public void MatchesAgainstFullPositionCollection() { // sort definitions by leg count so that we match more complex definitions first var options = OptionStrategyMatcherOptions.ForDefinitions(OptionStrategyDefinitions.AllDefinitions .OrderByDescending(definition => definition.LegCount) ); var matcher = new OptionStrategyMatcher(options); var positions = OptionPositionCollection.Empty.AddRange(Option.Position(Option.Underlying, +20), Option.Position(Option.Call[100, -4]), Option.Position(Option.Put[105, -4]), Option.Position(Option.Call[105, +4]), Option.Position(Option.Put[110, +4]), Option.Position(Option.Call[110, -3]), Option.Position(Option.Put[115, -3]), Option.Position(Option.Call[115, +3]), Option.Position(Option.Put[120, +3]), Option.Position(Option.Call[120, -5]), Option.Position(Option.Put[125, -5]), Option.Position(Option.Call[124, +5]), Option.Position(Option.Put[130, +5]) ); var match = matcher.MatchOnce(positions); foreach (var strategy in match.Strategies) { Console.WriteLine($"{strategy.Name}"); foreach (var leg in strategy.OptionLegs) { // steal OptionPosition's ToString() implementation Console.Write($"\t{new OptionPosition(leg.Symbol, leg.Quantity)}"); } } }
public void DoesNotDoubleCountPositions() { // this test aims to verify that match solutions do not reference the same position in multiple matches // this behavior is different than the OptionStrategyDefinition.Match, which by design produces all possible // matches which permits the same position to appear in different matches, allowing the matcher to pick matches // this test aims to verify that we can match the same definition multiple times if positions allows // 0: -C110 +C105 // 1: -C115 +C100 var positions = OptionPositionCollection.Empty.AddRange( Position(Call[110], -1), Position(Call[115], -1), Position(Call[100]), Position(Call[105]) ); var matcher = new OptionStrategyMatcher(OptionStrategyMatcherOptions.ForDefinitions(BearCallSpread)); var matches = matcher.MatchOnce(positions); Assert.AreEqual(2, matches.Strategies.Count); }
/// <summary> /// Creates a custom option strategy group resolver /// </summary> /// <param name="strategyMatcherOptions">The option strategy matcher options instance to use</param> /// <param name="securities">The algorithms securities</param> public OptionStrategyPositionGroupResolver(SecurityManager securities, OptionStrategyMatcherOptions strategyMatcherOptions) { _securities = securities; _strategyMatcher = new OptionStrategyMatcher(strategyMatcherOptions); }