private void InteractiveSplineOnClickEvent(object sender, InteractiveActionEventArgs eventArgs)
{
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (posMan.BlockTrading)
{
//string msg = String.Format("[{0}] Trading is blocked. Please, change 'Block Trading' parameter.", m_optionPxMode);
string msg = RM.GetStringFormat("OptHandlerMsg.PositionsManager.TradingBlocked", m_optionPxMode);
m_context.Log(msg, MessageType.Info, true);
return;
}
SmileNodeInfo nodeInfo = eventArgs.Point.Tag as SmileNodeInfo;
if (nodeInfo == null)
{
//string msg = String.Format("[{0}] There is no nodeInfo. Quote type: {1}; Strike: {2}", m_optionPxMode);
string msg = RM.GetStringFormat(CultureInfo.InvariantCulture, "OptHandlerMsg.ThereIsNoNodeInfo",
m_context.Runtime.TradeName, m_optionPxMode, eventArgs.Point.ValueX);
m_context.Log(msg, MessageType.Error, true);
return;
}
nodeInfo.Qty = m_qty;
nodeInfo.ClickTime = DateTime.Now;
// Передаю событие в PositionsManager дополнив его инфой о количестве лотов
posMan.InteractiveSplineOnClickEvent(m_context, sender, eventArgs);
}
/// <summary>
/// Обработчик под тип входных данных OPTION_SERIES
/// </summary>
public IList <double> Execute(IOptionSeries optSer)
{
if (optSer == null)
{
// [{0}] Empty input (option series is NULL).
string msg = RM.GetStringFormat("OptHandlerMsg.OptionSeriesIsNull", GetType().Name);
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptyListDouble);
}
IList <double> res;
ISecurity sec = optSer.UnderlyingAsset;
switch (m_expiryMode)
{
case ExpiryMode.FixedExpiry:
res = PrepareData(sec, Expiry);
break;
default:
string optSerExpiry = optSer.ExpirationDate.ToString(IvOnF.DateFormat, CultureInfo.InvariantCulture);
res = PrepareData(sec, optSerExpiry);
break;
}
return(res);
}
/// <summary>
/// Обработчик для двух аргументов -- опционной серии и страйка
/// </summary>
public ISecurity Execute(IOptionSeries optSer, IList <double> actualStrikes)
{
if ((optSer == null) || (optSer.UnderlyingAsset == null) ||
(actualStrikes == null) || (actualStrikes.Count <= 0))
{
return(null);
}
// Выбор страйка по последнему значению!
double actualStrike = actualStrikes[actualStrikes.Count - 1];
IOptionStrikePair pair = GetStrikePair(optSer, m_selectionMode, actualStrike);
if (pair == null)
{
// Данного страйка нет в списке? Тогда выход.
string expiryDate = optSer.ExpirationDate.Date.ToString(IvOnF.DateFormat, CultureInfo.InvariantCulture);
// [{0}.Execute] There is no strike '{1}' in the option series '{2} ~ {3}'. Search mode: '{4}'
string msg = RM.GetStringFormat("OptHandlerMsg.SingleOption.OptionNotFound",
GetType().Name, actualStrike, optSer.UnderlyingAsset, expiryDate, m_selectionMode);
if (Context.Runtime.IsAgentMode /* && (!m_ignoreCacheError) */)
{
throw new ScriptException(msg); // PROD-5501 - Кидаем исключение.
}
//bool isExpired = true;
//// Поскольку в этом блоке настройки m_ignoreCacheError нет, то здесь всегда IsAgentMode == false!
//if (Context.Runtime.IsAgentMode)
//{
// int amount = optSer.UnderlyingAsset.Bars.Count;
// DateTime today = (amount > 0) ? optSer.UnderlyingAsset.Bars[amount - 1].Date : new DateTime();
// isExpired = optSer.ExpirationDate.Date.AddDays(1) < today.Date;
//}
// А если в режиме лаборатории, тогда только жалуемся в Главный Лог и продолжаем.
Context.Log(msg, MessageType.Warning, true /* !isExpired */);
return(null);
}
ISecurity res;
if (m_optionType == StrikeType.Put)
{
res = pair.Put.Security;
}
else if (m_optionType == StrikeType.Call)
{
res = pair.Call.Security;
}
else
{
throw new NotSupportedException("Не могу найти опцион вида: " + m_optionType);
}
return(res);
}
/// <summary>
/// Метод под флаг TemplateTypes.OPTION_SERIES, чтобы подключаться к источнику-БА
/// </summary>
public IList <double> Execute(IOptionSeries optSer)
{
if (optSer == null)
{
// [{0}] Empty input (option series is NULL).
string msg = RM.GetStringFormat("OptHandlerMsg.OptionSeriesIsNull", GetType().Name);
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptyListDouble);
}
return(Execute(optSer.UnderlyingAsset));
}
/// <summary>
/// Обработчик под тип входных данных SECURITY
/// </summary>
public IList <double> Execute(ISecurity sec)
{
if (sec == null)
{
// [{0}] Empty input (security is NULL).
string msg = RM.GetStringFormat("OptHandlerMsg.SecurityIsNull", GetType().Name);
return(Constants.EmptyListDouble);
}
var res = PrepareData(sec, Expiry);
return(res);
}
private void InteractiveSplineOnClickEvent(object sender, InteractiveActionEventArgs eventArgs)
{
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (posMan.BlockTrading)
{
//string msg = String.Format("[{0}] Trading is blocked. Please, change 'Block Trading' parameter.", m_optionPxMode);
string msg = RM.GetStringFormat("OptHandlerMsg.PositionsManager.TradingBlocked", m_optionPxMode);
m_context.Log(msg, MessageType.Warning, true);
return;
}
List <InteractiveActionEventArgs> onClickEvents = m_context.LoadObject(VariableId + "OnClickEvent") as List <InteractiveActionEventArgs>;
if (onClickEvents == null)
{
onClickEvents = new List <InteractiveActionEventArgs>();
m_context.StoreObject(VariableId + "OnClickEvent", onClickEvents);
}
onClickEvents.Add(eventArgs);
m_context.Recalc(RecalcReasons.ChartTrading, null);
}
public InteractiveSeries Execute(double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
//InteractiveSeries res = context.LoadObject(cashKey + "positionDelta") as InteractiveSeries;
//if (res == null)
//{
// res = new InteractiveSeries();
// context.StoreObject(cashKey + "positionDelta", res);
//}
InteractiveSeries res = new InteractiveSeries();
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(res);
}
//double F = prices[prices.Count - 1];
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);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
if (smile == null)
{
string msg = String.Format("[{0}] Argument 'smile' must be filled with InteractiveSeries.", GetType().Name);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
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);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
//// TODO: переписаться на обновление старых значений
//res.ControlPoints.Clear();
List <double> xs = new List <double>();
List <double> ys = new List <double>();
var smilePoints = smile.ControlPoints;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (InteractiveObject iob in smilePoints)
{
double rawVega, f = iob.Anchor.ValueX;
if (TryEstimateVega(posMan, optSer, pairs, smile, m_greekAlgo, f, m_sigmaStep, dT, out rawVega))
{
// Переводим вегу в дифференциал 'изменение цены за 1% волы'.
rawVega /= Constants.PctMult;
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = System.Windows.Media.Colors.Green;
double y = rawVega;
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format("F:{0}; V:{1}", f, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
ys.Add(y);
}
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.RiskFreeRate = oldInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
return(res);
}
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 time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
InteractiveSeries res = new InteractiveSeries();
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(res);
}
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);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
if (smile == null)
{
string msg = String.Format("[{0}] Argument 'smile' must be filled with InteractiveSeries.", GetType().Name);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
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);
m_context.Log(msg, MessageType.Error, true);
return(res);
}
List <double> xs = new List <double>();
List <double> ys = new List <double>();
var smilePoints = smile.ControlPoints;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (InteractiveObject iob in smilePoints)
{
double rawTheta, f = iob.Anchor.ValueX;
if (TryEstimateTheta(posMan, pairs, smile, m_greekAlgo, f, dT, m_tStep, out rawTheta))
{
// Переводим тету в дифференциал 'изменение цены за 1 сутки'.
