public ElwArbReadyOrder(Account elwAccount, Account optionAccount)
{
try
{
this._elwAccount = elwAccount;
this._optionAccount = optionAccount;
List<double> strikes = OptionUtil.GetSortedStrikeList(CallPutFlag.Call);
OptionTribe ot = null;
foreach (double strike in strikes)
{
ot = ElwOptionUtil.GetOptionTribe(strike, CallPutFlag.Call);
if (ot != null && ot.ElwInfos.Count > 0)
{
break;
}
}
if (ot == null)
{
logger.Error("option tribe does not exist in ElwArbreadyOrder");
Util.KillWithNotice("option tribe does not exist in ElwArbreadyOrder");
}
this._elwInfo = ot.ElwInfos[0];
if (this._elwInfo == null)
{
logger.Error("elw info does not exist in ElwArbreadyOrder");
Util.KillWithNotice("elw info does not exist in ElwArbreadyOrder");
}
this._koi = ElwOptionUtil.GetKOIFromElwInfo(_elwInfo);
if (this._koi == null)
{
logger.Error("koi info does not exist in ElwArbreadyOrder");
Util.KillWithNotice("koi info does not exist in ElwArbreadyOrder");
}
this._elwLongPrice = 5;
this._koiShortPrice = this._koi.UpLimit;
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
}
public static ElwOptionArbData GetElwOptionArbData(
ElwInfo elw,
RawMarketData rmdElw,
KospiOptionInfo kospiOptionInfo,
RawMarketData rmdOption,
long maxCountOfOptionPerOnce,
double maxValueOfOptionPerOnce,
Account optionAccount,
Account elwAccount,
Boolean bForward,
Boolean bAgressiveReverseOn,
long totalAttemptOptionCount)
{
PreData data = GetPreData(
elw,
rmdElw,
kospiOptionInfo,
rmdOption,
maxCountOfOptionPerOnce,
maxValueOfOptionPerOnce,
optionAccount,
elwAccount,
bForward,
bAgressiveReverseOn,
totalAttemptOptionCount);
{
ElwOptionArbData eoad = GetElwOptionArbData_WithProfit(data);
if (eoad != null)
{
return eoad;
}
}
{
ElwOptionArbData eoad = GetElwOptionArbData_WO_Profit(data);
if (eoad != null)
{
return eoad;
}
}
return null;
}
public ElwArbEach(
KospiOptionInfo koi,
List<ElwInfo> elwData,
double strike,
Account optionAccount,
Account elwAccount,
long maxOptionCountPerOnce,
long maxOptionValuePerOnce,
STR_ElwArb parent)
{
_KospiOptionInfo = koi;
_elwData = elwData;
_strike = strike;
_optionAccount = optionAccount;
_elwAccount = elwAccount;
MaxOptionCountPerOnce = maxOptionCountPerOnce;
_maxOptionValuePerOnce = maxOptionValuePerOnce;
_parent = parent;
Boolean bEnableReverse = true;
_eaer = new ElwArbEachReverse(this, bEnableReverse);
_eaecc = new ElwArbEachConditionChecker(this, _eaer, maxOptionCountPerOnce);
}
void TakeOverPosition_Raw(KospiOptionInfo koi, ElwInfo elw, long optionCount, POrder optionOrder, POrder elwOrder)
{
ElwArbSweepUnit eos = new ElwArbSweepUnit(koi, elw, optionCount, optionOrder, elwOrder, _parent);
logger.Info(
"{0}\t{1}\t{2}\t ElwArbEach EOS is created...",
koi.Code,
elw.Code,
optionCount.ToString("n0"));
_lives.Add(eos);
}
public ElwOptionArbData(
ElwInfo elw,
double elwPrice,
TradingDirection elwLS,
KospiOptionInfo koi,
double optionPrice,
TradingDirection optionLS,
long minOptionCount,
long diff,
RawMarketData rmdOption,
RawMarketData rmdElw,
Boolean bForward)
{
OptionCode = koi.Code;
ElwCode = elw.Code;
OptionCount = minOptionCount;
ElwCount = ElwOptionUtil.ConvertOptionCountToElwCount(elw, minOptionCount);
OptionPrice = optionPrice;
ElwPrice = elwPrice;
Elw = elw;
Diff = diff;
ElwLS = elwLS;
OptionLS = optionLS;
IsForward = bForward;
Key = String.Format("{0};{1}", koi.Code, elw.Code);
RmdOption = rmdOption;
RmdElw = rmdElw;
}
static Boolean IsCheapEnoughPassNabiTest(Boolean bForward, KospiOptionInfo koi, RawMarketData rmdElw, ElwInfo elw, long elwBookValue)
{
if (bForward)
{
// Long하려는 ELW가 싼지 결정해야 한다.
