/// <summary>
/// Вычисление нескольких видов наклона улыбки и обновление исторической серии,
/// которая потенциально может быть сохранена в глобальный кеш.
/// При записи в кеш серия помещается в NotClearableContainer, чтобы выживать при очистке памяти.
/// </summary>
public static bool TryCalcAndWriteSkews(IContext context, NotAKnotCubicSpline smileSpline,
bool useGlobal, bool allowGlobalWrite, int savePeriod,
string futSymbol, DateTime optExpiry, double futPx, DateTime lastBarDate,
TimeRemainMode tRemainMode, double plainTimeAsYears, double timeAsYears)
{
bool successSkew = false;
var splineD1 = smileSpline.DeriveD1();
if (splineD1.TryGetValue(futPx, out var skewAtm))
{
//string symbol = optSer.UnderlyingAsset.Symbol;
// А. Записываем в Глобальный Кеш РАЗМЕРНЫЙ наклон (модель времени неважна)
{
string skewKey = IvOnF.GetSkewCashKey(futSymbol, optExpiry, SmileSkewMode.RawSkew, TimeRemainMode.PlainCalendar);
var ivSkews = LoadOrCreateHistoryDict(context, useGlobal, skewKey);
// Это просто запись на диск. К успешности вычисления наклона successSkew отношения не имеет
successSkew = TryWrite(context, useGlobal, allowGlobalWrite,
savePeriod, skewKey, ivSkews, lastBarDate, skewAtm);
}
// В. Записываем в Глобальный Кеш БЕЗРАЗМЕРНЫЙ наклон В БИРЖЕВОМ ВРЕМЕНИ (PlainCalendar)
{
double dSigmaDxExchange = SmileImitation5.GetDSigmaDx(futPx, plainTimeAsYears, skewAtm, 0);
if (!DoubleUtil.IsNaN(dSigmaDxExchange))
{
string skewKey = IvOnF.GetSkewCashKey(futSymbol, optExpiry, SmileSkewMode.ExchangeSkew, TimeRemainMode.PlainCalendar);
var ivSkews = LoadOrCreateHistoryDict(context, useGlobal, skewKey);
// Это просто запись на диск. К успешности вычисления наклона successSkew отношения не имеет
successSkew = TryWrite(context, useGlobal, allowGlobalWrite,
savePeriod, skewKey, ivSkews, lastBarDate, dSigmaDxExchange);
}
}
// Д. Записываем в Глобальный Кеш БЕЗРАЗМЕРНЫЙ наклон В НАШЕМ ВРЕМЕНИ (в соответствии с tRemainMode)
{
double dSigmaDxRescaled = SmileImitation5.GetDSigmaDx(futPx, timeAsYears, skewAtm, 0);
if (!DoubleUtil.IsNaN(dSigmaDxRescaled))
{
string skewKey = IvOnF.GetSkewCashKey(futSymbol, optExpiry, SmileSkewMode.RescaledSkew, tRemainMode);
var ivSkews = LoadOrCreateHistoryDict(context, useGlobal, skewKey);
// Это просто запись на диск. К успешности вычисления наклона successSkew отношения не имеет
successSkew = TryWrite(context, useGlobal, allowGlobalWrite,
savePeriod, skewKey, ivSkews, lastBarDate, dSigmaDxRescaled);
}
}
} // End if (splineD1.TryGetValue(futPx, out var skewAtm))
return(successSkew);
}
public static NotAKnotCubicSpline PrepareExchangeSmileSpline(IOptionSeries optSer, double minStrike, double maxStrike)
{
List <double> xs = new List <double>();
List <double> ys = new List <double>();
IOptionStrikePair[] pairs = (from pair in optSer.GetStrikePairs()
//orderby pair.Strike ascending -- уже отсортировано!
select pair).ToArray();
for (int j = 0; j < pairs.Length; j++)
{
IOptionStrikePair sInfo = pairs[j];
// Сверхдалекие страйки игнорируем
if ((sInfo.Strike < minStrike) || (maxStrike < sInfo.Strike))
{
continue;
}
if ((sInfo.PutFinInfo == null) || (sInfo.CallFinInfo == null) ||
(!sInfo.PutFinInfo.TheoreticalPrice.HasValue) || (!sInfo.PutFinInfo.Volatility.HasValue) ||
(sInfo.PutFinInfo.TheoreticalPrice.Value <= 0) || (sInfo.PutFinInfo.Volatility.Value <= 0) ||
(!sInfo.CallFinInfo.TheoreticalPrice.HasValue) || (!sInfo.CallFinInfo.Volatility.HasValue) ||
(sInfo.CallFinInfo.TheoreticalPrice.Value <= 0) || (sInfo.CallFinInfo.Volatility.Value <= 0))
{
continue;
}
// TODO: вернуть ассерт потом
//System.Diagnostics.Debug.Assert(
// DoubleUtil.AreClose(sInfo.PutFinInfo.Volatility.Value, sInfo.CallFinInfo.Volatility.Value),
// "Exchange volas on the same strike MUST be equal! PutVola:" + sInfo.PutFinInfo.Volatility.Value +
// "; CallVola:" + sInfo.CallFinInfo.Volatility.Value);
xs.Add(sInfo.Strike);
ys.Add(sInfo.PutFinInfo.Volatility.Value);
}
NotAKnotCubicSpline spline = null;
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
spline = new NotAKnotCubicSpline(xs, ys);
}
return(spline);
}
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);
}
/// <summary>
/// Обработчик под тип входных данных OPTION_SERIES
/// </summary>
public IList <double> Execute(IOptionSeries optSer)
{
if (optSer == null)
{
string msg = "[IV ATM] (optSer == null)";
m_context.Log(msg, MessageType.Warning, false);
return(Constants.EmptyListDouble);
}
Dictionary <DateTime, double> ivSigmas;
#region Get cache
DateTime expiry = optSer.ExpirationDate.Date;
string cashKey = IvOnF.GetCashKey(optSer.UnderlyingAsset.Symbol, expiry, m_rescaleTime, m_tRemainMode);
ivSigmas = LoadOrCreateHistoryDict(UseGlobalCache, cashKey);
#endregion Get cache
List <double> res;
ISecurity sec = optSer.UnderlyingAsset;
int len = sec.Bars.Count;
if (len <= 0)
{
return(Constants.EmptyListDouble);
}
if (m_context.IsFixedBarsCount)
{
#region Ветка с ФИКСИРОВАННЫМ количеством баров
double lastIv = Double.NaN;
res = new List <double>(len);
for (int j = 0; j < len; j++)
{
DateTime now = sec.Bars[j].Date;
double iv;
if ((ivSigmas.TryGetValue(now, out iv)) && (!Double.IsNaN(iv)) && (iv > 0))
{
lastIv = iv;
res.Add(iv);
}
else
{
if (m_repeatLastIv && (!Double.IsNaN(lastIv)))
{
res.Add(lastIv);
}
else
{
res.Add(Constants.NaN);
}
}
}
#endregion Ветка с ФИКСИРОВАННЫМ количеством баров
}
else
{
#region Ветка с нарастающим количеством баров
res = LocalHistory;
// PROD-1933
// 1. Выполняю очистку локального кеша в сценарии восстановления соединения после дисконнекта
if (res.Count > len)
{
res.Clear();
}
// 2. Ищу последнее валидное значение в кеше причем только если это может быть нужно
double lastIv = Double.NaN;
if (m_repeatLastIv)
{
for (int j = res.Count - 1; j >= 0; j--)
{
if ((!Double.IsNaN(res[j])) && (res[j] > 0))
{
lastIv = res[j];
break;
}
}
}
for (int j = res.Count; j < len; j++)
{
DateTime now = sec.Bars[j].Date;
double iv;
if ((ivSigmas.TryGetValue(now, out iv)) && (!Double.IsNaN(iv)) && (iv > 0))
{
lastIv = iv;
res.Add(iv);
}
else
{
if (m_repeatLastIv && (!Double.IsNaN(lastIv)))
{
res.Add(lastIv);
}
else
{
res.Add(Constants.NaN);
}
}
}
#endregion Ветка с нарастающим количеством баров
}
Debug.Assert(res != null, "How is it possible (res == null)?");
Debug.Assert(res.Count == len, String.Format("Wrong res.Count. res.Count:{0}; expected len:{1}; IsFixedBarsCount:{2}",
res.Count, len, m_context.IsFixedBarsCount));
FinInfo baseFinInfo = optSer.UnderlyingAsset.FinInfo;
// Эта проверка намекает на проблемы с маркет-датой.