rawTheta = RescaleThetaToDays(m_tRemainMode, rawTheta);
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = System.Windows.Media.Colors.Green;
double y = rawTheta;
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; Th:{1}", f, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
ys.Add(y);
}
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.RiskFreeRate = oldInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
return(res);
}
public InteractiveSeries Execute(double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (smile == null) || (optSer == 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 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);
}
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);
}
double futPx = oldInfo.F;
double ivAtm;
if (!oldInfo.ContinuousFunction.TryGetValue(futPx, out ivAtm))
{
string msg = String.Format("[{0}] Unable to get IV ATM from smile. Tag:{1}", GetType().Name, smile.Tag);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
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);
}
List <double> xs = new List <double>();
List <double> ys = new List <double>();
double futStep = optSer.UnderlyingAsset.Tick;
PositionsManager posMan = PositionsManager.GetManager(m_context);
SortedDictionary <double, IOptionStrikePair> futPrices;
if (!SmileImitation5.TryPrepareImportantPoints(pairs, futPx, futStep, -1, out futPrices))
{
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>();
foreach (var kvp in futPrices)
{
double f = kvp.Key;
bool tradableStrike = (kvp.Value != null);
double rawGreek;
GetBaseGreek(posMan, optSer.UnderlyingAsset, optSer.UnderlyingAsset.Bars.Count - 1, f, m_greek, out rawGreek);
for (int j = 0; j < pairs.Length; j++)
{
IOptionStrikePair pair = pairs[j];
double totalGreek;
//double putDelta = FinMath.GetOptionDelta(f, pair.Strike, dT, sigma.Value, 0, false);
GetPairGreek(posMan, smile, pair, f, dT, m_greek, out totalGreek);
rawGreek += totalGreek;
}
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = AlphaColors.Green;
double y = rawGreek;
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; {1}:{2}", f, m_greek, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
ys.Add(y);
}
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.Expiry = optSer.ExpirationDate;
info.ScriptTime = now;
info.RiskFreeRate = oldInfo.RiskFreeRate;
info.BaseTicker = optSer.UnderlyingAsset.Symbol;
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
return(res);
}
public double Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.NaN);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double f = 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.NaN);
}
if (!DoubleUtil.IsPositive(f))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, f);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.NaN);
}
double rawGamma, res;
double dF = optSer.UnderlyingAsset.Tick;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (SingleSeriesNumericalGamma.TryEstimateGamma(posMan, optSer, pairs, smile, m_greekAlgo, f, dF, dT, out rawGamma))
{
res = rawGamma;
}
else
{
res = Constants.NaN;
}
//SmileInfo sInfo = smile.GetTag<SmileInfo>();
//if ((sInfo != null) && (sInfo.ContinuousFunction != null))
//{
// double iv = sInfo.ContinuousFunction.Value(sInfo.F);
// string msg = String.Format("[DEBUG:{0}] F:{1}; dT:{2}; smile.F:{3}; smile.dT:{4}; smile.IV:{5}",
// GetType().Name, F, dT, sInfo.F, sInfo.dT, iv);
// context.Log(msg, MessageType.Info, true);
//}
m_gamma.Value = res;
//context.Log(String.Format("[{0}] Delta: {1}; rawDelta:{2}", MsgId, delta.Value, rawDelta), logColor, true);
SetHandlerInitialized(now);
return(res);
}
public double Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(Constants.NaN);
}
if ((smile == null) || (optSer == null))
{
return(Constants.NaN);
}
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, false);
}
return(Constants.NaN);
}
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, false);
}
return(Constants.NaN);
}
double rawTheta, res;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (SingleSeriesNumericalTheta.TryEstimateTheta(posMan, pairs, smile, m_greekAlgo, futPx, dT, m_tStep, out rawTheta))
{
// Переводим тету в дифференциал 'изменение цены за 1 сутки'.
rawTheta = SingleSeriesNumericalTheta.RescaleThetaToDays(m_tRemainMode, rawTheta);
res = rawTheta;
}
else
{
res = Constants.NaN;
}
m_theta.Value = res;
//context.Log(String.Format("[{0}] Delta: {1}; rawDelta:{2}", MsgId, delta.Value, rawDelta), logColor, true);
SetHandlerInitialized(now);
return(res);
}
/// <summary>
/// Обработчик для одиночного аргумента -- опционной серии
/// </summary>
public ISecurity Execute(IOptionSeries optSer, int barNum)
{
if ((optSer == null) || (optSer.UnderlyingAsset == null))
{
return(null);
}
int barsCount = Context.BarsCount;
if (!Context.IsLastBarUsed)
{
barsCount--;
}
double actualStrike = m_fixedStrike;
// TODO: При работе с фиксированным страйком можно и кеширование сделать.
// А вот для второго метода кеширование не подойдет (страйк может измениться на любом индексе)
IOptionStrikePair pair = SingleOption.GetStrikePair(optSer, m_selectionMode, actualStrike);
if (pair == null)
{
if (barNum < barsCount - 1)
{
// Чтобы не спамить зря на старых барах молча возвращаю null
return(null);
}
else
{
// Данного страйка нет в списке? Тогда выход.
string expiryDate = optSer.ExpirationDate.Date.ToString(IvOnF.DateFormat, CultureInfo.InvariantCulture);
// [{0}.Execute] There is no strike '{1}' in the option series '{2} ~ {3}'. Search mode: '{4}'
string msg = RM.GetStringFormat("OptHandlerMsg.SingleOption.OptionNotFound",
GetType().Name, actualStrike, optSer.UnderlyingAsset, expiryDate, m_selectionMode);
if (Context.Runtime.IsAgentMode /* && (!m_ignoreCacheError) */)
{
throw new ScriptException(msg); // PROD-5501 - Кидаем исключение.
}
//bool isExpired = true;
//// Поскольку в этом блоке настройки m_ignoreCacheError нет, то здесь всегда IsAgentMode == false!
//if (Context.Runtime.IsAgentMode)
//{
// int amount = optSer.UnderlyingAsset.Bars.Count;
// DateTime today = (amount > 0) ? optSer.UnderlyingAsset.Bars[amount - 1].Date : new DateTime();
// isExpired = optSer.ExpirationDate.Date.AddDays(1) < today.Date;
//}
// А если в режиме лаборатории, тогда только жалуемся в Главный Лог и продолжаем.
Context.Log(msg, MessageType.Warning, true /* !isExpired */);
return(null);
}
}
ISecurity res;
if (m_optionType == StrikeType.Put)
{
res = pair.Put.Security;
}
else if (m_optionType == StrikeType.Call)
{
res = pair.Call.Security;
}
else
{
throw new NotSupportedException("Не могу найти опцион вида: " + m_optionType);
}
return(res);
}
private void RouteOnClickEvents(List <InteractiveActionEventArgs> eventArgs)
{
if (eventArgs == null)
{
return;
}
int argLen = eventArgs.Count;
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (posMan.BlockTrading && (argLen > 0))
{
eventArgs.Clear();
string msg = String.Format("[{0}] ERROR! Trading is blocked. Should NOT be here. All events were removed.", m_optionPxMode);
m_context.Log(msg, MessageType.Warning, true);
return;
}
bool recalc = false;
for (int j = argLen - 1; j >= 0; j--)
{
InteractiveActionEventArgs eventArg = eventArgs[j];
eventArgs.RemoveAt(j);
try
{
SmileNodeInfo nodeInfo = eventArg.Point.Tag as SmileNodeInfo;
if (nodeInfo == null)
{
//string msg = String.Format("[{0}] There is no nodeInfo. Quote type: {1}; Strike: {2}", m_optionPxMode);
string msg = RM.GetStringFormat(CultureInfo.InvariantCulture, "OptHandlerMsg.ThereIsNoNodeInfo",
m_context.Runtime.TradeName, m_optionPxMode, eventArg.Point.ValueX);
m_context.Log(msg, MessageType.Error, true);
continue;
}
if ((!posMan.UseVirtualPositions) && nodeInfo.Expired)
{
string msg = String.Format("[{0}] Security {1} is already expired. Expiry: {2}",
m_optionPxMode, nodeInfo.Symbol, nodeInfo.Security.SecurityDescription.ExpirationDate);
m_context.Log(msg, MessageType.Error, true);
continue;
}
ISecurity sec = (from s in m_context.Runtime.Securities
where (s.Symbol.Equals(nodeInfo.Symbol, StringComparison.InvariantCultureIgnoreCase)) &&
(String.IsNullOrWhiteSpace(nodeInfo.DSName) || (s.SecurityDescription.DSName == nodeInfo.DSName)) &&
(String.IsNullOrWhiteSpace(nodeInfo.FullName) || (s.SecurityDescription.FullName == nodeInfo.FullName))
select s).SingleOrDefault();
if (sec == null)
{
string msg = String.Format("[{0}] There is no security. Symbol: {1}", m_optionPxMode, nodeInfo.Symbol);
m_context.Log(msg, MessageType.Error, true);
continue;
}
double actualPx = nodeInfo.OptPx;
if (m_optionType != StrikeType.Any)
{
// Заменяю инструмент в соответствии с настройками кубика
switch (m_optionType)
{
case StrikeType.Put:
if (sec.SecurityDescription.ActiveType != DataSource.ActiveType.OptionPut)
{
var oldCall = sec;
sec = nodeInfo.Pair.Put.Security;
// Теперь еще нужно заменить ЦЕНУ. Проще всего это сделать через паритет.
