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);
}
internal static void FillNodeInfo(InteractivePointActive ip,
double f, double dT, IOptionStrikePair sInfo,
StrikeType optionType, OptionPxMode optPxMode,
double optSigma, bool returnPct, bool isVisiblePoints, double scaleMult, double riskfreeRatePct)
{
if (optionType == StrikeType.Any)
{
throw new ArgumentException("Option type 'Any' is not supported.", "optionType");
}
bool isCall = (optionType == StrikeType.Call);
double optPx = FinMath.GetOptionPrice(f, sInfo.Strike, dT, optSigma, 0, isCall);
// Сразу переводим котировку из баксов в битки
optPx /= scaleMult;
// ReSharper disable once UseObjectOrCollectionInitializer
SmileNodeInfo nodeInfo = new SmileNodeInfo();
nodeInfo.F = f;
nodeInfo.dT = dT;
nodeInfo.RiskFreeRate = riskfreeRatePct;
nodeInfo.Sigma = returnPct ? optSigma * Constants.PctMult : optSigma;
nodeInfo.OptPx = optPx;
nodeInfo.Strike = sInfo.Strike;
// Сюда мы приходим когда хотим торговать, поэтому обращение к Security уместно
nodeInfo.Security = (optionType == StrikeType.Put) ? sInfo.Put.Security : sInfo.Call.Security;
nodeInfo.PxMode = optPxMode;
nodeInfo.OptionType = optionType;
nodeInfo.Pair = sInfo;
//nodeInfo.ScriptTime = optTime;
nodeInfo.CalendarTime = DateTime.Now;
nodeInfo.Symbol = nodeInfo.Security.Symbol;
nodeInfo.DSName = nodeInfo.Security.SecurityDescription.DSName;
nodeInfo.Expired = nodeInfo.Security.SecurityDescription.Expired;
nodeInfo.FullName = nodeInfo.Security.SecurityDescription.FullName;
ip.Tag = nodeInfo;
//ip.Color = Colors.Yellow;
ip.IsActive = isVisiblePoints;
ip.Geometry = Geometries.Ellipse;
ip.DragableMode = DragableMode.None;
//ip.Value = new System.Windows.Point(sInfo.Strike, nodeInfo.Sigma);
// Поскольку цены скорее всего расчетные, показываю на 1 знак болььше, чем объявлена точность в инструменте
int decim = Math.Max(0, nodeInfo.Security.Decimals + 1);
string optPxStr = optPx.ToString("N" + decim, CultureInfo.InvariantCulture);
ip.Tooltip = String.Format(CultureInfo.InvariantCulture,
" K: {0}; IV: {1:#0.00}%\r\n {2} px {3}",
sInfo.Strike, optSigma * Constants.PctMult, optionType, optPx);
}
protected static void FillNodeInfo(InteractivePointLight ip,
double f, double dT, IOptionStrikePair sInfo,
StrikeType optionType, OptionPxMode optPxMode,
double optSigma, bool returnPct, double pctRate)
{
if (optionType == StrikeType.Any)
{
throw new ArgumentException("Option type 'Any' is not supported.", "optionType");
}
bool isCall = (optionType == StrikeType.Call);
double optPx = FinMath.GetOptionPrice(f, sInfo.Strike, dT, optSigma, pctRate, isCall);
// ReSharper disable once UseObjectOrCollectionInitializer
SmileNodeInfo nodeInfo = new SmileNodeInfo();
nodeInfo.F = f;
nodeInfo.dT = dT;
nodeInfo.RiskFreeRate = pctRate;
nodeInfo.Sigma = returnPct ? optSigma * Constants.PctMult : optSigma;
nodeInfo.OptPx = optPx;
nodeInfo.Strike = sInfo.Strike;
nodeInfo.Security = (optionType == StrikeType.Put) ? sInfo.Put.Security : sInfo.Call.Security;
nodeInfo.PxMode = optPxMode;
nodeInfo.OptionType = optionType;
nodeInfo.Pair = sInfo;
//nodeInfo.ScriptTime = optTime;
nodeInfo.CalendarTime = DateTime.Now;
nodeInfo.Symbol = nodeInfo.Security.Symbol;
