = String.Format("[DEBUG:{0}] ivAtm:{1}; shift:{2}; depth:{3}; F:{4}; dT:{5}; ",
// GetType().Name, ivAtm, shift, depth, F, dT);
// context.Log(msg, MessageType.Info, true);
//}
SmileFunction3 tempFunc = new SmileFunction3(ivAtm, m_shift, 0.5, futPx, dT);
double depth = tempFunc.GetDepthUsingSlopeATM(slopeAtm);
SmileFunction3 smileFunc = new SmileFunction3(ivAtm, m_shift, depth, futPx, dT);
if (!m_setIvByHands)
{
m_ivAtmPct.Value = ivAtm * Constants.PctMult;
}
m_depthPct.Value = depth * Constants.PctMult;
if (!m_setSlopeByHands)
{
double dSigmaDx = slopeAtm * futPx * Math.Sqrt(dT);
m_internalSlopePct.Value = dSigmaDx * Constants.PctMult;
}
List <double> xs = new List <double>();
List <double> ys = new List <double>();
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
if (pairs.Length < 2)
{
string msg = String.Format("[{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
double minK = pairs[0].Strike;
double dK = pairs[1].Strike - pairs[0].Strike;
double width = (SigmaMult * ivAtm * Math.Sqrt(dT)) * futPx;
width = Math.Max(width, 2 * dK);
// Generate left invisible tail
if (m_generateTails)
{
GaussSmile.AppendLeftTail(smileFunc, xs, ys, minK, dK, false);
}
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
for (int j = 0; j < pairs.Length; j++)
{
bool showPoint = true;
IOptionStrikePair pair = pairs[j];
// Сверхдалекие страйки игнорируем
if ((pair.Strike < futPx - width) || (futPx + width < pair.Strike))
{
showPoint = false;
}
double k = pair.Strike;
double sigma = smileFunc.Value(k);
double vol = sigma;
if (Double.IsNaN(sigma) || Double.IsInfinity(sigma) || (sigma < Double.Epsilon))
{
continue;
}
InteractivePointActive ip = new InteractivePointActive(k, vol);
//ip.Color = (optionPxMode == OptionPxMode.Ask) ? Colors.DarkOrange : Colors.DarkCyan;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect; // (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
// Иначе неправильно выставляются координаты???
//ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, PctMult * sigma);
if (showPoint)
{
if (k <= futPx) // Puts
{
FillNodeInfo(ip, futPx, dT, pair, StrikeType.Put, OptionPxMode.Mid, sigma, false, m_isVisiblePoints, ratePct);
}
else // Calls
{
FillNodeInfo(ip, futPx, dT, pair, StrikeType.Call, OptionPxMode.Mid, sigma, false, m_isVisiblePoints, ratePct);
}
}
InteractiveObject obj = new InteractiveObject(ip);
if (showPoint)
{
controlPoints.Add(obj);
}
xs.Add(k);
ys.Add(vol);
}
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries();
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
double maxK = pairs[pairs.Length - 1].Strike;
// Generate right invisible tail
if (m_generateTails)
{
GaussSmile.AppendRightTail(smileFunc, xs, ys, maxK, dK, false);
}
var baseSec = optSer.UnderlyingAsset;
DateTime scriptTime = baseSec.Bars[baseSec.Bars.Count - 1].Date;
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo info = new SmileInfo();
info.F = futPx;
info.dT = dT;
info.Expiry = optSer.ExpirationDate;
info.ScriptTime = scriptTime;
info.RiskFreeRate = ratePct;
info.BaseTicker = baseSec.Symbol;
info.ContinuousFunction = smileFunc;
info.ContinuousFunctionD1 = smileFunc.DeriveD1();
res.Tag = info;
SetHandlerInitialized(now);
return(res);
}
public InteractiveSeries Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, double scaleMult, double ratePct, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (smile == null) || (optSer == null))
{
return(Constants.EmptySeries);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if ((oldInfo == null) ||
(oldInfo.ContinuousFunction == null) || (oldInfo.ContinuousFunctionD1 == null))
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double futPx = price;
double dT = time;
if (!DoubleUtil.IsPositive(dT))
{
// [{0}] Time to expiry must be positive value. dT:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(futPx))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, futPx);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(scaleMult))
{
//throw new ScriptException("Argument 'scaleMult' contains NaN for some strange reason. scaleMult:" + scaleMult);
return(Constants.EmptySeries);
}
if (Double.IsNaN(ratePct))
{
//throw new ScriptException("Argument 'ratePct' contains NaN for some strange reason. rate:" + rate);
return(Constants.EmptySeries);
}
double ivAtm, slopeAtm, shape;
if ((!oldInfo.ContinuousFunction.TryGetValue(futPx, out ivAtm)) ||
(!oldInfo.ContinuousFunctionD1.TryGetValue(futPx, out slopeAtm)))
{
return(Constants.EmptySeries);
}
if (m_setIvByHands)
{
ivAtm = m_ivAtmPct.Value / Constants.PctMult;
}
if (m_setSlopeByHands)
{
slopeAtm = m_slopePct.Value / Constants.PctMult;
//slopeAtm = slopeAtm / F / Math.Pow(dT, Pow + shape);
}
//if (setShapeByHands)
{
shape = m_shapePct.Value / Constants.PctMult;
}
if (!DoubleUtil.IsPositive(ivAtm))
{
// [{0}] ivAtm must be positive value. ivAtm:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.IvAtmMustBePositive", GetType().Name, ivAtm);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
if (Double.IsNaN(slopeAtm))
{
// [{0}] Smile skew at the money must be some number. skewAtm:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.SkewAtmMustBeNumber", GetType().Name, slopeAtm);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
SmileInfo templateInfo;
#region Fill templateInfo
if (m_useLocalTemplate)
{
InteractiveSeries templateSmile = m_context.LoadObject(m_frozenSmileId) as InteractiveSeries;
if (templateSmile == null)
{
// [{0}] There is no LOCAL smile with ID:{1}
string msg = RM.GetStringFormat("SmileImitation5.NoLocalSmile", GetType().Name, m_frozenSmileId);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
SmileInfo locInfo = new SmileInfo();
locInfo.F = futPx;
locInfo.dT = dT;
locInfo.RiskFreeRate = oldInfo.RiskFreeRate;
List <double> locXs = new List <double>();
List <double> locYs = new List <double>();
foreach (InteractiveObject oldObj in templateSmile.ControlPoints)
{
if (!oldObj.AnchorIsActive)
{
continue;
}
double k = oldObj.Anchor.ValueX;
double sigma = oldObj.Anchor.ValueY;
double x = Math.Log(k / futPx) / Math.Pow(dT, DefaultPow + shape) / ivAtm;
double sigmaNormalized = sigma / ivAtm;
locXs.Add(x);
locYs.Add(sigmaNormalized);
}
try
{
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(locXs, locYs);
locInfo.ContinuousFunction = spline;
locInfo.ContinuousFunctionD1 = spline.DeriveD1();
templateInfo = locInfo;
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
}
else
{
//templateSmile = context.LoadGlobalObject(globalSmileID, true) as InteractiveSeries;
templateInfo = m_context.LoadGlobalObject(m_globalSmileId, true) as SmileInfo;
if (templateInfo == null)
{
// [{0}] There is no global templateInfo with ID:{1}. I'll try to use default one.