// C - P = F - K ==> P = C + K - F
double putPx = nodeInfo.OptPx + nodeInfo.Strike - nodeInfo.F;
// Но не меньше 1 ш.ц.!
actualPx = Math.Max(putPx, sec.Tick);
string txt = String.Format(CultureInfo.InvariantCulture,
"[{0}] Symbol '{1}' has been replaced to '{2}' and changed price from {3} to {4}",
m_optionPxMode, nodeInfo.Symbol, sec.Symbol, nodeInfo.OptPx, actualPx);
m_context.Log(txt, MessageType.Warning, true);
}
break;
case StrikeType.Call:
if (sec.SecurityDescription.ActiveType != DataSource.ActiveType.OptionCall)
{
var oldPut = sec;
sec = nodeInfo.Pair.Call.Security;
// Теперь еще нужно заменить ЦЕНУ. Проще всего это сделать через паритет.
// C - P = F - K ==> C = P + F - K
double callPx = nodeInfo.OptPx + nodeInfo.F - nodeInfo.Strike;
// Но не меньше 1 ш.ц.!
actualPx = Math.Max(callPx, sec.Tick);
string txt = String.Format(CultureInfo.InvariantCulture,
"[{0}] Symbol '{1}' has been replaced to '{2}' and changed price from {3} to {4}",
m_optionPxMode, nodeInfo.Symbol, sec.Symbol, nodeInfo.OptPx, actualPx);
m_context.Log(txt, MessageType.Warning, true);
}
break;
}
}
int len = sec.Bars.Count;
// Валидирую наличие правильной котировки
if (sec.FinInfo != null)
{
Debug.WriteLine("AskPx: " + sec.FinInfo.Ask);
Debug.WriteLine("BidPx: " + sec.FinInfo.Bid);
}
recalc = true;
if ((m_optionPxMode == OptionPxMode.Ask) && (m_qty > 0) ||
(m_optionPxMode == OptionPxMode.Bid) && (m_qty < 0))
{
string signalName = "\r\nLeft-Click BUY \r\n" + eventArg.Point.Tooltip + "\r\n";
posMan.BuyAtPrice(m_context, sec, Math.Abs(m_qty), actualPx, signalName, null);
}
else if ((m_optionPxMode == OptionPxMode.Bid) && (m_qty > 0) ||
(m_optionPxMode == OptionPxMode.Ask) && (m_qty < 0))
{
string signalName = "\r\nLeft-Click SELL \r\n" + eventArg.Point.Tooltip + "\r\n";
posMan.SellAtPrice(m_context, sec, Math.Abs(m_qty), actualPx, signalName, null);
}
else if (m_optionPxMode == OptionPxMode.Mid)
{
string msg = String.Format("[{0}] OptionPxMode.Mid is not implemented.", m_optionPxMode);
m_context.Log(msg, MessageType.Warning, true);
}
else if (m_qty == 0)
{
string msg = String.Format("[{0}] Qty: {1}. Trading is blocked.", m_optionPxMode, m_qty);
m_context.Log(msg, MessageType.Warning, true);
}
}
catch (Exception ex)
{
string msg = String.Format("[{0}] {1} in RouteOnClickEvents. Message: {2}\r\n{3}",
m_optionPxMode, ex.GetType().FullName, ex.Message, ex);
m_context.Log(msg, MessageType.Warning, true);
}
}
if (recalc)
{
m_context.Recalc(RecalcReasons.ChartTrading, null);
}
}
/// <summary>
/// Метод под флаг TemplateTypes.SECURITY, чтобы подключаться к источнику-БА
/// </summary>
public IList <double> Execute(ISecurity sec)
{
if (sec == null)
{
// [{0}] Empty input (security is NULL).
string msg = RM.GetStringFormat("OptHandlerMsg.SecurityIsNull", GetType().Name);
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptyListDouble);
}
Dictionary <DateTime, double> hvSigmas = null;
int barLengthInSeconds = m_timeframe;
string cashKey = HV.GetGlobalCashKey(sec.Symbol, false, m_useAllData, barLengthInSeconds, m_annualizingMultiplier, m_period);
try
{
object globalObj = Context.LoadGlobalObject(cashKey, true);
hvSigmas = globalObj as Dictionary <DateTime, double>;
// 'Важный' объект
if (hvSigmas == null)
{
var container = globalObj as NotClearableContainer;
if ((container != null) && (container.Content != null))
{
hvSigmas = container.Content as Dictionary <DateTime, double>;
}
}
}
catch (NotSupportedException nse)
{
string fName = "", path = "";
if (nse.Data["fName"] != null)
{
fName = nse.Data["fName"].ToString();
}
if (nse.Data["path"] != null)
{
path = nse.Data["path"].ToString();
}
string msg = String.Format("[{0}.PrepareData] {1} when loading 'hvSigmas' from global cache. cashKey: {2}; Message: {3}\r\n\r\nfName: {4}; path: {5}\r\n\r\n{6}",
GetType().Name, nse.GetType().FullName, cashKey, nse.Message, fName, path, nse);
m_context.Log(msg, MessageType.Warning, true);
}
catch (Exception ex)
{
string msg = String.Format("[{0}.PrepareData] {1} when loading 'hvSigmas' from global cache. cashKey: {2}; Message: {3}\r\n\r\n{4}",
GetType().Name, ex.GetType().FullName, cashKey, ex.Message, ex);
m_context.Log(msg, MessageType.Warning, true);
}
if (hvSigmas == null)
{
// Данного ключа в глобальном кеше нет? Тогда выход.
// [{0}.PrepareData] There is no HV in global cache. Probably, you have to start agent 'HV (ALL)' for security '{1}'.
string msg = RM.GetStringFormat("OptHandlerMsg.GlobalHv.CacheNotFound", GetType().Name, sec);
if (m_context.Runtime.IsAgentMode)
{
throw new ScriptException(msg);
}
// А если в режиме лаборатории, тогда только жалуемся и продолжаем.
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptyListDouble);
}
List <double> res = new List <double>();
int len = sec.Bars.Count;
if (len <= 0)
{
return(res);
}
int oldResLen = res.Count;
double prevHv = Double.NaN;
for (int j = oldResLen; j < len; j++)
{
DateTime now = sec.Bars[j].Date;
double hv;
if ((hvSigmas.TryGetValue(now, out hv)) && (!Double.IsNaN(hv)) && (hv > 0))
{
prevHv = hv;
res.Add(hv);
}
else
{
if (m_repeatLastHv)
{
if (!Double.IsNaN(prevHv))
{
hv = prevHv;
}
else
{
hv = Constants.NaN;
if (j == 0)
{
#region Отдельно обрабатываю нулевой бар
double tmp = Double.NaN;
DateTime foundKey = new DateTime(1, 1, 1);
// [2016-02-02] Когда история становится слишком длинной, это может вызывать проблемы
// при итерировании в foreach. Потому что другой поток может в этот момент добавить новую точку в коллекцию.
int repeat = 7;
while (repeat > 0)
{
tmp = Double.NaN;
foundKey = new DateTime(1, 1, 1);
try
{
lock (hvSigmas)
{
foreach (var kvp in hvSigmas)
{
if (kvp.Key > now)
{
continue;
}
if (foundKey < kvp.Key)
{
foundKey = kvp.Key;
tmp = kvp.Value;
}
}
}
repeat = -100;
}
catch (InvalidOperationException invOpEx)
{
repeat--;
Thread.Sleep(10);
if (repeat <= 0)
{
string msg = String.Format("[{0}.Execute] {1} when iterate through 'hvSigmas'. cashKey: {2}; Message: {3}\r\n\r\n{4}",
GetType().Name, invOpEx.GetType().FullName, cashKey, invOpEx.Message, invOpEx);
m_context.Log(msg, MessageType.Warning, true);
throw;
}
}
}
if ((foundKey.Year > 1) && (!Double.IsNaN(tmp)) && (tmp > 0))
{
hv = tmp;
prevHv = hv;
}
#endregion Отдельно обрабатываю нулевой бар
}
}
res.Add(hv);
}
else
{
res.Add(Constants.NaN);
}
}
}
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);
}
private void InteractiveSplineOnClickEvent(object sender, InteractiveActionEventArgs eventArgs)
{
// [2016-03-01] PROD-2452: Запрещаю торговлю по узлу, если нет "подсветки"
{
InteractiveObject obj = eventArgs.InteractiveObject;
if ((obj == null) || (obj.Anchor == null) || (obj.ControlPoint1 == null) ||
(!(obj.Anchor is InteractivePointActive)) || (!(obj.ControlPoint1 is InteractivePointActive)))
{
string msg = String.Format("[{0}.ClickEvent] Denied #1", GetType().Name);
m_context.Log(msg, MessageType.Warning, false);
return;
}
var cp1 = (InteractivePointActive)obj.ControlPoint1;
// PROD-4967 - Необязательно проверять активность якоря.
