public Task <ObservableCollection <RiskVM> > QueryValuationRiskAsync(QueryValuation queryValuation, string portfolio, int timeout = 10000)
{
var sst = new PBValuationRisk();
var msgId = (uint)BusinessMessageID.MSG_ID_QUERY_VALUATION_RISK;
var tcs = new TaskCompletionSource <ObservableCollection <RiskVM> >(new CancellationTokenSource(timeout));
var serialId = NextSerialId;
sst.Header = new DataHeader {
SerialId = serialId
};
sst.Portfolio = portfolio;
sst.Interest = queryValuation.Interest.HasValue ? queryValuation.Interest.Value : -1;
if (queryValuation.DaysRemain.HasValue)
{
sst.DaysRemain = queryValuation.DaysRemain.Value;
}
foreach (var cv in queryValuation.ContractParams)
{
var valuation = new PBValuationContract()
{
Contract = cv.Key,
Price = cv.Value.Price
};
if (cv.Value.Volatitly != 0)
{
valuation.Volatility = cv.Value.Volatitly;
}
sst.ContractValue.Add(valuation);
}
MessageWrapper.RegisterAction <PBRiskList, ExceptionMessage>
(msgId,
(resp) =>
{
if (resp.Header?.SerialId == serialId)
{
tcs.TrySetResult(OnQueryRiskSuccessAction(resp));
}
},
(bizErr) =>
{
OnErrorAction(bizErr);
tcs.SetResult(null);
}
);
MessageWrapper.SendMessage(msgId, sst);
return(tcs.Task);
}
private async void RiskIndex(string portfolio)
{
if (string.IsNullOrEmpty(portfolio))
{
return;
}
var positions = _tradeExHandler.PositionVMCollection.Where(p => p.Portfolio == portfolio);
var queryvaluation = new QueryValuation();
var queryvaluationzero = new QueryValuation();
selectedWrapPanel.Children.Clear();
if (expirationLV.ItemsSource != null)
{
foreach (var item in expirationLV.ItemsSource)
{
var strategyvm = item as StrategyBaseVM;
double price = 0;
if (strategyvm.Selected)
{
if (marketRadioButton.IsChecked.Value)
{
price = (strategyvm.MktVM.AskPrice + strategyvm.MktVM.BidPrice) / 2;
}
else if (settlementRadioButton.IsChecked.Value)
{
price = strategyvm.MktVM.PreSettlePrice;
}
else if (valuationRadioButton.IsChecked.Value)
{
price = strategyvm.Valuation;
}
AddSelectContractMsg(strategyvm.Contract, price);
}
}
}
queryvaluation.Interest = interestUP.Value;
queryvaluation.DaysRemain = expIUP.Value;
queryvaluationzero.Interest = interestUP.Value;
queryvaluationzero.DaysRemain = expIUP.Value;
if (priceCntIUP.Value != null && priceSizeIUP.Value != null && volCntIUP.Value != null && volSizeIUP.Value != null)
{
int volCount = 2 * VolCnt + 2;
int priceCount = 2 * PriceCnt + 2;
if (riskMatrixTable.RowGroups.Count != 0)
{
for (int x = 1; x < riskMatrixTable.RowGroups[0].Rows.Count; x++)
{
TableRow currentRow = riskMatrixTable.RowGroups[0].Rows[x];
for (int y = 1; y < riskMatrixTable.Columns.Count; y++)
{
//currentRow.Cells[y].Blocks.Clear();
if (variateRadioButton.IsChecked.Value)
{
var risksetzero = await MakeRisk(1 + VolCnt, 1 + PriceCnt);
var riskset = await MakeRisk(x, y);
string msg = string.Format("Δ:{0:N2}\n Γ:{1:N4}\n V:{2:N2}\n Θ:{3:N2}\n Ρ:{4:N2}\nPnL:{5:N0}", riskset.Delta - risksetzero.Delta, riskset.Gamma - risksetzero.Gamma, riskset.Vega - risksetzero.Vega, riskset.Theta - risksetzero.Theta, riskset.Rho - risksetzero.Rho, riskset.PnL);
var firstblock = currentRow.Cells[y].Blocks.FirstBlock as Paragraph;
var firstrun = firstblock.Inlines.FirstInline as Run;
firstrun.Text = msg;
}
else
{
var riskset = await MakeRisk(x, y);
string msg = string.Format("Δ:{0:N2}\n Γ:{1:N4}\n V:{2:N2}\n Θ:{3:N2}\n Ρ:{4:N2}\nPnL:{5:N0}", riskset.Delta, riskset.Gamma, riskset.Vega, riskset.Theta, riskset.Rho, riskset.PnL);