string msg = RM.GetStringFormat("SmileImitation5.TemplateWasSaved", GetType().Name, m_globalSmileId);
m_context.Log(msg, MessageType.Error, true);
System.Xml.Linq.XDocument xDoc = System.Xml.Linq.XDocument.Parse(SmileFunction5.XmlSmileRiz4Nov1);
System.Xml.Linq.XElement xInfo = xDoc.Root;
SmileInfo templateSmile = SmileInfo.FromXElement(xInfo);
// Обновляю уровень IV ATM?
if (Double.IsNaN(ivAtm))
{
ivAtm = oldInfo.ContinuousFunction.Value(futPx);
m_context.Log(String.Format("[DEBUG:{0}] ivAtm was NaN. I'll use value ivAtm:{1}", GetType().Name, ivAtm), MessageType.Warning, true);
if (Double.IsNaN(ivAtm))
{
throw new Exception(String.Format("[DEBUG:{0}] ivAtm is NaN.", GetType().Name));
}
}
templateSmile.F = futPx;
templateSmile.dT = dT;
templateSmile.RiskFreeRate = oldInfo.RiskFreeRate;
m_context.StoreGlobalObject(m_globalSmileId, templateSmile, true);
// [{0}] Default templateInfo was saved to Global Cache with ID:{1}.
msg = RM.GetStringFormat("SmileImitation5.TemplateWasSaved", GetType().Name, m_globalSmileId);
m_context.Log(msg, MessageType.Warning, true);
templateInfo = templateSmile;
}
}
#endregion Fill templateInfo
if (!m_setIvByHands)
{
m_ivAtmPct.Value = ivAtm * Constants.PctMult;
}
if (!m_setShapeByHands)
{
// так я ещё не умею
}
if (!m_setSlopeByHands)
{
// Пересчитываю наклон в безразмерку
double dSigmaDx = slopeAtm * futPx * Math.Pow(dT, DefaultPow + shape);
m_slopePct.Value = dSigmaDx * Constants.PctMult;
// и теперь апдейчу локальную переменную slopeAtm:
slopeAtm = m_slopePct.Value / Constants.PctMult;
}
// Это функция в нормированных координатах
// поэтому достаточно обычной симметризации
// PROD-3111: заменяю вызов на SmileFunctionExtended
//SimmetrizeFunc simmFunc = new SimmetrizeFunc(templateInfo.ContinuousFunction);
//SimmetrizeFunc simmFuncD1 = new SimmetrizeFunc(templateInfo.ContinuousFunctionD1);
//SmileFunction5 smileFunc = new SmileFunction5(simmFunc, simmFuncD1, ivAtm, slopeAtm, shape, futPx, dT);
SmileFunctionExtended smileFunc = new SmileFunctionExtended(
(NotAKnotCubicSpline)templateInfo.ContinuousFunction, ivAtm, slopeAtm, shape, futPx, dT);
smileFunc.UseTails = m_useSmileTails;
List <double> xs = new List <double>();
List <double> ys = new List <double>();
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
if (pairs.Length < 2)
{
string msg = String.Format("[{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
double minK = pairs[0].Strike;
double maxK = pairs[pairs.Length - 1].Strike;
double futStep = optSer.UnderlyingAsset.Tick;
double dK = pairs[1].Strike - pairs[0].Strike;
double width = (SigmaMult * ivAtm * Math.Sqrt(dT)) * futPx;
width = Math.Max(width, 10 * dK);
// Нельзя вылезать за границу страйков???
width = Math.Min(width, Math.Abs(futPx - minK));
width = Math.Min(width, Math.Abs(maxK - futPx));
// Generate left invisible tail
if (m_generateTails)
{
GaussSmile.AppendLeftTail(smileFunc, xs, ys, minK, dK, false);
}
SortedDictionary <double, IOptionStrikePair> strikePrices;
if (!SmileImitation5.TryPrepareImportantPoints(pairs, futPx, futStep, width, out strikePrices))
{
string msg = String.Format("[{0}] It looks like there is no suitable points for the smile. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
//for (int j = 0; j < pairs.Length; j++)
foreach (var kvp in strikePrices)
{
bool showPoint = (kvp.Value != null);
//IOptionStrikePair pair = pairs[j];
//// Сверхдалекие страйки игнорируем
//if ((pair.Strike < futPx - width) || (futPx + width < pair.Strike))
//{
// showPoint = false;
//}
//double k = pair.Strike;
double k = kvp.Key;
double sigma;
if (!smileFunc.TryGetValue(k, out sigma))
{
continue;
}
double vol = sigma;
if (!DoubleUtil.IsPositive(sigma))
{
continue;
}
//InteractivePointActive ip = new InteractivePointActive(k, vol);
//ip.Color = (optionPxMode == OptionPxMode.Ask) ? Colors.DarkOrange : Colors.DarkCyan;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect; // (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
// Иначе неправильно выставляются координаты???
//ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, PctMult * sigma);
InteractivePointLight ip;
if (showPoint)
{
var tip = new InteractivePointActive(k, vol);
if (k <= futPx) // Puts
{
SmileImitationDeribit5.FillNodeInfo(tip, futPx, dT, kvp.Value, StrikeType.Put, OptionPxMode.Mid, sigma, false, m_showNodes, scaleMult, ratePct);
}
else // Calls
{
SmileImitationDeribit5.FillNodeInfo(tip, futPx, dT, kvp.Value, StrikeType.Call, OptionPxMode.Mid, sigma, false, m_showNodes, scaleMult, ratePct);
}
ip = tip;
}
else
{
ip = new InteractivePointLight(k, vol);
}
InteractiveObject obj = new InteractiveObject(ip);
//if (showPoint)
// Теперь мы понимаем, что точки либо рисуются
// потому что это страйки (и тогда они автоматом InteractivePointActive)
// либо они присутствуют, но не рисуются их узлы. Потому что они InteractivePointLight.
