private decimal EstimateArbitragePnL(Option option,
OptionHolding holding,
Security underlying,
ICurrencyConverter currencyConverter)
{
// no-arb argument:
// if our long deep ITM position has a large B/A spread and almost no time value, it may be interesting for us
// to exercise the option and close the resulting position in underlying instrument, if we want to exit now.
// User's short option position is our long one.
// In order to sell ITM position we take option bid price as an input
var optionPrice = option.BidPrice;
// we are interested in underlying bid price if we exercise calls and want to sell the underlying immediately.
// we are interested in underlying ask price if we exercise puts
var underlyingPrice = option.Symbol.ID.OptionRight == OptionRight.Call
? underlying.BidPrice
: underlying.AskPrice;
// quantity is normally negative algo's holdings, but since we're modeling the contract holder (counter-party)
// it's negative THEIR holdings. holding.Quantity is negative, so if counter-party exercises, they would reduce holdings
var underlyingQuantity = option.GetExerciseQuantity(holding.Quantity);
// Scenario 1 (base): we just close option position
var marketOrder1 = new MarketOrder(option.Symbol, -holding.Quantity, option.LocalTime.ConvertToUtc(option.Exchange.TimeZone));
var orderFee1 = currencyConverter.ConvertToAccountCurrency(option.FeeModel.GetOrderFee(
new OrderFeeParameters(option, marketOrder1)).Value);
var basePnL = (optionPrice - holding.AveragePrice) * -holding.Quantity
* option.QuoteCurrency.ConversionRate
* option.SymbolProperties.ContractMultiplier
- orderFee1.Amount;
// Scenario 2 (alternative): we exercise option and then close underlying position
var optionExerciseOrder2 = new OptionExerciseOrder(option.Symbol, (int)holding.AbsoluteQuantity, option.LocalTime.ConvertToUtc(option.Exchange.TimeZone));
var optionOrderFee2 = currencyConverter.ConvertToAccountCurrency(option.FeeModel.GetOrderFee(
new OrderFeeParameters(option, optionExerciseOrder2)).Value);
var undelyingMarketOrder2 = new MarketOrder(underlying.Symbol, -underlyingQuantity, underlying.LocalTime.ConvertToUtc(underlying.Exchange.TimeZone));
var undelyingOrderFee2 = currencyConverter.ConvertToAccountCurrency(underlying.FeeModel.GetOrderFee(
new OrderFeeParameters(underlying, undelyingMarketOrder2)).Value);
// calculating P/L of the two transactions (exercise option and then close underlying position)
var altPnL = (underlyingPrice - option.StrikePrice) * underlyingQuantity * underlying.QuoteCurrency.ConversionRate * option.ContractUnitOfTrade
- undelyingOrderFee2.Amount
- holding.AveragePrice * holding.AbsoluteQuantity * option.SymbolProperties.ContractMultiplier * option.QuoteCurrency.ConversionRate
- optionOrderFee2.Amount;
return(altPnL - basePnL);
}
/// <summary>
/// Profit if we closed the holdings right now including the approximate fees in units of the account's currency.
/// </summary>
/// <remarks>Does not use the transaction model for market fills but should.</remarks>
public virtual decimal TotalCloseProfit()
{
if (Quantity == 0)
{
return(0);
}
// this is in the account currency
var marketOrder = new MarketOrder(_security.Symbol, -Quantity, _security.LocalTime.ConvertToUtc(_security.Exchange.TimeZone));
var orderFee = _security.FeeModel.GetOrderFee(
new OrderFeeParameters(_security, marketOrder)).Value;
var feesInAccountCurrency = _currencyConverter.
ConvertToAccountCurrency(orderFee).Amount;
var price = marketOrder.Direction == OrderDirection.Sell ? _security.BidPrice : _security.AskPrice;
if (price == 0)
{
// Bid/Ask prices can both be equal to 0. This usually happens when we request our holdings from
// the brokerage, but only the last trade price was provided.
price = _security.Price;
}
return((price - AveragePrice) * Quantity * _security.QuoteCurrency.ConversionRate
* _security.SymbolProperties.ContractMultiplier - feesInAccountCurrency);
}
/// <summary>
/// Profit if we closed the holdings right now including the approximate fees.
/// </summary>
/// <remarks>Does not use the transaction model for market fills but should.</remarks>
public virtual decimal TotalCloseProfit()
{
if (AbsoluteQuantity == 0)
{
return(0);
}
// this is in the account currency
var marketOrder = new MarketOrder(_security.Symbol, -Quantity, _security.LocalTime.ConvertToUtc(_security.Exchange.TimeZone));
var orderFee = _security.FeeModel.GetOrderFee(
new OrderFeeParameters(_security, marketOrder)).Value;
var feesInAccountCurrency = _currencyConverter.
ConvertToAccountCurrency(orderFee).Amount;
var price = marketOrder.Direction == OrderDirection.Sell ? _security.BidPrice : _security.AskPrice;
return((price - AveragePrice) * Quantity * _security.QuoteCurrency.ConversionRate
* _security.SymbolProperties.ContractMultiplier - feesInAccountCurrency);
}