private void RefreshSmile(DateTimeOffset?time = null)
{
_model.Refresh(time);
ClearSmiles();
foreach (var row in _model.Rows)
{
var strike = row.Strike;
if (strike == null)
{
continue;
}
if (_callBidSmile != null)
{
TryAddSmileItem(_callBidSmile, strike.Value, row.Call?.ImpliedVolatilityBestBid);
}
if (_callAskSmile != null)
{
TryAddSmileItem(_callAskSmile, strike.Value, row.Call?.ImpliedVolatilityBestAsk);
}
if (_callLastSmile != null)
{
TryAddSmileItem(_callLastSmile, strike.Value, row.Call?.ImpliedVolatilityLastTrade);
}
if (_putBidSmile != null)
{
TryAddSmileItem(_putBidSmile, strike.Value, row.Put?.ImpliedVolatilityBestBid);
}
if (_putAskSmile != null)
{
TryAddSmileItem(_putAskSmile, strike.Value, row.Put?.ImpliedVolatilityBestAsk);
}
if (_putLastSmile != null)
{
TryAddSmileItem(_putLastSmile, strike.Value, row.Put?.ImpliedVolatilityLastTrade);
}
}
}
public MainWindow()
{
InitializeComponent();
var assetsSource = new ObservableCollectionEx <Security>();
var optionsSource = new ObservableCollectionEx <Security>();
Options.ItemsSource = optionsSource;
Assets.ItemsSource = assetsSource;
_assets = new ThreadSafeObservableCollection <Security>(assetsSource);
_options = new ThreadSafeObservableCollection <Security>(optionsSource);
var timer = new DispatcherTimer {
Interval = TimeSpan.FromSeconds(5)
};
timer.Tick += (sender, args) =>
{
if (!_isDirty)
{
return;
}
_isDirty = false;
RefreshChart();
};
timer.Start();
//
// draw test data on the pos chart
var asset = new Security {
Id = "RIM4@FORTS"
};
var dummyProvider = new DummyProvider(new[] { asset });
PosChart.AssetPosition = new Position
{
Security = asset,
CurrentValue = -1,
};
PosChart.MarketDataProvider = dummyProvider;
PosChart.SecurityProvider = dummyProvider;
var expDate = new DateTime(2014, 6, 14);
PosChart.Positions.Add(new Position
{
Security = new Security {
Code = "RI C 110000", Strike = 110000, ImpliedVolatility = 45, OptionType = OptionTypes.Call, ExpiryDate = expDate, Board = ExchangeBoard.Forts, UnderlyingSecurityId = asset.Id
},
CurrentValue = 10,
});
PosChart.Positions.Add(new Position
{
Security = new Security {
Code = "RI P 95000", Strike = 95000, ImpliedVolatility = 30, OptionType = OptionTypes.Put, ExpiryDate = expDate, Board = ExchangeBoard.Forts, UnderlyingSecurityId = asset.Id
},
CurrentValue = -3,
});
PosChart.Refresh(100000, 10, new DateTime(2014, 5, 5), expDate);
//
// draw test data on the desk
var expiryDate = new DateTime(2014, 09, 15);
var model = new OptionDeskModel
{
MarketDataProvider = dummyProvider,
UnderlyingAsset = asset,
};
Desk.Model = model;
model.Add(CreateStrike(05000, 10, 60, OptionTypes.Call, expiryDate, asset, 100));
model.Add(CreateStrike(10000, 10, 53, OptionTypes.Call, expiryDate, asset, 343));
model.Add(CreateStrike(15000, 10, 47, OptionTypes.Call, expiryDate, asset, 3454));
model.Add(CreateStrike(20000, 78, 42, OptionTypes.Call, expiryDate, asset, null));
model.Add(CreateStrike(25000, 32, 35, OptionTypes.Call, expiryDate, asset, 100));
model.Add(CreateStrike(30000, 3245, 32, OptionTypes.Call, expiryDate, asset, 55));
model.Add(CreateStrike(35000, 3454, 37, OptionTypes.Call, expiryDate, asset, 456));
model.Add(CreateStrike(40000, 34, 45, OptionTypes.Call, expiryDate, asset, 4));
model.Add(CreateStrike(45000, 3566, 51, OptionTypes.Call, expiryDate, asset, 67));
model.Add(CreateStrike(50000, 454, 57, OptionTypes.Call, expiryDate, asset, null));
model.Add(CreateStrike(55000, 10, 59, OptionTypes.Call, expiryDate, asset, 334));
model.Add(CreateStrike(05000, 10, 50, OptionTypes.Put, expiryDate, asset, 100));
model.Add(CreateStrike(10000, 10, 47, OptionTypes.Put, expiryDate, asset, 343));
model.Add(CreateStrike(15000, 6788, 42, OptionTypes.Put, expiryDate, asset, 3454));
model.Add(CreateStrike(20000, 10, 37, OptionTypes.Put, expiryDate, asset, null));
model.Add(CreateStrike(25000, 567, 32, OptionTypes.Put, expiryDate, asset, 100));
model.Add(CreateStrike(30000, 4577, 30, OptionTypes.Put, expiryDate, asset, 55));
model.Add(CreateStrike(35000, 67835, 32, OptionTypes.Put, expiryDate, asset, 456));
model.Add(CreateStrike(40000, 13245, 35, OptionTypes.Put, expiryDate, asset, 4));
model.Add(CreateStrike(45000, 10, 37, OptionTypes.Put, expiryDate, asset, 67));
model.Add(CreateStrike(50000, 454, 39, OptionTypes.Put, expiryDate, asset, null));
model.Add(CreateStrike(55000, 10, 41, OptionTypes.Put, expiryDate, asset, 334));
model.Refresh(new DateTime(2014, 08, 15));
//
// draw test data on the smile chart
var puts = SmileChart.CreateSmile("RIM4 (Put)", Colors.DarkRed);
var calls = SmileChart.CreateSmile("RIM4 (Call)", Colors.DarkGreen);
foreach (var option in model.Options)
{
if (option.Strike == null || option.ImpliedVolatility == null)
{
continue;
}
(option.OptionType == OptionTypes.Put ? puts : calls).Add(new LineData <double> {
X = (double)option.Strike.Value, Y = option.ImpliedVolatility.Value
});
}
Instance = this;
InitConnector();
}