{
controlPoints.Add(obj);
}
xs.Add(k);
ys.Add(vol);
}
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries();
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
// Generate right invisible tail
if (m_generateTails)
{
GaussSmile.AppendRightTail(smileFunc, xs, ys, maxK, dK, false);
}
var baseSec = optSer.UnderlyingAsset;
DateTime scriptTime = baseSec.Bars[baseSec.Bars.Count - 1].Date;
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo info = new SmileInfo();
info.F = futPx;
info.dT = dT;
info.Expiry = optSer.ExpirationDate;
info.ScriptTime = scriptTime;
info.RiskFreeRate = ratePct;
info.BaseTicker = baseSec.Symbol;
info.ContinuousFunction = smileFunc;
info.ContinuousFunctionD1 = smileFunc.DeriveD1();
res.Tag = info;
SetHandlerInitialized(now);
return(res);
}
/// <summary>
/// Метод под флаг TemplateTypes.INTERACTIVESPLINE
/// </summary>
public InteractiveSeries Execute(InteractiveSeries smile, IOptionSeries optSer, double scaleMult, int barNum)
{
if ((smile == null) || (optSer == null))
{
return(Constants.EmptySeries);
}
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if ((oldInfo == null) || (oldInfo.ContinuousFunction == null))
{
return(Constants.EmptySeries);
}
double futPx = oldInfo.F;
double dT = oldInfo.dT;
if (m_executeCommand)
{
string msg = String.Format("[{0}.StartButton] Strike: {1}", GetType().Name, m_strike);
m_context.Log(msg, MessageType.Info, false);
}
#region 1. Список страйков
HashSet <string> serList = StrikeList;
serList.Clear();
IOptionStrikePair[] pairs;
if (Double.IsNaN(m_strikeStep) || (m_strikeStep <= Double.Epsilon))
{
pairs = optSer.GetStrikePairs().ToArray();
}
else
{
// Выделяем страйки, которые нацело делятся на StrikeStep
pairs = (from p in optSer.GetStrikePairs()
let test = m_strikeStep * Math.Round(p.Strike / m_strikeStep)
where DoubleUtil.AreClose(p.Strike, test)
select p).ToArray();
// [2015-12-24] Если шаг страйков по ошибке задан совершенно неправильно,
// то в коллекцию ставим все имеющиеся страйки.
// Пользователь потом разберется
if (pairs.Length <= 0)
{
pairs = optSer.GetStrikePairs().ToArray();
}
}
//if (pairs.Length < 2)
// return Constants.EmptyListDouble;
foreach (IOptionStrikePair pair in pairs)
{
double k = pair.Strike;
serList.Add(k.ToString(StrikeFormat, CultureInfo.InvariantCulture));
}
#endregion 1. Список страйков
InteractiveSeries res = Constants.EmptySeries;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
#region 2. Формируем улыбку просто для отображения текущего положения потенциальной котировки
// При нулевом рабочем объёме не утруждаемся рисованием лишних линий
if (!DoubleUtil.IsZero(m_qty))
{
for (int j = 0; j < pairs.Length; j++)
{
var pair = pairs[j];
double sigma = oldInfo.ContinuousFunction.Value(pair.Strike) + m_shiftIv;
if (!DoubleUtil.IsPositive(sigma))
{
//string msg = String.Format("[DEBUG:{0}] Invalid sigma:{1} for strike:{2}", GetType().Name, sigma, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
//bool isCall = (futPx <= pair.Strike);
bool isCall;
if (m_optionType == StrikeType.Call)
{
isCall = true;
}
else if (m_optionType == StrikeType.Put)
{
isCall = false;
}
else
{
isCall = (futPx <= pair.Strike);
}
StrikeType optionType = isCall ? StrikeType.Call : StrikeType.Put;
Contract.Assert(pair.Tick < 1, $"#1 На тестовом контуре Дерибит присылает неправильный шаг цены! Tick:{pair.Tick}; Decimals:{pair.Put.Security.Decimals}");
double theorOptPxDollars = FinMath.GetOptionPrice(futPx, pair.Strike, dT, sigma, oldInfo.RiskFreeRate, isCall);
// Сразу(!!!) переводим котировку из баксов в битки
double theorOptPxBitcoins = theorOptPxDollars / scaleMult;
// Сдвигаем цену в долларах (с учетом ш.ц. в баксах)
theorOptPxDollars += m_shiftPriceStep * pair.Tick * scaleMult;
theorOptPxDollars = Math.Round(theorOptPxDollars / (pair.Tick * scaleMult)) * (pair.Tick * scaleMult);
// Сдвигаем цену в биткойнах (с учетом ш.ц. в битках)
theorOptPxBitcoins += m_shiftPriceStep * pair.Tick;
theorOptPxBitcoins = Math.Round(theorOptPxBitcoins / pair.Tick) * pair.Tick;
if ((!DoubleUtil.IsPositive(theorOptPxBitcoins)) || (!DoubleUtil.IsPositive(theorOptPxDollars)))
{
//string msg = String.Format("[DEBUG:{0}] Invalid theorOptPx:{1} for strike:{2}", GetType().Name, theorOptPx, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
// Пересчитываем сигму обратно, ЕСЛИ мы применили сдвиг цены в абсолютном выражении
if (m_shiftPriceStep != 0)
{
// Обратный пересчет в волатильность
sigma = FinMath.GetOptionSigma(futPx, pair.Strike, dT, theorOptPxDollars, oldInfo.RiskFreeRate, isCall);
if (!DoubleUtil.IsPositive(sigma))
{
//string msg = String.Format("[DEBUG:{0}] Invalid sigma:{1} for strike:{2}", GetType().Name, sigma, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
}
// ReSharper disable once UseObjectOrCollectionInitializer
SmileNodeInfo nodeInfo = new SmileNodeInfo();
var secDesc = isCall ? pair.CallFinInfo.Security : pair.PutFinInfo.Security;