nodeInfo.DSName = nodeInfo.Security.SecurityDescription.DSName;
nodeInfo.FullName = nodeInfo.Security.SecurityDescription.FullName;
nodeInfo.Expired = nodeInfo.Security.SecurityDescription.Expired;
ip.Tag = nodeInfo;
ip.Value = new Point(sInfo.Strike, nodeInfo.Sigma);
if (ip is InteractivePointActive)
{
InteractivePointActive ipa = (InteractivePointActive)ip;
ipa.Tooltip = String.Format("K:{0}; IV:{1:#0.00}%\r\n{2} {3} @ {4}",
sInfo.Strike, optSigma * Constants.PctMult, optionType, optPx, DefaultOptQty);
}
}
protected static void FillNodeInfo(InteractivePointActive ip,
double f, double dT, IOptionStrikePair sInfo,
StrikeType optionType, OptionPxMode optPxMode,
double optSigma, bool returnPct, bool isVisiblePoints)
{
if (optionType == StrikeType.Any)
{
throw new ArgumentException("Option type 'Any' is not supported.", "optionType");
}
bool isCall = (optionType == StrikeType.Call);
double optPx = FinMath.GetOptionPrice(f, sInfo.Strike, dT, optSigma, 0, isCall);
SmileNodeInfo nodeInfo = new SmileNodeInfo();
nodeInfo.F = f;
nodeInfo.dT = dT;
nodeInfo.Sigma = returnPct ? optSigma * Constants.PctMult : optSigma;
nodeInfo.OptPx = optPx;
nodeInfo.Strike = sInfo.Strike;
nodeInfo.Security = (optionType == StrikeType.Put) ? sInfo.Put.Security : sInfo.Call.Security;
nodeInfo.PxMode = optPxMode;
nodeInfo.OptionType = optionType;
nodeInfo.Pair = sInfo;
//nodeInfo.ScriptTime = optTime;
nodeInfo.CalendarTime = DateTime.Now;
nodeInfo.Symbol = nodeInfo.Security.Symbol;
nodeInfo.Expired = nodeInfo.Security.SecurityDescription.Expired;
ip.Tag = nodeInfo;
ip.Color = AlphaColors.Yellow;
ip.IsActive = isVisiblePoints;
ip.Geometry = Geometries.Ellipse;
ip.DragableMode = DragableMode.None;
//ip.Value = new System.Windows.Point(sInfo.Strike, nodeInfo.Sigma);
ip.Tooltip = String.Format("F:{0}; K:{1}; IV:{2:#0.00}%\r\n{3} {4} @ {5}",
f, sInfo.Strike, optSigma * Constants.PctMult, optionType, optPx, DefaultOptQty);
}
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);
}
/// <summary>
/// Метод под флаг TemplateTypes.INTERACTIVESPLINE
/// </summary>
public InteractiveSeries Execute(InteractiveSeries smile, IOptionSeries optSer, double scaleMult, int barNum)
{
if ((smile == null) || (optSer == null))
{
return(Constants.EmptySeries);
}
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if ((oldInfo == null) || (oldInfo.ContinuousFunction == null))
{
return(Constants.EmptySeries);
}
double futPx = oldInfo.F;
double dT = oldInfo.dT;
if (m_executeCommand)
{
string msg = String.Format("[{0}.StartButton] Strike: {1}", GetType().Name, m_strike);
m_context.Log(msg, MessageType.Info, false);
}
#region 1. Список страйков
HashSet <string> serList = StrikeList;
serList.Clear();
IOptionStrikePair[] pairs;
if (Double.IsNaN(m_strikeStep) || (m_strikeStep <= Double.Epsilon))
{
pairs = optSer.GetStrikePairs().ToArray();
}
else
{
// Выделяем страйки, которые нацело делятся на StrikeStep
pairs = (from p in optSer.GetStrikePairs()
let test = m_strikeStep * Math.Round(p.Strike / m_strikeStep)
where DoubleUtil.AreClose(p.Strike, test)
select p).ToArray();
// [2015-12-24] Если шаг страйков по ошибке задан совершенно неправильно,
// то в коллекцию ставим все имеющиеся страйки.