if (baseFinInfo.LastPrice == null)
{
string msg = "[IV ATM] (baseFinInfo.LastPrice == null)";
m_context.Log(msg, MessageType.Warning, false);
return(res);
}
try
{
double sigma;
double futPx = baseFinInfo.LastPrice.Value;
NotAKnotCubicSpline spline = PrepareExchangeSmileSpline(optSer, Double.MinValue, Double.MaxValue);
if ((spline != null) && spline.TryGetValue(futPx, out sigma) && DoubleUtil.IsPositive(sigma))
{
DateTime lastBarDate = sec.Bars[len - 1].Date;
if (m_rescaleTime)
{
#region Зверская ветка по замене времени
double ivAtm = sigma;
DateTime expDate = optSer.ExpirationDate.Date + m_expiryTime;
DateTime now = baseFinInfo.LastUpdate;
// 1. Надо перевести волатильность в абсолютную цену
// с учетом плоского календарного времени применяемого РТС
double plainTimeAsYears;
{
double plainTimeAsDays;
TimeToExpiry.GetDt(expDate, now, TimeRemainMode.PlainCalendar, false, out plainTimeAsDays,
out plainTimeAsYears);
}
// 2. Вычисляем 'нормальное' время
double timeAsDays, timeAsYears;
TimeToExpiry.GetDt(expDate, now, m_tRemainMode, false, out timeAsDays, out timeAsYears);
sigma = FinMath.RescaleIvToAnotherTime(plainTimeAsYears, ivAtm, timeAsYears);
if (DoubleUtil.IsPositive(sigma))
{
// Это просто запись на диск. К успешности вычисления волы success отношения не имеет
bool success = TryWrite(m_context, UseGlobalCache, AllowGlobalReadWrite,
GlobalSavePeriod, cashKey, ivSigmas, lastBarDate, sigma);
// Теперь надо вычислить безразмерный наклон кодом в классе SmileImitation5
bool successSkew = TryCalcAndWriteSkews(m_context, spline, UseGlobalCache, AllowGlobalReadWrite, GlobalSavePeriod,
optSer.UnderlyingAsset.Symbol, expiry, futPx, lastBarDate, m_tRemainMode, plainTimeAsYears, timeAsYears);
}
else
{
// Если перемасштабировать улыбку не получается придется эту точку проигнорировать
// Надо ли сделать соответствующую запись в логе???
sigma = Constants.NaN;
}
#endregion Зверская ветка по замене времени
}
else
{
// Это просто запись на диск. К успешности вычисления волы success отношения не имеет
bool success = TryWrite(m_context, UseGlobalCache, AllowGlobalReadWrite,
GlobalSavePeriod, cashKey, ivSigmas, lastBarDate, sigma);
}
}
else
{
sigma = Constants.NaN;
}
res[len - 1] = sigma;
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, false);
return(res);
}
if (m_repeatLastIv)
{
if (DoubleUtil.AreClose(res[len - 1], Constants.NaN) || Double.IsNaN(res[len - 1]) || (res[len - 1] <= 0))
{
// Итерируюсь с конца в начало пока не найду последний ненулевой элемент.
// Использую его в качестве ВСЕХ последних значений ряда.
for (int j = len - 1; j >= 0; j--)
{
if ((!DoubleUtil.AreClose(res[j], Constants.NaN)) && (!Double.IsNaN(res[j])) && (res[j] > 0))
{
double lastIv = res[j];
for (int k = j + 1; k < len; k++)
{
res[k] = lastIv;
}
break;
}
}
}
}
return(new ReadOnlyCollection <double>(res));
}
/// <summary>
/// Обработчик под тип входных данных OPTION_SERIES
/// </summary>
public double Execute(IOptionSeries optSer, int barNum)
{
double failRes = Constants.NaN;
if (m_repeatLastIv)
{
failRes = Double.IsNaN(m_prevIv) ? Constants.NaN : m_prevIv;
}
Dictionary <DateTime, double> ivSigmas;
#region Get cache
DateTime expiry = optSer.ExpirationDate.Date;
string cashKey = IvOnF.GetCashKey(optSer.UnderlyingAsset.Symbol, expiry, m_rescaleTime, m_tRemainMode);
ivSigmas = LoadOrCreateHistoryDict(UseGlobalCache, cashKey);
#endregion Get cache
ISecurity sec = optSer.UnderlyingAsset;
int len = sec.Bars.Count;
if (len <= 0)
{
return(failRes);
}
DateTime lastBarDate = sec.Bars[barNum].Date;
double iv;
if ((ivSigmas.TryGetValue(lastBarDate, out iv)) && (!Double.IsNaN(iv)) && (iv > 0))
{
m_prevIv = iv;
return(iv);
}
else
{
int barsCount = ContextBarsCount;
if (barNum < barsCount - 1)
{
// Если история содержит осмысленное значение, то оно уже содержится в failRes
return(failRes);
}
else
{
#region Process last bar(s)
FinInfo baseFinInfo = optSer.UnderlyingAsset.FinInfo;
if (baseFinInfo.LastPrice == null)
{
string msg = "[IV ATM 2] (baseFinInfo.LastPrice == null)";
m_context.Log(msg, MessageType.Warning, false);
return(failRes);
}
double futPx = baseFinInfo.LastPrice.Value;
if (futPx <= Double.Epsilon)
{
return(failRes);
}
NotAKnotCubicSpline spline = null;
try
{
spline = IvOnF.PrepareExchangeSmileSpline(optSer, Double.MinValue, Double.MaxValue);
}
catch (ScriptException scriptEx)
{
m_context.Log(scriptEx.ToString(), MessageType.Error, false);
return(failRes);
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, false);
return(failRes);
}
if (spline == null)
{
return(failRes);
}
try
{
double sigma;
if (spline.TryGetValue(futPx, out sigma) && (sigma > 0))
{
if (m_rescaleTime)
{
#region Зверская ветка по замене времени
double ivAtm = sigma;
DateTime expDate = optSer.ExpirationDate.Date + m_expiryTime;
DateTime now = baseFinInfo.LastUpdate;
// 1. Надо перевести волатильность в абсолютную цену
// с учетом плоского календарного времени применяемого РТС
double plainTimeAsYears;
{
double plainTimeAsDays;
TimeToExpiry.GetDt(expDate, now, TimeRemainMode.PlainCalendar, false,
out plainTimeAsDays, out plainTimeAsYears);
}
// 2. Вычисляем 'нормальное' время
double timeAsDays, timeAsYears;
TimeToExpiry.GetDt(expDate, now, m_tRemainMode, false, out timeAsDays, out timeAsYears);
sigma = FinMath.RescaleIvToAnotherTime(plainTimeAsYears, ivAtm, timeAsYears);
if (DoubleUtil.IsPositive(sigma))
{
// Это просто запись на диск. К успешности вычисления волы success отношения не имеет
lock (ivSigmas)
{
bool success = IvOnF.TryWrite(m_context, UseGlobalCache, AllowGlobalReadWrite,
GlobalSavePeriod, cashKey, ivSigmas, lastBarDate, sigma);
m_prevIv = sigma;
// Теперь надо вычислить безразмерный наклон кодом в классе SmileImitation5
bool successSkew = IvOnF.TryCalcAndWriteSkews(m_context, spline, UseGlobalCache, AllowGlobalReadWrite,
GlobalSavePeriod, optSer.UnderlyingAsset.Symbol, expiry, futPx, lastBarDate,
m_tRemainMode, plainTimeAsYears, timeAsYears);
return(sigma);
}
}
else
{
// Если перемасштабировать улыбку не получается придется эту точку проигнорировать
// Надо ли сделать соответствующую запись в логе???
