public static TWMarketInfos MarketInfo(List <string> symbols)
{
string symbolString = "";
foreach (string sym in symbols)
{
symbolString += sym + ",";
}
symbolString = symbolString.TrimEnd(',');
SetHeaders(Token);
string reply = Web.DownloadString("https://api.tastyworks.com/market-metrics?symbols=" + symbolString);
JObject package = JObject.Parse(reply);
TWMarketInfos returnList = new TWMarketInfos();
List <JToken> list = package["data"]["items"].Children().ToList();
foreach (JToken item in list)
{
TWMarketInfo info = new TWMarketInfo();
info.Symbol = item["symbol"].ToString();
info.ImpliedVolatility = Convert.ToDouble(item["implied-volatility-index"]);
info.ImpliedVolatilityRank = Convert.ToDouble(item["implied-volatility-index-rank"]);
info.DividendYield = Convert.ToDouble(item["dividend-yield"]);
returnList.Add(info.Symbol, info);
}
return((returnList.Count > 0) ? returnList : null);
}
private void RetrieveCurrentData(TransactionGroup grp)
{
decimal currentValue = 0;
decimal previousCloseValue = 0;
try
{
// retrieve and cache current data from tastyworks for this a subsequent passes
if (twpositions == null)
{
if (TastyWorks.ActiveSession())
{
List <string> symbols = new List <string>();
twpositions = new Dictionary <string, TWPositions>();
foreach (Account a in accounts)
{
if (a.Active)
{
// retrieve Tastyworks positions for given account
TWPositions pos = TastyWorks.Positions(a.ID);
twpositions.Add(a.ID, pos);
if (pos != null)
{
foreach (KeyValuePair <string, TWPosition> p in pos)
{
if (!symbols.Contains(p.Value.Symbol))
{
symbols.Add(p.Value.Symbol);
}
}
}
}
}
twmarketinfo = TastyWorks.MarketInfo(symbols); // get IV's
}
}
// ensure that positions got instanciated AND that the particular account isn't empty
if ((twpositions != null) && (twpositions.Count > 0) && (twpositions[grp.Account] != null))
{
foreach (KeyValuePair <string, Position> item in grp.Holdings)
{
Position pos = item.Value;
// this loop could be eliminated if the long symbol name gets persisted in database
foreach (KeyValuePair <string, TWPosition> p in twpositions[grp.Account])
{
TWPosition twpos = p.Value;
if ((pos.Symbol == twpos.Symbol) && (pos.Type == twpos.Type) && (pos.Strike == twpos.Strike) && (pos.ExpDate == twpos.ExpDate))
{
//Debug.WriteLine(twpos.Market);
currentValue += pos.Quantity * twpos.Market;
previousCloseValue += pos.Quantity * twpos.PreviousClose * twpos.Multiplier;
// capture current details while we have it
pos.Market = twpos.Market;
pos.Multiplier = twpos.Multiplier;
pos.UnderlyingPrice = twpos.UnderlyingPrice;
// capture the underlying price from the first position for the overall group
if (grp.UnderlyingPrice == 0)
{
grp.UnderlyingPrice = twpos.UnderlyingPrice;
}
// update groups order status based on any of items constituent holdings
grp.OrderActive = twpos.OrderActive;
}
}
}
}
grp.CurrentValue = currentValue;
grp.PreviousCloseValue = previousCloseValue;
grp.ChangeFromPreviousClose = currentValue - previousCloseValue;
if (twmarketinfo.ContainsKey(grp.ShortSymbol))
{
grp.ImpliedVolatility = twmarketinfo[grp.ShortSymbol].ImpliedVolatility;
grp.ImpliedVolatilityRank = twmarketinfo[grp.ShortSymbol].ImpliedVolatilityRank;
grp.DividendYield = twmarketinfo[grp.ShortSymbol].DividendYield;
}
}
catch (Exception ex)
{
Debug.WriteLine("RetrieveCurrentData: " + ex.Message);
}
}