// Потому что эта настройка делается на более позднем этапе в момент создания графического объекта
// методом smilePanePane.AddList("SmilePane_pane_TradeAsks_chart", <...>)
//var anchor = (InteractivePointActive)obj.Anchor;
//if ((anchor.IsActive == null) || (!anchor.IsActive.Value) ||
if ((cp1.IsActive == null) || (!cp1.IsActive.Value))
{
string msg = String.Format("[{0}.ClickEvent] Denied #3 (ControlPoint1 is not active)", GetType().Name);
m_context.Log(msg, MessageType.Warning, false);
return;
}
}
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (posMan.BlockTrading)
{
//string msg = String.Format("[{0}] Trading is blocked. Please, change 'Block Trading' parameter.", m_optionPxMode);
string msg = String.Format(RM.GetString("OptHandlerMsg.PositionsManager.TradingBlocked"), m_optionPxMode);
m_context.Log(msg, MessageType.Info, true);
return;
}
// Здесь нет проверки знака m_qty, потому что в данном кубике мы действительно можем и продавать и покупать
SmileNodeInfo nodeInfo = eventArgs.Point.Tag as SmileNodeInfo;
if (nodeInfo == null)
{
//string msg = String.Format("[{0}] There is no nodeInfo. Quote type: {1}; Strike: {2}",
string msg = RM.GetStringFormat(CultureInfo.InvariantCulture, "OptHandlerMsg.ThereIsNoNodeInfo",
m_context.Runtime.TradeName, m_optionPxMode, eventArgs.Point.ValueX);
m_context.Log(msg, MessageType.Error, true);
return;
}
{
string msg = String.Format(CultureInfo.InvariantCulture, "[{0}.ClickEvent] Strike: {1}; Security: {2}",
GetType().Name, eventArgs.Point.ValueX, nodeInfo.FullName);
m_context.Log(msg, MessageType.Info, false);
}
nodeInfo.ClickTime = DateTime.Now;
// [2015-10-02] Подписка на данный инструмент, чтобы он появился в коллекции Context.Runtime.Securities
ISecurity testSec = (from s in Context.Runtime.Securities
let secDesc = s.SecurityDescription
where secDesc.FullName.Equals(nodeInfo.FullName, StringComparison.InvariantCultureIgnoreCase) &&
secDesc.DSName.Equals(nodeInfo.DSName, StringComparison.InvariantCultureIgnoreCase) &&
secDesc.Name.Equals(nodeInfo.Symbol, StringComparison.InvariantCultureIgnoreCase)
select s).SingleOrDefault();
if (testSec == null)
{
ISecurity sec = nodeInfo.Security;
int bc = sec.Bars.Count;
string msg = String.Format("[{0}] There is security DsName: {1}; Symbol: {2}; Security: {3} with {4} bars available.",
m_optionPxMode, nodeInfo.DSName, nodeInfo.Symbol, nodeInfo.FullName, bc);
Context.Log(msg, MessageType.Info, false);
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = m_qty * sec.LotTick; // Здесь нет модуля, потому что направление сделки несет в себе знак Qty
nodeInfo.Qty = actQty;
}
else if ((nodeInfo.Pair != null) && (nodeInfo.Pair.Put != null))
{
// Аварийная ветка
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = m_qty * nodeInfo.Pair.Put.LotTick; // Здесь нет модуля, потому что направление сделки несет в себе знак Qty
nodeInfo.Qty = actQty;
}
else
{
// Аварийная ветка
// Не могу пересчитать целочисленный параметр Qty в фактические лоты конкретного инструмента!
//double actQty = Math.Abs(m_qty * nodeInfo.Pair.Put.LotTick);
nodeInfo.Qty = m_qty; // Здесь нет модуля, потому что направление сделки несет в себе знак Qty
string msg = String.Format(CultureInfo.InvariantCulture, "[{0}.ClickEvent] LotTick is set to 1.", GetType().Name);
m_context.Log(msg, MessageType.Warning, false);
}
// Передаю событие в PositionsManager дополнив его инфой о количестве лотов
posMan.InteractiveSplineOnClickEvent(m_context, sender, eventArgs);
}
public InteractiveSeries Execute(double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == 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 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 (smile == null)
{
string msg = String.Format("[{0}] Argument 'smile' must be filled with InteractiveSeries.", GetType().Name);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
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);
}
double futPx;
if (DoubleUtil.IsPositive(oldInfo.F))
{
futPx = oldInfo.F;
}
else
{
futPx = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Close;
}
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
if (m_countFutures)
{
ReadOnlyCollection <IPosition> futPositions = posMan.GetActiveForBar(optSer.UnderlyingAsset);
if (futPositions.Count > 0)
{
double futQty;
GetTotalQty(futPositions, out futQty);
if (!DoubleUtil.IsZero(futQty))
{
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive ip = new InteractivePointActive(0, futQty);
ip.IsActive = true;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = Colors.DarkOrange;
//// PROD-1194 - Цвет ячеек и фона
//if (futQty > 0)
// ip.BackColor = ScriptColors.Aquamarine;
//else if (futQty < 0)
// ip.BackColor = ScriptColors.LightSalmon;
//if (ip.BackColor != null)
// ip.ForeColor = ScriptColors.Black;
// TODO: Ждем решения PROD-6009
//// PROD-1194 - Цвет ячеек и фона -- фон красится по принципу "в деньгах или нет", шрифт -- по знаку
//if (futQty > 0)
// ip.ForeColor = ScriptColors.LightGreen;
//else if (futQty < 0)
// ip.ForeColor = ScriptColors.Red;
////if () // Фьючерс не красится!
//// ip.ForeColor = ScriptColors.Black;
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "Fut Qty:{0}", futQty);
controlPoints.Add(new InteractiveObject(ip));
}
}
}
for (int j = 0; j < pairs.Length; j++)
{
IOptionStrikePair pair = pairs[j];
double putQty, callQty;
GetPairQty(posMan, pair, out putQty, out callQty);
if ((!DoubleUtil.IsZero(putQty)) || (!DoubleUtil.IsZero(callQty)))
{
double y = 0;
Color? backCol = null;
switch (m_optionType)
{
case StrikeType.Put:
y = putQty;
backCol = (pair.Strike > futPx) ? ScriptColors.LightCyan : ScriptColors.LightYellow;
break;
case StrikeType.Call:
y = callQty;
backCol = (pair.Strike < futPx) ? ScriptColors.LightCyan : ScriptColors.LightYellow;
break;
case StrikeType.Any:
y = putQty + callQty;
break;
default:
throw new NotImplementedException("OptionType: " + m_optionType);
}
if (
(!DoubleUtil.IsZero(y)) ||
((m_optionType == StrikeType.Any) && ((!DoubleUtil.IsZero(putQty)) || (!DoubleUtil.IsZero(callQty))))) // Хотя вообще-то мы внутри if и второй блок проверок всегда true...
{
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive ip = new InteractivePointActive(pair.Strike, y);
ip.IsActive = true;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = Colors.DarkOrange;
//// PROD-1194 - Цвет ячеек и фона
//if (y > 0)
// ip.BackColor = ScriptColors.Aquamarine;
//else if (y < 0)
// ip.BackColor = ScriptColors.LightSalmon;
//if (ip.BackColor != null)
// ip.ForeColor = ScriptColors.Black;
// TODO: Ждем решения PROD-6009
//// PROD-1194 - Цвет ячеек и фона -- фон красится по принципу "в деньгах или нет", шрифт -- по знаку
//if (y > 0)
// ip.ForeColor = ScriptColors.LightGreen;
//else if (y < 0)
// ip.ForeColor = ScriptColors.Red;
////if (backCol != null)
//// ip.BackColor = backCol;
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "K:{0}; Qty:{1}", pair.Strike, y);
controlPoints.Add(new InteractiveObject(ip));
}
}
}
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь правильно делать new
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
SetHandlerInitialized(now);
return(res);
}
private void InteractiveSplineOnClickEvent(object sender, InteractiveActionEventArgs eventArgs)
{
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (posMan.BlockTrading)
{
//string msg = String.Format("[{0}] Trading is blocked. Please, change 'Block Trading' parameter.", MsgId);
string msg = RM.GetStringFormat("OptHandlerMsg.PositionsManager.TradingBlocked", MsgId);
m_context.Log(msg, MessageType.Warning, true);
return;
}
if (m_qty == 0)
{
//string msg = String.Format("[{0}] Trading is blocked for zero quantity. Qty: {1}", MsgId, qty);
string msg = RM.GetStringFormat("OptHandlerMsg.PositionsManager.TradingBlockedForZeroQty", MsgId, m_qty);
m_context.Log(msg, MessageType.Warning, true);
return;
}
else if (m_qty < 0)
{
// GLSP-252 - Запрет на совершение сделок при отрицательном Qty
//string msg = String.Format("[{0}] Trading is blocked for negative quantity. Qty: {1}", MsgId, qty);
string msg = RM.GetStringFormat("OptHandlerMsg.PositionsManager.TradingBlockedForNegativeQty", MsgId, m_qty);
m_context.Log(msg, MessageType.Warning, true);
return;
}
SmileNodeInfo nodeInfo = eventArgs.Point.Tag as SmileNodeInfo;
if (nodeInfo == null)
{
//string msg = String.Format("[{0}] There is no nodeInfo. Base asset price: {1}", MsgId);
string msg = RM.GetStringFormat(CultureInfo.InvariantCulture, "OptHandlerMsg.CurrentFutPx.ThereIsNoNodeInfo",
MsgId, eventArgs.Point.ValueX);
m_context.Log(msg, MessageType.Error, true);
return;
}
nodeInfo.ClickTime = DateTime.Now;
// [2015-10-02] Подписка на данный инструмент, чтобы он появился в коллекции Context.Runtime.Securities
ISecurity testSec = (from s in m_context.Runtime.Securities
let secDesc = s.SecurityDescription
where secDesc.FullName.Equals(nodeInfo.FullName, StringComparison.InvariantCultureIgnoreCase) &&
secDesc.DSName.Equals(nodeInfo.DSName, StringComparison.InvariantCultureIgnoreCase) &&
secDesc.Name.Equals(nodeInfo.Symbol, StringComparison.InvariantCultureIgnoreCase)
select s).SingleOrDefault();
if (testSec == null)
{
ISecurity sec = nodeInfo.Security;
int bc = sec.Bars.Count;
string msg = String.Format("[{0}] There is security DsName: {1}; Symbol: {2}; Security: {3} with {4} bars available.",
nodeInfo.PxMode, nodeInfo.DSName, nodeInfo.Symbol, nodeInfo.FullName, bc);
Context.Log(msg, MessageType.Info, false);
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = m_qty * sec.LotTick; // Здесь нет модуля, потому что направление сделки несет в себе знак Qty
nodeInfo.Qty = actQty;
}
else if ((nodeInfo.Security != null) && (nodeInfo.Security != null))
{
// Аварийная ветка
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = m_qty * nodeInfo.Security.LotTick; // Здесь нет модуля, потому что направление сделки несет в себе знак Qty
nodeInfo.Qty = actQty;
}
else
{
// Аварийная ветка
// Не могу пересчитать целочисленный параметр Qty в фактические лоты конкретного инструмента!