sigma = Constants.NaN;
}
#endregion Зверская ветка по замене времени
}
else
{
lock (ivSigmas)
{
bool success = IvOnF.TryWrite(m_context, UseGlobalCache, AllowGlobalReadWrite,
GlobalSavePeriod, cashKey, ivSigmas, lastBarDate, sigma);
m_prevIv = sigma;
return(sigma);
}
}
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, false);
}
return(failRes);
#endregion Process last bar
}
}
}
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(InteractiveSeries smile, int barNum)
{
if (m_transformation == SmileTransformation.None)
{
if (DoubleUtil.IsZero(m_shiftIv))
{
return(smile);
}
}
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(smile);
}
// Пустая улыбка останется пустой. Что с ней делать непонятно.
if (smile.ControlPoints.Count <= 1)
{
return(smile);
}
SmileInfo sInfo = smile.GetTag <SmileInfo>();
if (sInfo == null)
{
throw new ScriptException("ArgumentException: smile.Tag must be filled with SmileInfo object.");
}
var cps = smile.ControlPoints;
int len = cps.Count;
IFunction symmetrizedFunc = null;
IFunction symmetrizedFuncD1 = null;
InteractiveSeries res = new InteractiveSeries();
List <double> xs = new List <double>();
List <double> ys = new List <double>();
if (m_transformation == SmileTransformation.Simmetrise)
{
#region Simmetrise
double f = sInfo.F;
double minX = cps[0].Anchor.ValueX;
double maxX = cps[len - 1].Anchor.ValueX;
double width = Math.Min(maxX - f, f - minX);
if (width < 0)
{
throw new ScriptException("ArgumentException: current price is outside of the smile.");
}
// TODO: сократить вычисления вдвое, учитывая явное требование симметричности результирующей улыбки
double step = 2.0 * width / (len - 1);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
for (int j = 0; j < len; j++)
{
double kLeft = (f - width) + j * step;
double ivLeft = sInfo.ContinuousFunction.Value(kLeft);
double kRight = (f + width) - j * step;
double ivRight = sInfo.ContinuousFunction.Value(kRight);
double iv = 0.5 * (ivLeft + ivRight) + m_shiftIv;
InteractiveObject oldObj = cps[j];
if (oldObj.Anchor is InteractivePointActive)
{
InteractivePointActive ip = (InteractivePointActive)oldObj.Anchor.Clone();
ip.Color = (m_optionPxMode == OptionPxMode.Ask) ? AlphaColors.DarkOrange : AlphaColors.DarkCyan;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Rect;
// (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
ip.IsActive = (m_optionPxMode != OptionPxMode.Mid);
ip.Value = new Point(kLeft, iv);
ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", kLeft, iv * Constants.PctMult);
InteractiveObject newObj = new InteractiveObject(ip);
controlPoints.Add(newObj);
}
else if (oldObj.Anchor is InteractivePointLight)
{
InteractivePointLight ip = (InteractivePointLight)oldObj.Anchor.Clone();
ip.Value = new Point(kLeft, iv);
InteractiveObject newObj = new InteractiveObject(ip);
controlPoints.Add(newObj);
}
else
{
string msg = String.Format("[{0}] Point of type '{1}' is not supported.",
GetType().Name, oldObj.Anchor.GetType().Name);
throw new ScriptException(msg);
}
xs.Add(kLeft);
ys.Add(iv);
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
#endregion Simmetrise
}
else if (m_transformation == SmileTransformation.LogSimmetrise)
{
#region Log Simmetrise
double f = sInfo.F;
LogSimmetrizeFunc lsf = new LogSimmetrizeFunc(sInfo.ContinuousFunction, f, m_simmWeight);
symmetrizedFunc = lsf;
symmetrizedFuncD1 = new LogSimmetrizeFunc(sInfo.ContinuousFunctionD1, f, m_simmWeight);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (var oldObj in smile.ControlPoints)
{
double k = oldObj.Anchor.ValueX;
double iv;
if (lsf.TryGetValue(k, out iv))
{
iv += m_shiftIv;
if (oldObj.Anchor is InteractivePointActive)
{
InteractivePointActive ip = (InteractivePointActive)oldObj.Anchor.Clone();
ip.Color = (m_optionPxMode == OptionPxMode.Ask) ? AlphaColors.DarkOrange : AlphaColors.DarkCyan;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Rect;
// (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
ip.IsActive = (m_optionPxMode != OptionPxMode.Mid);
ip.Value = new Point(k, iv);
ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, iv * Constants.PctMult);
InteractiveObject newObj = new InteractiveObject(ip);
controlPoints.Add(newObj);
}
else if (oldObj.Anchor is InteractivePointLight)
{
InteractivePointLight ip = (InteractivePointLight)oldObj.Anchor.Clone();
ip.Value = new Point(k, iv);
InteractiveObject newObj = new InteractiveObject(ip);
controlPoints.Add(newObj);
}
else
{
string msg = String.Format("[{0}] Point of type '{1}' is not supported.",
GetType().Name, oldObj.Anchor.GetType().Name);
throw new ScriptException(msg);
}
xs.Add(k);
ys.Add(iv);
}
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
#endregion Log Simmetrise
}
else if (m_transformation == SmileTransformation.None)
{
#region None (only vertical shift)
double f = sInfo.F;
double dT = sInfo.dT;
double rate = sInfo.RiskFreeRate;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
for (int j = 0; j < len; j++)
{
InteractiveObject oldObj = cps[j];
SmileNodeInfo nodeInfo = oldObj.Anchor.Tag as SmileNodeInfo;
// Обязательно нужна полная информация об узле улыбки, чтобы потом можно было торговать
if (nodeInfo == null)
{
continue;
}
double k = oldObj.Anchor.Value.X;
double iv = oldObj.Anchor.Value.Y + m_shiftIv;
if (oldObj.Anchor is InteractivePointActive)
{
InteractivePointActive ip = (InteractivePointActive)oldObj.Anchor.Clone();
ip.Color = (m_optionPxMode == OptionPxMode.Ask) ? AlphaColors.DarkOrange : AlphaColors.DarkCyan;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Rect;
// (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
ip.IsActive = (m_optionPxMode != OptionPxMode.Mid);
//ip.Value = new Point(oldObj.Anchor.Value.X, iv);
//ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, iv * PctMult);