//currentRow.Cells[y].Blocks.Add(new Paragraph(new Run(msg)));
var firstblock = currentRow.Cells[y].Blocks.FirstBlock as Paragraph;
var firstrun = firstblock.Inlines.FirstInline as Run;
firstrun.Text = msg;
}
}
}
}
}
}
private async Task <RiskSet> MakeRisk(int x, int y)
{
var queryvaluation = new QueryValuation();
var queryvaluationzero = new QueryValuation();
var portfolio = portfolioCB.SelectedValue?.ToString();
var positions = _tradeExHandler.PositionVMCollection.Where(p => p.Portfolio == portfolio);
var riskset = new RiskSet();
queryvaluation.Interest = interestUP.Value;
queryvaluation.DaysRemain = expIUP.Value;
foreach (var item in expirationLV.ItemsSource)
{
var strategyvm = item as StrategyBaseVM;
double price = 0;
if (strategyvm.Selected)
{
if (marketRadioButton.IsChecked.Value)
{
price = (strategyvm.MktVM.AskPrice + strategyvm.MktVM.BidPrice) / 2;
Price = price;
}
else if (settlementRadioButton.IsChecked.Value)
{
price = strategyvm.MktVM.PreSettlePrice;
Price = price;
}
else if (valuationRadioButton.IsChecked.Value)
{
price = strategyvm.Valuation;
Price = price;
}
var tableValuation = price - priceCntIUP.Value * price * priceSizeIUP.Value / 100 + (y - 1) * price * priceSizeIUP.Value / 100;
var tableVol = 0 + volCntIUP.Value * volSizeIUP.Value / 100 - (x - 1) * volSizeIUP.Value / 100;
TableValuation = (double)tableValuation;
TableVol = (double)tableVol;
queryvaluationzero.ContractParams[strategyvm.Contract] = new ValuationParam {
Price = price, Volatitly = 0
};
queryvaluation.ContractParams[strategyvm.Contract] = new ValuationParam {
Price = (double)tableValuation, Volatitly = (double)tableVol
};
}
}
var riskVMlist = await _otcOptionTradeHandler.QueryValuationRiskAsync(queryvaluation, portfolio);
var riskzeroVMlist = await _otcOptionTradeHandler.QueryValuationRiskAsync(queryvaluationzero, portfolio);
//riskVMlist.Add(new RiskVM { Contract = "m1709", Delta = 0.3, Gamma = 0.2 });
//if (riskMatrixTable.RowGroups.Count != 0)
double zeropnl = 0;
foreach (var vm in riskzeroVMlist)
{
var contractinfo = ClientDbContext.FindContract(vm.Contract);
string basecontract = null;
string contract = null;
if (contractinfo != null)
{
if (!string.IsNullOrEmpty(contractinfo.UnderlyingContract))
{
basecontract = contractinfo.UnderlyingContract;
contract = contractinfo.Contract;
}
else
{
basecontract = contractinfo.Contract;
contract = contractinfo.Contract;
}
var contractPosition = positions.Where(p => p.Contract == contract).FirstOrDefault();
if (_riskSet.Contains(basecontract))
{
//var contractinfo = ClientDbContext.FindContract(vm.Contract);
if ((callCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_CALL_OPTION) ||
(putCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_PUT_OPTION) ||
(futureCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_FUTURE))
{
if (pnlCheckBox.IsChecked.Value)
{
if (contractPosition != null)
{
if (contractPosition.Direction == PositionDirectionType.PD_LONG)
{
zeropnl += vm.Price * contractPosition.Multiplier * contractPosition.Position;
}
else if (contractPosition.Direction == PositionDirectionType.PD_SHORT)
{
zeropnl -= vm.Price * contractPosition.Multiplier * contractPosition.Position;
}
}
}
}
}
}
}
foreach (var vm in riskVMlist)
{
var contractinfo = ClientDbContext.FindContract(vm.Contract);
