/// <summary>
/// Populates the Items array naming and assigning margin requirements to each item
/// </summary>
public void Optimize(TWEAKS tweaks)
{
List <PortfolioItem> results = new List <PortfolioItem>();
// group all positions by underlying security
var underlyerBuckets = _input.GroupBy(x => ((OptionSymbol)x.Symbol).UnderlyingSecuritySymbol ?? x.Symbol).ToDictionary(x => x.Key, x => x.ToArray());
// for all underlying securities
foreach (var underlyer in underlyerBuckets.Keys)
{
// select all options
var options = underlyerBuckets[underlyer]
.Where(x => ((OptionSymbol)x.Symbol).IsValid)
.Where(x => x.Quantity != 0)
.Select(x =>
new OptionPosition
{
Deliverables = DELIVERABLES, Multiplier = MULTIPLIER,
Quantity = x.Quantity, Symbol = (OptionSymbol)x.Symbol,
Price = _prices[x.Symbol],
UnderlierPrice = _prices[underlyer]
}).ToArray();
// select the stock position
var q = underlyerBuckets[underlyer].Where(x => !((OptionSymbol)x.Symbol).IsValid).Sum(s => s.Quantity);
var stock = new StockPosition {
Quantity = q, Price = _prices[underlyer], Symbol = underlyer
};
// group
switch (tweaks)
{
case TWEAKS.SPREADS_NO_DIFFERENCE_IN_CREDIT_DEBIT:
{
var strategies = Group_WithCommonSpreads(stock, options);
results.AddRange(strategies);
break;
}
case TWEAKS.CREDIT_DEBIT_SPREADS_SEPEARATELY:
default:
{
var strategies = Group_WithCreditDebitSpreads(stock, options);
results.AddRange(strategies);
break;
}
}
// ASSERT
if (stock.Quantity != 0 || options.Any(x => x.Quantity != 0))
{
throw new Exception($"Pairing in {underlyer} failed. Some ungrouped quantity left");
}
}
_items = results.ToArray();
}
private PortfolioItem[] GroupStock(StockPosition stockPosition)
{
List <PortfolioItem> list = new List <PortfolioItem>();
if (stockPosition.Quantity == 0)
{
return(list.ToArray());
}
var item = new PortfolioItem
{
Name = $"{stockPosition.Symbol} Stock", Quantity = stockPosition.Quantity,
MarginRequirement = STOCK_MARGIN_RATE * Math.Abs(stockPosition.Quantity) * stockPosition.Price
};
list.Add(item);
stockPosition.Quantity = 0;
return(list.ToArray());
}
private PortfolioItem[] GroupCoveredPuts(StockPosition stock, OptionPosition[] options)
{
List <PortfolioItem> list = new List <PortfolioItem>();
if (stock.Quantity >= 0)
{
return(list.ToArray());
}
// grab all short puts ordered by in the money amount and expiration date
var shortPuts = options
.Where(x => x.Symbol.OptionType == OptionType.Put && x.Quantity < 0)
.OrderByDescending(x => x.InTheMoneyAmount).ThenBy(x => x.Symbol.ExpirationDate).ToArray();
// locate covered puts
foreach (var o in shortPuts)
{
var coverage = Math.Ceiling(Math.Min(stock.Quantity, 0) / o.Deliverables); // maximum number of puts we can cover
var coveredPuts = Math.Min(Math.Abs(coverage), Math.Abs(o.Quantity)); // number of ut we actually cover
if (coveredPuts > 0)
{
list.Add(new PortfolioItem {
Name = $"Covered Put {o.Symbol.ToStringFriendly()}", Quantity = coveredPuts,
MarginRequirement = STOCK_MARGIN_RATE * stock.Price * coveredPuts * o.Deliverables + Math.Max(o.Symbol.StrikePrice - stock.Price, 0) * coveredPuts,
Items = new []
{
new StrategyItem {
Symbol = o.Symbol.ToOsiString(), Quantity = -1 * coveredPuts
},
new StrategyItem {
Symbol = $"{stock.Symbol} Stock", Quantity = -1 * coveredPuts * o.Deliverables
}
}
});
stock.Quantity += coveredPuts * o.Deliverables;
o.Quantity += coveredPuts;
