public MainWindow()
{
InitializeComponent();
var assetsSource = new ObservableCollectionEx <Security>();
var optionsSource = new ObservableCollectionEx <Security>();
Options.ItemsSource = optionsSource;
Assets.ItemsSource = assetsSource;
_assets = new ThreadSafeObservableCollection <Security>(assetsSource);
_options = new ThreadSafeObservableCollection <Security>(optionsSource);
var timer = new DispatcherTimer {
Interval = TimeSpan.FromSeconds(5)
};
timer.Tick += (sender, args) =>
{
if (!_isDirty)
{
return;
}
_isDirty = false;
RefreshChart();
};
timer.Start();
//
// draw test data on the pos chart
var asset = new Security {
Id = "RIM4@FORTS"
};
var dummyProvider = new DummyProvider(new[] { asset });
PosChart.AssetPosition = new Position
{
Security = asset,
CurrentValue = -1,
};
PosChart.MarketDataProvider = dummyProvider;
PosChart.SecurityProvider = dummyProvider;
var expDate = new DateTime(2014, 6, 14);
PosChart.Positions.Add(new Position
{
Security = new Security {
Code = "RI C 110000", Strike = 110000, ImpliedVolatility = 45, OptionType = OptionTypes.Call, ExpiryDate = expDate, Board = ExchangeBoard.Forts, UnderlyingSecurityId = asset.Id
},
CurrentValue = 10,
});
PosChart.Positions.Add(new Position
{
Security = new Security {
Code = "RI P 95000", Strike = 95000, ImpliedVolatility = 30, OptionType = OptionTypes.Put, ExpiryDate = expDate, Board = ExchangeBoard.Forts, UnderlyingSecurityId = asset.Id
},
CurrentValue = -3,
});
PosChart.Refresh(100000, 10, new DateTime(2014, 5, 5), expDate);
//
// draw test data on the desk
var expiryDate = new DateTime(2014, 09, 15);
var model = new OptionDeskModel
{
MarketDataProvider = dummyProvider,
UnderlyingAsset = asset,
};
Desk.Model = model;
model.Add(CreateStrike(05000, 10, 60, OptionTypes.Call, expiryDate, asset, 100));
model.Add(CreateStrike(10000, 10, 53, OptionTypes.Call, expiryDate, asset, 343));
model.Add(CreateStrike(15000, 10, 47, OptionTypes.Call, expiryDate, asset, 3454));
model.Add(CreateStrike(20000, 78, 42, OptionTypes.Call, expiryDate, asset, null));
model.Add(CreateStrike(25000, 32, 35, OptionTypes.Call, expiryDate, asset, 100));
model.Add(CreateStrike(30000, 3245, 32, OptionTypes.Call, expiryDate, asset, 55));
model.Add(CreateStrike(35000, 3454, 37, OptionTypes.Call, expiryDate, asset, 456));
model.Add(CreateStrike(40000, 34, 45, OptionTypes.Call, expiryDate, asset, 4));
model.Add(CreateStrike(45000, 3566, 51, OptionTypes.Call, expiryDate, asset, 67));
model.Add(CreateStrike(50000, 454, 57, OptionTypes.Call, expiryDate, asset, null));
model.Add(CreateStrike(55000, 10, 59, OptionTypes.Call, expiryDate, asset, 334));
model.Add(CreateStrike(05000, 10, 50, OptionTypes.Put, expiryDate, asset, 100));
model.Add(CreateStrike(10000, 10, 47, OptionTypes.Put, expiryDate, asset, 343));
model.Add(CreateStrike(15000, 6788, 42, OptionTypes.Put, expiryDate, asset, 3454));
model.Add(CreateStrike(20000, 10, 37, OptionTypes.Put, expiryDate, asset, null));
model.Add(CreateStrike(25000, 567, 32, OptionTypes.Put, expiryDate, asset, 100));
model.Add(CreateStrike(30000, 4577, 30, OptionTypes.Put, expiryDate, asset, 55));
model.Add(CreateStrike(35000, 67835, 32, OptionTypes.Put, expiryDate, asset, 456));
model.Add(CreateStrike(40000, 13245, 35, OptionTypes.Put, expiryDate, asset, 4));
model.Add(CreateStrike(45000, 10, 37, OptionTypes.Put, expiryDate, asset, 67));