InteractiveObject newObj = new InteractiveObject(ip);
if (k <= f) // Puts
{
FillNodeInfo(ip, f, dT, nodeInfo.Pair, StrikeType.Put, m_optionPxMode, iv, false, rate);
}
else // Calls
{
FillNodeInfo(ip, f, dT, nodeInfo.Pair, StrikeType.Call, m_optionPxMode, iv, false, rate);
}
controlPoints.Add(newObj);
}
else if (oldObj.Anchor is InteractivePointLight)
{
InteractivePointLight ip = (InteractivePointLight)oldObj.Anchor.Clone();
ip.Value = new Point(k, iv);
InteractiveObject newObj = new InteractiveObject(ip);
if (k <= f) // Puts
{
FillNodeInfo(ip, f, dT, nodeInfo.Pair, StrikeType.Put, m_optionPxMode, iv, false, rate);
}
else // Calls
{
FillNodeInfo(ip, f, dT, nodeInfo.Pair, StrikeType.Call, m_optionPxMode, iv, false, rate);
}
controlPoints.Add(newObj);
}
else
{
string msg = String.Format("[{0}] Point of type '{1}' is not supported.",
GetType().Name, oldObj.Anchor.GetType().Name);
throw new ScriptException(msg);
}
xs.Add(k);
ys.Add(iv);
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
#endregion None (only vertical shift)
}
else
{
throw new NotImplementedException("Transformation: " + m_transformation);
}
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo info = new SmileInfo();
info.F = sInfo.F;
info.dT = sInfo.dT;
info.Expiry = sInfo.Expiry;
info.ScriptTime = sInfo.ScriptTime;
info.RiskFreeRate = sInfo.RiskFreeRate;
info.BaseTicker = sInfo.BaseTicker;
try
{
if (symmetrizedFunc == null)
{
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
}
else
{
// По факту эта ветка обслуживает только алгоритм LogSimm
info.ContinuousFunction = symmetrizedFunc;
info.ContinuousFunctionD1 = symmetrizedFuncD1;
}
res.Tag = info;
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
return(res);
}
public InteractiveSeries Execute(double trueTimeToExpiry, InteractiveSeries smile, int barNum)
{
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
SmileInfo refSmileInfo = smile.GetTag <SmileInfo>();
if ((refSmileInfo == null) || (refSmileInfo.ContinuousFunction == null))
{
return(Constants.EmptySeries);
}
if (Double.IsNaN(trueTimeToExpiry) || (trueTimeToExpiry < Double.Epsilon))
{
string msg = String.Format("[{0}] trueTimeToExpiry must be positive value. dT:{1}", GetType().Name, trueTimeToExpiry);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
InteractiveSeries res = FrozenSmile;
// Поскольку редактируемые узлы идут с заданным шагом, то
// допустим только режим Yonly.
DragableMode dragMode = DragableMode.Yonly;
SmileInfo oldInfo = res.GetTag <SmileInfo>();
if (m_resetSmile ||
(oldInfo == null) || (oldInfo.ContinuousFunction == null))
{
oldInfo = refSmileInfo;
//oldInfo.F = sInfo.F;
//oldInfo.dT = sInfo.dT;
//oldInfo.RiskFreeRate = sInfo.RiskFreeRate;
}
double futPx = refSmileInfo.F;
double dT = trueTimeToExpiry;
double ivAtm = refSmileInfo.ContinuousFunction.Value(futPx);
SmileInfo info = new SmileInfo();
{
info.F = futPx;
info.dT = trueTimeToExpiry;
info.RiskFreeRate = oldInfo.RiskFreeRate;
List <double> xs = new List <double>();
List <double> ys = new List <double>();
List <InteractiveObject> visibleNodes = (from oldObj in res.ControlPoints
where oldObj.AnchorIsActive
select oldObj).ToList();
int visibleNodesCount = visibleNodes.Count;
if (m_resetSmile || (visibleNodesCount != m_numberOfNodes))
{
// Здесь обязательно в начале
//res.ControlPoints.Clear();
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(new InteractiveObject[0]);
int half = m_numberOfNodes / 2; // Целочисленное деление!
#region 1. Готовлю сплайн
{
double mult = m_nodeStep * ivAtm * Math.Sqrt(dT);
double dK = futPx * (Math.Exp(mult) - 1);
// Сдвигаю точки, чтобы избежать отрицательных значений
while ((futPx - half * dK) <= Double.Epsilon)
{
half--;
}
for (int j = 0; j < m_numberOfNodes; j++)
{
double k = futPx + (j - half) * dK;
// Обычно здесь будет лежать сплайн от замороженной улыбки...
double sigma;
if ((!oldInfo.ContinuousFunction.TryGetValue(k, out sigma)) || Double.IsNaN(sigma))
{
string msg = String.Format("[DEBUG:{0}] Unable to get IV for strike:{1}. Please, try to decrease NodeStep.",
GetType().Name, k);
m_context.Log(msg, MessageType.Warning, true);
return(res);
}
xs.Add(k);
ys.Add(sigma);
}
}
#endregion 1. Готовлю сплайн
}
else
{
// Здесь обязательно в начале
//res.ControlPoints.Clear();
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(new InteractiveObject[0]);
int half = m_numberOfNodes / 2; // Целочисленное деление!
#region 2. Готовлю сплайн
{
double mult = m_nodeStep * ivAtm * Math.Sqrt(dT);
double dK = futPx * (Math.Exp(mult) - 1);
// Сдвигаю точки, чтобы избежать отрицательных значений
while ((futPx - half * dK) <= Double.Epsilon)
{
half--;
}
// внутренние узлы...
for (int j = 0; j < m_numberOfNodes; j++)
{
double k = futPx + (j - half) * dK;
//// Обычно здесь будет лежать сплайн от замороженной улыбки...
//double sigma = oldInfo.ContinuousFunction.Value(k);
double sigma = visibleNodes[j].Anchor.ValueY;
xs.Add(k);
ys.Add(sigma);
}
}
#endregion 2. Готовлю сплайн
}
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
//info.F = F;
//info.dT = trueTimeToExpiry;
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
// 2. Формирую кривую с более плотным шагом
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
int editableNodesCount = FillEditableCurve(info, controlPoints, xs, dragMode);
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
if (editableNodesCount != m_numberOfNodes)
{
string msg = String.Format("[DEBUG:{0}] {1} nodes requested, but only {2} were prepared.",
GetType().Name,
m_numberOfNodes,
editableNodesCount);
m_context.Log(msg, MessageType.Warning, true);
}
}
if (!m_resetSmile)
{
if (m_loadSplineCoeffs)
{
}
if (m_prepareSplineCoeffs)
{
#region Prepare global spline
// Надо пересчитать сплайн в безразмерные коэффициенты
// Обновляю уровень IV ATM?
