public InteractiveSeries Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, double scaleMult, double ratePct, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (smile == null) || (optSer == null))
{
return(Constants.EmptySeries);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if ((oldInfo == null) ||
(oldInfo.ContinuousFunction == null) || (oldInfo.ContinuousFunctionD1 == null))
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double futPx = 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.EmptySeries);
}
if (!DoubleUtil.IsPositive(futPx))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, futPx);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(scaleMult))
{
//throw new ScriptException("Argument 'scaleMult' contains NaN for some strange reason. scaleMult:" + scaleMult);
return(Constants.EmptySeries);
}
if (Double.IsNaN(ratePct))
{
//throw new ScriptException("Argument 'ratePct' contains NaN for some strange reason. rate:" + rate);
return(Constants.EmptySeries);
}
double ivAtm, slopeAtm, shape;
if ((!oldInfo.ContinuousFunction.TryGetValue(futPx, out ivAtm)) ||
(!oldInfo.ContinuousFunctionD1.TryGetValue(futPx, out slopeAtm)))
{
return(Constants.EmptySeries);
}
if (m_setIvByHands)
{
ivAtm = m_ivAtmPct.Value / Constants.PctMult;
}
if (m_setSlopeByHands)
{
slopeAtm = m_slopePct.Value / Constants.PctMult;
//slopeAtm = slopeAtm / F / Math.Pow(dT, Pow + shape);
}
//if (setShapeByHands)
{
shape = m_shapePct.Value / Constants.PctMult;
}
if (!DoubleUtil.IsPositive(ivAtm))
{
// [{0}] ivAtm must be positive value. ivAtm:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.IvAtmMustBePositive", GetType().Name, ivAtm);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
if (Double.IsNaN(slopeAtm))
{
// [{0}] Smile skew at the money must be some number. skewAtm:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.SkewAtmMustBeNumber", GetType().Name, slopeAtm);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
SmileInfo templateInfo;
#region Fill templateInfo
if (m_useLocalTemplate)
{
InteractiveSeries templateSmile = m_context.LoadObject(m_frozenSmileId) as InteractiveSeries;
if (templateSmile == null)
{
// [{0}] There is no LOCAL smile with ID:{1}
string msg = RM.GetStringFormat("SmileImitation5.NoLocalSmile", GetType().Name, m_frozenSmileId);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
SmileInfo locInfo = new SmileInfo();
locInfo.F = futPx;
locInfo.dT = dT;
locInfo.RiskFreeRate = oldInfo.RiskFreeRate;
List <double> locXs = new List <double>();
List <double> locYs = new List <double>();
foreach (InteractiveObject oldObj in templateSmile.ControlPoints)
{
if (!oldObj.AnchorIsActive)
{
continue;
}
double k = oldObj.Anchor.ValueX;
double sigma = oldObj.Anchor.ValueY;
double x = Math.Log(k / futPx) / Math.Pow(dT, DefaultPow + shape) / ivAtm;
double sigmaNormalized = sigma / ivAtm;
locXs.Add(x);
locYs.Add(sigmaNormalized);
}
try
{
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(locXs, locYs);
locInfo.ContinuousFunction = spline;
locInfo.ContinuousFunctionD1 = spline.DeriveD1();
templateInfo = locInfo;
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
}
else
{
//templateSmile = context.LoadGlobalObject(globalSmileID, true) as InteractiveSeries;
templateInfo = m_context.LoadGlobalObject(m_globalSmileId, true) as SmileInfo;
if (templateInfo == null)
{
// [{0}] There is no global templateInfo with ID:{1}. I'll try to use default one.
string msg = RM.GetStringFormat("SmileImitation5.TemplateWasSaved", GetType().Name, m_globalSmileId);
m_context.Log(msg, MessageType.Error, true);
System.Xml.Linq.XDocument xDoc = System.Xml.Linq.XDocument.Parse(SmileFunction5.XmlSmileRiz4Nov1);
System.Xml.Linq.XElement xInfo = xDoc.Root;
SmileInfo templateSmile = SmileInfo.FromXElement(xInfo);
// Обновляю уровень IV ATM?