nodeInfo.Qty = m_qty; // Здесь нет модуля, потому что направление сделки несет в себе знак Qty
string msg = String.Format(CultureInfo.InvariantCulture, "[{0}.ClickEvent] LotTick is set to 1.", GetType().Name);
m_context.Log(msg, MessageType.Warning, false);
}
// Передаю событие в PositionsManager дополнив его инфой о количестве лотов
posMan.InteractiveSplineOnClickEvent(m_context, sender, eventArgs);
}
private IList <double> PrepareData(ISecurity sec, string expiryDate)
{
DateTime expiry;
if ((!DateTime.TryParseExact(expiryDate, IvOnF.DateFormat, CultureInfo.InvariantCulture,
DateTimeStyles.AssumeLocal, out expiry)) &&
(!DateTime.TryParseExact(expiryDate, IvOnF.DateFormat + " HH:mm", CultureInfo.InvariantCulture,
DateTimeStyles.AssumeLocal, out expiry)))
{
string msg = String.Format("[{0}.{1}.PrepareData] Unable to parse expiration date '{2}'. Expected date format '{3}'.",
Context.Runtime.TradeName, GetType().Name, expiryDate, IvOnF.DateFormat);
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptyListDouble);
}
//// и тут я понял, что дату экспирации в любом случае надо задавать руками...
//string cashKey = typeof(IvOnF).Name + "_ivExchangeSigmas_" + sec.Symbol + "_" +
// expiryDate.Replace(':', '-');
string cashKey = IvOnF.GetCashKey(sec.Symbol, expiry, m_rescaleTime, m_tRemainMode);
Dictionary <DateTime, double> ivSigmas = null;
try
{
object globalObj = Context.LoadGlobalObject(cashKey, true);
ivSigmas = globalObj as Dictionary <DateTime, double>;
// PROD-3970 - 'Важный' объект
if (ivSigmas == null)
{
var container = globalObj as NotClearableContainer;
if ((container != null) && (container.Content != null))
{
ivSigmas = container.Content as Dictionary <DateTime, double>;
}
}
}
catch (NotSupportedException nse)
{
string fName = "", path = "";
if (nse.Data["fName"] != null)
{
fName = nse.Data["fName"].ToString();
}
if (nse.Data["path"] != null)
{
path = nse.Data["path"].ToString();
}
string msg = String.Format("[{0}.PrepareData] {1} when loading 'ivSigmas' from global cache. cashKey: {2}; Message: {3}\r\n\r\nfName: {4}; path: {5}\r\n\r\n{6}",
GetType().Name, nse.GetType().FullName, cashKey, nse.Message, fName, path, nse);
m_context.Log(msg, MessageType.Warning, true);
}
catch (Exception ex)
{
string msg = String.Format("[{0}.PrepareData] {1} when loading 'ivSigmas' from global cache. cashKey: {2}; Message: {3}\r\n\r\n{4}",
GetType().Name, ex.GetType().FullName, cashKey, ex.Message, ex);
m_context.Log(msg, MessageType.Warning, true);
}
if (ivSigmas == null)
{
// Данного ключа в глобальном кеше нет? Тогда выход.
// [{0}.PrepareData] There is no IV in global cache. Probably, you have to start agent 'Collect IV (ALL)' for security '{1}'.
string msg = RM.GetStringFormat("OptHandlerMsg.GlobalIvOnF.CacheNotFound", GetType().Name, expiryDate, sec);
if (m_context.Runtime.IsAgentMode && (!m_ignoreCacheError))
{
throw new ScriptException(msg); // PROD-4624 - Андрей велит кидать исключение.
}
bool isExpired = true;
if (m_context.Runtime.IsAgentMode)
{
int amount = sec.Bars.Count;
DateTime today = (amount > 0) ? sec.Bars[amount - 1].Date : new DateTime();
isExpired = expiry.Date.AddDays(1) < today.Date;
}
// А если в режиме лаборатории, тогда только жалуемся и продолжаем.
m_context.Log(msg, MessageType.Warning, !isExpired); // Если серия уже умерла, пишем только в локальный лог
return(Constants.EmptyListDouble);
}
List <double> res = new List <double>();
int len = sec.Bars.Count;
if (len <= 0)
{
return(res);
}
int oldResLen = res.Count;
double prevIv = Double.NaN;
for (int j = oldResLen; j < len; j++)
{
DateTime now = sec.Bars[j].Date;
double iv;
if (ivSigmas.TryGetValue(now, out iv) && (!Double.IsNaN(iv)) && (iv > 0))
{
prevIv = iv;
res.Add(iv);
}
else
{
if (m_repeatLastIv)
{
if (!Double.IsNaN(prevIv))
{
iv = prevIv;
}
else
{
iv = Constants.NaN;
if (j == 0)
{
#region Отдельно обрабатываю нулевой бар
double tmp = Double.NaN;
DateTime foundKey = new DateTime(1, 1, 1);
// [2016-01-19] Когда история становится слишком длинной, это может вызывать проблемы
// при итерировании в foreach. Потому что другой поток может в этот момент добавить новую точку в коллекцию.
int repeat = 7;
while (repeat > 0)
{
tmp = Double.NaN;
foundKey = new DateTime(1, 1, 1);
try
{
lock (ivSigmas)
{
foreach (var kvp in ivSigmas)
{
if (kvp.Key > now)
{
continue;
}
if (foundKey < kvp.Key)
{
foundKey = kvp.Key;
tmp = kvp.Value;
}
}
}
repeat = -100;
}
catch (InvalidOperationException invOpEx)
{
repeat--;
Thread.Sleep(10);
if (repeat <= 0)
{
string msg = String.Format("[{0}.PrepareData] {1} when iterate through 'ivSigmas'. cashKey: {2}; Message: {3}\r\n\r\n{4}",
GetType().Name, invOpEx.GetType().FullName, cashKey, invOpEx.Message, invOpEx);
m_context.Log(msg, MessageType.Warning, true);
throw;
}
}
}
if ((foundKey.Year > 1) && (!Double.IsNaN(tmp)) && (tmp > 0))
{
iv = tmp;
prevIv = iv;
}
#endregion Отдельно обрабатываю нулевой бар
}
}
res.Add(iv);
}
else
{
res.Add(Constants.NaN);
}
}
}
return(res);
}
public InteractiveSeries Execute(double price, double time, 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);
}
double futPx = price;
double dT = time;
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 (!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);
}
// TODO: Нужно ли писать отдельный код для лаборатории? Чтобы показывать позиции из симуляции?
// if (!Context.Runtime.IsAgentMode)
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
var allRealtimeSecs = Context.Runtime.Securities;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
for (int j = 0; j < pairs.Length; j++)
{
IOptionStrikePair pair = pairs[j];
#region Process put
{
var put = pair.Put.Security;
// TODO: Нужно ли тут проверить наличие позиций???