ivAtm = info.ContinuousFunction.Value(futPx);
SmileInfo globInfo = new SmileInfo();
globInfo.F = futPx;
globInfo.dT = trueTimeToExpiry;
globInfo.RiskFreeRate = oldInfo.RiskFreeRate;
StringBuilder sb = new StringBuilder(GlobalSmileKey);
sb.AppendLine();
sb.AppendFormat(CultureInfo.InvariantCulture, "F:{0}", futPx);
sb.AppendLine();
sb.AppendFormat(CultureInfo.InvariantCulture, "dT:{0}", dT);
sb.AppendLine();
sb.AppendFormat(CultureInfo.InvariantCulture, "IvAtm:{0}", ivAtm);
sb.AppendLine();
sb.AppendFormat(CultureInfo.InvariantCulture, "RiskFreeRate:{0}", globInfo.RiskFreeRate);
sb.AppendLine();
sb.AppendFormat(CultureInfo.InvariantCulture, "ShapePct:{0}", ShapePct);
sb.AppendLine();
sb.AppendLine("~~~");
sb.AppendFormat(CultureInfo.InvariantCulture, "X;Y");
sb.AppendLine();
//LogSimmetrizeFunc logSimmFunc = new LogSimmetrizeFunc(info.ContinuousFunction, F, 0.5);
List <double> xs = new List <double>();
List <double> ys = new List <double>();
foreach (InteractiveObject oldObj in res.ControlPoints)
{
if (!oldObj.AnchorIsActive)
{
continue;
}
double k = oldObj.Anchor.ValueX;
double x = Math.Log(k / futPx) / Math.Pow(dT, DefaultPow + m_shape) / ivAtm;
double sigma = oldObj.Anchor.ValueY;
double sigmaNormalized = sigma / ivAtm;
xs.Add(x);
ys.Add(sigmaNormalized);
sb.AppendFormat(CultureInfo.InvariantCulture, "{0};{1}", x, sigmaNormalized);
sb.AppendLine();
}
try
{
NotAKnotCubicSpline globSpline = new NotAKnotCubicSpline(xs, ys);
globInfo.ContinuousFunction = globSpline;
globInfo.ContinuousFunctionD1 = globSpline.DeriveD1();
//global.Tag = globInfo;
m_context.StoreGlobalObject(GlobalSmileKey, globInfo, true);
string msg = String.Format("[{0}] The globInfo was saved in Global cache as '{1}'.",
GetType().Name, GlobalSmileKey);
m_context.Log(msg, MessageType.Warning, true);
msg = String.Format("[{0}] The globInfo was saved in file tslab.log also. Smile:\r\n{1}",
GetType().Name, sb);
m_context.Log(msg, MessageType.Info, true);
// Запись в клипбоард
try
{
//Thread thread = ThreadProfiler.Create(() => System.Windows.Clipboard.SetText(sb.ToString()));
XElement xel = globInfo.ToXElement();
string xelStr =
@"<?xml version=""1.0""?>
" + xel.AsString();
// PROD-5987 - Отключаю работу с клипбордом. Только пишу в tslab.log
//Thread thread = ThreadProfiler.Create(() => System.Windows.Clipboard.SetText(xelStr));
//thread.SetApartmentState(ApartmentState.STA); //Set the thread to STA
//thread.Start();
//thread.Join(); // Надо ли делать Join?
s_log.WarnFormat("Global smile info:\r\n\r\n{0}\r\n\r\n", xelStr);
}
catch (Exception clipEx)
{
m_context.Log(clipEx.ToString(), MessageType.Error, true);
}
m_context.Recalc();
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
//return Constants.EmptySeries;
}
#endregion Prepare global spline
}
else if (m_pasteGlobal)
{
// PROD-5987 - Работа с клипбордом отключена. Функция вставки сейчас работать не будет.
m_context.Log($"[{GetType().Name}] Clipboard is not available. Sorry.", MessageType.Warning, true);
#region Paste spline from clipboard
//string xelStr = "";
//// Чтение из клипбоард
//try
//{
// // PROD-5987 - Работа с клипбордом отключена. Функция вставки сейчас работать не будет.
// ////Thread thread = ThreadProfiler.Create(() => System.Windows.Clipboard.SetText(sb.ToString()));
// //Thread thread = ThreadProfiler.Create(() => xelStr = System.Windows.Clipboard.GetText());
// //thread.SetApartmentState(ApartmentState.STA); //Set the thread to STA
// //thread.Start();
// //thread.Join(); // Надо ли делать Join?
// if (!String.IsNullOrWhiteSpace(xelStr))
// {
// XDocument xDoc = XDocument.Parse(xelStr);
// XElement xInfo = xDoc.Root;
// SmileInfo templateSmile = SmileInfo.FromXElement(xInfo);
// // Обновляю уровень IV ATM?
// // TODO: перепроверить как работает редактирование шаблона
// ivAtm = info.ContinuousFunction.Value(futPx);
// if (Double.IsNaN(ivAtm))
// {
// ivAtm = refSmileInfo.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 = trueTimeToExpiry;
// templateSmile.RiskFreeRate = oldInfo.RiskFreeRate;
// // Здесь обязательно в начале
// //res.ControlPoints.Clear();
// res.ControlPoints = new ReadOnlyCollection<InteractiveObject>(new InteractiveObject[0]);
// SmileFunction5 func = new SmileFunction5(templateSmile.ContinuousFunction, templateSmile.ContinuousFunctionD1,
// ivAtm, 0, 0, futPx, dT);
// info.ContinuousFunction = func;
// info.ContinuousFunctionD1 = func.DeriveD1();
// // info уже лежит в Tag, поэтому при следующем пересчете сплайн уже должен пересчитаться
// // по новой улыбке. Правильно?