double nextStrike = OptionUtil.GetNextStrike(koi.Strike);
double nextStrike2 = OptionUtil.GetNextStrike(nextStrike);
double preStrike = OptionUtil.GetPreStrike(koi.Strike);
double preStrike2 = OptionUtil.GetPreStrike(preStrike);
DateTime maturity = Util.GetSystemOptionMaturity();
KospiOptionInfo koiNext = OptionUtil.GetKOI(nextStrike, koi.CallPut, maturity);
KospiOptionInfo koiNext2 = OptionUtil.GetKOI(nextStrike2, koi.CallPut, maturity);
KospiOptionInfo koiPre = OptionUtil.GetKOI(preStrike, koi.CallPut, maturity);
KospiOptionInfo koiPre2 = OptionUtil.GetKOI(preStrike2, koi.CallPut, maturity);
if (koiNext == null || koiNext2 == null || koiPre == null || koiPre2 == null)
{
return false;
}
RawMarketData rmdNext = RmdManager.Ins().GetData(koiNext.Code);
RawMarketData rmdNext2 = RmdManager.Ins().GetData(koiNext2.Code);
RawMarketData rmdPre = RmdManager.Ins().GetData(koiPre.Code);
RawMarketData rmdPre2 = RmdManager.Ins().GetData(koiPre2.Code);
// Cur, Next, Next2로 나비 구성해본다. 나비 구성되면 true
if (Util.IsValidRMDTimeAndPrice(rmdNext) && Util.IsValidRMDTimeAndPrice(rmdNext2))
{
long left = ElwOptionUtil.GetOneOptionValueOfOption(rmdNext.BidPrice1) * 2;
long right = ElwOptionUtil.GetOneOptionValueOfOption(rmdNext2.AskPrice1) + elwBookValue;
if (left >= right)
{
return true;
}
}
if (Util.IsValidRMDTimeAndPrice(rmdPre) && Util.IsValidRMDTimeAndPrice(rmdPre2))
{
long left = ElwOptionUtil.GetOneOptionValueOfOption(rmdPre.BidPrice1) * 2;
long right = ElwOptionUtil.GetOneOptionValueOfOption(rmdPre2.AskPrice1) + elwBookValue;
if (left >= right)
{
return true;
}
}
return false;
}
else
{
// Option Long, Elw Short인 상황
double nextStrike = OptionUtil.GetNextStrike(koi.Strike);
double preStrike = OptionUtil.GetPreStrike(koi.Strike);
if (koi == null)
{
return false;
}
DateTime maturity = Util.GetSystemOptionMaturity();
KospiOptionInfo koiNext = OptionUtil.GetKOI(nextStrike, koi.CallPut, maturity);
KospiOptionInfo koiPre = OptionUtil.GetKOI(preStrike, koi.CallPut, maturity);
if (koiNext == null || koiPre == null)
{
return false;
}
RawMarketData rmdNext = RmdManager.Ins().GetData(koiNext.Code);
RawMarketData rmdPre = RmdManager.Ins().GetData(koiPre.Code);
if (!Util.IsValidRMDTimeAndPrice(rmdNext) || !Util.IsValidRMDTimeAndPrice(rmdPre))
{
return false;
}
long left = elwBookValue * 2;
long right = ElwOptionUtil.GetOneOptionValueOfOption(rmdPre.AskPrice1) + ElwOptionUtil.GetOneOptionValueOfOption(rmdNext.AskPrice1);
// ELW를 BidPrice1으로 숏하고 양 옆의 옵션을 AskPrice1으로 롱해도 Arb이 되는 상황이다.