string basecontract = null;
string contract = null;
if (contractinfo != null)
{
if (!string.IsNullOrEmpty(contractinfo.UnderlyingContract))
{
basecontract = contractinfo.UnderlyingContract;
contract = contractinfo.Contract;
}
else
{
basecontract = contractinfo.Contract;
contract = contractinfo.Contract;
}
var contractPosition = positions.Where(p => p.Contract == contract).FirstOrDefault();
if (_riskSet.Contains(basecontract))
{
//var contractinfo = ClientDbContext.FindContract(vm.Contract);
if ((callCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_CALL_OPTION) ||
(putCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_PUT_OPTION) ||
(futureCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_FUTURE))
{
if (deltaCheckBox.IsChecked.Value)
{
riskset.Delta += vm.Delta;
}
if (gammaCheckBox.IsChecked.Value)
{
riskset.Gamma += vm.Gamma;
}
if (vegaCheckBox.IsChecked.Value)
{
riskset.Vega += vm.Vega100;
}
if (thetaCheckBox.IsChecked.Value)
{
riskset.Theta += vm.Theta365;
}
if (rhoCheckBox.IsChecked.Value)
{
riskset.Rho += vm.Rho100;
}
if (pnlCheckBox.IsChecked.Value)
{
if (contractPosition != null)
{
if (contractPosition.Direction == PositionDirectionType.PD_LONG)
{
riskset.PnL += vm.Price * contractPosition.Multiplier * contractPosition.Position;
}
else if (contractPosition.Direction == PositionDirectionType.PD_SHORT)
{
riskset.PnL -= vm.Price * contractPosition.Multiplier * contractPosition.Position;
}
}
}
//Logger.Debug(vm.Price.ToString());
}
}
}
}
riskset.PnL -= zeropnl;
return(riskset);
}
//private void ReloadDataCallback(object state)
public void ReloadDataCallback()
{
Dispatcher.Invoke(async() =>
{
var portfolio = portfolioCB.SelectedValue?.ToString();
var queryvaluation = new QueryValuation();
selectedWrapPanel.Children.Clear();
foreach (var item in expirationLV.ItemsSource)
{
var strategyvm = item as StrategyBaseVM;
double price = 0;
if (strategyvm.Selected)
{
if (marketRadioButton.IsChecked.Value)
{
price = (strategyvm.MktVM.AskPrice + strategyvm.MktVM.BidPrice) / 2;
}
else if (settlementRadioButton.IsChecked.Value)
{
price = strategyvm.MktVM.PreSettlePrice;
}
else if (valuationRadioButton.IsChecked.Value)
{
price = strategyvm.Valuation;
}
AddSelectContractMsg(strategyvm.Contract, price);
queryvaluation.ContractParams[strategyvm.Contract] = new ValuationParam {
Price = price, Volatitly = 0
};
}
}
var riskVMlist = await _otcOptionTradeHandler.QueryValuationRiskAsync(queryvaluation, portfolio);
lock (BarItemCollection)
{
foreach (var baritem in BarItemCollection)
{
baritem.Value = 0;
}
foreach (var vm in riskVMlist)
{
if (_riskSet.Contains(vm.Contract))
{
var contractinfo = ClientDbContext.FindContract(vm.Contract);
if ((callCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_CALL_OPTION) ||
(putCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_PUT_OPTION))
{
int index;
if (_riskDict.TryGetValue(vm.Contract, out index))
{
var barItem = BarItemCollection[index];
if (deltaRadioButton.IsChecked.Value)
{
barItem.Value += vm.Delta;
}
else if (gammaRadioButton.IsChecked.Value)
{
barItem.Value += vm.Gamma;
}
else if (vegaRadioButton.IsChecked.Value)
{
barItem.Value += vm.Vega100;
}
else if (thetaRadioButton.IsChecked.Value)
{
barItem.Value += vm.Theta365;
}
else if (rhoRadioButton.IsChecked.Value)
{
barItem.Value += vm.Rho100;
}
}
}
}
plotModel.InvalidatePlot(true);
