/// <summary>
/// For Black-Scholes-Merton model price calculation relies <see cref="IOptionPriceModel"/> of the security
/// </summary>
/// <param name="maximumPercentDeviation">The maximum percent deviation. This value is in percent space,
/// so a value of 1m is equal to 1%.</param>
/// <param name="referenceDate">current reference date</param>
/// <returns>A new decimal suitable for usage as new security price</returns>
public decimal NextValue(decimal maximumPercentDeviation, DateTime referenceDate)
{
return(_option.PriceModel
.Evaluate(
_option,
null,
OptionContract.Create(
_option.Symbol,
_option.Symbol.Underlying,
referenceDate,
_option,
_option.Underlying.Price
))
.TheoreticalPrice);
}
private bool HandleOptionData(DateTime algorithmTime, BaseData baseData, OptionChains optionChains, ISecurityPrice security, Lazy <Slice> sliceFuture, IReadOnlyDictionary <Symbol, BaseData> optionUnderlyingUpdates)
{
var symbol = baseData.Symbol;
OptionChain chain;
var canonical = symbol.Canonical;
if (!optionChains.TryGetValue(canonical, out chain))
{
chain = new OptionChain(canonical, algorithmTime);
optionChains[canonical] = chain;
}
// set the underlying current data point in the option chain
var option = security as IOptionPrice;
if (option != null)
{
if (option.Underlying == null)
{
Log.Error($"TimeSlice.HandleOptionData(): {algorithmTime}: Option underlying is null");
return(false);
}
BaseData underlyingData;
if (!optionUnderlyingUpdates.TryGetValue(option.Underlying.Symbol, out underlyingData))
{
underlyingData = option.Underlying.GetLastData();
}
if (underlyingData == null)
{
Log.Error($"TimeSlice.HandleOptionData(): {algorithmTime}: Option underlying GetLastData returned null");
return(false);
}
chain.Underlying = underlyingData;
}
var universeData = baseData as BaseDataCollection;
if (universeData != null)
{
if (universeData.Underlying != null)
{
foreach (var addedContract in chain.Contracts)
{
addedContract.Value.UnderlyingLastPrice = chain.Underlying.Price;
}
}
foreach (var contractSymbol in universeData.FilteredContracts)
{
chain.FilteredContracts.Add(contractSymbol);
}
return(false);
}
OptionContract contract;
if (!chain.Contracts.TryGetValue(baseData.Symbol, out contract))
{
contract = OptionContract.Create(baseData, security, chain.Underlying.Price);
chain.Contracts[baseData.Symbol] = contract;
if (option != null)
{
contract.SetOptionPriceModel(() => option.EvaluatePriceModel(sliceFuture.Value, contract));
}
}
// populate ticks and tradebars dictionaries with no aux data
switch (baseData.DataType)
{
case MarketDataType.Tick:
var tick = (Tick)baseData;
chain.Ticks.Add(tick.Symbol, tick);
UpdateContract(contract, tick);
break;
case MarketDataType.TradeBar:
var tradeBar = (TradeBar)baseData;
chain.TradeBars[symbol] = tradeBar;
UpdateContract(contract, tradeBar);
break;
case MarketDataType.QuoteBar:
var quote = (QuoteBar)baseData;
chain.QuoteBars[symbol] = quote;
UpdateContract(contract, quote);
break;
case MarketDataType.Base:
chain.AddAuxData(baseData);
break;
}
return(true);
}