//if (put.Positions.HavePositions)
ISecurityRt secRt;
if (put is ISecurityRt)
{
secRt = (ISecurityRt)put;
}
else
{
secRt = (from s in allRealtimeSecs
where s.SecurityDescription.Equals(put) && (s is ISecurityRt)
select(ISecurityRt) s).SingleOrDefault();
}
if ((secRt != null) && secRt.HasActiveOrders)
{
//secRt.SecurityDescription.TradePlace.DataSource
// ОТЛИЧНО! Эта коллекция позволит мне нарисовать свои заявки (это коллекция реальных заявок агента из таблицы My Orders)
var orders = secRt.Orders.ToList();
foreach (IOrder ord in orders)
{
if (!ord.IsActive)
{
continue;
}
// Объект ord является RealtimeOrder. Его идентификатор совпадает с OrderNumber в таблице MyOrders
if ((m_showLongOrders && ord.IsBuy) ||
((!m_showLongOrders) && (!ord.IsBuy)))
{
// Почему-то InteractivePointLight хоть и давал себя настроить, но не отображался толком.
double sigma = FinMath.GetOptionSigma(futPx, pair.Strike, dT, ord.Price, riskFreeRatePct, false);
var ip = new InteractivePointActive(pair.Strike, sigma);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture,
" F: {0}\r\n K: {1}; IV: {2:P2}\r\n {3} px {4} qty {5}",
futPx, pair.Strike, sigma, pair.Put.StrikeType, ord.Price, ord.RestQuantity);
controlPoints.Add(new InteractiveObject(ip));
}
}
}
}
#endregion Process put
#region Process call
{
var call = pair.Call.Security;
// TODO: Нужно ли тут проверить наличие позиций???
//if (call.Positions.HavePositions)
ISecurityRt secRt;
if (call is ISecurityRt)
{
secRt = (ISecurityRt)call;
}
else
{
secRt = (from s in allRealtimeSecs
where s.SecurityDescription.Equals(call) && (s is ISecurityRt)
select(ISecurityRt) s).SingleOrDefault();
}
if ((secRt != null) && secRt.HasActiveOrders)
{
// ОТЛИЧНО! Эта коллекция позволит мне нарисовать свои заявки (это коллекция реальных заявок агента из таблицы My Orders)
var orders = secRt.Orders.ToList();
foreach (IOrder ord in orders)
{
if (!ord.IsActive)
{
continue;
}
// Объект ord является RealtimeOrder. Его идентификатор совпадает с OrderNumber в таблице MyOrders
if ((m_showLongOrders && ord.IsBuy) ||
((!m_showLongOrders) && (!ord.IsBuy)))
{
// Почему-то InteractivePointLight хоть и давал себя настроить, но не отображался толком.
double sigma = FinMath.GetOptionSigma(futPx, pair.Strike, dT, ord.Price, riskFreeRatePct, true);
var ip = new InteractivePointActive(pair.Strike, sigma);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture,
" F: {0}\r\n K: {1}; IV: {2:P2}\r\n {3} px {4} qty {5}",
futPx, pair.Strike, sigma, pair.Call.StrikeType, ord.Price, ord.RestQuantity);
controlPoints.Add(new InteractiveObject(ip));
}
}
}
}
#endregion Process call
} // End for (int j = 0; j < pairs.Length; j++)
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
return(res);
}
public InteractiveSeries Execute(double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
//double F = prices[prices.Count - 1];
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 (smile == null)
{
string msg = String.Format("[{0}] Argument 'smile' must be filled with InteractiveSeries.", GetType().Name);
m_context.Log(msg, MessageType.Error, true);
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);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
double f = m_minStrike;
List <double> xs = new List <double>();
List <double> ys = new List <double>();
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
while (f <= m_maxStrike)
{
double rawDelta;
GetBaseDelta(posMan, optSer.UnderlyingAsset, optSer.UnderlyingAsset.Bars.Count - 1, f, out rawDelta);
for (int j = 0; j < pairs.Length; j++)
{
IOptionStrikePair pair = pairs[j];
double totalDelta;
//double putDelta = FinMath.GetOptionDelta(f, pair.Strike, dT, sigma.Value, 0, false);
GetPairDelta(posMan, smile, pair, f, dT, out totalDelta);
rawDelta += totalDelta;
}
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = AlphaColors.Green;
double y = rawDelta;
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; D:{1}", f, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
ys.Add(y);
f += m_strikeStep;
}
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.RiskFreeRate = oldInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
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);
}
public InteractiveSeries Execute(double price, double time, IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
double f = 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);
m_context.Log(msg, MessageType.Error, true);
return(Constants.EmptySeries);
}
if (Double.IsNaN(f) || (f < Double.Epsilon))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, f);
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 smileFunc = new SmileFunction3(m_ivAtm, m_shift, m_depth, f, dT);
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("[WARNING:{0}] optSer must contain few strike pairs. pairs.Length:{1}", GetType().Name, pairs.Length);
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptySeries);
}
double minK = pairs[0].Strike;
double dK = pairs[1].Strike - pairs[0].Strike;
// Generate left invisible tail
if (m_generateTails)
{
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 < m_minStrike) || (m_maxStrike < pair.Strike))
{
showPoint = false;
}
double k = pair.Strike;
double sigma = smileFunc.Value(k);
double vol = sigma;
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 <= f) // Puts
{
FillNodeInfo(ip, f, dT, pair, StrikeType.Put, OptionPxMode.Mid, sigma, false, m_isVisiblePoints);
}
else // Calls
{
FillNodeInfo(ip, f, dT, pair, StrikeType.Call, OptionPxMode.Mid, sigma, false, m_isVisiblePoints);
}
}
InteractiveObject obj = new InteractiveObject(ip);
if (showPoint)
{
controlPoints.Add(obj);
}
xs.Add(k);
ys.Add(vol);
}
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
double maxK = pairs[pairs.Length - 1].Strike;
// Generate right invisible tail
if (m_generateTails)
{
AppendRightTail(smileFunc, xs, ys, maxK, dK, false);
}
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo info = new SmileInfo();
info.F = f;
info.dT = dT;
info.RiskFreeRate = 0;
info.ContinuousFunction = smileFunc;
info.ContinuousFunctionD1 = smileFunc.DeriveD1();
res.Tag = info;
return(res);
}
private void InteractiveSplineOnQuoteIvEvent(object sender, InteractiveActionEventArgs eventArgs)
{
OptionPxMode pxMode = (m_qty > 0) ? OptionPxMode.Ask : OptionPxMode.Bid;
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (posMan.BlockTrading)
{
//string msg = String.Format("[{0}] Trading is blocked. Please, change 'Block Trading' parameter.", m_optionPxMode);
string msg = RM.GetStringFormat("OptHandlerMsg.PositionsManager.TradingBlocked", pxMode);
m_context.Log(msg, MessageType.Info, true);
return;
}
InteractivePointActive tmp = eventArgs.Point;
if ((tmp == null) || (tmp.IsActive == null) || (!tmp.IsActive.Value) ||
DoubleUtil.IsZero(m_qty))
{
//string msg = String.Format("[{0}] Unable to get direction of the order. Qty:{1}", pxMode, m_qty);
string msg = RM.GetStringFormat("OptHandlerMsg.PositionsManager.UndefinedOrderDirection", pxMode, m_qty);
m_context.Log(msg, MessageType.Error, true);
return;
}
SmileNodeInfo nodeInfo = tmp.Tag as SmileNodeInfo;
if (nodeInfo == null)
{
//string msg = String.Format("[{0}] There is no nodeInfo. Quote type: {1}; Strike: {2}", pxMode);
string msg = RM.GetStringFormat(CultureInfo.InvariantCulture, "OptHandlerMsg.ThereIsNoNodeInfo",
m_context.Runtime.TradeName, pxMode, eventArgs.Point.ValueX);
m_context.Log(msg, MessageType.Error, true);
return;
}
{
string msg = String.Format(CultureInfo.InvariantCulture, "[{0}.ClickEvent] Strike: {1}", GetType().Name, tmp.ValueX);
m_context.Log(msg, MessageType.Info, false);
}
nodeInfo.OptPx = m_shiftIv;
nodeInfo.ShiftOptPx = m_shiftPriceStep;
nodeInfo.ClickTime = DateTime.Now;
nodeInfo.PxMode = pxMode;
// [2015-10-02] Подписка на данный инструмент, чтобы он появился в коллекции Context.Runtime.Securities
var candids = (from s in Context.Runtime.Securities
where s.SecurityDescription.Name.Equals(nodeInfo.Symbol, StringComparison.InvariantCultureIgnoreCase)
select s).ToList();
candids = (from s in candids
where s.SecurityDescription.DSName.Equals(nodeInfo.DSName, StringComparison.InvariantCultureIgnoreCase)
select s).ToList();
ISecurity testSec = (from s in candids
let secDesc = s.SecurityDescription
where secDesc.FullName.Equals(nodeInfo.FullName, StringComparison.InvariantCultureIgnoreCase)
select s).SingleOrDefault();
if ((testSec == null) && (nodeInfo.Security != null))
{
ISecurity sec = nodeInfo.Security;
int bc = sec.Bars.Count;
string msg = String.Format("[{0}] There is security DsName: {1}; Symbol: {2}; Security: {3} with {4} bars available.",
pxMode, nodeInfo.DSName, nodeInfo.Symbol, nodeInfo.FullName, bc);
Context.Log(msg, MessageType.Info, false);
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = Math.Abs(m_qty * sec.LotTick); // Модуль, потому что тут направление передается через PxMode
nodeInfo.Qty = actQty;
}
else if ((nodeInfo.Pair != null) && (nodeInfo.Pair.Put != null))
{
// Аварийная ветка
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = Math.Abs(m_qty * nodeInfo.Pair.Put.LotTick); // Модуль, потому что тут направление передается через PxMode
nodeInfo.Qty = actQty;
}
else
{
// Аварийная ветка
// Не могу пересчитать целочисленный параметр Qty в фактические лоты конкретного инструмента!