nodeInfo.F = oldInfo.F;
nodeInfo.dT = oldInfo.dT;
nodeInfo.RiskFreeRate = oldInfo.RiskFreeRate;
nodeInfo.Strike = pair.Strike;
nodeInfo.Sigma = sigma;
nodeInfo.OptPx = theorOptPxBitcoins;
nodeInfo.OptionType = isCall ? StrikeType.Call : StrikeType.Put;
nodeInfo.Pair = pair;
nodeInfo.Symbol = secDesc.Name;
nodeInfo.DSName = secDesc.DSName;
nodeInfo.Expired = secDesc.Expired;
nodeInfo.FullName = secDesc.FullName;
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive tmp = new InteractivePointActive();
tmp.IsActive = true;
tmp.ValueX = pair.Strike;
tmp.ValueY = sigma;
tmp.DragableMode = DragableMode.Yonly;
tmp.Tooltip = String.Format(CultureInfo.InvariantCulture,
" F: {0}\r\n K: {1}; IV: {2:P2}\r\n {3} px {4}",
futPx, pair.Strike, sigma, optionType, theorOptPxBitcoins);
tmp.Tag = nodeInfo;
//tmp.Color = Colors.White;
if (m_qty > 0)
{
tmp.Geometry = Geometries.Triangle;
}
else if (m_qty < 0)
{
tmp.Geometry = Geometries.TriangleDown;
}
else
{
tmp.Geometry = Geometries.None;
}
InteractiveObject obj = new InteractiveObject();
obj.Anchor = tmp;
controlPoints.Add(obj);
}
// ReSharper disable once UseObjectOrCollectionInitializer
res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo sInfo = new SmileInfo();
sInfo.F = futPx;
sInfo.dT = dT;
sInfo.Expiry = oldInfo.Expiry;
sInfo.ScriptTime = oldInfo.ScriptTime;
sInfo.RiskFreeRate = oldInfo.RiskFreeRate;
sInfo.BaseTicker = oldInfo.BaseTicker;
res.Tag = sInfo;
if (controlPoints.Count > 0)
{
res.ClickEvent -= InteractiveSplineOnQuoteIvEvent;
res.ClickEvent += InteractiveSplineOnQuoteIvEvent;
m_clickableSeries = res;
}
}
#endregion 2. Формируем улыбку просто для отображения текущего положения потенциальной котировки
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (m_cancelAllLong)
{
posMan.DropAllLongIvTargets(m_context);
}
if (m_cancelAllShort)
{
posMan.DropAllShortIvTargets(m_context);
}
#region 4. Котирование
{
var longTargets = posMan.GetIvTargets(true);
var shortTargets = posMan.GetIvTargets(false);
var ivTargets = longTargets.Union(shortTargets).ToList();
for (int j = 0; j < ivTargets.Count; j++)
{
var ivTarget = ivTargets[j];
// PROD-6102 - Требуется точное совпадение опционной серии
if (optSer.ExpirationDate.Date != ivTarget.SecInfo.Expiry.Date)
{
// Вывести предупреждение???
continue;
}
IOptionStrikePair pair;
double k = ivTarget.SecInfo.Strike;
if (!optSer.TryGetStrikePair(k, out pair))
{
// Вывести предупреждение???
continue;
}
double sigma;
QuoteIvMode quoteMode = ivTarget.QuoteMode;
if (quoteMode == QuoteIvMode.Absolute)
{
sigma = ivTarget.EntryIv;
}
else
{
sigma = oldInfo.ContinuousFunction.Value(k) + ivTarget.EntryIv;
if (!DoubleUtil.IsPositive(sigma))
{
//string msg = String.Format("[DEBUG:{0}] Invalid sigma:{1} for strike:{2}", GetType().Name, sigma, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
}
//bool isCall = (futPx <= pair.Strike);
// Определяю тип опциона на основании информации в Задаче
StrikeType taskOptionType = StrikeType.Any;
if (ivTarget.SecInfo.StrikeType.HasValue)
{
taskOptionType = ivTarget.SecInfo.StrikeType.Value;
}
bool isCall;
if (taskOptionType == StrikeType.Call)
{
isCall = true;
}
else if (taskOptionType == StrikeType.Put)
{
isCall = false;
}
else
{
isCall = (futPx <= pair.Strike); // Это аварийная ситуация?
}
StrikeType optionType = isCall ? StrikeType.Call : StrikeType.Put;
Contract.Assert(pair.Tick < 1, $"#3 На тестовом контуре Дерибит присылает неправильный шаг цены! Tick:{pair.Tick}; Decimals:{pair.Put.Security.Decimals}");
double theorOptPxDollars = FinMath.GetOptionPrice(futPx, pair.Strike, dT, sigma, oldInfo.RiskFreeRate, isCall);
// Сразу(!!!) переводим котировку из баксов в битки
double theorOptPxBitcoins = theorOptPxDollars / scaleMult;
// Сдвигаем цену в долларах (с учетом ш.ц. в баксах)
theorOptPxDollars += ivTarget.EntryShiftPrice * pair.Tick * scaleMult;
theorOptPxDollars = Math.Round(theorOptPxDollars / (pair.Tick * scaleMult)) * (pair.Tick * scaleMult);
// Сдвигаем цену в биткойнах (с учетом ш.ц. в битках)
theorOptPxBitcoins += ivTarget.EntryShiftPrice * pair.Tick;
theorOptPxBitcoins = Math.Round(theorOptPxBitcoins / pair.Tick) * pair.Tick;
if ((!DoubleUtil.IsPositive(theorOptPxBitcoins)) || (!DoubleUtil.IsPositive(theorOptPxDollars)))
{
//string msg = String.Format("[DEBUG:{0}] Invalid theorOptPx:{1} for strike:{2}", GetType().Name, theorOptPx, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
IOptionStrike optStrike = isCall ? pair.Call : pair.Put;
ISecurity sec = optStrike.Security;
double totalQty = posMan.GetTotalQty(sec, m_context.BarsCount, TotalProfitAlgo.AllPositions, ivTarget.IsLong);
// Поскольку котирование страйка по волатильности -- это вопрос набора нужного количества СТРЕДДЛОВ,
// то учитывать надо суммарный объём опционов как в колах, так и в путах.
// НО ЗАДАЧУ-ТО Я СТАВЛЮ ДЛЯ КОНКРЕТНОГО ИНСТРУМЕНТА!
// Как быть?
