private IEnumerable <OrderTicket> GenerateOrders(OptionStrategy strategy, int strategyQuantity)
{
var orders = new List <OrderTicket>();
// setting up the tag text for all orders of one strategy
var strategyTag = strategy.Name + " (" + strategyQuantity.ToString() + ")";
// walking through all option legs and issuing orders
if (strategy.OptionLegs != null)
{
foreach (var optionLeg in strategy.OptionLegs)
{
var optionSeq = Securities.Where(kv => kv.Key.Underlying == strategy.Underlying &&
kv.Key.ID.OptionRight == optionLeg.Right &&
kv.Key.ID.Date == optionLeg.Expiration &&
kv.Key.ID.StrikePrice == optionLeg.Strike);
if (optionSeq.Count() != 1)
{
var error = string.Format("Couldn't find the option contract in algorithm securities list. Underlying: {0}, option {1}, strike {2}, expiration: {3}",
strategy.Underlying.ToString(), optionLeg.Right.ToString(), optionLeg.Strike.ToString(), optionLeg.Expiration.ToString());
throw new InvalidOperationException(error);
}
var option = optionSeq.First().Key;
switch (optionLeg.OrderType)
{
case OrderType.Market:
var marketOrder = MarketOrder(option, optionLeg.Quantity * strategyQuantity, tag: strategyTag);
orders.Add(marketOrder);
break;
case OrderType.Limit:
var limitOrder = LimitOrder(option, optionLeg.Quantity * strategyQuantity, optionLeg.OrderPrice, tag: strategyTag);
orders.Add(limitOrder);
break;
default:
throw new InvalidOperationException("Order type is not supported in option strategy: " + optionLeg.OrderType.ToString());
}
}
}
// walking through all underlying legs and issuing orders
if (strategy.UnderlyingLegs != null)
{
foreach (var underlyingLeg in strategy.UnderlyingLegs)
{
if (!Securities.ContainsKey(strategy.Underlying))
{
var error = string.Format("Couldn't find the option contract underlying in algorithm securities list. Underlying: {0}", strategy.Underlying.ToString());
throw new InvalidOperationException(error);
}
switch (underlyingLeg.OrderType)
{
case OrderType.Market:
var marketOrder = MarketOrder(strategy.Underlying, underlyingLeg.Quantity * strategyQuantity, tag: strategyTag);
orders.Add(marketOrder);
break;
case OrderType.Limit:
var limitOrder = LimitOrder(strategy.Underlying, underlyingLeg.Quantity * strategyQuantity, underlyingLeg.OrderPrice, tag: strategyTag);
orders.Add(limitOrder);
break;
default:
throw new InvalidOperationException("Order type is not supported in option strategy: " + underlyingLeg.OrderType.ToString());
}
}
}
return(orders);
}