// Пользователь потом разберется
if (pairs.Length <= 0)
{
pairs = optSer.GetStrikePairs().ToArray();
}
}
//if (pairs.Length < 2)
// return Constants.EmptyListDouble;
foreach (IOptionStrikePair pair in pairs)
{
double k = pair.Strike;
serList.Add(k.ToString(StrikeFormat, CultureInfo.InvariantCulture));
}
#endregion 1. Список страйков
InteractiveSeries res = Constants.EmptySeries;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
#region 2. Формируем улыбку просто для отображения текущего положения потенциальной котировки
// При нулевом рабочем объёме не утруждаемся рисованием лишних линий
if (!DoubleUtil.IsZero(m_qty))
{
for (int j = 0; j < pairs.Length; j++)
{
var pair = pairs[j];
double sigma = oldInfo.ContinuousFunction.Value(pair.Strike) + m_shiftIv;
if (!DoubleUtil.IsPositive(sigma))
{
//string msg = String.Format("[DEBUG:{0}] Invalid sigma:{1} for strike:{2}", GetType().Name, sigma, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
//bool isCall = (futPx <= pair.Strike);
bool isCall;
if (m_optionType == StrikeType.Call)
{
isCall = true;
}
else if (m_optionType == StrikeType.Put)
{
isCall = false;
}
else
{
isCall = (futPx <= pair.Strike);
}
StrikeType optionType = isCall ? StrikeType.Call : StrikeType.Put;
Contract.Assert(pair.Tick < 1, $"#1 На тестовом контуре Дерибит присылает неправильный шаг цены! Tick:{pair.Tick}; Decimals:{pair.Put.Security.Decimals}");
double theorOptPxDollars = FinMath.GetOptionPrice(futPx, pair.Strike, dT, sigma, oldInfo.RiskFreeRate, isCall);
// Сразу(!!!) переводим котировку из баксов в битки
double theorOptPxBitcoins = theorOptPxDollars / scaleMult;
// Сдвигаем цену в долларах (с учетом ш.ц. в баксах)
theorOptPxDollars += m_shiftPriceStep * pair.Tick * scaleMult;
theorOptPxDollars = Math.Round(theorOptPxDollars / (pair.Tick * scaleMult)) * (pair.Tick * scaleMult);
// Сдвигаем цену в биткойнах (с учетом ш.ц. в битках)
theorOptPxBitcoins += m_shiftPriceStep * pair.Tick;
theorOptPxBitcoins = Math.Round(theorOptPxBitcoins / pair.Tick) * pair.Tick;
if ((!DoubleUtil.IsPositive(theorOptPxBitcoins)) || (!DoubleUtil.IsPositive(theorOptPxDollars)))
{
//string msg = String.Format("[DEBUG:{0}] Invalid theorOptPx:{1} for strike:{2}", GetType().Name, theorOptPx, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
// Пересчитываем сигму обратно, ЕСЛИ мы применили сдвиг цены в абсолютном выражении
if (m_shiftPriceStep != 0)
{
// Обратный пересчет в волатильность
sigma = FinMath.GetOptionSigma(futPx, pair.Strike, dT, theorOptPxDollars, oldInfo.RiskFreeRate, isCall);
if (!DoubleUtil.IsPositive(sigma))
{
//string msg = String.Format("[DEBUG:{0}] Invalid sigma:{1} for strike:{2}", GetType().Name, sigma, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
}
// ReSharper disable once UseObjectOrCollectionInitializer
SmileNodeInfo nodeInfo = new SmileNodeInfo();
var secDesc = isCall ? pair.CallFinInfo.Security : pair.PutFinInfo.Security;
nodeInfo.F = oldInfo.F;
nodeInfo.dT = oldInfo.dT;
nodeInfo.RiskFreeRate = oldInfo.RiskFreeRate;
nodeInfo.Strike = pair.Strike;
nodeInfo.Sigma = sigma;
nodeInfo.OptPx = theorOptPxBitcoins;
nodeInfo.OptionType = isCall ? StrikeType.Call : StrikeType.Put;
nodeInfo.Pair = pair;
nodeInfo.Symbol = secDesc.Name;
nodeInfo.DSName = secDesc.DSName;
nodeInfo.Expired = secDesc.Expired;
nodeInfo.FullName = secDesc.FullName;
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive tmp = new InteractivePointActive();
tmp.IsActive = true;
tmp.ValueX = pair.Strike;
tmp.ValueY = sigma;
tmp.DragableMode = DragableMode.Yonly;
tmp.Tooltip = String.Format(CultureInfo.InvariantCulture,
" F: {0}\r\n K: {1}; IV: {2:P2}\r\n {3} px {4}",
futPx, pair.Strike, sigma, optionType, theorOptPxBitcoins);
tmp.Tag = nodeInfo;
//tmp.Color = Colors.White;
if (m_qty > 0)
{
tmp.Geometry = Geometries.Triangle;
}
else if (m_qty < 0)
{
tmp.Geometry = Geometries.TriangleDown;