if (Double.IsNaN(ivAtm))
{
ivAtm = oldInfo.ContinuousFunction.Value(futPx);
m_context.Log(String.Format("[DEBUG:{0}] ivAtm was NaN. I'll use value ivAtm:{1}", GetType().Name, ivAtm), MessageType.Warning, true);
if (Double.IsNaN(ivAtm))
{
throw new Exception(String.Format("[DEBUG:{0}] ivAtm is NaN.", GetType().Name));
}
}
templateSmile.F = futPx;
templateSmile.dT = dT;
templateSmile.RiskFreeRate = oldInfo.RiskFreeRate;
m_context.StoreGlobalObject(m_globalSmileId, templateSmile, true);
// [{0}] Default templateInfo was saved to Global Cache with ID:{1}.
msg = RM.GetStringFormat("SmileImitation5.TemplateWasSaved", GetType().Name, m_globalSmileId);
m_context.Log(msg, MessageType.Warning, true);
templateInfo = templateSmile;
}
}
#endregion Fill templateInfo
if (!m_setIvByHands)
{
m_ivAtmPct.Value = ivAtm * Constants.PctMult;
}
if (!m_setShapeByHands)
{
// так я ещё не умею
}
if (!m_setSlopeByHands)
{
// Пересчитываю наклон в безразмерку
double dSigmaDx = slopeAtm * futPx * Math.Pow(dT, DefaultPow + shape);
m_slopePct.Value = dSigmaDx * Constants.PctMult;
// и теперь апдейчу локальную переменную slopeAtm:
slopeAtm = m_slopePct.Value / Constants.PctMult;
}
// Это функция в нормированных координатах
// поэтому достаточно обычной симметризации
// PROD-3111: заменяю вызов на SmileFunctionExtended
//SimmetrizeFunc simmFunc = new SimmetrizeFunc(templateInfo.ContinuousFunction);
//SimmetrizeFunc simmFuncD1 = new SimmetrizeFunc(templateInfo.ContinuousFunctionD1);
//SmileFunction5 smileFunc = new SmileFunction5(simmFunc, simmFuncD1, ivAtm, slopeAtm, shape, futPx, dT);
SmileFunctionExtended smileFunc = new SmileFunctionExtended(
(NotAKnotCubicSpline)templateInfo.ContinuousFunction, ivAtm, slopeAtm, shape, futPx, dT);
smileFunc.UseTails = m_useSmileTails;
List <double> xs = new List <double>();
List <double> ys = new List <double>();
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
if (pairs.Length < 2)
{
string msg = String.Format("[{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
double minK = pairs[0].Strike;
double maxK = pairs[pairs.Length - 1].Strike;
double futStep = optSer.UnderlyingAsset.Tick;
double dK = pairs[1].Strike - pairs[0].Strike;
double width = (SigmaMult * ivAtm * Math.Sqrt(dT)) * futPx;
width = Math.Max(width, 10 * dK);
// Нельзя вылезать за границу страйков???
width = Math.Min(width, Math.Abs(futPx - minK));
width = Math.Min(width, Math.Abs(maxK - futPx));
// Generate left invisible tail
if (m_generateTails)
{
GaussSmile.AppendLeftTail(smileFunc, xs, ys, minK, dK, false);
}
SortedDictionary <double, IOptionStrikePair> strikePrices;
if (!SmileImitation5.TryPrepareImportantPoints(pairs, futPx, futStep, width, out strikePrices))
{
string msg = String.Format("[{0}] It looks like there is no suitable points for the smile. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
//for (int j = 0; j < pairs.Length; j++)
foreach (var kvp in strikePrices)
{
bool showPoint = (kvp.Value != null);
//IOptionStrikePair pair = pairs[j];
//// Сверхдалекие страйки игнорируем
//if ((pair.Strike < futPx - width) || (futPx + width < pair.Strike))
//{
// showPoint = false;
//}
//double k = pair.Strike;
double k = kvp.Key;
double sigma;
if (!smileFunc.TryGetValue(k, out sigma))
{
continue;
}
double vol = sigma;
if (!DoubleUtil.IsPositive(sigma))
{
continue;
}
//InteractivePointActive ip = new InteractivePointActive(k, vol);
//ip.Color = (optionPxMode == OptionPxMode.Ask) ? Colors.DarkOrange : Colors.DarkCyan;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect; // (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
// Иначе неправильно выставляются координаты???
//ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, PctMult * sigma);
InteractivePointLight ip;
if (showPoint)
{
var tip = new InteractivePointActive(k, vol);
if (k <= futPx) // Puts
{
SmileImitationDeribit5.FillNodeInfo(tip, futPx, dT, kvp.Value, StrikeType.Put, OptionPxMode.Mid, sigma, false, m_showNodes, scaleMult, ratePct);
}
else // Calls
{
SmileImitationDeribit5.FillNodeInfo(tip, futPx, dT, kvp.Value, StrikeType.Call, OptionPxMode.Mid, sigma, false, m_showNodes, scaleMult, ratePct);
}
ip = tip;
}
else
{
ip = new InteractivePointLight(k, vol);
}
InteractiveObject obj = new InteractiveObject(ip);
//if (showPoint)
// Теперь мы понимаем, что точки либо рисуются
// потому что это страйки (и тогда они автоматом InteractivePointActive)
// либо они присутствуют, но не рисуются их узлы. Потому что они InteractivePointLight.
{
controlPoints.Add(obj);
}
xs.Add(k);
ys.Add(vol);
}
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries();
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
// Generate right invisible tail
if (m_generateTails)
{
GaussSmile.AppendRightTail(smileFunc, xs, ys, maxK, dK, false);
}
var baseSec = optSer.UnderlyingAsset;
DateTime scriptTime = baseSec.Bars[baseSec.Bars.Count - 1].Date;
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo info = new SmileInfo();
info.F = futPx;
info.dT = dT;
info.Expiry = optSer.ExpirationDate;
info.ScriptTime = scriptTime;
info.RiskFreeRate = ratePct;
info.BaseTicker = baseSec.Symbol;
info.ContinuousFunction = smileFunc;
info.ContinuousFunctionD1 = smileFunc.DeriveD1();
res.Tag = info;
SetHandlerInitialized(now);
return(res);
}
public InteractiveSeries Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, double riskFreeRatePct, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.EmptySeries);
}
// В оптимизации ничего рисовать не надо
if (Context.IsOptimization)
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double futPx = 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);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(futPx))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, futPx);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
if (smile == null)
{
string msg = String.Format("[{0}] Argument 'smile' must be filled with InteractiveSeries.", GetType().Name);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, false);
}
return(Constants.EmptySeries);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if (oldInfo == null)
{
string msg = String.Format("[{0}] Property Tag of object smile must be filled with SmileInfo. Tag:{1}", GetType().Name, smile.Tag);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, false);
}
return(Constants.EmptySeries);
}
if (!oldInfo.IsValidSmileParams)
{
string msg = String.Format("[{0}] SmileInfo must have valid smile params. IsValidSmileParams:{1}", GetType().Name, oldInfo.IsValidSmileParams);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, false);
}
return(Constants.EmptySeries);
}
double ivAtm;
if (!oldInfo.ContinuousFunction.TryGetValue(futPx, out ivAtm))
{
return(Constants.EmptySeries);
}
if (!DoubleUtil.IsPositive(ivAtm))
{
// [{0}] ivAtm must be positive value. ivAtm:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.IvAtmMustBePositive", GetType().Name, ivAtm);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
// TODO: Нужно ли писать отдельный код для лаборатории? Чтобы показывать позиции из симуляции?
// if (!Context.Runtime.IsAgentMode)
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
if (pairs.Length < 2)
{
string msg = String.Format("[{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Warning, true);
}
return(Constants.EmptySeries);
}
double futStep = optSer.UnderlyingAsset.Tick;
PositionsManager posMan = PositionsManager.GetManager(m_context);
// Вытаскиваем ВСЕ позиции фьючерса
ReadOnlyCollection <IPosition> basePositions = posMan.GetClosedOrActiveForBar(optSer.UnderlyingAsset);
// Вытаскиваем ВСЕ позиции опционов
var optPositions = SingleSeriesProfile.GetAllOptionPositions(posMan, pairs);
// 1. Если в позиции вообще нет опционов -- сразу выходим. Эффективную волатильность построить нельзя.
int posAmount = (from t in optPositions select(t.Item1.Count + t.Item2.Count)).Sum();
if (posAmount <= 0)
{
return(Constants.EmptySeries);
}
// 2. TODO: посчитать позиции без учета синтетических фьючерсов. Если позиция только из синтетики -- выходим.
