internal static bool TryEstimateSpeed(PositionsManager posMan, IOptionSeries optSer, IOptionStrikePair[] pairs,
InteractiveSeries smile, NumericalGreekAlgo greekAlgo,
double f, double dF, double timeToExpiry, out double rawSpeed)
{
rawSpeed = Double.NaN;
if (timeToExpiry < Double.Epsilon)
{
throw new ArgumentOutOfRangeException("timeToExpiry", "timeToExpiry must be above zero. timeToExpiry:" + timeToExpiry);
}
double gamma1, gamma2;
bool ok1 = SingleSeriesNumericalGamma.TryEstimateGamma(posMan, optSer, pairs, smile, greekAlgo,
f - dF, dF, timeToExpiry, out gamma1);
if (!ok1)
{
return(false);
}
bool ok2 = SingleSeriesNumericalGamma.TryEstimateGamma(posMan, optSer, pairs, smile, greekAlgo,
f + dF, dF, timeToExpiry, out gamma2);
if (!ok2)
{
return(false);
}
rawSpeed = (gamma2 - gamma1) / 2.0 / dF;
return(true);
}
public double Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.NaN);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double f = price;
double dT = time;
if (!DoubleUtil.IsPositive(dT))
{
// [{0}] Time to expiry must be positive value. dT:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.TimeMustBePositive", GetType().Name, dT);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.NaN);
}
if (!DoubleUtil.IsPositive(f))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, f);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.NaN);
}
double rawGamma, res;
double dF = optSer.UnderlyingAsset.Tick;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (SingleSeriesNumericalGamma.TryEstimateGamma(posMan, optSer, pairs, smile, m_greekAlgo, f, dF, dT, out rawGamma))
{
res = rawGamma;
}
else
{
res = Constants.NaN;
}
//SmileInfo sInfo = smile.GetTag<SmileInfo>();
//if ((sInfo != null) && (sInfo.ContinuousFunction != null))
//{
// double iv = sInfo.ContinuousFunction.Value(sInfo.F);
// string msg = String.Format("[DEBUG:{0}] F:{1}; dT:{2}; smile.F:{3}; smile.dT:{4}; smile.IV:{5}",
// GetType().Name, F, dT, sInfo.F, sInfo.dT, iv);
// context.Log(msg, MessageType.Info, true);
//}
m_gamma.Value = res;
//context.Log(String.Format("[{0}] Delta: {1}; rawDelta:{2}", MsgId, delta.Value, rawDelta), logColor, true);
SetHandlerInitialized(now);
return(res);
}