// string msg = String.Format("[DEBUG:{0}] SmileInfo was loaded from clipboard.", GetType().Name);
// m_context.Log(msg, MessageType.Warning, true);
// m_context.Recalc();
// }
//}
//catch (Exception clipEx)
//{
// m_context.Log(clipEx.ToString(), MessageType.Error, true);
//}
#endregion Paste spline from clipboard
}
}
//res.ClickEvent -= res_ClickEvent;
//res.ClickEvent += res_ClickEvent;
//res.DragEvent -= res_DragEvent;
//res.DragEvent += res_DragEvent;
res.EndDragEvent -= res_EndDragEvent;
res.EndDragEvent += res_EndDragEvent;
return(res);
}
public InteractiveSeries Execute(InteractiveSeries positionProfile, int barNum)
{
int barsCount = ContextBarsCount;
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
if (positionProfile == null)
{
return(Constants.EmptySeries);
}
SmileInfo sInfo = positionProfile.GetTag <SmileInfo>();
if ((sInfo == null) ||
(sInfo.ContinuousFunction == null) || (sInfo.ContinuousFunctionD1 == null))
{
return(Constants.EmptySeries);
}
List <double> xs = new List <double>();
List <double> ys = new List <double>();
var profilePoints = positionProfile.ControlPoints;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (InteractiveObject iob in profilePoints)
{
double rawDelta, f = iob.Anchor.ValueX;
if (sInfo.ContinuousFunctionD1.TryGetValue(f, out rawDelta))
{
// 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.Orange;
double y = rawDelta;
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format("F:{0}; D:{1}", f, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
ys.Add(y);
}
}
// 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)
{
// ReSharper disable once UseObjectOrCollectionInitializer
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 (DivideByZeroException dvbEx)
{
StringBuilder sb = new StringBuilder();
sb.AppendFormat("Divide-by-zero exception. Probably it is from NotAKnotCubicSpline:");
sb.AppendLine();
sb.AppendLine();
sb.AppendLine(dvbEx.ToString());
sb.AppendLine();
sb.AppendLine("Content of arguments...");
sb.AppendLine("xs;ys");
for (int tmpIndex = 0; tmpIndex < xs.Count; tmpIndex++)
{
sb.Append(xs[tmpIndex].ToString(CultureInfo.InvariantCulture) + ";");
sb.Append(ys[tmpIndex].ToString(CultureInfo.InvariantCulture));
sb.AppendLine();
}
sb.AppendLine();
m_context.Log(sb.ToString(), MessageType.Error, false);
m_context.Log(dvbEx.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
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) || (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);
}
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);
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);
}
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (var kvp in futPrices)
{
double f = kvp.Key;
bool tradableStrike = (kvp.Value != null);
double rawGreek;
GetBaseGreek(posMan, optSer.UnderlyingAsset, optSer.UnderlyingAsset.Bars.Count - 1, f, m_greek, out rawGreek);
for (int j = 0; j < pairs.Length; j++)
{
IOptionStrikePair pair = pairs[j];
double totalGreek;
//double putDelta = FinMath.GetOptionDelta(f, pair.Strike, dT, sigma.Value, 0, false);
GetPairGreek(posMan, smile, pair, f, dT, m_greek, out totalGreek);
rawGreek += totalGreek;
}
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = AlphaColors.Green;
double y = rawGreek;
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; {1}:{2}", f, m_greek, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
ys.Add(y);
}
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.Expiry = optSer.ExpirationDate;
info.ScriptTime = now;
info.RiskFreeRate = oldInfo.RiskFreeRate;
info.BaseTicker = optSer.UnderlyingAsset.Symbol;
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
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>
/// Обработчик под тип входных данных OPTION_SERIES
/// </summary>
public InteractiveSeries Execute(IOptionSeries optSer, IList <double> rates)
{
InteractiveSeries res = m_context.LoadObject(VariableId + "theorSmile") as InteractiveSeries;
if (res == null)
{
res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
m_context.StoreObject(VariableId + "theorSmile", res);
}
if (optSer == null)
{
return(res);
}
int len = optSer.UnderlyingAsset.Bars.Count;
if (len <= 0)
{
return(res);
}
FinInfo bSecFinInfo = optSer.UnderlyingAsset.FinInfo;
if (!bSecFinInfo.LastPrice.HasValue)
{
return(res);
}
if (rates.Count <= 0)
{
//throw new ScriptException("There should be some values in second argument 'rates'.");
return(res);
}
//IDataBar bar = optSer.UnderlyingAsset.Bars[len - 1];
double futPx = bSecFinInfo.LastPrice.Value;
// ФОРТС использует плоское календарное время
DateTime optExpiry = optSer.ExpirationDate.Date.Add(m_expiryTime);
double dT = (optExpiry - bSecFinInfo.LastUpdate).TotalYears();
double ratePct = rates[rates.Count - 1];
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 (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);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
if (Double.IsNaN(ratePct))
{
//throw new ScriptException("Argument 'rate' contains NaN for some strange reason. rate:" + rate);
return(res);
}
// TODO: переписаться на обновление старых значений
//res.ControlPoints.Clear();
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
List <double> xs = new List <double>();
List <double> ys = new List <double>();
IOptionStrikePair[] pairs = (from pair in optSer.GetStrikePairs()
//orderby pair.Strike ascending -- уже отсортировано!
select pair).ToArray();
for (int j = 0; j < pairs.Length; j++)
{
bool showPoint = true;
IOptionStrikePair sInfo = pairs[j];
double k = sInfo.Strike;
//// Сверхдалекие страйки игнорируем
//if ((sInfo.Strike < m_minStrike) || (m_maxStrike < sInfo.Strike))
//{
// showPoint = false;
//}
if ((sInfo.PutFinInfo == null) || (sInfo.CallFinInfo == null) ||
(!sInfo.PutFinInfo.TheoreticalPrice.HasValue) || (!sInfo.PutFinInfo.Volatility.HasValue) ||
(sInfo.PutFinInfo.TheoreticalPrice.Value <= 0) || (sInfo.PutFinInfo.Volatility.Value <= 0) ||
(!sInfo.CallFinInfo.TheoreticalPrice.HasValue) || (!sInfo.CallFinInfo.Volatility.HasValue) ||
(sInfo.CallFinInfo.TheoreticalPrice.Value <= 0) || (sInfo.CallFinInfo.Volatility.Value <= 0))
{
continue;
}
double prec;
// Биржа шлет несогласованную улыбку
//double virtualExchangeF = sInfo.CallFinInfo.TheoreticalPrice.Value - sInfo.PutFinInfo.TheoreticalPrice.Value + sInfo.Strike;
if ((m_optionType == StrikeType.Any) || (m_optionType == StrikeType.Put))
{
double optSigma = sInfo.PutFinInfo.Volatility.Value;
if ((!DoubleUtil.IsOne(m_multPx)) || (!DoubleUtil.IsZero(m_shiftPx)))
{
double optPx = sInfo.PutFinInfo.TheoreticalPrice.Value * m_multPx + m_shiftPx * sInfo.Tick;
if ((optPx <= 0) || (Double.IsNaN(optPx)))
{
optSigma = 0;
}
else
{
optSigma = FinMath.GetOptionSigma(futPx, k, dT, optPx, ratePct, false, out prec);
}
}
double vol = optSigma;
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive ip = new InteractivePointActive(k, vol);
ip.Geometry = Geometries.Ellipse;
ip.Color = AlphaColors.Cyan;
ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, Constants.PctMult * optSigma);
if (showPoint && (vol > 0))
{
controlPoints.Add(new InteractiveObject(ip));
}
if ((xs.Count <= 0) ||
(!DoubleUtil.AreClose(k, xs[xs.Count - 1])))
{
xs.Add(k);
ys.Add(vol);
}
}
if ((m_optionType == StrikeType.Any) || (m_optionType == StrikeType.Call))
{
double optSigma = sInfo.CallFinInfo.Volatility.Value;
if ((!DoubleUtil.IsOne(m_multPx)) || (!DoubleUtil.IsZero(m_shiftPx)))
{
double optPx = sInfo.CallFinInfo.TheoreticalPrice.Value * m_multPx + m_shiftPx * sInfo.Tick;
if ((optPx <= 0) || (Double.IsNaN(optPx)))
{
optSigma = 0;
}
else
{
optSigma = FinMath.GetOptionSigma(futPx, k, dT, optPx, ratePct, true, out prec);
}
}
double vol = optSigma;
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive ip = new InteractivePointActive(k, vol);
ip.Geometry = Geometries.Ellipse;
ip.Color = AlphaColors.DarkCyan;
ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, Constants.PctMult * optSigma);
if (showPoint && (vol > 0))
{
controlPoints.Add(new InteractiveObject(ip));
}
if ((xs.Count <= 0) ||
(!DoubleUtil.AreClose(k, xs[xs.Count - 1])))
{
xs.Add(k);
ys.Add(vol);
}
}
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
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;