//double totalQty = posMan.GetTotalQty(pair.Put.Security, m_context.BarsCount, TotalProfitAlgo.AllPositions, ivTarget.IsLong);
//totalQty += posMan.GetTotalQty(pair.Call.Security, m_context.BarsCount, TotalProfitAlgo.AllPositions, ivTarget.IsLong);
double targetQty = Math.Abs(ivTarget.TargetShares) - totalQty;
// Если имеется дробный LotTick (как в Дерибит к примеру), то надо предварительно округлить
targetQty = sec.RoundShares(targetQty);
if (targetQty > 0)
{
string note = String.Format(CultureInfo.InvariantCulture,
"{0}; ActQty:{1}; Px:{2}; IV:{3:P2}",
ivTarget.EntryNotes, targetQty, theorOptPxBitcoins, sigma);
if (ivTarget.IsLong)
{
posMan.BuyAtPrice(m_context, sec, targetQty, theorOptPxBitcoins, ivTarget.EntrySignalName, note);
}
else
{
posMan.SellAtPrice(m_context, sec, targetQty, theorOptPxBitcoins, ivTarget.EntrySignalName, note);
}
}
else
{
string msg = String.Format(CultureInfo.InvariantCulture,
"IvTarget cancelled. SignalName:{0}; Notes:{1}", ivTarget.EntrySignalName, ivTarget.EntryNotes);
posMan.CancelVolatility(m_context, ivTarget, msg);
// TODO: потом убрать из ГЛ
m_context.Log(msg, MessageType.Info, true, new Dictionary <string, object> {
{ "VOLATILITY_ORDER_CANCELLED", msg }
});
}
}
}
#endregion 4. Котирование
#region 5. Торговля
if (m_executeCommand && (!DoubleUtil.IsZero(m_qty)))
{
double k;
if ((!Double.TryParse(m_strike, out k)) &&
(!Double.TryParse(m_strike, NumberStyles.Any, CultureInfo.InvariantCulture, out k)))
{
return(res);
}
var pair = (from p in pairs where DoubleUtil.AreClose(k, p.Strike) select p).SingleOrDefault();
if (pair == null)
{
return(res);
}
InteractiveObject obj = (from o in controlPoints where DoubleUtil.AreClose(k, o.Anchor.ValueX) select o).SingleOrDefault();
if (obj == null)
{
return(res);
}
// TODO: для режима котирования в абсолютных числах сделать отдельную ветку
//double iv = obj.Anchor.ValueY;
const QuoteIvMode QuoteMode = QuoteIvMode.Relative;
if (posMan.BlockTrading)
{
string msg = String.Format(RM.GetString("OptHandlerMsg.PositionsManager.TradingBlocked"),
m_context.Runtime.TradeName + ":QuoteIv");
m_context.Log(msg, MessageType.Warning, true);
return(res);
}
// Выбираю тип инструмента пут или колл?
bool isCall;
if (m_optionType == StrikeType.Call)
{
isCall = true;
}
else if (m_optionType == StrikeType.Put)
{
isCall = false;
}
else
{
isCall = (futPx <= k);
}
double iv = m_shiftIv;
int shift = m_shiftPriceStep;
var option = isCall ? pair.Call : pair.Put;
if (m_qty > 0)
{
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = m_qty * option.LotTick;
string sigName = String.Format(CultureInfo.InvariantCulture,
"Qty:{0}; IV:{1:P2}+{2}; dT:{3}; Mode:{4}", actQty, iv, shift, dT, QuoteMode);
posMan.BuyVolatility(m_context, option, Math.Abs(actQty), QuoteMode, iv, shift, "BuyVola", sigName);
m_context.Log(sigName, MessageType.Info, false);
}
else if (m_qty < 0)
{
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = m_qty * option.LotTick;
string sigName = String.Format(CultureInfo.InvariantCulture,
"Qty:{0}; IV:{1:P2}+{2}; dT:{3}; Mode:{4}", actQty, iv, shift, dT, QuoteMode);
posMan.SellVolatility(m_context, option, Math.Abs(actQty), QuoteMode, iv, shift, "SellVola", sigName);
m_context.Log(sigName, MessageType.Info, false);
}
}
#endregion 5. Торговля
return(res);
}
public InteractiveSeries Execute(InteractiveSeries deltaProfile, int barNum)
{
//InteractiveSeries res = context.LoadObject(cashKey + "positionDelta") as InteractiveSeries;
//if (res == null)
//{
// res = new InteractiveSeries();
// context.StoreObject(cashKey + "positionDelta", res);
//}
InteractiveSeries res = new InteractiveSeries();
int barsCount = ContextBarsCount;
if (barNum < barsCount - 1)
{
return(res);
}
if (deltaProfile == null)
{
return(res);
}
SmileInfo sInfo = deltaProfile.GetTag <SmileInfo>();
if ((sInfo == null) ||
(sInfo.ContinuousFunction == null) || (sInfo.ContinuousFunctionD1 == null))
{
return(res);
}
List <double> xs = new List <double>();
List <double> ys = new List <double>();
var deltaPoints = deltaProfile.ControlPoints;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (InteractiveObject iob in deltaPoints)
{
double rawGamma, f = iob.Anchor.ValueX;
if (sInfo.ContinuousFunctionD1.TryGetValue(f, out rawGamma))
{
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = System.Windows.Media.Colors.Orange;
double y = rawGamma;
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; G:{1}", f, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
ys.Add(y);
}
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
SmileInfo info = new SmileInfo();
info.F = sInfo.F;
info.dT = sInfo.dT;
info.RiskFreeRate = sInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
return(res);
}
public InteractiveSeries Execute(double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
//double F = prices[prices.Count - 1];
double dT = time;
if (!DoubleUtil.IsPositive(dT))
{
// [{0}] Time to expiry must be positive value. dT:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
if (smile == null)
{
string msg = String.Format("[{0}] Argument 'smile' must be filled with InteractiveSeries.", GetType().Name);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if (oldInfo == null)
{
string msg = String.Format("[{0}] Property Tag of object smile must be filled with SmileInfo. Tag:{1}", GetType().Name, smile.Tag);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
double f = m_minStrike;
List <double> xs = new List <double>();
List <double> ys = new List <double>();
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
while (f <= m_maxStrike)
{
double rawDelta;
GetBaseDelta(posMan, optSer.UnderlyingAsset, optSer.UnderlyingAsset.Bars.Count - 1, f, out rawDelta);
for (int j = 0; j < pairs.Length; j++)
{
IOptionStrikePair pair = pairs[j];
double totalDelta;
//double putDelta = FinMath.GetOptionDelta(f, pair.Strike, dT, sigma.Value, 0, false);
GetPairDelta(posMan, smile, pair, f, dT, out totalDelta);
rawDelta += totalDelta;
}
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = AlphaColors.Green;
double y = rawDelta;
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; D:{1}", f, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
ys.Add(y);
f += m_strikeStep;
}
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.RiskFreeRate = oldInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
