public ElwOptionArbData AdjustEnteredOptionCount(ElwOptionArbData bestEOAD)
{
if (bestEOAD == null)
{
return null;
}
String elwCode = bestEOAD.ElwCode;
long enteredOptionCount = (long)Math.Abs(GetEnteredLiveOptionCount_PairWithElw(elwCode));
long elwEnteredCount = ElwOptionUtil.ConvertOptionCountToElwCount(bestEOAD.Elw, enteredOptionCount);
bestEOAD.OptionCount -= enteredOptionCount;
bestEOAD.ElwCount -= elwEnteredCount;
if (IsValidEOAD(bestEOAD))
{
return bestEOAD;
}
return null;
}
ElwOptionArbData GetBestEOAD(ElwOptionArbData eoad, ElwOptionArbData bestEOAD)
{
if (eoad != null)
{
if (bestEOAD == null)
{
bestEOAD = eoad;
}
else
{
if (bestEOAD.OptionCount < eoad.OptionCount)
{
bestEOAD = eoad;
}
}
}
return bestEOAD;
}
public ElwArbSweepUnit EnterPosition(ElwOptionArbData eoad)
{
ElwInfo elwInfo = eoad.Elw;
String elwCode = eoad.ElwCode;
long optionEnterCount = eoad.OptionCount;
long elwEnterCount = eoad.ElwCount;
double elwPrice = eoad.ElwPrice;
double optionPrice = eoad.OptionPrice;
return EnterPosition_Raw(
elwInfo,
elwCode,
eoad.ElwLS,
elwEnterCount,
elwPrice,
eoad.RmdElw,
eoad.OptionLS,
optionEnterCount,
optionPrice,
eoad.RmdOption);
}
static ElwOptionArbData GetElwOptionArbData_WithProfit(PreData data)
{
if (!IsEnoughElwPrice(data.ElwPrice))
{
return null;
}
double boundary = GetProfitBoundary(data);
if (!IsArbChance(data, boundary))
{
return null;
}
long minOptionCount = GetOptionCount(data, 1024);
if (minOptionCount <= 0)
{
return null;
}
ElwOptionArbData eod = new ElwOptionArbData(
data.Elw,
data.ElwPrice,
data.ElwLS,
data.KOI,
data.OptionPrice,
data.OptionLS,
minOptionCount,
data.Diff,
data.RmdOption,
data.RmdElw,
data.IsForward);
return Return_EOAD_If_Spread_And_Nabi_Is_OK(eod, data);
}
static ElwOptionArbData Return_EOAD_If_Spread_And_Nabi_Is_OK(ElwOptionArbData eod, PreData data)
{
double optionBidAskSpread = Math.Round(data.RmdOption.AskPrice1, 2) - Math.Round(data.RmdOption.BidPrice1, 2);
if (optionBidAskSpread > 0.15)
{
long elwBookValue = ElwOptionUtil.GetOneOptionValueOfElw(data.Elw, data.ElwPrice);
// 나비테스트를 통과해야한다.
if (!IsCheapEnoughPassNabiTest(data.IsForward, data.KOI, data.RmdElw, data.Elw, elwBookValue))
{
return null;
}
}
return eod;
}
static ElwOptionArbData GetElwOptionArbData_WO_Profit(PreData data)
{
if (!data.IsForward)
{
return null;
}
long limitOptionCount = GetTimeBasedLimitOptionCountFor_WO_Profit(data.TotalAttemptOptionCount, DateTime.Now);
if (limitOptionCount < 5)
{
return null;
}
Debug.Assert(limitOptionCount <= 1024, "ElwArbCalculator.LimitOptionCount error");
if (!IsEnoughElwPrice(data.ElwPrice))
{
return null;
}
double boundary = Get_WO_ProfitBoundary(data); // without profit boundary
if (!IsArbChance(data, boundary))
{
return null;
}
long minOptionCount = GetOptionCount(data, limitOptionCount);
if (minOptionCount <= 0)
{
return null;
}
ElwOptionArbData eod = new ElwOptionArbData(
data.Elw,
data.ElwPrice,
data.ElwLS,
data.KOI,
data.OptionPrice,
data.OptionLS,
minOptionCount,
data.Diff,
data.RmdOption,
data.RmdElw,
data.IsForward);
return Return_EOAD_If_Spread_And_Nabi_Is_OK(eod, data);
}
Boolean IsValidEOAD(ElwOptionArbData eoad)
{
if (eoad.OptionCount >= 2)
{
return true;
}
return false;
}
ElwOptionArbData AdjustExistElwCount(ElwOptionArbData eoad)
{
if (_elwOptionReverseLimit.ContainsKey(eoad.Key))
{
long exposureElwCount = _elwOptionReverseLimit[eoad.Key] + GetEnteredElwCount(eoad.Key);
if (eoad.ElwCount > exposureElwCount)
{
long exposureOptionCountOfElw = ElwOptionUtil.ConvertElwCountToOptionCount(eoad.Elw, exposureElwCount);
eoad.ResetCount_BasedOnOptionCount(exposureOptionCountOfElw);
}
}
else
{
eoad.ResetCount_BasedOnOptionCount(0);
}
return eoad;
}