}
else
{
tmp.Geometry = Geometries.None;
}
InteractiveObject obj = new InteractiveObject();
obj.Anchor = tmp;
controlPoints.Add(obj);
}
// ReSharper disable once UseObjectOrCollectionInitializer
res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo sInfo = new SmileInfo();
sInfo.F = futPx;
sInfo.dT = dT;
sInfo.Expiry = oldInfo.Expiry;
sInfo.ScriptTime = oldInfo.ScriptTime;
sInfo.RiskFreeRate = oldInfo.RiskFreeRate;
sInfo.BaseTicker = oldInfo.BaseTicker;
res.Tag = sInfo;
if (controlPoints.Count > 0)
{
res.ClickEvent -= InteractiveSplineOnQuoteIvEvent;
res.ClickEvent += InteractiveSplineOnQuoteIvEvent;
m_clickableSeries = res;
}
}
#endregion 2. Формируем улыбку просто для отображения текущего положения потенциальной котировки
PositionsManager posMan = PositionsManager.GetManager(m_context);
if (m_cancelAllLong)
{
posMan.DropAllLongIvTargets(m_context);
}
if (m_cancelAllShort)
{
posMan.DropAllShortIvTargets(m_context);
}
#region 4. Котирование
{
var longTargets = posMan.GetIvTargets(true);
var shortTargets = posMan.GetIvTargets(false);
var ivTargets = longTargets.Union(shortTargets).ToList();
for (int j = 0; j < ivTargets.Count; j++)
{
var ivTarget = ivTargets[j];
// PROD-6102 - Требуется точное совпадение опционной серии
if (optSer.ExpirationDate.Date != ivTarget.SecInfo.Expiry.Date)
{
// Вывести предупреждение???
continue;
}
IOptionStrikePair pair;
double k = ivTarget.SecInfo.Strike;
if (!optSer.TryGetStrikePair(k, out pair))
{
// Вывести предупреждение???
continue;
}
double sigma;
QuoteIvMode quoteMode = ivTarget.QuoteMode;
if (quoteMode == QuoteIvMode.Absolute)
{
sigma = ivTarget.EntryIv;
}
else
{
sigma = oldInfo.ContinuousFunction.Value(k) + ivTarget.EntryIv;
if (!DoubleUtil.IsPositive(sigma))
{
//string msg = String.Format("[DEBUG:{0}] Invalid sigma:{1} for strike:{2}", GetType().Name, sigma, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
}
//bool isCall = (futPx <= pair.Strike);
// Определяю тип опциона на основании информации в Задаче
StrikeType taskOptionType = StrikeType.Any;
if (ivTarget.SecInfo.StrikeType.HasValue)
{
taskOptionType = ivTarget.SecInfo.StrikeType.Value;
}
bool isCall;
if (taskOptionType == StrikeType.Call)
{
isCall = true;
}
else if (taskOptionType == StrikeType.Put)
{
isCall = false;
}
else
{
isCall = (futPx <= pair.Strike); // Это аварийная ситуация?
}
StrikeType optionType = isCall ? StrikeType.Call : StrikeType.Put;
Contract.Assert(pair.Tick < 1, $"#3 На тестовом контуре Дерибит присылает неправильный шаг цены! Tick:{pair.Tick}; Decimals:{pair.Put.Security.Decimals}");
double theorOptPxDollars = FinMath.GetOptionPrice(futPx, pair.Strike, dT, sigma, oldInfo.RiskFreeRate, isCall);
// Сразу(!!!) переводим котировку из баксов в битки
double theorOptPxBitcoins = theorOptPxDollars / scaleMult;
// Сдвигаем цену в долларах (с учетом ш.ц. в баксах)
theorOptPxDollars += ivTarget.EntryShiftPrice * pair.Tick * scaleMult;
theorOptPxDollars = Math.Round(theorOptPxDollars / (pair.Tick * scaleMult)) * (pair.Tick * scaleMult);
// Сдвигаем цену в биткойнах (с учетом ш.ц. в битках)
theorOptPxBitcoins += ivTarget.EntryShiftPrice * pair.Tick;
theorOptPxBitcoins = Math.Round(theorOptPxBitcoins / pair.Tick) * pair.Tick;
if ((!DoubleUtil.IsPositive(theorOptPxBitcoins)) || (!DoubleUtil.IsPositive(theorOptPxDollars)))
{
//string msg = String.Format("[DEBUG:{0}] Invalid theorOptPx:{1} for strike:{2}", GetType().Name, theorOptPx, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
IOptionStrike optStrike = isCall ? pair.Call : pair.Put;
ISecurity sec = optStrike.Security;
double totalQty = posMan.GetTotalQty(sec, m_context.BarsCount, TotalProfitAlgo.AllPositions, ivTarget.IsLong);
// Поскольку котирование страйка по волатильности -- это вопрос набора нужного количества СТРЕДДЛОВ,
// то учитывать надо суммарный объём опционов как в колах, так и в путах.