return(res);
}
public InteractiveSeries Execute(double time, InteractiveSeries smile, IOptionSeries optSer, double btcUsdIndex, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (smile == null) || (optSer == null))
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double dT = time;
if (!DoubleUtil.IsPositive(dT))
{
// [{0}] Time to expiry must be positive value. dT:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(btcUsdIndex))
{
// TODO: сделать ресурс! [{0}] Price of BTC/USD must be positive value. scaleMult:{1}
//string msg = RM.GetStringFormat("OptHandlerMsg.CurrencyScaleMustBePositive", GetType().Name, scaleMult);
string msg = String.Format("[{0}] Price of BTC/USD must be positive value. scaleMult:{1}", GetType().Name, btcUsdIndex);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if (oldInfo == null)
{
string msg = String.Format("[{0}] Property Tag of object smile must be filled with SmileInfo. Tag:{1}", GetType().Name, smile.Tag);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, false);
}
return(Constants.EmptySeries);
}
double futPx = oldInfo.F;
double ivAtm;
if (!oldInfo.ContinuousFunction.TryGetValue(futPx, out ivAtm))
{
string msg = String.Format("[{0}] Unable to get IV ATM from smile. Tag:{1}", GetType().Name, smile.Tag);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
if (pairs.Length < 2)
{
string msg = String.Format("[{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
List <double> xs = new List <double>();
List <double> ys = new List <double>();
double futStep = optSer.UnderlyingAsset.Tick;
PositionsManager posMan = PositionsManager.GetManager(m_context);
ReadOnlyCollection <IPosition> basePositions = posMan.GetClosedOrActiveForBar(optSer.UnderlyingAsset);
var optPositions = SingleSeriesProfile.GetAllOptionPositions(posMan, pairs);
SortedDictionary <double, IOptionStrikePair> futPrices;
if (!SmileImitation5.TryPrepareImportantPoints(pairs, futPx, futStep, -1, out futPrices))
{
string msg = String.Format("[{0}] It looks like there is no suitable points for the smile. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
// Чтобы учесть базис между фьючерсом и индексом, вычисляю их отношение:
// Пример: BtcInd==9023; FutPx==8937 --> indexDivByFutRatio == 1.009623
double indexDivByFutRatio = btcUsdIndex / futPx;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
// Список точек для вычисления дельт + улыбки для этих точек
var deltaPoints = new List <Tuple <double, InteractivePointActive> >();
foreach (var kvp in futPrices)
{
// Если у нас новая цена фьючерса, значит, будет новая цена индекса
double f = kvp.Key;
// И при пересчете опционов в баксы НУЖНО ИСПОЛЬЗОВАТЬ ИМЕННО ЕЁ!!!
double newScaleMult = f * indexDivByFutRatio;
bool tradableStrike = (kvp.Value != null);
CashPnlUsd cashPnlUsd;
CashPnlBtc cashPnlBtc;
GetBasePnl(basePositions, lastBarIndex, f, m_futNominal, out cashPnlUsd, out cashPnlBtc);
double cashDollars = cashPnlUsd.CashUsd;
double pnlDollars = cashPnlUsd.PnlUsd;
double cashBtc = cashPnlBtc.CashBtc;
double pnlBtc = cashPnlBtc.PnlBtc;
SmileInfo actualSmile = SingleSeriesProfile.GetActualSmile(oldInfo, m_greekAlgo, f);
// Флаг того, что ПНЛ по всем инструментам был расчитан верно
bool pnlIsCorrect = true;
for (int j = 0; (j < pairs.Length) && pnlIsCorrect; j++)
{
var tuple = optPositions[j];
IOptionStrikePair pair = pairs[j];
//int putBarCount = pair.Put.UnderlyingAsset.Bars.Count;
//int callBarCount = pair.Call.UnderlyingAsset.Bars.Count;
CashPnlUsd pairCashUsd;
CashPnlBtc pairCashBtc;
bool localRes = TryGetPairPnl(actualSmile, pair.Strike, lastBarIndex, lastBarIndex,
tuple.Item1, tuple.Item2, f, dT, newScaleMult,
out pairCashUsd, out pairCashBtc);
pnlIsCorrect &= localRes;
cashDollars += pairCashUsd.CashUsd;
pnlDollars += pairCashUsd.PnlUsd;
cashBtc += pairCashBtc.CashBtc;
pnlBtc += pairCashBtc.PnlBtc;
}
// Профиль позиции будет рисоваться только если ПНЛ был посчитан верно по ВСЕМ инструментам!
if (pnlIsCorrect)
{
InteractivePointLight ip;
// Показаны будут только узлы, совпадающие с реальными страйками.
// Потенциально это позволит сделать эти узлы пригодными для торговли по клику наподобие улыбки.
if (m_showNodes && tradableStrike)
{
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive tmp = new InteractivePointActive();
tmp.IsActive = m_showNodes && tradableStrike;
string pnlUsdStr = (cashDollars + pnlDollars).ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
string pnlBtcStr = (cashBtc + pnlBtc).ToString(DefaultBtcTooltipFormat, CultureInfo.InvariantCulture);
tmp.Tooltip = String.Format(CultureInfo.InvariantCulture, " F: {0}\r\n PnL($): {1}\r\n PnL(B): {2}", f, pnlUsdStr, pnlBtcStr);
// Если у нас получился сплайн по профилю позиции, значит мы можем вычислить дельту!
if (m_showNodes && tradableStrike)
{
// Готовим важные точки
var tuple = new Tuple <double, InteractivePointActive>(f, tmp);
deltaPoints.Add(tuple);
}
ip = tmp;
}
else
{
ip = new InteractivePointLight();
}
// PROD-6103 - Выводить профиль позиции в биткойнах
if (ProfileAsBtc)
{
ip.Value = new Point(f, cashBtc + pnlBtc);
}
else
{
ip.Value = new Point(f, cashDollars + pnlDollars);
}
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
// PROD-6103 - Выводить профиль позиции в биткойнах
if (ProfileAsBtc)
{
ys.Add(cashBtc + pnlBtc);
}
else
{
ys.Add(cashDollars + pnlDollars);
}
} // End if (pnlIsCorrect)
} // End foreach (var kvp in futPrices)
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.RiskFreeRate = oldInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
// Если у нас получился сплайн по профилю позиции, значит мы можем вычислить дельту!
for (int j = 1; j < deltaPoints.Count - 1; j++)
{
var tuple = deltaPoints[j];
double f = tuple.Item1;
var ip = tuple.Item2;
double actualDelta, deltaLeft, deltaRight;
if (m_twoSideDelta)
{
double prevF = deltaPoints[j - 1].Item1;
double nextF = deltaPoints[j + 1].Item1;
double currY = deltaPoints[j].Item2.ValueY;
double prevY = deltaPoints[j - 1].Item2.ValueY;
double nextY = deltaPoints[j + 1].Item2.ValueY;
deltaLeft = (currY - prevY) / (f - prevF);
deltaRight = (nextY - currY) / (nextF - f);
// Считаем дельты слева и справа
// Мы передвинули улыбку в точку f и считаем дельту позиции В ЭТОЙ ЖЕ ТОЧКЕ(!)
