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 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 (Double.IsNaN(dT) || (dT < Double.Epsilon)) { // [{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 (Double.IsNaN(futPx) || (futPx < Double.Epsilon)) { // [{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 (Double.IsNaN(ratePct)) { //throw new ScriptException("Argument 'ratePct' contains NaN for some strange reason. rate:" + rate); return(Constants.EmptySeries); } double ivAtm, slopeAtm; 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_internalSlopePct.Value / Constants.PctMult; slopeAtm = slopeAtm / futPx / Math.Sqrt(dT); } if (Double.IsNaN(ivAtm) || (ivAtm < Double.Epsilon)) { // [{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); } //{ // string msg = String.Format("[DEBUG:{0}] ivAtm:{1}; shift:{2}; depth:{3}; F:{4}; dT:{5}; ", // GetType().Name, ivAtm, shift, depth, F, dT); // context.Log(msg, MessageType.Info, true); //} SmileFunction3 tempFunc = new SmileFunction3(ivAtm, m_shift, 0.5, futPx, dT); double depth = tempFunc.GetDepthUsingSlopeATM(slopeAtm); SmileFunction3 smileFunc = new SmileFunction3(ivAtm, m_shift, depth, futPx, dT); if (!m_setIvByHands) { m_ivAtmPct.Value = ivAtm * Constants.PctMult; } m_depthPct.Value = depth * Constants.PctMult; if (!m_setSlopeByHands) { double dSigmaDx = slopeAtm * futPx * Math.Sqrt(dT); m_internalSlopePct.Value = dSigmaDx * Constants.PctMult; } 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 dK = pairs[1].Strike - pairs[0].Strike; double width = (SigmaMult * ivAtm * Math.Sqrt(dT)) * futPx; width = Math.Max(width, 2 * dK); // Generate left invisible tail if (m_generateTails) { GaussSmile.AppendLeftTail(smileFunc, xs, ys, minK, dK, false); } List <InteractiveObject> controlPoints = new List <InteractiveObject>(); for (int j = 0; j < pairs.Length; j++) { bool showPoint = true; IOptionStrikePair pair = pairs[j]; // Сверхдалекие страйки игнорируем if ((pair.Strike < futPx - width) || (futPx + width < pair.Strike)) { showPoint = false; } double k = pair.Strike; double sigma = smileFunc.Value(k); double vol = sigma; if (Double.IsNaN(sigma) || Double.IsInfinity(sigma) || (sigma < Double.Epsilon)) { 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); if (showPoint) { if (k <= futPx) // Puts { FillNodeInfo(ip, futPx, dT, pair, StrikeType.Put, OptionPxMode.Mid, sigma, false, m_isVisiblePoints, ratePct); } else // Calls { FillNodeInfo(ip, futPx, dT, pair, StrikeType.Call, OptionPxMode.Mid, sigma, false, m_isVisiblePoints, ratePct); } } InteractiveObject obj = new InteractiveObject(ip); if (showPoint) { controlPoints.Add(obj); } xs.Add(k); ys.Add(vol); } // ReSharper disable once UseObjectOrCollectionInitializer InteractiveSeries res = new InteractiveSeries(); res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints); double maxK = pairs[pairs.Length - 1].Strike; // 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); }