/// <summary>
/// Determine # of TDAParameters.contracts at each strike before
/// </summary>
/// <remarks>
/// Has to be recalced if Buys, Depth or Strikes changes, so just do at top of cycle
/// </remarks>
public void contractsAllocate()
{
/// First, build dictCredits based on 100*prem for list of checked strikes? e.g. 0:52, 2:26, 4:13
dictCredits = new Dictionary <int, double>();
Dictionary <int, double> dictMultiples = new Dictionary <int, double>();
double parts = 0;
for (int i = 0; i < lstOptions.Length - 1; i++)
{
if (TDASpreadManager.isInDepthAndParity(i))
/// If strike indexes within the Depth
{
var optionsList = lstOptions.ElementAt(i);
TDAOptionQuote option = optionsList[0];
var optionsLongList = lstOptions.ElementAt(i + 1);
TDAOptionQuote optionLong = optionsList[0];
var valPrem = 100 * (option.bid - optionLong.ask);
var hasKey = TDAParameters.dictOptionCheckbox.ContainsKey(option.description);
var isChecked = true;
if (hasKey)
{
isChecked = TDAParameters.dictOptionCheckbox[option.description];
}
if (isChecked)
{
dictCredits.Add(i, valPrem);
/// iMult is inverted multiple of most e.g. 2 if you are 1/2 of most
double iMult = 1;
switch (TDAParameters.allocation)
{
case "Geometric":
iMult = Math.Round(dictCredits.Values.First() / valPrem, 0);
iMult *= iMult;
break;
case "Equal Contracts":
iMult = 1;
break;
case "Progressive":
iMult = Math.Round(dictCredits.Values.First() / valPrem, 0);
break;
case "Equal Credit":
iMult = dictCredits.Values.First() / valPrem;
break;
case "Average":
iMult = dictCredits.Values.First() / valPrem;
iMult = iMult * iMult + iMult;
break;
default:
break;
}
dictMultiples.Add(i, iMult);
parts += iMult;
}
}
}
/// Now get the number of TDAParameters.contracts per part, the multiple
double mult = Math.Floor(TDAParameters.optionNumContracts / parts);
/// So dictCredits has values like [52,26,13]
/// and dictMults has values like [1,2,4]
/// and parts is = 7
/// and mult is 50 / 7 = 7
/// So contracts becomes 7, 14, 28 = 49 total
for (var i = 0; i < dictCredits.Values.Count; i++)
{
var key = dictCredits.ElementAt(i).Key;
if (dictMultiples.ContainsKey(key))
{
var contracts = mult * dictMultiples[key];
var optionsList = lstOptions.ElementAt(key);
TDAOptionQuote option = optionsList[0];
try
{
var isManual = TDAParameters.dictIsManualContracts.ContainsKey(option.description) &&
TDAParameters.dictIsManualContracts[option.description];
if (!isManual)
{
if (TDAParameters.dictOptionContracts.ContainsKey(option.description))
{
TDAParameters.dictOptionContracts[option.description] = Convert.ToInt32(contracts);
}
else
{
TDAParameters.dictOptionContracts.Add(option.description, Convert.ToInt32(contracts));
}
option.contracts = Convert.ToInt32(contracts);
}
}
catch (Exception exx)
{
Console.WriteLine(exx.Message);
}
}
}
}
public void getOptionQuote(int i, ref TDAOptionQuote option, ref TDAOptionQuote longOption)
{
if (lstOptions[0][0].symbol.LastIndexOf("C") > lstOptions[0][0].symbol.LastIndexOf("P"))
{
lstOptions = TDA.callOptions;
}
else
{
lstOptions = TDA.putOptions;
}
if (i < lstOptions.Length - 1)
{
var next = lstOptions.ElementAt(i + 1);
if (TDAParameters.inTheMoney)
{
if (i == 0)
{
if (otmOptions != null)
{
next = otmOptions.ElementAt(0);
}
}
else
{
next = lstOptions.ElementAt(i - 1);
}
}
TDAOptionQuote nextOption = next[0];
option.prem = option.bid - nextOption.ask;
}
if (i + TDAParameters.optionNumSpreadStrikes < lstOptions.Length)
{
var next2 = lstOptions.ElementAt(i + TDAParameters.optionNumSpreadStrikes);
if (TDAParameters.inTheMoney)
{
if (i == TDAParameters.optionNumSpreadStrikes - 1)
{
if (otmOptions != null)
{
next2 = otmOptions.ElementAt(i + (TDAParameters.optionNumSpreadStrikes - 1));
}
}
else
if (i >= TDAParameters.optionNumSpreadStrikes)
{
next2 = lstOptions.ElementAt(i - TDAParameters.optionNumSpreadStrikes);
}
}
longOption = next2[0];
option.prem2 = option.bid - longOption.ask;
option.buyOption = longOption.symbol;
var sellOption = option.symbol;
string longStrike = "";
if (option.buyOption.LastIndexOf("C") > option.buyOption.LastIndexOf("P"))
{
longStrike = Regex.Split(option.buyOption, "C").Last();
option.buyOption = "C" + longStrike;
}
else
{
longStrike = Regex.Split(option.buyOption, "P").Last();
option.buyOption = "P" + longStrike;
}
option.maxLoss = Math.Abs(option.strikePrice - Convert.ToSingle(longStrike)) - option.prem2;
option.breakeven = option.strikePrice + option.prem2;
option.index = i;
option.buyLongStrike = Convert.ToSingle(longStrike);
var hasKey = TDAParameters.dictOptionCheckbox.ContainsKey(option.description);
var isChecked = true;
if (hasKey)
{
isChecked = TDAParameters.dictOptionCheckbox[option.description];
}
if (TDAParameters.sellOptionIndex != -1)
{
if (TDASpreadManager.isInDepthAndParity(i))
{
option.isChecked = isChecked;
}
}
//var tokenTimeStampAsDateObj = new Date(userPrincipalsResponse.streamerInfo.tokenTimestamp);
//var tokenTimeStampAsMs = tokenTimeStampAsDateObj.getTime();
if (option.isChecked)
{
//var contracts = (float)TDAParameters.contracts[i];
option.credit = option.contracts * 100 * option.prem2;
option.collateral = option.contracts * 100 * Math.Abs(option.strikePrice - longOption.strikePrice) - option.credit;
totalCollateral += option.collateral;
totalContracts += option.contracts;
totalCredit += option.credit;
}
}
}