public static void HedgeStrategiesAgainstDelta(MySqlConnection conn, DataTable priceTable)
{
List <string> HedgeStrategyList = HedgeStrategies.GetStrategyList2Hedge(conn: conn);
List <string> DeltaStrategyList = HedgeStrategies.GetDeltaStrategyList(conn: conn);
string ActiveDeltaStrategy = DeltaStrategyList[DeltaStrategyList.Count - 1];
Console.WriteLine("Calculating hedges for strategies...");
foreach (string item in HedgeStrategyList)
{
Console.WriteLine(item);
HedgeStrategies.HedgeStrategyAgainstDelta(alias: item, deltaAlias: ActiveDeltaStrategy, conn: conn, priceTable: priceTable);
}
}
public static DataTable GetUnderlying2QueryTable(MySqlConnection conn)
{
List <string> StrategyList = HedgeStrategies.GetStrategyList2Hedge(conn: conn);
StrategyList.Add(HedgeStrategies.GetActiveDeltaStrategy(conn: conn));
DataTable MergedPosition = null;
for (int i = 0; i < StrategyList.Count; i++)
{
if (i == 0)
{
MergedPosition = TA.Strategy.GetNetPosition(alias: StrategyList[i], conn: conn);
}
else
{
MergedPosition.Merge(TA.Strategy.GetNetPosition(alias: StrategyList[i], conn: conn));
}
}
DataTable FuturesPosition = MergedPosition.Select("Instrument='F'").CopyToDataTable();
DataTable OptionsPosition = MergedPosition.Select("Instrument='O'").CopyToDataTable();
List <string> OptionTickerList = OptionsPosition.AsEnumerable()
.Select(r => r.Field <string>("Ticker")).Distinct()
.ToList();
List <string> FuturesTickerList = FuturesPosition.AsEnumerable()
.Select(r => r.Field <string>("Ticker")).Distinct()
.ToList();
List <string> UnderlyingTickerList = new List <string>();
foreach (string item in OptionTickerList)
{
UnderlyingTickerList.Add(OptionModels.Utils.GetOptionUnderlying(ticker: item));
}
List <string> UniqueList = UnderlyingTickerList.Union(FuturesTickerList).ToList();
DataTable UnderlyingTable = new DataTable();
UnderlyingTable.Columns.Add("Ticker", typeof(string));
UnderlyingTable.Columns.Add("TickerHead", typeof(string));
UnderlyingTable.Columns.Add("TickerClass", typeof(string));
UnderlyingTable.Columns.Add("ContINDX", typeof(int));
for (int i = 0; i < UniqueList.Count; i++)
{
DataRow UnderlyingRow = UnderlyingTable.NewRow();
UnderlyingRow["Ticker"] = UniqueList[i];
ContractUtilities.ContractSpecs Cs = ContractUtilities.ContractMetaInfo.GetContractSpecs(ticker: UniqueList[i]);
UnderlyingRow["TickerHead"] = Cs.tickerHead;
UnderlyingRow["TickerClass"] = Cs.tickerClass;
UnderlyingRow["ContINDX"] = Cs.contINDX;
UnderlyingTable.Rows.Add(UnderlyingRow);
}
DataRow[] FlatCurveUnderlyings = (from x in UnderlyingTable.AsEnumerable()
where FlatCurveTickerClassList.Any(b => x.Field <string>("TickerClass").Contains(b))
select x).ToArray();
DataRow[] NonFlatCurveUnderlyings = (from x in UnderlyingTable.AsEnumerable()
where !FlatCurveTickerClassList.Any(b => x.Field <string>("TickerClass").Contains(b))
select x).ToArray();
DataTable FlatCurveQueryTable = new DataTable();
FlatCurveQueryTable.Columns.Add("Ticker", typeof(string));
FlatCurveQueryTable.Columns.Add("TickerHead", typeof(string));
FlatCurveQueryTable.Columns.Add("TickerClass", typeof(string));
FlatCurveQueryTable.Columns.Add("ContINDX", typeof(int));
FlatCurveQueryTable.Columns.Add("IsSpreadQ", typeof(bool));
DataTable NonFlatCurveQueryTable = new DataTable();
NonFlatCurveQueryTable.Columns.Add("Ticker", typeof(string));
NonFlatCurveQueryTable.Columns.Add("TickerHead", typeof(string));