//if (info.ContinuousFunction.TryGetValue(f - 100 * futStep, out deltaLeft) &&
// info.ContinuousFunctionD1.TryGetValue(f + 100 * futStep, out deltaRight))
{
// Первый пробел уже учтен в Tooltip
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "{0}\r\n LeftD: {1:0.0}; RightD: {2:0.0}",
ip.Tooltip, deltaLeft, deltaRight);
}
}
else
{
// Мы передвинули улыбку в точку f и считаем дельту позиции В ЭТОЙ ЖЕ ТОЧКЕ(!)
if (info.ContinuousFunctionD1.TryGetValue(f, out actualDelta))
{
// Первый пробел уже учтен в Tooltip
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "{0}\r\n D: {1:0.0}", ip.Tooltip, actualDelta);
}
}
}
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
SetHandlerInitialized(now, true);
return(res);
}
public InteractiveSeries Execute(double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
InteractiveSeries res = new InteractiveSeries();
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(res);
}
double dT = time;
if (Double.IsNaN(dT) || (dT < Double.Epsilon))
{
// [{0}] Time to expiry must be positive value. dT:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
if (smile == null)
{
string msg = String.Format("[{0}] Argument 'smile' must be filled with InteractiveSeries.", GetType().Name);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if (oldInfo == null)
{
string msg = String.Format("[{0}] Property Tag of object smile must be filled with SmileInfo. Tag:{1}", GetType().Name, smile.Tag);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
List <double> xs = new List <double>();
List <double> ys = new List <double>();
var smilePoints = smile.ControlPoints;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (InteractiveObject iob in smilePoints)
{
double rawTheta, f = iob.Anchor.ValueX;
if (TryEstimateTheta(posMan, pairs, smile, m_greekAlgo, f, dT, m_tStep, out rawTheta))
{
// Переводим тету в дифференциал 'изменение цены за 1 сутки'.
rawTheta = RescaleThetaToDays(m_tRemainMode, rawTheta);
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = System.Windows.Media.Colors.Green;
double y = rawTheta;
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; Th:{1}", f, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
ys.Add(y);
}
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.RiskFreeRate = oldInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
return(res);
}
/// <summary>
/// Метод под флаг TemplateTypes.INTERACTIVESPLINE
/// </summary>
public InteractiveSeries Execute(InteractiveSeries smile, IOptionSeries optSer, InteractiveSeries quoteIv, double scaleMult, int barNum)
{
if ((smile == null) || (optSer == null))
{
return(Constants.EmptySeries);
}
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if ((oldInfo == null) || (oldInfo.ContinuousFunction == null))
{
return(Constants.EmptySeries);
}
double futPx = oldInfo.F;
double dT = oldInfo.dT;
// 1. Формируем маркеры заявок
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
PositionsManager posMan = PositionsManager.GetManager(m_context);
IList <PositionsManager.IvTargetInfo> ivTargets = posMan.GetIvTargets(m_isLong, true);
for (int j = 0; j < ivTargets.Count; j++)
{
var ivTarget = ivTargets[j];
// PROD-6102 - Требуется точное совпадение опционной серии
if (optSer.ExpirationDate.Date != ivTarget.SecInfo.Expiry.Date)
{
// Вывести предупреждение???
continue;
}
IOptionStrikePair pair;
double k = ivTarget.SecInfo.Strike;
if (!optSer.TryGetStrikePair(k, out pair))
{
// Вывести предупреждение???
continue;
}
double sigma;
QuoteIvMode quoteMode = ivTarget.QuoteMode;
if (quoteMode == QuoteIvMode.Absolute)
{
sigma = ivTarget.EntryIv;
}
else
{
sigma = oldInfo.ContinuousFunction.Value(k) + ivTarget.EntryIv;
if (!DoubleUtil.IsPositive(sigma))
{
//string msg = String.Format("[DEBUG:{0}] Invalid sigma:{1} for strike:{2}", GetType().Name, sigma, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
}
bool isCall = (futPx <= k);
if ((ivTarget.SecInfo.StrikeType != null) &&
(ivTarget.SecInfo.StrikeType.Value != StrikeType.Any))
{
isCall = (ivTarget.SecInfo.StrikeType.Value == StrikeType.Call);
}
StrikeType optionType = isCall ? StrikeType.Call : StrikeType.Put;
Contract.Assert(pair.Tick < 1, $"На тестовом контуре Дерибит присылает неправильный шаг цены! Tick:{pair.Tick}; Decimals:{pair.Put.Security.Decimals}");
double theorOptPxDollars = FinMath.GetOptionPrice(futPx, pair.Strike, dT, sigma, oldInfo.RiskFreeRate, isCall);
// Сразу(!!!) переводим котировку из баксов в битки
double theorOptPxBitcoins = theorOptPxDollars / scaleMult;
// Сдвигаем цену в долларах (с учетом ш.ц. в баксах)
theorOptPxDollars += ivTarget.EntryShiftPrice * pair.Tick * scaleMult;
theorOptPxDollars = Math.Round(theorOptPxDollars / (pair.Tick * scaleMult)) * (pair.Tick * scaleMult);
// Сдвигаем цену в биткойнах (с учетом ш.ц. в битках)
theorOptPxBitcoins += ivTarget.EntryShiftPrice * pair.Tick;
theorOptPxBitcoins = Math.Round(theorOptPxBitcoins / pair.Tick) * pair.Tick;
if ((!DoubleUtil.IsPositive(theorOptPxBitcoins)) || (!DoubleUtil.IsPositive(theorOptPxDollars)))
{
//string msg = String.Format("[DEBUG:{0}] Invalid theorOptPx:{1} for strike:{2}", GetType().Name, theorOptPx, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
// Пересчитываем сигму обратно, ЕСЛИ мы применили сдвиг цены в абсолютном выражении
if (ivTarget.EntryShiftPrice != 0)
{
sigma = FinMath.GetOptionSigma(futPx, pair.Strike, dT, theorOptPxDollars, oldInfo.RiskFreeRate, isCall);
if (!DoubleUtil.IsPositive(sigma))
{
//string msg = String.Format("[DEBUG:{0}] Invalid sigma:{1} for strike:{2}", GetType().Name, sigma, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
}
double totalQty;
if (isCall)
{
totalQty = posMan.GetTotalQty(pair.Call.Security, m_context.BarsCount, TotalProfitAlgo.AllPositions, ivTarget.IsLong);
}
else
{
totalQty = posMan.GetTotalQty(pair.Put.Security, m_context.BarsCount, TotalProfitAlgo.AllPositions, ivTarget.IsLong);
}
double targetQty = Math.Abs(ivTarget.TargetShares) - totalQty;
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive tmp = new InteractivePointActive();
// Попробуем по-простому?