//double actQty = Math.Abs(m_qty * nodeInfo.Pair.Put.LotTick);
nodeInfo.Qty = Math.Abs(m_qty); // Модуль, потому что тут направление передается через PxMode
string msg = String.Format(CultureInfo.InvariantCulture, "[{0}.ClickEvent] LotTick will be set to 1.", GetType().Name);
m_context.Log(msg, MessageType.Warning, false);
}
// Не страшно, если сюда пойдет null - posMan потом сам найдет нужный опцион
nodeInfo.Security = testSec;
// Передаю событие в PositionsManager
//posMan.InteractiveSplineOnClickEvent(m_context, sender, eventArgs);
posMan.InteractiveSplineOnQuoteIvEvent(m_context, sender, eventArgs);
}
public InteractiveSeries Execute(double time, InteractiveSeries smile, IOptionSeries optSer, double btcUsdIndex, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (smile == null) || (optSer == 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 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(btcUsdIndex))
{
// TODO: сделать ресурс! [{0}] Price of BTC/USD must be positive value. scaleMult:{1}
//string msg = RM.GetStringFormat("OptHandlerMsg.CurrencyScaleMustBePositive", GetType().Name, scaleMult);
string msg = String.Format("[{0}] Price of BTC/USD must be positive value. scaleMult:{1}", GetType().Name, btcUsdIndex);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
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);
}
double futPx = oldInfo.F;
double ivAtm;
if (!oldInfo.ContinuousFunction.TryGetValue(futPx, out ivAtm))
{
string msg = String.Format("[{0}] Unable to get IV ATM from smile. Tag:{1}", GetType().Name, smile.Tag);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.EmptySeries);
}
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);
}
List <double> xs = new List <double>();
List <double> ys = new List <double>();
double futStep = optSer.UnderlyingAsset.Tick;
PositionsManager posMan = PositionsManager.GetManager(m_context);
ReadOnlyCollection <IPosition> basePositions = posMan.GetClosedOrActiveForBar(optSer.UnderlyingAsset);
var optPositions = SingleSeriesProfile.GetAllOptionPositions(posMan, pairs);
SortedDictionary <double, IOptionStrikePair> futPrices;
if (!SmileImitation5.TryPrepareImportantPoints(pairs, futPx, futStep, -1, out futPrices))
{
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);
}
// Чтобы учесть базис между фьючерсом и индексом, вычисляю их отношение:
// Пример: BtcInd==9023; FutPx==8937 --> indexDivByFutRatio == 1.009623
double indexDivByFutRatio = btcUsdIndex / futPx;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
// Список точек для вычисления дельт + улыбки для этих точек
var deltaPoints = new List <Tuple <double, InteractivePointActive> >();
foreach (var kvp in futPrices)
{
// Если у нас новая цена фьючерса, значит, будет новая цена индекса
double f = kvp.Key;
// И при пересчете опционов в баксы НУЖНО ИСПОЛЬЗОВАТЬ ИМЕННО ЕЁ!!!
double newScaleMult = f * indexDivByFutRatio;
bool tradableStrike = (kvp.Value != null);
CashPnlUsd cashPnlUsd;
CashPnlBtc cashPnlBtc;
GetBasePnl(basePositions, lastBarIndex, f, m_futNominal, out cashPnlUsd, out cashPnlBtc);
double cashDollars = cashPnlUsd.CashUsd;
double pnlDollars = cashPnlUsd.PnlUsd;
double cashBtc = cashPnlBtc.CashBtc;
double pnlBtc = cashPnlBtc.PnlBtc;
SmileInfo actualSmile = SingleSeriesProfile.GetActualSmile(oldInfo, m_greekAlgo, f);
// Флаг того, что ПНЛ по всем инструментам был расчитан верно
bool pnlIsCorrect = true;
for (int j = 0; (j < pairs.Length) && pnlIsCorrect; j++)
{
var tuple = optPositions[j];
IOptionStrikePair pair = pairs[j];
//int putBarCount = pair.Put.UnderlyingAsset.Bars.Count;
//int callBarCount = pair.Call.UnderlyingAsset.Bars.Count;
CashPnlUsd pairCashUsd;
CashPnlBtc pairCashBtc;
bool localRes = TryGetPairPnl(actualSmile, pair.Strike, lastBarIndex, lastBarIndex,
tuple.Item1, tuple.Item2, f, dT, newScaleMult,
out pairCashUsd, out pairCashBtc);
pnlIsCorrect &= localRes;
cashDollars += pairCashUsd.CashUsd;
pnlDollars += pairCashUsd.PnlUsd;
cashBtc += pairCashBtc.CashBtc;
pnlBtc += pairCashBtc.PnlBtc;
}
// Профиль позиции будет рисоваться только если ПНЛ был посчитан верно по ВСЕМ инструментам!
if (pnlIsCorrect)
{
InteractivePointLight ip;
// Показаны будут только узлы, совпадающие с реальными страйками.
// Потенциально это позволит сделать эти узлы пригодными для торговли по клику наподобие улыбки.
if (m_showNodes && tradableStrike)
{
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive tmp = new InteractivePointActive();
tmp.IsActive = m_showNodes && tradableStrike;
string pnlUsdStr = (cashDollars + pnlDollars).ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
string pnlBtcStr = (cashBtc + pnlBtc).ToString(DefaultBtcTooltipFormat, CultureInfo.InvariantCulture);
tmp.Tooltip = String.Format(CultureInfo.InvariantCulture, " F: {0}\r\n PnL($): {1}\r\n PnL(B): {2}", f, pnlUsdStr, pnlBtcStr);
// Если у нас получился сплайн по профилю позиции, значит мы можем вычислить дельту!
if (m_showNodes && tradableStrike)
{
// Готовим важные точки
var tuple = new Tuple <double, InteractivePointActive>(f, tmp);
deltaPoints.Add(tuple);
}
ip = tmp;
}
else
{
ip = new InteractivePointLight();
}
// PROD-6103 - Выводить профиль позиции в биткойнах
if (ProfileAsBtc)
{
ip.Value = new Point(f, cashBtc + pnlBtc);
}
else
{
ip.Value = new Point(f, cashDollars + pnlDollars);
}
controlPoints.Add(new InteractiveObject(ip));
xs.Add(f);
// PROD-6103 - Выводить профиль позиции в биткойнах
if (ProfileAsBtc)
{
ys.Add(cashBtc + pnlBtc);
}
else
{
ys.Add(cashDollars + pnlDollars);
}
} // End if (pnlIsCorrect)
} // End foreach (var kvp in futPrices)
// ReSharper disable once UseObjectOrCollectionInitializer
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.RiskFreeRate = oldInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
// Если у нас получился сплайн по профилю позиции, значит мы можем вычислить дельту!
for (int j = 1; j < deltaPoints.Count - 1; j++)
{
var tuple = deltaPoints[j];
double f = tuple.Item1;
var ip = tuple.Item2;
double actualDelta, deltaLeft, deltaRight;
if (m_twoSideDelta)
{
double prevF = deltaPoints[j - 1].Item1;
double nextF = deltaPoints[j + 1].Item1;
double currY = deltaPoints[j].Item2.ValueY;
double prevY = deltaPoints[j - 1].Item2.ValueY;
double nextY = deltaPoints[j + 1].Item2.ValueY;
deltaLeft = (currY - prevY) / (f - prevF);
deltaRight = (nextY - currY) / (nextF - f);
// Считаем дельты слева и справа
// Мы передвинули улыбку в точку f и считаем дельту позиции В ЭТОЙ ЖЕ ТОЧКЕ(!)
//if (info.ContinuousFunction.TryGetValue(f - 100 * futStep, out deltaLeft) &&
// info.ContinuousFunctionD1.TryGetValue(f + 100 * futStep, out deltaRight))
{
// Первый пробел уже учтен в Tooltip
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "{0}\r\n LeftD: {1:0.0}; RightD: {2:0.0}",
ip.Tooltip, deltaLeft, deltaRight);
}
}
else
{
// Мы передвинули улыбку в точку f и считаем дельту позиции В ЭТОЙ ЖЕ ТОЧКЕ(!)
if (info.ContinuousFunctionD1.TryGetValue(f, out actualDelta))
{
// Первый пробел уже учтен в Tooltip
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "{0}\r\n D: {1:0.0}", ip.Tooltip, actualDelta);
}
}
}
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
SetHandlerInitialized(now, true);
return(res);
}
/// <summary>
/// Общая реализация потоковой обработки для всех типов входных аргументов
/// </summary>
private IList <double> ExecuteStream(ISecurity sec, string symbolKey)
{
if ((sec == null) || String.IsNullOrWhiteSpace(symbolKey))
{
return(Constants.EmptyListDouble);
}
// Здесь используется имя агента-источника-данных из свойства AgentName.