model.Add(CreateStrike(50000, 454, 39, OptionTypes.Put, expiryDate, asset, null));
model.Add(CreateStrike(55000, 10, 41, OptionTypes.Put, expiryDate, asset, 334));
model.Refresh(new DateTime(2014, 08, 15));
//
// draw test data on the smile chart
var puts = SmileChart.CreateSmile("RIM4 (Put)", Colors.DarkRed);
var calls = SmileChart.CreateSmile("RIM4 (Call)", Colors.DarkGreen);
foreach (var option in model.Options)
{
if (option.Strike == null || option.ImpliedVolatility == null)
{
continue;
}
(option.OptionType == OptionTypes.Put ? puts : calls).Add(new LineData <double> {
X = (double)option.Strike.Value, Y = option.ImpliedVolatility.Value
});
}
Instance = this;
InitConnector();
}
private void DrawTestData()
{
//
// prepare test data
var asset = new Security
{
Id = "RIM4@FORTS",
PriceStep = 10,
};
asset.LastTrade = new Trade
{
Security = asset,
Price = 130000,
};
var expiryDate = new DateTime(2014, 09, 15);
var currDate = new DateTime(2014, 08, 15);
var securities = new List <Security>
{
asset,
CreateStrike(105000, 10, 60, OptionTypes.Call, expiryDate, asset, 100),
CreateStrike(110000, 10, 53, OptionTypes.Call, expiryDate, asset, 343),
CreateStrike(115000, 10, 47, OptionTypes.Call, expiryDate, asset, 3454),
CreateStrike(120000, 78, 42, OptionTypes.Call, expiryDate, asset, null),
CreateStrike(125000, 32, 35, OptionTypes.Call, expiryDate, asset, 100),
CreateStrike(130000, 3245, 32, OptionTypes.Call, expiryDate, asset, 55),
CreateStrike(135000, 3454, 37, OptionTypes.Call, expiryDate, asset, 456),
CreateStrike(140000, 34, 45, OptionTypes.Call, expiryDate, asset, 4),
CreateStrike(145000, 3566, 51, OptionTypes.Call, expiryDate, asset, 67),
CreateStrike(150000, 454, 57, OptionTypes.Call, expiryDate, asset, null),
CreateStrike(155000, 10, 59, OptionTypes.Call, expiryDate, asset, 334),
CreateStrike(105000, 10, 50, OptionTypes.Put, expiryDate, asset, 100),
CreateStrike(110000, 10, 47, OptionTypes.Put, expiryDate, asset, 343),
CreateStrike(115000, 6788, 42, OptionTypes.Put, expiryDate, asset, 3454),
CreateStrike(120000, 10, 37, OptionTypes.Put, expiryDate, asset, null),
CreateStrike(125000, 567, 32, OptionTypes.Put, expiryDate, asset, 100),
CreateStrike(130000, 4577, 30, OptionTypes.Put, expiryDate, asset, 55),
CreateStrike(135000, 67835, 32, OptionTypes.Put, expiryDate, asset, 456),
CreateStrike(140000, 13245, 35, OptionTypes.Put, expiryDate, asset, 4),
CreateStrike(145000, 10, 37, OptionTypes.Put, expiryDate, asset, 67),
CreateStrike(150000, 454, 39, OptionTypes.Put, expiryDate, asset, null),
CreateStrike(155000, 10, 41, OptionTypes.Put, expiryDate, asset, 334)
};
var dummyProvider = new DummyProvider(securities, new[]
{
new Position
{
Security = asset,
CurrentValue = -1,
},
new Position
{
Security = securities.First(s => s.OptionType == OptionTypes.Call),
CurrentValue = 10,
},
new Position
{
Security = securities.First(s => s.OptionType == OptionTypes.Put),
CurrentValue = -3,
}
});
//
// draw test data on the pos chart
PosChart.MarketDataProvider = dummyProvider;
PosChart.SecurityProvider = dummyProvider;
PosChart.PositionProvider = dummyProvider;
PosChart.UnderlyingAsset = asset;
PosChart.Options.Add(securities.First(s => s.OptionType == OptionTypes.Call));
PosChart.Options.Add(securities.First(s => s.OptionType == OptionTypes.Put));
PosChart.Refresh(null, currDate, expiryDate);
