/// <summary>
/// Get options chain
/// </summary>
/// <param name="inputs"></param>
/// <returns></returns>
public override async Task <IList <IInstrumentOptionModel> > GetOptionChains(IDictionary <dynamic, dynamic> inputs)
{
var options = new List <IInstrumentOptionModel>();
var response = await GetResponse <InputOptionChainDataModel>($"/v1/markets/options/chains", inputs);
foreach (var inputOption in response?.Chains?.Chain ?? new List <InputOptionModel>())
{
var pointModel = new PointModel
{
Bid = inputOption.Bid,
Ask = inputOption.Ask,
Price = inputOption.Last,
BidSize = inputOption.BidSize,
AskSize = inputOption.AskSize
};
var optionModel = new InstrumentOptionModel
{
Point = pointModel,
Strike = inputOption.Strike,
Volume = inputOption.Volume,
AverageVolume = inputOption.AverageVolume,
ContractSize = inputOption.ContractSize,
OpenInterest = inputOption.OpenInterest,
ExpirationDate = inputOption.ExpirationDate,
Side = OptionTypeMap.Input(inputOption.OptionType),
Variance = new InstrumentOptionVarianceModel
{
Vega = inputOption.Greeks.Vega,
Delta = inputOption.Greeks.Delta,
Gamma = inputOption.Greeks.Gamma,
Theta = inputOption.Greeks.Theta,
Interest = inputOption.Greeks.Rho,
Distribution = inputOption.Greeks.Phi,
AskIv = inputOption.Greeks.AskIv,
BidIv = inputOption.Greeks.BidIv,
Iv = inputOption.Greeks.Iv
}
};
options.Add(optionModel);
}
return(options);
}
/// <summary>
/// Get options chain
/// </summary>
/// <param name="inputs"></param>
/// <returns></returns>
protected async Task <IList <IInstrumentOptionModel> > GetOptionsChain(dynamic inputs)
{
var options = new List <IInstrumentOptionModel>();
var response = await GetResponse <InputOptionItemModel>($"/v1/markets/options/chains");
foreach (var inputOption in response.Options)
{
var optionModel = new InstrumentOptionModel
{
Bid = inputOption.Bid,
Ask = inputOption.Ask,
Price = inputOption.Last,
Strike = inputOption.Strike
};
options.Add(optionModel);
}
return(options);
}
/// <summary>
/// Data updates
/// </summary>
private async Task OnData()
{
// Get price
var instrument = (await DataService
.GetInstruments(Chains.Select(o => o.Symbol).ToList()))
.FirstOrDefault()
.Value;
if (instrument == null)
{
return;
}
// Get chains
var optionQueries = Chains.Select(chain =>
{
var inputs = new Dictionary <dynamic, dynamic>
{
["greeks"] = Variance,
["symbol"] = chain.Symbol,
["expiration"] = chain.Expiration
};
return(DataService.GetOptionChain(inputs));
});
var options = (await Task
.WhenAll(optionQueries))
.SelectMany(o => o)
.GroupBy(o => o.Strike)
.ToDictionary(o => o.Key, o => o.Where(v => Where(v)).ToList())
.OrderBy(o => o.Key)
.ToList();
// Find the current strike
var closeIndex = -1;
var closeDistance = double.MaxValue;
for (var i = 0; i < options.Count; i++)
{
var distance = Math.Abs(instrument.Point.Price.Value - options[i].Key.Value);
if (closeDistance > distance)
{
closeIndex = i;
closeDistance = distance;
}
}
if (closeIndex < 0)
{
return;
}
// Aggregate around the current strike
var index = 0;
var minSum = 0.0;
var maxSum = 0.0;
var currentPrice = instrument.Point.Price.Value;
var summaries = new InstrumentOptionModel[options.Count];
var sources = new Dictionary <string, ISeriesModel>();
while (true)
{
var curMins = options.ElementAtOrDefault(closeIndex - index);
var curMaxs = options.ElementAtOrDefault(closeIndex + index);
if (curMins.Value == null && curMaxs.Value == null)
{
break;
}
if (curMins.Value != null)
{
minSum += SelectMany(curMins.Value, curMins.Key, currentPrice).Value;
summaries[closeIndex - index] = new InstrumentOptionModel
{
Strike = curMins.Key,
Side = OptionSideEnum.Put,
Point = new Core.ModelSpace.PointModel {
Price = minSum
}
};
}
if (curMaxs.Value != null)
{
maxSum += SelectMany(curMaxs.Value, curMaxs.Key, currentPrice).Value;
summaries[closeIndex + index] = new InstrumentOptionModel
{
Strike = curMaxs.Key,
Side = OptionSideEnum.Call,
Point = new Core.ModelSpace.PointModel {
Price = maxSum
}
};
}
index++;
}
// Create points with values for each expiration
var points = summaries.Select(o =>
{
var strike = o.Strike;
var series = new Dictionary <string, ISeriesModel>();
var seriesColor = Brushes.Black.Color;
var seriesName = "Aggregation";
switch (o.Side)
{
case OptionSideEnum.Put: seriesColor = Brushes.OrangeRed.Color; break;
case OptionSideEnum.Call: seriesColor = Brushes.LimeGreen.Color; break;
}
sources[seriesName] = series[seriesName] = new SeriesModel
{
Name = seriesName,
Shape = new BarSeries(),
Model = new ExpandoModel
{
["Color"] = seriesColor,
["Point"] = o.Point.Price
}
};
// Create point with all series
var point = new Chart.ModelSpace.PointModel()
{
Areas = new Dictionary <string, IAreaModel>
{
[_name] = new AreaModel
{
Name = _name,
Series = series
}
}
};
point["Strike"] = strike;
return(point as Chart.ModelSpace.IPointModel);
}).ToList();
// Set appropriate number of series on the chart
if (sources.Any())
{
View.Composer.Group.Series = sources;
}
await Dispatcher.BeginInvoke(new Action(() =>
{
var composer = View.Composer;
composer.IndexDomain ??= new int[2];
composer.IndexDomain[0] = 0;
composer.IndexDomain[1] = options.Count;
composer.Items = _points = points.ToList();
composer.Update();
}));
}