}
}
});
}
private async void RiskIndex(string portfolio)
{
var queryvaluation = new QueryValuation();
selectedWrapPanel.Children.Clear();
if (expirationLV.ItemsSource != null)
{
foreach (var item in expirationLV.ItemsSource)
{
var strategyvm = item as StrategyBaseVM;
double price = 0;
if (strategyvm.Selected)
{
if (marketRadioButton.IsChecked.Value)
{
price = (strategyvm.MktVM.AskPrice + strategyvm.MktVM.BidPrice) / 2;
}
else if (settlementRadioButton.IsChecked.Value)
{
price = strategyvm.MktVM.PreSettlePrice;
}
else if (valuationRadioButton.IsChecked.Value)
{
price = strategyvm.Valuation;
}
AddSelectContractMsg(strategyvm.Contract, price);
queryvaluation.ContractParams[strategyvm.Contract] = new ValuationParam {
Price = price, Volatitly = 0
};
}
}
var riskVMlist = await _otcOptionTradeHandler.QueryValuationRiskAsync(queryvaluation, portfolio);
foreach (var vm in riskVMlist)
{
var contractinfo = ClientDbContext.FindContract(vm.Contract);
string basecontract = null;
if (contractinfo != null)
{
if (!string.IsNullOrEmpty(contractinfo.UnderlyingContract))
{
basecontract = contractinfo.UnderlyingContract;
}
else
{
basecontract = contractinfo.Contract;
}
//MarketDataVM = await _marketDataHandler.SubMarketDataAsync(vm.Contract);
}
if (_riskSet.Contains(basecontract))
{
//var contractinfo = ClientDbContext.FindContract(vm.Contract);
if ((callCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_CALL_OPTION) ||
(putCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_PUT_OPTION) ||
(futureCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_FUTURE))
{
int index;
//var basecontractPosition = positions.Where(p => p.Contract == vm.Contract).FirstOrDefault();
//if (basecontractPosition.Direction == PositionDirectionType.PD_LONG)
//{
// basecontractPosition.Profit = (MarketDataVM.LastPrice - basecontractPosition.MeanCost) * basecontractPosition.Position * basecontractPosition.Multiplier;
//}
//else if (basecontractPosition.Direction == PositionDirectionType.PD_SHORT)
//{
// basecontractPosition.Profit = (basecontractPosition.MeanCost - MarketDataVM.LastPrice) * basecontractPosition.Position * basecontractPosition.Multiplier;
//}
if (_riskDict.TryGetValue(basecontract, out index))
{
var barItem = BarItemCollection[index];
if (deltaRadioButton.IsChecked.Value)
{
barItem.Value += vm.Delta;
}
else if (gammaRadioButton.IsChecked.Value)
{
barItem.Value += vm.Gamma;
}
else if (vegaRadioButton.IsChecked.Value)
{
barItem.Value += vm.Vega100;
}
else if (thetaRadioButton.IsChecked.Value)
{
barItem.Value += vm.Theta365;
}
else if (rhoRadioButton.IsChecked.Value)
{
barItem.Value += vm.Rho100;
}
//else if (pnlRadioButton.IsChecked.Value)
// barItem.Value += basecontractPosition.Profit;
}
}
}
//if (_riskSet.Contains(futurecontract))
//{
// if(futureCheckBox.IsChecked.Value && contractinfo.ContractType == (int)ContractType.CONTRACTTYPE_FUTURE)
// {
// int index;
// if (_riskDict.TryGetValue(basecontract, out index))
// {
// var barItem = BarItemCollection[index];
// if (deltaRadioButton.IsChecked.Value)
// barItem.Value += vm.Delta;
// else if (gammaRadioButton.IsChecked.Value)
// barItem.Value += vm.Gamma;
// else if (vegaRadioButton.IsChecked.Value)
// barItem.Value += vm.Vega100;
// else if (thetaRadioButton.IsChecked.Value)
// barItem.Value += vm.Theta365;
// }
// }
//}
plotModel.InvalidatePlot(true);
}
}
}