public OptionData(OptionData op)
{
Type = op.Type;
Style = op.Style;
BaseActive = op.BaseActive;
DatePublished = op.DatePublished;
DateExpiration = op.DateExpiration;
StrikePrice = op.StrikePrice;
ContractHigh = op.ContractHigh;
ContractLow = op.ContractLow;
ContractClose = op.ContractClose;
OpenInterest = op.OpenInterest;
Volume = op.Volume;
}
public bool Equals(OptionData op)
{
if (op == null) return false;
return Type == op.Type && Style == op.Style
&& BaseActive == op.BaseActive
&& DatePublished == op.DatePublished
&& DateExpiration == op.DateExpiration
&& StrikePrice == op.StrikePrice
&& ContractHigh == op.ContractHigh
&& ContractLow == op.ContractLow
&& ContractClose == op.ContractClose
&& OpenInterest == op.OpenInterest
&& Volume == op.Volume;
}
/// <summary>
/// Формат строки "[#fmt]#;newstype=option#;type=val#;style=val#;baseactive=val#;countdate=val#;
/// dateexpiration=val#;strikeprice=val#;delta=val#;openinterest=val"
/// </summary>
/// <param name="op"></param>
public static OptionData Parse(String op)
{
var od = new OptionData();
try
{
var separator = new[] { PartsSeparator };
var str = op.Split(separator, StringSplitOptions.RemoveEmptyEntries);
if (str.Length != 13) return null;
if (str[0] != "[#fmt]") return null;
// строка отформатирована, проверим, что это опцион
var members = new Dictionary<string, string>();
var sep = new [] { '=' };
foreach (var a in str)
{
var mem = a.Split(sep);
if (mem.Count() == 1)
continue;
members.Add(mem[0], mem[1]);
}
if (members["newstype"] == null || members["newstype"] != "option")
throw new Exception("OptionData.Parse: тип новости отличается от опциона");
var typeStr = members["type"];
if (!string.IsNullOrEmpty(typeStr))
od.Type = (OptionType)Enum.Parse(typeof(OptionType), typeStr);
var styleStr = members["style"];
if (!string.IsNullOrEmpty(styleStr))
od.Style = (OptionStyle)Enum.Parse(typeof(OptionStyle), styleStr);
od.BaseActive = members["baseactive"];
od.DatePublished = members["publishdate"].ToDateTimeUniform();
od.DateExpiration = DateTime.ParseExact(members["dateexpiration"],
"dd.MM.yyyy", CultureProvider.Common);
od.StrikePrice = members["strikeprice"].ToFloatUniform();
od.ContractHigh = members["high"].ToFloatUniform();
od.ContractLow = members["low"].ToFloatUniform();
od.ContractClose = members["close"].ToFloatUniform();
od.OpenInterest = members["oi"].ToInt();
od.Volume = members["volume"].ToInt();
}
catch (InvalidCastException ex)
{
Logger.Error("OptionData.Parse ошибка ", ex);
return null;
}
catch (Exception ex)
{
Logger.Error("OptionData.Parse ошибка ", ex);
return null;
}
return od;
}
private void BuildSummaryOL()
{
if (options.Count == 0) return;
// count date - level * [OI | Volume], sum OI, sum Volume
var dicSumCall = new Dictionary<DateTime, Cortege3<float, float, float>>();
var dicSumPut = new Dictionary<DateTime, Cortege3<float, float, float>>();
foreach (var opt in options)
{
if ((AllowedOptionStyles == AllowedOptionStyle.American && opt.Style == OptionStyle.European)
|| (AllowedOptionStyles == AllowedOptionStyle.European && opt.Style == OptionStyle.American))
continue;
var multiplier = WeightType == OptionLevelWeightType.ОткрытыйИнтерес
? opt.OpenInterest
: opt.Volume;
if (opt.Type == OptionType.CALL)
{
var sumCall = opt.OptionLevelClose*multiplier;
if (!dicSumCall.ContainsKey(opt.DatePublished))
dicSumCall.Add(opt.DatePublished,
new Cortege3<float, float, float>(sumCall, opt.OpenInterest, opt.Volume));
else
{
sumCall += dicSumCall[opt.DatePublished].a;
var totalOI = dicSumCall[opt.DatePublished].b + opt.OpenInterest;
var totalVolume = dicSumCall[opt.DatePublished].c + opt.Volume;
dicSumCall[opt.DatePublished] =
new Cortege3<float, float, float>(sumCall, totalOI, totalVolume);
}
}
else
{
var sumPut = opt.OptionLevelClose*multiplier;
if (!dicSumPut.ContainsKey(opt.DatePublished))
dicSumPut.Add(opt.DatePublished,
new Cortege3<float, float, float>(sumPut, opt.OpenInterest, opt.Volume));
else
{
sumPut += dicSumPut[opt.DatePublished].a;
var totalOI = dicSumPut[opt.DatePublished].b + opt.OpenInterest;
var totalVolume = dicSumPut[opt.DatePublished].c + opt.Volume;
dicSumPut[opt.DatePublished] =
new Cortege3<float, float, float>(sumPut, totalOI, totalVolume);
}
}
}
var sumOpts = new List<OptionData>();
foreach (var date in dicSumCall)
{
if (date.Value.a == 0) continue;
var strike = date.Value.a/(WeightType == OptionLevelWeightType.ОткрытыйИнтерес
? date.Value.b : date.Value.c);
var opt = new OptionData(OptionType.CALL, OptionStyle.American,