if (left >= right)
{
return true;
}
return false;
}
}
static PreData GetPreData(
ElwInfo elw,
RawMarketData rmdElw,
KospiOptionInfo kospiOptionInfo,
RawMarketData rmdOption,
long maxCountOfOptionPerOnce,
double maxValueOfOptionPerOnce,
Account optionAccount,
Account elwAccount,
Boolean bForward,
Boolean bAgressiveReverseOn,
long totalAttemptOptionCount)
{
PreData data = new PreData();
// 기본 input
data.Elw = elw;
data.RmdElw = rmdElw;
data.KOI = kospiOptionInfo;
data.RmdOption = rmdOption;
data.MaxCountOfOptionPerOnce = maxCountOfOptionPerOnce;
data.MaxValueOfOptionPerOnce = maxValueOfOptionPerOnce;
data.OptionAccount = optionAccount;
data.ElwAccount = elwAccount;
data.IsForward = bForward;
data.IsAgressiveReverseOn = bAgressiveReverseOn;
data.TotalAttemptOptionCount = totalAttemptOptionCount;
// 가공 데이터
data.ElwPrice = bForward ? rmdElw.AskPrice1 : rmdElw.BidPrice1;
data.ElwCount = bForward ? rmdElw.AskCount1 : rmdElw.BidCount1;
data.ElwLS = bForward ? TradingDirection.Long : TradingDirection.Short;
data.OptionPrice = bForward ? Math.Round(rmdOption.BidPrice1, 2) : Math.Round(rmdOption.AskPrice1, 2);
data.OptionCount = bForward ? rmdOption.BidCount1 : rmdOption.AskCount1;
data.OptionLS = bForward ? TradingDirection.Short : TradingDirection.Long;
data.OptionCountOfElw = ElwOptionUtil.ConvertElwCountToOptionCount(elw, data.ElwCount);
data.ElwOneOptionValue = ElwOptionUtil.GetOneOptionValueOfElw(elw, data.ElwPrice);
data.OptionOneOptionValue = ElwOptionUtil.GetOneOptionValueOfOption(data.OptionPrice);
data.Diff = data.OptionOneOptionValue - data.ElwOneOptionValue;
if (!bForward)
{
data.Diff *= (-1); // forward가 아니라면 부호를 반대로
}
return data;
}
public ElwArbSweepUnit(
KospiOptionInfo koi,
ElwInfo elwInfo,
long optionCount,
POrder optionOrder,
POrder elwOrder,
STR_ElwArb parent)
{
try
{
// 이 생성자는 인수인계를 받을 때만 사용하도록 한다.
// 주의한다.
_state = State._5_Done;
if (optionOrder.LongShort == elwOrder.LongShort)
{
logger.Error("OptionOrder, ElwOrder same trading direction");
Util.KillWithNotice("OptionOrder, ElwOrder same trading direction");
throw new Exception();
}
OptionAccount = null;
ElwAccount = null;
long elwCount = ElwOptionUtil.ConvertOptionCountToElwCount(elwInfo, optionCount);
OptionOrderGoal = new POrder(
TradingDirection.Short,
optionOrder.Code,
optionCount,
optionOrder.ReqPrice,
optionOrder.TargetAccount,
optionOrder.RMDClone,
MarketType._3_Default,
true);
OptionOrderGoal.AddComment("ElwOptionSweeper.TakeOver.OptionOrderGoal");
OptionOrderGoal.UpdateForRemain(OptionOrderGoal.ReqCount, OptionOrderGoal.InitReqPrice);
ElwOrderGoal = new POrder(
TradingDirection.Long,
elwOrder.Code,
elwCount,
elwOrder.ReqPrice,
elwOrder.TargetAccount,
elwOrder.RMDClone,
MarketType._3_Default,
true);
ElwOrderGoal.AddComment("ElwOptionSweeper.TakeOver.ElwOrderGoal");
ElwOrderGoal.UpdateForRemain(ElwOrderGoal.ReqCount, ElwOrderGoal.InitReqPrice);
ElwOrdersReal = new List<POrder>();
OptionOrdersReal = new List<POrder>();
POrder elwOrderReal = new POrder(ElwOrderGoal);
elwOrderReal.AddComment("ElwOptionSweeper.TakeOver.elwOrderReal");