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
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>
/// Создание сплайна и заполнение SmileInfo по предложенной таблице
/// </summary>
/// <param name="externalContext">контекст блока для логгирования проблемы</param>
/// <param name="f">цена БА (нажна как верхняя оценка цены колла</param>
/// <param name="dT">время до экспирации</param>
/// <param name="riskFreeRate">беспроцентная ставка</param>
/// <param name="expiry">дата экспирации (без времени)</param>
/// <param name="scriptTime">время в скрипте</param>
/// <param name="baseTicker">тикер БА</param>
/// <param name="res">Таблица с данными для интерполирования</param>
/// <param name="info">Заполненный SmileInfo</param>
public static bool TryPrepareSmileInfo(IContext externalContext,
double f, double dT, double riskFreeRate, DateTime expiry, DateTime scriptTime,
string baseTicker, InteractiveSeries res, out SmileInfo info)
{
List <double> xs = new List <double>();
List <double> ys = new List <double>();
foreach (InteractiveObject obj in res.ControlPoints)
{
Point point = obj.Anchor.Value;
xs.Add(point.X);
ys.Add(point.Y);
}
// ReSharper disable once UseObjectOrCollectionInitializer
info = new SmileInfo();
info.F = f;
info.dT = dT;
info.Expiry = expiry;
info.ScriptTime = scriptTime;
info.RiskFreeRate = riskFreeRate;
info.BaseTicker = baseTicker;
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (DivideByZeroException dvbz)
{
StringBuilder sb = new StringBuilder();
sb.AppendLine(dvbz.GetType().Name);
sb.AppendLine();
sb.AppendLine("X;Y");
for (int j = 0; j < xs.Count; j++)
{
sb.AppendFormat("{0};{1}",
xs[j].ToString(CultureInfo.InvariantCulture),
ys[j].ToString(CultureInfo.InvariantCulture));
sb.AppendLine();
}
sb.AppendLine();
sb.AppendLine();
sb.AppendLine();
sb.AppendLine(dvbz.ToString());
sb.AppendLine();
externalContext.Log(sb.ToString(), MessageType.Error, true);
return(false);
}
catch (Exception ex)
{
externalContext.Log(ex.ToString(), MessageType.Error, true);
return(false);
}
xs.Clear();
ys.Clear();
return(true);
}
/// <summary>
/// Обработчик под тип входных данных OPTION_SERIES
/// </summary>
public InteractiveSeries Execute(double price, double trueTimeToExpiry, IOptionSeries optSer, double ratePct, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.EmptySeries);
}
// PROD-5952 - Не надо дергать стакан без нужды
//optSer.UnderlyingAsset.UpdateQueueData();
FinInfo bSecFinInfo = optSer.UnderlyingAsset.FinInfo;
if (bSecFinInfo.LastPrice == null)
{
return(Constants.EmptySeries);
}
double futPx = price;
// ФОРТС использует плоское календарное время
DateTime optExpiry = optSer.ExpirationDate.Date.Add(m_expiryTime);
double dT = (optExpiry - bSecFinInfo.LastUpdate).TotalYears();
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(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);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
if (Double.IsNaN(trueTimeToExpiry) || (trueTimeToExpiry < Double.Epsilon))
{
string msg = String.Format("[{0}] trueTimeToExpiry must be positive value. dT:{1}", GetType().Name, trueTimeToExpiry);
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 effectiveTime = m_rescaleTime ? trueTimeToExpiry : dT;
List <double> xs = new List <double>();
List <double> ys = new List <double>();
IOptionStrikePair[] pairs = (from pair in optSer.GetStrikePairs()
//orderby pair.Strike ascending -- уже отсортировано!
select pair).ToArray();
if (pairs.Length < 2)
{
string msg = String.Format("[{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length);
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptySeries);
}
for (int j = 0; j < pairs.Length; j++)
{
//bool showPoint = true;
IOptionStrikePair sInfo = pairs[j];
double k = sInfo.Strike;
//// Сверхдалекие страйки игнорируем
//if ((k < m_minStrike) || (m_maxStrike < k))
//{
// showPoint = false;
//}
if ((sInfo.PutFinInfo == null) || (sInfo.CallFinInfo == null) ||
(!sInfo.PutFinInfo.TheoreticalPrice.HasValue) || (!sInfo.PutFinInfo.Volatility.HasValue) ||
(sInfo.PutFinInfo.TheoreticalPrice.Value <= 0) || (sInfo.PutFinInfo.Volatility.Value <= 0) ||
(!sInfo.CallFinInfo.TheoreticalPrice.HasValue) || (!sInfo.CallFinInfo.Volatility.HasValue) ||
(sInfo.CallFinInfo.TheoreticalPrice.Value <= 0) || (sInfo.CallFinInfo.Volatility.Value <= 0))
{
continue;
}
// Биржа шлет несогласованную улыбку
//double virtualExchangeF = sInfo.CallFinInfo.TheoreticalPrice.Value - sInfo.PutFinInfo.TheoreticalPrice.Value + sInfo.Strike;
if ((m_optionType == StrikeType.Any) || (m_optionType == StrikeType.Put))
{
double optSigma = sInfo.PutFinInfo.Volatility.Value;
if (m_rescaleTime)
{
// optSigma = FinMath.GetOptionSigma(futPx, k, effectiveTime, optPx, 0, false);
optSigma = FinMath.RescaleIvToAnotherTime(dT, optSigma, trueTimeToExpiry);
}
double optPx = sInfo.PutFinInfo.TheoreticalPrice ?? Double.NaN;
//// ReSharper disable once UseObjectOrCollectionInitializer
//InteractivePointActive ip = new InteractivePointActive(k, optSigma);
//ip.IsActive = m_showNodes;
//ip.Geometry = Geometries.Ellipse;
//ip.Color = System.Windows.Media.Colors.Cyan;
//ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}; Px:{2}\r\ndT:{3:0.000}; Date:{4}",
// k, Constants.PctMult * optSigma, optPx,
// FixedValue.ConvertToDisplayUnits(FixedValueMode.YearsAsDays, effectiveTime),
// bSecFinInfo.LastUpdate.ToString(DateTimeFormatWithMs, CultureInfo.InvariantCulture));
if (optSigma > 0)
{
// Это условие позволяет не вставлять точки с совпадающими абсциссами
if ((xs.Count <= 0) ||
(!DoubleUtil.AreClose(k, xs[xs.Count - 1])))
{
xs.Add(k);
ys.Add(optSigma);
}
}
}
if ((m_optionType == StrikeType.Any) || (m_optionType == StrikeType.Call))
{
double optSigma = sInfo.CallFinInfo.Volatility.Value;
if (m_rescaleTime)
{
// optSigma = FinMath.GetOptionSigma(futPx, k, effectiveTime, optPx, 0, false);
optSigma = FinMath.RescaleIvToAnotherTime(dT, optSigma, trueTimeToExpiry);
}
double optPx = sInfo.CallFinInfo.TheoreticalPrice ?? Double.NaN;
//// ReSharper disable once UseObjectOrCollectionInitializer
//InteractivePointActive ip = new InteractivePointActive(k, optSigma);
//ip.IsActive = m_showNodes;
//ip.Geometry = Geometries.Ellipse;
//ip.Color = System.Windows.Media.Colors.Cyan;
//ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}; Px:{2}\r\ndT:{3:0.000}; Date:{4}",
// k, Constants.PctMult * optSigma, optPx,
// FixedValue.ConvertToDisplayUnits(FixedValueMode.YearsAsDays, effectiveTime),
// bSecFinInfo.LastUpdate.ToString(DateTimeFormatWithMs, CultureInfo.InvariantCulture));
if (optSigma > 0)
{
// Это условие позволяет не вставлять точки с совпадающими абсциссами
if ((xs.Count <= 0) ||
(!DoubleUtil.AreClose(k, xs[xs.Count - 1])))
{
xs.Add(k);
ys.Add(optSigma);
}
}
}
}
#region 3. Строим сплайн по биржевой улыбке с узлами в страйках
NotAKnotCubicSpline spline = null, splineD1 = null;
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
spline = new NotAKnotCubicSpline(xs, ys);
splineD1 = spline.DeriveD1();
}
else
{
return(Constants.EmptySeries);
}
}
catch (Exception ex)
{
string msg = String.Format("bSecFinInfo.LastUpdate:{0}; Bars.Last.Date:{1}\r\n\r\nException:{2}",
bSecFinInfo.LastUpdate, optSer.UnderlyingAsset.Bars[optSer.UnderlyingAsset.Bars.Count - 1].Date, ex);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
#endregion 3. Строим сплайн по биржевой улыбке с узлами в страйках
#region 5. С помощью сплайна уже можно строить гладкую улыбку
double futStep = optSer.UnderlyingAsset.Tick;
double dK = pairs[1].Strike - pairs[0].Strike;
SortedDictionary <double, IOptionStrikePair> strikePrices;
if (!SmileImitation5.TryPrepareImportantPoints(pairs, futPx, futStep, -1, out strikePrices))
{
string msg = String.Format("[WARNING:{0}] It looks like there is no suitable points for the smile. pairs.Length:{1}", GetType().Name, pairs.Length);
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);
double k = kvp.Key;
double sigma;
if (!spline.TryGetValue(k, out sigma))
{
continue;
}
double vol = sigma;
if (Double.IsNaN(sigma) || Double.IsInfinity(sigma) || (sigma < Double.Epsilon))
{
continue;
}
InteractivePointLight ip;
if (m_showNodes && showPoint)
{
// Как правило, эта ветка вообще не используется,
// потому что я не смотрю узлы биржевой улыбки.