NonFlatCurveQueryTable.Columns.Add("TickerClass", typeof(string));
NonFlatCurveQueryTable.Columns.Add("ContINDX", typeof(int));
NonFlatCurveQueryTable.Columns.Add("IsSpreadQ", typeof(bool));
if (FlatCurveUnderlyings.Count() > 0)
{
DataTable FlatCurveUnderlyingTable = FlatCurveUnderlyings.CopyToDataTable();
ContractUtilities.ContractList liquidContractList = new ContractUtilities.ContractList(FlatCurveUnderlyingTable.AsEnumerable().Select(s => s.Field <string>("TickerHead")).Distinct().ToArray());
for (int i = 0; i < liquidContractList.dbTickerList.Count; i++)
{
if (!(FlatCurveUnderlyingTable.AsEnumerable().Any(row => liquidContractList.dbTickerList[i] == row.Field <String>("Ticker"))))
{
DataRow UnderlyingRow = FlatCurveUnderlyingTable.NewRow();
UnderlyingRow["Ticker"] = liquidContractList.dbTickerList[i];
ContractUtilities.ContractSpecs Cs = ContractUtilities.ContractMetaInfo.GetContractSpecs(ticker: liquidContractList.dbTickerList[i]);
UnderlyingRow["TickerHead"] = Cs.tickerHead;
UnderlyingRow["TickerClass"] = Cs.tickerClass;
UnderlyingRow["ContINDX"] = Cs.contINDX;
FlatCurveUnderlyingTable.Rows.Add(UnderlyingRow);
}
}
for (int i = 0; i < FlatCurveUnderlyingTable.Rows.Count; i++)
{
DataRow Row = FlatCurveQueryTable.NewRow();
Row["Ticker"] = FlatCurveUnderlyingTable.Rows[i].Field <string>("Ticker");
Row["TickerHead"] = FlatCurveUnderlyingTable.Rows[i].Field <string>("TickerHead");
Row["TickerClass"] = FlatCurveUnderlyingTable.Rows[i].Field <string>("TickerClass");
Row["ContINDX"] = FlatCurveUnderlyingTable.Rows[i].Field <int>("ContINDX");
Row["IsSpreadQ"] = false;
FlatCurveQueryTable.Rows.Add(Row);
}
}
if (NonFlatCurveUnderlyings.Count() > 0)
{
DataTable SortedNonFlatCurveUnderlyings = NonFlatCurveUnderlyings.AsEnumerable()
.OrderBy(r => r.Field <string>("TickerHead"))
.ThenBy(r => r.Field <int>("contINDX"))
.CopyToDataTable();
List <string> TickerHeadList = SortedNonFlatCurveUnderlyings.AsEnumerable().Select(s => s.Field <string>("TickerHead")).Distinct().ToList();
for (int i = 0; i < TickerHeadList.Count(); i++)
{
DataTable TickerHeadPositions = SortedNonFlatCurveUnderlyings.Select("TickerHead='" + TickerHeadList[i] + "'").CopyToDataTable();
for (int j = 0; j < TickerHeadPositions.Rows.Count; j++)
{
DataRow Row = NonFlatCurveQueryTable.NewRow();
Row["Ticker"] = TickerHeadPositions.Rows[j].Field <string>("Ticker");
Row["TickerHead"] = TickerHeadPositions.Rows[j].Field <string>("TickerHead");
Row["TickerClass"] = TickerHeadPositions.Rows[j].Field <string>("TickerClass");
Row["ContINDX"] = TickerHeadPositions.Rows[j].Field <int>("ContINDX");
Row["IsSpreadQ"] = false;
NonFlatCurveQueryTable.Rows.Add(Row);
}
for (int j = 0; j < TickerHeadPositions.Rows.Count - 1; j++)
{
for (int k = j + 1; k < TickerHeadPositions.Rows.Count; k++)
{
DataRow Row2 = NonFlatCurveQueryTable.NewRow();
Row2["Ticker"] = TickerHeadPositions.Rows[j].Field <string>("Ticker") + "-" + TickerHeadPositions.Rows[k].Field <string>("Ticker");
Row2["TickerHead"] = TickerHeadPositions.Rows[j].Field <string>("TickerHead");
Row2["TickerClass"] = TickerHeadPositions.Rows[j].Field <string>("TickerClass");
Row2["ContINDX"] = TickerHeadPositions.Rows[j].Field <int>("ContINDX");
Row2["IsSpreadQ"] = true;
NonFlatCurveQueryTable.Rows.Add(Row2);
}
}
}
}
FlatCurveQueryTable.Merge(NonFlatCurveQueryTable);
return(FlatCurveQueryTable);
}