elwOrderReal.UpdateForRemain(elwOrderReal.ReqCount, elwOrderReal.InitReqPrice);
ElwOrdersReal.Add(elwOrderReal);
POrder optionOrderReal = new POrder(OptionOrderGoal);
optionOrderReal.AddComment("ElwOptionSweeper.TakeOver.optionOrderReal");
optionOrderReal.UpdateForRemain(optionOrderReal.ReqCount, optionOrderReal.InitReqPrice);
OptionOrdersReal.Add(optionOrderReal);
_parent = parent;
KOI = koi;
Key = String.Format("{0};{1}", OptionOrderGoal.Code, ElwOrderGoal.Code);
IsBodySweepQuickly = false;
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
}
public static KospiOptionInfo GetPreKospiOptionInfo(KospiOptionInfo cur)
{
if (cur == null)
{
return null;
}
DateTime maturity = Util.GetSystemOptionMaturity();
double strike = GetPreStrike(cur.Strike);
return OptionUtil.GetKOI(strike, cur.CallPut, maturity);
}
public ElwArbSweepUnit(
KospiOptionInfo koi,
ElwInfo elwInfo,
Account optionAccount,
POrder optionOrder,
Account elwAccount,
POrder elwOrder,
STR_ElwArb parent,
DateTime dtEnd)
{
try
{
KOI = koi;
CurID = ++ID_GENERATOR;
OptionAccount = optionAccount;
OptionOrderGoal = optionOrder;
OptionOrderGoal.AddComment("EOS Constructor");
ElwAccount = elwAccount;
ElwOrderGoal = elwOrder;
ElwOrderGoal.AddComment("EOS Constructor");
_elwInfo = elwInfo;
OptionOrdersReal = new List<POrder>();
ElwOrdersReal = new List<POrder>();
_state = State._1_MuteFewSecs;
Key = String.Format("{0};{1}", OptionOrderGoal.Code, ElwOrderGoal.Code);
ShowState();
_mute = new Timer(ENTER_POSITION_MUTE, "");
RequestInitOrder(ElwOrderGoal, ElwOrdersReal);
_parent = parent;
_parent.IncreaseEnteredArbCount(KOI.Code, OptionOrderGoal.ReqCount);
_dtEnd = dtEnd;
IsBodySweepQuickly = false;
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
finally
{
ElwAccount.DiffFastExactPossibleShortCount(ElwOrderGoal.Code, "ElwOptionSweeper 생성자");
OptionOrderGoal.Free();
optionOrder.Free();
ElwOrderGoal.Free();
elwOrder.Free();
}
}
Boolean IsHighEnoughToPassNabi_Raw(
KospiOptionInfo pre,
KospiOptionInfo cur,
KospiOptionInfo next,
double fixedPrePrice,
double fixedCurPrice,
double fixedNextPrice)
{
if (pre == null || next == null || cur == null)
{
return false;
}
KospiOptionBoard board = null;
if (pre.CallPut == CallPutFlag.Call)
{
board = RmdManager.Ins().Call;
}
else if (pre.CallPut == CallPutFlag.Put)
{
board = RmdManager.Ins().Put;
}
else
{
logger.Error("Invalid");
Util.KillWithNotice("Invalid");
}
RawMarketData preRMD = board.GetData(pre.Code);
RawMarketData curRMD = board.GetData(cur.Code);
RawMarketData nextRMD = board.GetData(next.Code);
if (!Util.IsValidRMDTimeAndPrice(preRMD) ||
!Util.IsValidRMDTimeAndPrice(curRMD) ||
!Util.IsValidRMDTimeAndPrice(nextRMD))
{
return false;
}
double prePrice = fixedPrePrice;
double curPrice = fixedCurPrice;
double nextPrice = fixedNextPrice;
if (!Util.IsValidPrice(prePrice))
{
prePrice = preRMD.AskPrice1;
}
if (!Util.IsValidPrice(curPrice))
{
curPrice = curRMD.BidPrice1;
}
if (!Util.IsValidPrice(nextPrice))
{
nextPrice = nextRMD.AskPrice1;
}
// ELW를 BidPrice1으로 숏하고 양 옆의 옵션을 AskPrice1으로 롱해도 Arb이 되는 상황이다.