}
}
return(list.ToArray());
}
private PortfolioItem[] GroupCoveredCalls(StockPosition stock, OptionPosition[] options)
{
List <PortfolioItem> list = new List <PortfolioItem>();
if (stock.Quantity == 0)
{
return(list.ToArray());
}
// grab all short calls starting with the most in-the-money
var shortCalls = options
.Where(x => x.Symbol.OptionType == OptionType.Call && x.Quantity < 0)
.OrderByDescending(x => x.InTheMoneyAmount).ThenBy(x => x.Symbol.ExpirationDate).ToArray();
// locate covered calls
foreach (var o in shortCalls)
{
var coverage = Math.Floor(Math.Max(stock.Quantity, 0) / o.Deliverables); // maximum number of calls we can cover
var coveredCalls = Math.Min(coverage, Math.Abs(o.Quantity)); // number of calls we actually cover
if (coveredCalls > 0)
{
list.Add(new PortfolioItem {
Name = $"Covered Call {o.Symbol.ToStringFriendly()}", Quantity = coveredCalls,
MarginRequirement = STOCK_MARGIN_RATE * stock.Price * coveredCalls * o.Deliverables,
Items = new []
{
new StrategyItem {
Symbol = o.Symbol.ToOsiString(), Quantity = -1 * coveredCalls
},
new StrategyItem {
Symbol = $"{stock.Symbol} Stock", Quantity = coveredCalls * o.Deliverables
}
}
});
stock.Quantity -= coveredCalls * o.Deliverables;
o.Quantity += coveredCalls;
}
}
return(list.ToArray());
}
private PortfolioItem[] Group_WithCreditDebitSpreads(StockPosition stock, OptionPosition[] options)
{
// TODO: Apply different multipliers to credit and debit spreads
// for each underlying in the portfolio:
// grouping short calls, order by in-the-money desc, then by expiration date asc:
// try covered call
// try debit spread
// try credit spread
// leave what is left for further grouping
// grouping short puts, order by in-the-money desc, then by expiration date asc:
// try debit spread
// try credit spread
// try covered put
// try short straddle
// every short put left is naked
// every short call left is naked as well
// every option that is left is one legged long
// every stock that is left is just a stock
// end
List <PortfolioItem> list = new List <PortfolioItem>();
var coveredCalls = GroupCoveredCalls(stock, options.Where(x => x.Quantity != 0).ToArray());
list.AddRange(coveredCalls);
var debitCallSpreads = GroupDebitCallSpreads(options.Where(x => x.Quantity != 0).ToArray());
list.AddRange(debitCallSpreads);
var creditCallSpreads = GroupCreditCallSpreads(options.Where(x => x.Quantity != 0).ToArray());
list.AddRange(creditCallSpreads);
var debitPutSpreads = GroupDebitPutSpreads(options.Where(x => x.Quantity != 0).ToArray());
list.AddRange(debitPutSpreads);
var creditPutSpreads = GroupCreditPutSpreads(options.Where(x => x.Quantity != 0).ToArray());
list.AddRange(creditPutSpreads);
var coveredPuts = GroupCoveredPuts(stock, options.Where(x => x.Quantity != 0).ToArray());
list.AddRange(coveredPuts);
var shortStraddles = GroupShortStraddles(options.Where(x => x.Quantity != 0).ToArray());
list.AddRange(shortStraddles);
var nakedPuts = GroupNakedPuts(options.Where(x => x.Quantity != 0).ToArray());
list.AddRange(nakedPuts);
var nakedCalls = GroupNakedCalls(options.Where(x => x.Quantity != 0).ToArray());
list.AddRange(nakedCalls);
var optionsLong = GroupOneLeggedLong(options.Where(x => x.Quantity != 0).ToArray());
list.AddRange(optionsLong);
var stocksNoStrategy = GroupStock(stock);
list.AddRange(stocksNoStrategy);
return(list.ToArray());
}