options[0].BaseActive, date.Key,
new DateTime(DateTime.Now.Year, DateTime.Now.Month, 1),
strike, 0, 0, 0, (int) date.Value.b, (int) date.Value.c);
sumOpts.Add(opt);
}
foreach (var date in dicSumPut)
{
if (date.Value.a == 0) continue;
var strike = date.Value.a/(WeightType == OptionLevelWeightType.ОткрытыйИнтерес
? date.Value.b
: date.Value.c);
var opt = new OptionData(OptionType.PUT, OptionStyle.American,
options[0].BaseActive, date.Key,
new DateTime(DateTime.Now.Year, DateTime.Now.Month, 1),
strike, 0, 0, 0, (int) date.Value.b, (int) date.Value.c);
sumOpts.Add(opt);
}
// медианный уровень
List<Cortege2<DateTime, float>> channelCall = null, channelPut = null, channelMid = null;
if (SummaryLevelStyle == SummaryLevelLineStyle.Каналы)
{
channelCall = new List<Cortege2<DateTime, float>>();
channelPut = new List<Cortege2<DateTime, float>>();
channelMid = new List<Cortege2<DateTime, float>>();
}
foreach (var callData in dicSumCall)
{
if (!dicSumPut.ContainsKey(callData.Key)) continue;
var putData = dicSumPut[callData.Key];
var oi = callData.Value.b + putData.b;
var volume = callData.Value.c + putData.c;
var denominator = WeightType == OptionLevelWeightType.ОткрытыйИнтерес ? oi : volume;
var strike = (callData.Value.a + putData.a)/denominator;
var opt = new OptionData(WeightType == OptionLevelWeightType.ОткрытыйИнтерес
? callData.Value.b > putData.b ? OptionType.CALL : OptionType.PUT
: callData.Value.c > putData.c ? OptionType.CALL : OptionType.PUT,
OptionStyle.American,
options[0].BaseActive, callData.Key,
new DateTime(DateTime.Now.Year, DateTime.Now.Month, 1),
strike, 0, 0, 0, (int) oi, (int) volume);
// добавить мед. уровень
if (SummaryLevelStyle == SummaryLevelLineStyle.Каналы)
channelMid.Add(new Cortege2<DateTime, float>(
opt.DatePublished,
opt.OptionLevelClose));
else
AddOptionLevel(opt, true);
}
foreach (var opt in sumOpts)
{
if (SummaryLevelStyle == SummaryLevelLineStyle.Каналы)
{
var pivot = new Cortege2<DateTime, float>(opt.DatePublished, opt.OptionLevelClose);
if (opt.Type == OptionType.CALL) channelCall.Add(pivot);
else channelPut.Add(pivot);
}
else
AddOptionLevel(opt, false);
}
// построить каналы a-la Bollinger?
if (SummaryLevelStyle == SummaryLevelLineStyle.Каналы)
{
BuildLineSeriesFromPivots(channelCall, seriesChannelCall);
BuildLineSeriesFromPivots(channelPut, seriesChannelPut);
BuildLineSeriesFromPivots(channelMid, seriesChannelMid);
}
}
private void AddOptionLevel(OptionData opt, bool isMedian)
{
var color = isMedian ? Color.Green : opt.Type == OptionType.PUT ? colorPut : colorGet;
var linePart = new SpanWithText
{
Price = opt.OptionLevelClose,
LineColor = color,
Name = string.Format("{0} {1:f4} OI:{2}", opt.Type, opt.OptionLevelClose, opt.OpenInterest)
};
var indexStart = owner.StockSeries.GetIndexByCandleOpen(opt.DatePublished);
var indexEnd = owner.StockSeries.GetIndexByCandleOpen(opt.DatePublished.AddHours(LengthHours));
// проверить расстояние до рынка в пп
// как мин. расстояние до уровня
if (MaxPointsDistanceToShow > 0)
{
var candles = owner.StockSeries.Data.Candles;
var distanceAbs = float.MaxValue;
for (var i = indexStart < 0 ? 0 : indexStart; i < indexEnd; i++)
{
if (i >= candles.Count) break;
var dist = Math.Min(
Math.Abs(candles[i].high - opt.OptionLevelClose),
Math.Abs(candles[i].low - opt.OptionLevelClose));
if (dist < distanceAbs) distanceAbs = dist;
}
var distPoints = DalSpot.Instance.GetPointsValue(owner.Symbol, distanceAbs);
if (distPoints > MaxPointsDistanceToShow) return;
}
linePart.StartIndex = indexStart;
linePart.EndIndex = indexEnd;
var daysLeft = (opt.DateExpiration - opt.DatePublished).TotalDays;
if (daysLeft <= daysToHighlight) linePart.LineWidth = 2;
// показать метки
if (LabelLeft != LevelLabel.Нет) AddOptionLabel(linePart, LabelLeft, true, opt);
if (LabelRight != LevelLabel.Нет) AddOptionLabel(linePart, LabelRight, false, opt);
seriesSpan.data.Add(linePart);
// подсказка по уровню
lineHints.Add(linePart, string.Format("{0:f4}{1} {2} (strike:{3:f4} close:{4:f4} OI:{5} volm:{6})",
opt.OptionLevelClose,
opt.Type,
opt.Style == OptionStyle.American ? "AM" : "EU",
opt.StrikePrice,
opt.ContractClose,
opt.OpenInterest,
opt.Volume));
}
private static void AddOptionLabel(SpanWithText span, LevelLabel label, bool isLeft, OptionData opt)
{
string text = label == LevelLabel.Объем
? opt.Volume.ToString()
: label == LevelLabel.ОткрИнтерес
? opt.OpenInterest.ToString()
: string.Format("{0:MMMyy}", opt.DateExpiration);
if (isLeft) span.TextLeft = text;
else span.TextRight = text;
}