double optPx = Double.NaN;
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive tip = new InteractivePointActive(k, vol);
tip.IsActive = m_showNodes && showPoint;
tip.Geometry = Geometries.Ellipse;
tip.Color = AlphaColors.Cyan;
tip.Tooltip = String.Format("K:{0}; IV:{1:P2}; Px:{2}\r\ndT:{3:0.000}; Date:{4}",
k, vol, optPx,
FixedValue.ConvertToDisplayUnits(FixedValueMode.YearsAsDays, effectiveTime),
bSecFinInfo.LastUpdate.ToString(DateTimeFormatWithMs, CultureInfo.InvariantCulture));
ip = tip;
}
else
{
ip = new InteractivePointLight(k, vol);
}
InteractiveObject obj = new InteractiveObject(ip);
controlPoints.Add(obj);
}
#endregion 5. С помощью сплайна уже можно строить гладкую улыбку
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
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 = effectiveTime;
info.Expiry = optSer.ExpirationDate;
info.ScriptTime = scriptTime;
info.RiskFreeRate = ratePct;
info.BaseTicker = baseSec.Symbol;
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = splineD1;
res.Tag = info;
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);
}
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);
}
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);
}
private bool TryProcessSeries(IOptionSeries optSer, DateTime now, out double ivAtm)
{
ivAtm = Constants.NaN;
if (optSer == null)
{
return(false);
}
Dictionary <DateTime, double> ivSigmas;
#region Get cache
DateTime expiry = optSer.ExpirationDate.Date;
string cashKey = IvOnF.GetCashKey(optSer.UnderlyingAsset.Symbol, expiry, m_rescaleTime, m_tRemainMode);
object globalObj = Context.LoadGlobalObject(cashKey, true);
ivSigmas = globalObj as Dictionary <DateTime, double>;
// PROD-3970 - 'Важный' объект
if (ivSigmas == null)
{
var container = globalObj as NotClearableContainer;
if ((container != null) && (container.Content != null))
{
ivSigmas = container.Content as Dictionary <DateTime, double>;
}
}
if (ivSigmas == null)
{
ivSigmas = new Dictionary <DateTime, double>();
}
#endregion Get cache
ISecurity sec = optSer.UnderlyingAsset;
int len = sec.Bars.Count;
if (len <= 0)
{
return(false);
}
FinInfo baseFinInfo = optSer.UnderlyingAsset.FinInfo;
if (baseFinInfo.LastPrice == null)
{
string msg = "[IV ATM (all series)] (baseFinInfo.LastPrice == null)";
m_context.Log(msg, MessageType.Warning, false);
return(false);
}
double futPx = baseFinInfo.LastPrice.Value;
if (futPx <= Double.Epsilon)
{
return(false);
}
NotAKnotCubicSpline spline = null;
try
{
spline = IvOnF.PrepareExchangeSmileSpline(optSer, Double.MinValue, Double.MaxValue);
}
catch (ScriptException scriptEx)
{
m_context.Log(scriptEx.ToString(), MessageType.Error, false);
return(false);
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, false);
return(false);
}
if (spline == null)
{
return(false);
}
try
{
double sigma;
if (spline.TryGetValue(futPx, out sigma) && (!Double.IsNaN(sigma)) && (sigma > 0))
{
ivAtm = sigma;
DateTime lastBarDate = sec.Bars[len - 1].Date;
if (m_rescaleTime)
{
#region Зверская ветка по замене времени
DateTime expDate = optSer.ExpirationDate.Date + m_expiryTime;
// 1. Надо перевести волатильность в абсолютную цену
// с учетом плоского календарного времени применяемого РТС
double plainTimeAsYears;
{
double plainTimeAsDays;
TimeToExpiry.GetDt(expDate, now, TimeRemainMode.PlainCalendar,
false, out plainTimeAsDays, out plainTimeAsYears);
}
// 2. Вычисляем 'нормальное' время
double timeAsDays, timeAsYears;
TimeToExpiry.GetDt(expDate, now, m_tRemainMode,
false, out timeAsDays, out timeAsYears);
sigma = FinMath.RescaleIvToAnotherTime(plainTimeAsYears, ivAtm, timeAsYears);
if (DoubleUtil.IsPositive(sigma))
{
ivAtm = sigma;
// Это просто запись на диск. К успешности вычисления волы success отношения не имеет
bool success = IvOnF.TryWrite(m_context, true, true, 1, cashKey, ivSigmas,
lastBarDate, sigma);
// Теперь надо вычислить безразмерный наклон кодом в классе SmileImitation5
bool successSkew = IvOnF.TryCalcAndWriteSkews(m_context, spline, true, true, 1,
optSer.UnderlyingAsset.Symbol, expiry, futPx, lastBarDate,
m_tRemainMode, plainTimeAsYears, timeAsYears);
return(true);
}
else
{
// Если перемасштабировать улыбку не получается придется эту точку проигнорировать
// Надо ли сделать соответствующую запись в логе???
return(false);
}
#endregion Зверская ветка по замене времени
}
else
{
// Это просто запись на диск. К успешности вычисления волы success отношения не имеет
bool success = IvOnF.TryWrite(m_context, true, true, 1, cashKey, ivSigmas,
lastBarDate, sigma);
return(true);
}
}
}
catch (ScriptException scriptEx)
{
m_context.Log(scriptEx.ToString(), MessageType.Error, false);
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, false);
//throw;
}
return(false);
}