//
// draw test data on the desk
_model.MarketDataProvider = dummyProvider;
_model.UnderlyingAsset = asset;
foreach (var option in securities.Where(s => s.Type == SecurityTypes.Option))
{
_model.Add(option);
}
//
// draw test data on the smile chart
RefreshSmile(currDate);
}
private void DrawTestData()
{
//
// draw test data on the pos chart
var asset = new Security
{
Id = "RIM4@FORTS"
};
var dummyProvider = new DummyProvider(new[] { asset });
PosChart.AssetPosition = new Position
{
Security = asset,
CurrentValue = -1,
};
PosChart.MarketDataProvider = dummyProvider;
PosChart.SecurityProvider = dummyProvider;
var expDate = new DateTime(2014, 6, 14);
PosChart.Positions.Add(new Position
{
Security = new Security
{
Code = "RI C 110000",
Strike = 110000,
ImpliedVolatility = 45,
OptionType = OptionTypes.Call,
ExpiryDate = expDate,
Board = ExchangeBoard.Forts,
UnderlyingSecurityId = asset.Id
},
CurrentValue = 10,
});
PosChart.Positions.Add(new Position
{
Security = new Security
{
Code = "RI P 95000",
Strike = 95000,
ImpliedVolatility = 30,
OptionType = OptionTypes.Put,
ExpiryDate = expDate,
Board = ExchangeBoard.Forts,
UnderlyingSecurityId = asset.Id
},
CurrentValue = -3,
});
PosChart.Refresh(100000, 10, new DateTime(2014, 5, 5), expDate);
//
// draw test data on the desk
var expiryDate = new DateTime(2014, 09, 15);
_model.MarketDataProvider = dummyProvider;
_model.UnderlyingAsset = asset;
_model.Add(CreateStrike(05000, 10, 60, OptionTypes.Call, expiryDate, asset, 100));
_model.Add(CreateStrike(10000, 10, 53, OptionTypes.Call, expiryDate, asset, 343));
_model.Add(CreateStrike(15000, 10, 47, OptionTypes.Call, expiryDate, asset, 3454));
_model.Add(CreateStrike(20000, 78, 42, OptionTypes.Call, expiryDate, asset, null));
_model.Add(CreateStrike(25000, 32, 35, OptionTypes.Call, expiryDate, asset, 100));
_model.Add(CreateStrike(30000, 3245, 32, OptionTypes.Call, expiryDate, asset, 55));
_model.Add(CreateStrike(35000, 3454, 37, OptionTypes.Call, expiryDate, asset, 456));
_model.Add(CreateStrike(40000, 34, 45, OptionTypes.Call, expiryDate, asset, 4));
_model.Add(CreateStrike(45000, 3566, 51, OptionTypes.Call, expiryDate, asset, 67));
_model.Add(CreateStrike(50000, 454, 57, OptionTypes.Call, expiryDate, asset, null));
_model.Add(CreateStrike(55000, 10, 59, OptionTypes.Call, expiryDate, asset, 334));
_model.Add(CreateStrike(05000, 10, 50, OptionTypes.Put, expiryDate, asset, 100));
_model.Add(CreateStrike(10000, 10, 47, OptionTypes.Put, expiryDate, asset, 343));
_model.Add(CreateStrike(15000, 6788, 42, OptionTypes.Put, expiryDate, asset, 3454));
_model.Add(CreateStrike(20000, 10, 37, OptionTypes.Put, expiryDate, asset, null));
_model.Add(CreateStrike(25000, 567, 32, OptionTypes.Put, expiryDate, asset, 100));
_model.Add(CreateStrike(30000, 4577, 30, OptionTypes.Put, expiryDate, asset, 55));
_model.Add(CreateStrike(35000, 67835, 32, OptionTypes.Put, expiryDate, asset, 456));
_model.Add(CreateStrike(40000, 13245, 35, OptionTypes.Put, expiryDate, asset, 4));
_model.Add(CreateStrike(45000, 10, 37, OptionTypes.Put, expiryDate, asset, 67));
_model.Add(CreateStrike(50000, 454, 39, OptionTypes.Put, expiryDate, asset, null));
_model.Add(CreateStrike(55000, 10, 41, OptionTypes.Put, expiryDate, asset, 334));
//
// draw test data on the smile chart
RefreshSmile(new DateTime(2014, 08, 15));
}