// Это _НЕ_ имя агента, внутри которого мы сейчас находимся!
string tradeName = AgentName.Replace(Constants.HtmlDot, ".");
if (String.IsNullOrWhiteSpace(ValuesName))
{
string msg = String.Format("[{0}:{1}] ValuesName is null or empty. Please, provide unique series name. ValuesName: '{2}'",
tradeName, GetType().Name, ValuesName ?? "NULL");
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptyListDouble);
}
string symbol = String.IsNullOrWhiteSpace(OverrideSymbol) ? symbolKey : OverrideSymbol;
string cashKey = SaveToGlobalCache.GetGlobalCashKey(tradeName, ValuesName, symbol);
if (String.IsNullOrWhiteSpace(cashKey))
{
string msg = String.Format("[{0}:{1}] cashKey is null or empty. cashKey: '{2}'",
tradeName, GetType().Name, cashKey ?? "NULL");
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptyListDouble);
}
// Проверяю наличие в Глобальном Кеше объекта с указанным именем
object testObj = m_context.LoadGlobalObject(cashKey);
var testDict = testObj as Dictionary <DateTime, double>;
if (testDict == null)
{
var container = testObj as NotClearableContainer;
if ((container != null) && (container.Content != null))
{
testDict = container.Content as Dictionary <DateTime, double>;
}
}
if ((testObj == null) || (testDict == null))
{
// Данного ключа в глобальном кеше нет? Тогда выход.
// [{0}] There is no value in global cache. Probably, you have to start agent '{1}' for security '{2}' to collect values '{3}'.
string msg = RM.GetStringFormat("OptHandlerMsg.LoadFromGlobalCache.CacheNotFound", GetType().Name, tradeName, symbol, ValuesName);
if (m_context.Runtime.IsAgentMode)
{
throw new ScriptException(msg); // PROD-4624 - Андрей велит кидать исключение.
}
// А если в режиме лаборатории, тогда только жалуемся и продолжаем.
m_context.Log(msg, MessageType.Warning, true);
return(Constants.EmptyListDouble);
}
// По факту передаю управление в метод CommonExecute
IList <double> updatedValues = CommonStreamExecute(m_variableId + "_" + cashKey, cashKey,
sec, RepeatLastValue, true, true, EmptyArrays.Object);
//if (basePrices.Count > 0)
//{
// double px = basePrices[basePrices.Count - 1];
// double displayValue = FixedValue.ConvertToDisplayUnits(m_valueMode, px);
// m_displayPrice.Value = displayValue;
//}
return(new ReadOnlyCollection <double>(updatedValues));
}
public double Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.NaN);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double f = 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.NaN);
}
if (!DoubleUtil.IsPositive(f))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, f);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, true);
}
return(Constants.NaN);
}
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, true);
}
return(Constants.NaN);
}
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, true);
}
return(Constants.NaN);
}
double rawDelta, res;
double dF = optSer.UnderlyingAsset.Tick;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (SingleSeriesNumericalDelta.TryEstimateDelta(posMan, optSer, pairs, smile, m_greekAlgo, f, dF, dT, out rawDelta))
{
res = rawDelta;
}
else
{
res = Constants.NaN;
}
SmileInfo sInfo = smile.GetTag <SmileInfo>();
if ((sInfo != null) && (sInfo.ContinuousFunction != null))
{
double iv = sInfo.ContinuousFunction.Value(sInfo.F);
string msg = String.Format("[{0}] F:{1}; dT:{2}; smile.F:{3}; smile.dT:{4}; smile.IV:{5}",
GetType().Name, f, dT, sInfo.F, sInfo.dT, iv);
m_context.Log(msg, MessageType.Info, false);
}
m_delta.Value = res;
//context.Log(String.Format("[{0}] Delta: {1}; rawDelta:{2}", MsgId, delta.Value, rawDelta), logColor, true);
if (m_hedgeDelta)
{
#region Hedge logic
try
{
int rounded = Math.Sign(rawDelta) * ((int)Math.Floor(Math.Abs(rawDelta)));
if (rounded == 0)
{
string msg = String.Format("[{0}] Delta is too low to hedge. Delta: {1}", MsgId, rawDelta);
m_context.Log(msg, MessageType.Info, true);
}
else
{
int len = optSer.UnderlyingAsset.Bars.Count;
ISecurity sec = (from s in m_context.Runtime.Securities
where (s.SecurityDescription.Equals(optSer.UnderlyingAsset.SecurityDescription))
select s).SingleOrDefault();
if (sec == null)
{
string msg = String.Format("[{0}] There is no security. Symbol: {1}", MsgId, optSer.UnderlyingAsset.Symbol);
m_context.Log(msg, MessageType.Warning, true);
}
else
{
if (rounded < 0)
{
string signalName = String.Format("\r\nDelta BUY\r\nF:{0}; dT:{1}; Delta:{2}\r\n", f, dT, rawDelta);
m_context.Log(signalName, MessageType.Warning, true);
posMan.BuyAtPrice(m_context, sec, Math.Abs(rounded), f, signalName, null);
}
else if (rounded > 0)
{
string signalName = String.Format("\r\nDelta SELL\r\nF:{0}; dT:{1}; Delta:+{2}\r\n", f, dT, rawDelta);
m_context.Log(signalName, MessageType.Warning, true);
posMan.SellAtPrice(m_context, sec, Math.Abs(rounded), f, signalName, null);
}
}
}
}
finally
{
m_hedgeDelta = false;
}
#endregion Hedge logic
}
SetHandlerInitialized(now);
return(res);
}
public InteractiveSeries Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == 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, false);
}
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, false);
}
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);
}
if (m_optionType == StrikeType.Any)
{
string msg = String.Format("[{0}] OptionType '{1}' is not supported.", GetType().Name, m_optionType);
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);
}
bool isCall = m_optionType == StrikeType.Call;
double putQty = isCall ? 0 : m_fixedQty;
double callQty = isCall ? m_fixedQty : 0;
double riskFreeRate = 0;
List <double> xs = new List <double>();
List <double> ys = new List <double>();
var smilePoints = smile.ControlPoints;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (IOptionStrikePair pair in pairs)
{
double rawTheta;
if (TryEstimateTheta(putQty, callQty, optSer, pair, smile, m_greekAlgo, futPx, dT, m_tStep, riskFreeRate, out rawTheta))
{
// Переводим тету в дифференциал 'изменение цены за 1 сутки'.
rawTheta /= OptionUtils.DaysInYear;
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = m_showNodes;
//ip.DragableMode = DragableMode.None;
//ip.Geometry = Geometries.Rect;
//ip.Color = System.Windows.Media.Colors.Green;
double y = rawTheta;
ip.Value = new Point(pair.Strike, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format("K:{0}; Th:{1}", pair.Strike, yStr);
controlPoints.Add(new InteractiveObject(ip));
xs.Add(pair.Strike);
ys.Add(y);
}
}
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
try
{
if (xs.Count >= BaseCubicSpline.MinNumberOfNodes)
{
SmileInfo info = new SmileInfo();
info.F = oldInfo.F;
info.dT = oldInfo.dT;
info.RiskFreeRate = oldInfo.RiskFreeRate;
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
res.Tag = info;
}
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
SetHandlerInitialized(now);
return(res);
}
public double Execute(double price, double time, InteractiveSeries smile, IOptionSeries optSer, int barNum)
{
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(Constants.NaN);
}
if ((smile == null) || (optSer == null))
{
return(Constants.NaN);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
double f = 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, false);
}
return(Constants.NaN);
}
if (!DoubleUtil.IsPositive(f))
{
// [{0}] Base asset price must be positive value. F:{1}
string msg = RM.GetStringFormat("OptHandlerMsg.FutPxMustBePositive", GetType().Name, f);
if (wasInitialized)
{
m_context.Log(msg, MessageType.Error, false);
}
return(Constants.NaN);
}
double rawVega, res;
IOptionStrikePair[] pairs = optSer.GetStrikePairs().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (SingleSeriesNumericalVega.TryEstimateVomma(posMan, optSer, pairs, smile, m_greekAlgo, f, m_sigmaStep, dT, out rawVega))
{
// Переводим вомму в дифференциал 'изменение цены за 1% волы'.
// В знаменателе стоит dSigma^2, поэтому и делить нужно 2 раза на 100%.
rawVega /= (Constants.PctMult * Constants.PctMult);
res = rawVega;
}
else
{
res = Constants.NaN;
}
m_vomma.Value = res;
//context.Log(String.Format("[{0}] Delta: {1}; rawDelta:{2}", MsgId, delta.Value, rawDelta), logColor, true);
SetHandlerInitialized(now);
return(res);
}