tmp.Tag = ivTarget;
tmp.IsActive = true;
tmp.ValueX = k;
tmp.ValueY = sigma;
tmp.DragableMode = DragableMode.None;
if (ivTarget.EntryShiftPrice == 0)
{
tmp.Tooltip = String.Format(CultureInfo.InvariantCulture,
" F: {0}\r\n K: {1}; IV: {2:P2}\r\n {3} px {4} rIV {5:P2} @ {6}",
futPx, k, sigma, optionType, theorOptPxBitcoins, ivTarget.EntryIv, targetQty);
}
else
{
string shiftStr = (ivTarget.EntryShiftPrice > 0) ? "+" : "-";
shiftStr = shiftStr + Math.Abs(ivTarget.EntryShiftPrice) + "ps";
tmp.Tooltip = String.Format(CultureInfo.InvariantCulture,
" F: {0}\r\n K: {1}; IV: {2:P2}\r\n {3} px {4} rIV {5:P2} {6} @ {7}",
futPx, k, sigma, optionType, theorOptPxBitcoins, ivTarget.EntryIv, shiftStr, targetQty);
}
//tmp.Color = Colors.White;
//if (m_qty > 0)
// tmp.Geometry = Geometries.Triangle;
//else if (m_qty < 0)
// tmp.Geometry = Geometries.TriangleDown;
//else
// tmp.Geometry = Geometries.None;
InteractiveObject obj = new InteractiveObject();
obj.Anchor = tmp;
controlPoints.Add(obj);
}
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
if (controlPoints.Count > 0)
{
res.ClickEvent -= InteractiveSplineOnClickEvent;
res.ClickEvent += InteractiveSplineOnClickEvent;
m_clickableSeries = res;
}
return(res);
}
public InteractiveSeries Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double futPx = price;
double dT = time;
if (!DoubleUtil.IsPositive(dT))
{
// [{0}] Time to expiry must be positive value. dT:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, false);
}
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(futPx))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, futPx);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, false);
}
return(Constants.EmptySeries);
}
if (smile == null)
{
string msg = String.Format("[{0}] Argument 'smile' must be filled with InteractiveSeries.", GetType().Name);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, false);
}
return(Constants.EmptySeries);
}
if (m_optionType == StrikeType.Any)
{
string msg = String.Format("[{0}] OptionType '{1}' is not supported.", GetType().Name, m_optionType);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, false);
}
return(Constants.EmptySeries);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if (oldInfo == null)
{
string msg = String.Format("[{0}] Property Tag of object smile must be filled with SmileInfo. Tag:{1}", GetType().Name, smile.Tag);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, false);
}
return(Constants.EmptySeries);
}
bool isCall = m_optionType == StrikeType.Call;
double putQty = isCall ? 0 : m_fixedQty;
double callQty = isCall ? m_fixedQty : 0;
double riskFreeRate = 0;
List <double> xs = new List <double>();
List <double> ys = new List <double>();
var smilePoints = smile.ControlPoints;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (IOptionStrikePair pair in pairs)
{
double rawTheta;
if (TryEstimateTheta(putQty, callQty, optSer, pair, smile, m_greekAlgo, futPx, dT, m_tStep, riskFreeRate, out rawTheta))
{
// Переводим тету в дифференциал 'изменение цены за 1 сутки'.
rawTheta /= OptionUtils.DaysInYear;
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = System.Windows.Media.Colors.Green;
double y = rawTheta;
ip.Value = new Point(pair.Strike, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format("K:{0}; Th:{1}", pair.Strike, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(pair.Strike);
ys.Add(y);
}
}
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.RiskFreeRate = oldInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
SetHandlerInitialized(now);
return(res);
}
public InteractiveSeries Execute(IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
IOptionStrike[] options = optSer.GetStrikes().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
//if (Context.Runtime.IsAgentMode)
//{
// PROD-6089 - Если мы в режиме агента, значит все инструменты уже ISecurityRt
// SortedList<DateTime, IOrder> sortedOrders = new SortedList<DateTime, IOrder>(s_comparer);
//}
SortedList <DateTime, IPosition> sortedPos = new SortedList <DateTime, IPosition>(s_comparer);
if (m_countFutures)
{
ReadOnlyCollection <IPosition> futPositions = posMan.GetActiveForBar(optSer.UnderlyingAsset);
if (futPositions.Count > 0)
{
for (int j = 0; j < futPositions.Count; j++)
{
IPosition pos = futPositions[j];
AddSafely(sortedPos, pos);
}
}
}
for (int m = 0; m < options.Length; m++)
{
IOptionStrike optStrike = options[m];
ReadOnlyCollection <IPosition> optPositions = posMan.GetActiveForBar(optStrike.Security);
if (optPositions.Count > 0)
{
for (int j = 0; j < optPositions.Count; j++)
{
IPosition pos = optPositions[j];
AddSafely(sortedPos, pos);
}
}
}
int counter = 0;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (var node in sortedPos)
{
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = true;
//ip.DragableMode = DragableMode.None;
ip.DateTime = node.Key;
ip.ValueX = 0; // все одинаковые 'страйки' имеют
ip.ValueY = PrepareValue(node, barNum, m_displayMode);
ip.Tooltip = PrepareTooltip(node, barNum, m_displayMode);
controlPoints.Add(new InteractiveObject(ip));
counter++;
if (counter >= m_maxPositions)
{
break;
}
}
InteractiveSeries res = new InteractiveSeries(); // Здесь правильно делать new
// Задаю свойство для отображения
switch (m_displayMode)
{
case PositionGridDisplayMode.Px:
case PositionGridDisplayMode.Qty:
res.DisplayProperty.Name = nameof(IInteractivePointLight.ValueY);
break;
default:
res.DisplayProperty.Name = nameof(InteractivePointActive.Tooltip);
break;
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
SetHandlerInitialized(now);
return(res);
}