// 3. Вычисляем эффективную волатильность и заодно разбиваем позицию на длинные и короткие
// Но это имеет смысл только если сразу рисовать позу!!!
double effectiveLongIvAtm, effectiveShortIvAtm;
Tuple <ReadOnlyCollection <IPosition>, ReadOnlyCollection <IPosition> >[] longPositions;
Tuple <ReadOnlyCollection <IPosition>, ReadOnlyCollection <IPosition> >[] shortPositions;
bool ok = posMan.TryEstimateEffectiveIv(oldInfo, optSer, lastBarIndex,
out effectiveLongIvAtm, out effectiveShortIvAtm, out longPositions, out shortPositions);
if (!ok)
{
// Мы не смогли завершить алгоритм, но получили какую-то оценку волатильностей. Нарисуем ее?
if ((!DoubleUtil.IsPositive(effectiveLongIvAtm)) ||
(!DoubleUtil.IsPositive(effectiveShortIvAtm)))
{
return(Constants.EmptySeries);
}
}
Contract.Assert(longPositions != null, "longPositions==null ???");
Contract.Assert(shortPositions != null, "shortPositions==null ???");
double actualIv = ShowLongPositions ? effectiveLongIvAtm : effectiveShortIvAtm;
double displayValue = FixedValue.ConvertToDisplayUnits(m_valueMode, actualIv);
m_displayIv.Value = displayValue;
Contract.Assert(DoubleUtil.IsPositive(actualIv), $"Это вообще что-то странное. Почему плохой айви? actualIv:{actualIv}");
// Это вообще что-то странное. Как так?
if (!DoubleUtil.IsPositive(actualIv))
{
return(Constants.EmptySeries);
}
// 5. Подготавливаю улыбку (достаточно функции, без обвязки)
var lowSmileFunc = new SmileFunctionExtended(
SmileFunction5.TemplateFuncRiz4Nov1,
actualIv, oldInfo.SkewAtm, oldInfo.Shape, futPx, dT);
// 7. Подготавливаем графическое отображение позиции. Причем нам даже сплайн не нужен.
var actualPositions = ShowLongPositions ? longPositions : shortPositions;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
for (int j = 0; j < pairs.Length; j++)
{
var pair = pairs[j];
var tuple = actualPositions[j];
// На данном страйке позиций нет? Идем дальше.
if ((tuple.Item1.Count <= 0) && (tuple.Item2.Count <= 0))
{
continue;
}
double sigma;
if ((!lowSmileFunc.TryGetValue(pair.Strike, out sigma)) ||
(!DoubleUtil.IsPositive(sigma)))
{
// TODO: Это очень странно. Вывести в лог? Проигнорировать страйк?
sigma = actualIv;
}
var putPositions = tuple.Item1;
var callPositions = tuple.Item2;
double putQty = PositionsManager.GetTotalQty(putPositions);
double callQty = PositionsManager.GetTotalQty(callPositions);
int decimals = optSer.UnderlyingAsset.Decimals + 1;
double putPx = FinMath.GetOptionPrice(futPx, pair.Strike, dT, sigma, riskFreeRatePct, false);
double callPx = FinMath.GetOptionPrice(futPx, pair.Strike, dT, sigma, riskFreeRatePct, true);
string putPxStr = putPx.ToString("N" + decimals, CultureInfo.InvariantCulture);
string callPxStr = callPx.ToString("N" + decimals, CultureInfo.InvariantCulture);
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive ip = new InteractivePointActive();
// TODO: вывести в тултип дополнительные подробности о составе позиции на этом страйке
ip.Tooltip = String.Format(CultureInfo.InvariantCulture,
" K: {0}; IV: {1:#0.00}%\r\n PutQty: {2}; CallQty: {3}\r\n PutPx: {4}; CallPx: {5}\r\n Total: {6}",
pair.Strike, sigma * Constants.PctMult, putQty, callQty, putPxStr, callPxStr, putQty + callQty);
ip.Value = new Point(pair.Strike, sigma);
controlPoints.Add(new InteractiveObject(ip));
}
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
SetHandlerInitialized(now, true);
return(res);
}