if (curPrice * 2 >= prePrice + nextPrice)
{
return true;
}
return false;
}
Boolean IsLowEnoughToPassNabiAsPre(KospiOptionInfo pre, double prePrice)
{
KospiOptionInfo cur = OptionUtil.GetNextKospiOptionInfo(pre);
KospiOptionInfo next = OptionUtil.GetNextKospiOptionInfo(cur);
return IsHighEnoughToPassNabi_Raw(pre, cur, next, prePrice, double.MaxValue, double.MaxValue);
}
Boolean IsLowEnoughToPassNabiAsNext(KospiOptionInfo next, double nextPrice)
{
KospiOptionInfo cur = OptionUtil.GetPreKospiOptionInfo(next);
KospiOptionInfo pre = OptionUtil.GetPreKospiOptionInfo(cur);
return IsHighEnoughToPassNabi_Raw(pre, cur, next, double.MaxValue, double.MinValue, nextPrice);
}
Boolean EnterNewDoorOrder(ElwInfo targetElw, KospiOptionInfo targetKOI, KospiOptionInfo doorKOI)
{
try
{
const double kDownBarrier = 0.1;
const double kMinBuffer = 0.5;
RawMarketData targetOptionRMD = RmdManager.Ins().GetDataClone(targetKOI.Code);
RawMarketData doorOptionRMD = RmdManager.Ins().GetDataClone(doorKOI.Code);
if (!Util.IsValidPrice(targetOptionRMD.BidPrice1))
{
return false;
}
if (!Util.IsValidPrice(doorOptionRMD.BidPrice1))
{
return false;
}
if (doorOptionRMD.BidPrice1 <= kDownBarrier)
{
return false;
}
if (targetOptionRMD.BidPrice1 <= doorOptionRMD.BidPrice1)
{
logger.Warn("{0} {1} <= {2} {3}",
targetOptionRMD.Code,
targetOptionRMD.BidPrice1,
doorOptionRMD.Code,
doorOptionRMD.BidPrice1);
return false;
}
String elwCode = targetElw.Code;
double reqPrice = ElwOptionUtil.ConvertOptionPriceToElwPrice(targetElw, doorOptionRMD.BidPrice1);
// same strike의 bidPrice - kMinBuffer 가격에 해당하는 price
double reqPrice2 = ElwOptionUtil.ConvertOptionPriceToElwPrice(targetElw, Math.Max(0, targetOptionRMD.BidPrice1 - kMinBuffer));
// reference bidPrice와 target(같은 strike의 옵션)의 bidPrice - 0.5 중에 작은 값을 take
reqPrice = Math.Min(reqPrice, reqPrice2);
// 5원보다 작으면 정말 이상한 것이다.
if (reqPrice < 4)
{
return false;
}
long reqCount = targetElw.MaxPossibleOrderCount;
if (_parent.EnterMinCount)
{
reqCount = 10; // 테스트 경우 무조건 10개 주문
}
Account account = _parent.Parent.ElwAccount;
RawMarketData rmdElw = RmdManager.Ins().GetDataClone(elwCode);
POrder o = new POrder(TradingDirection.Long, elwCode, reqCount, reqPrice, account, rmdElw);
OrderLimitReferenceOOR limitReference = new OrderLimitReferenceOOR(OrderLimitReferenceOOR.OrderType.OOR, targetOptionRMD);
o.LimitOrderReference = limitReference;
POrderUtil.RequestOrder(o, this._orders);
_parent.Parent.AddFishingOrder(o, STR_Door.FishingOrderType.Active);
return true;
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
return false;
}
Boolean CancelDangerousOrders_Raw(POrder order, ElwInfo targetElw, KospiOptionInfo targetKOI, KospiOptionInfo doorKOI)
{
try
{
const double kBuffer = 0.3;
RawMarketData targetOptionRMD = RmdManager.Ins().GetDataClone(targetKOI.Code);
RawMarketData doorOptionRMD = RmdManager.Ins().GetDataClone(doorKOI.Code);
Boolean bTargetRMDBidPriceValid = Util.IsValidPrice(targetOptionRMD.BidPrice1);
Boolean bDoorRMDBidPriceValid = Util.IsValidPrice(doorOptionRMD.BidPrice1);
if (!bTargetRMDBidPriceValid && !bDoorRMDBidPriceValid)
{
// 둘다 값이 없으면 위험해 보인다. 이런 경우에는 취소를 한다.
return true;
}
if (bDoorRMDBidPriceValid)
{
// reference를 바로 옆 옵션으로 했다.
// 바로 옆 옵션 가격보다 높은 가격으로 reqPrice했다면 위험한 상태이다.
double elwPriceOfOption = ElwOptionUtil.ConvertOptionPriceToElwPrice(targetElw, doorOptionRMD.BidPrice1);
if (elwPriceOfOption <= order.ReqPrice)
{
return true;
}
else
{
return false;
}
}
else if (bTargetRMDBidPriceValid)
{
// target이 있다면 target BidPrice - kBuffer < reqPrice라면 위험한 상태이다.
double elwPriceOfOption = ElwOptionUtil.ConvertOptionPriceToElwPrice(targetElw, Math.Max(0, targetOptionRMD.BidPrice1 - kBuffer));
if (elwPriceOfOption <= order.ReqPrice)
{
return true;
}
else
{
return false;
}
}
else
{
return false;
}
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
Util.KillWithNotice(ex.ToString());
}
return true;
}