// НО ЗАДАЧУ-ТО Я СТАВЛЮ ДЛЯ КОНКРЕТНОГО ИНСТРУМЕНТА!
// Как быть?
//double totalQty = posMan.GetTotalQty(pair.Put.Security, m_context.BarsCount, TotalProfitAlgo.AllPositions, ivTarget.IsLong);
//totalQty += posMan.GetTotalQty(pair.Call.Security, m_context.BarsCount, TotalProfitAlgo.AllPositions, ivTarget.IsLong);
double targetQty = Math.Abs(ivTarget.TargetShares) - totalQty;
// Если имеется дробный LotTick (как в Дерибит к примеру), то надо предварительно округлить
targetQty = sec.RoundShares(targetQty);
if (targetQty > 0)
{
string note = String.Format(CultureInfo.InvariantCulture,
"{0}; ActQty:{1}; Px:{2}; IV:{3:P2}",
ivTarget.EntryNotes, targetQty, theorOptPxBitcoins, sigma);
if (ivTarget.IsLong)
{
posMan.BuyAtPrice(m_context, sec, targetQty, theorOptPxBitcoins, ivTarget.EntrySignalName, note);
}
else
{
posMan.SellAtPrice(m_context, sec, targetQty, theorOptPxBitcoins, ivTarget.EntrySignalName, note);
}
}
else
{
string msg = String.Format(CultureInfo.InvariantCulture,
"IvTarget cancelled. SignalName:{0}; Notes:{1}", ivTarget.EntrySignalName, ivTarget.EntryNotes);
posMan.CancelVolatility(m_context, ivTarget, msg);
// TODO: потом убрать из ГЛ
m_context.Log(msg, MessageType.Info, true, new Dictionary <string, object> {
{ "VOLATILITY_ORDER_CANCELLED", msg }
});
}
}
}
#endregion 4. Котирование
#region 5. Торговля
if (m_executeCommand && (!DoubleUtil.IsZero(m_qty)))
{
double k;
if ((!Double.TryParse(m_strike, out k)) &&
(!Double.TryParse(m_strike, NumberStyles.Any, CultureInfo.InvariantCulture, out k)))
{
return(res);
}
var pair = (from p in pairs where DoubleUtil.AreClose(k, p.Strike) select p).SingleOrDefault();
if (pair == null)
{
return(res);
}
InteractiveObject obj = (from o in controlPoints where DoubleUtil.AreClose(k, o.Anchor.ValueX) select o).SingleOrDefault();
if (obj == null)
{
return(res);
}
// TODO: для режима котирования в абсолютных числах сделать отдельную ветку
//double iv = obj.Anchor.ValueY;
const QuoteIvMode QuoteMode = QuoteIvMode.Relative;
if (posMan.BlockTrading)
{
string msg = String.Format(RM.GetString("OptHandlerMsg.PositionsManager.TradingBlocked"),
m_context.Runtime.TradeName + ":QuoteIv");
m_context.Log(msg, MessageType.Warning, true);
return(res);
}
// Выбираю тип инструмента пут или колл?
bool isCall;
if (m_optionType == StrikeType.Call)
{
isCall = true;
}
else if (m_optionType == StrikeType.Put)
{
isCall = false;
}
else
{
isCall = (futPx <= k);
}
double iv = m_shiftIv;
int shift = m_shiftPriceStep;
var option = isCall ? pair.Call : pair.Put;
if (m_qty > 0)
{
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = m_qty * option.LotTick;
string sigName = String.Format(CultureInfo.InvariantCulture,
"Qty:{0}; IV:{1:P2}+{2}; dT:{3}; Mode:{4}", actQty, iv, shift, dT, QuoteMode);
posMan.BuyVolatility(m_context, option, Math.Abs(actQty), QuoteMode, iv, shift, "BuyVola", sigName);
m_context.Log(sigName, MessageType.Info, false);
}
else if (m_qty < 0)
{
// Пересчитываю целочисленный параметр Qty в фактические лоты конкретного инструмента
double actQty = m_qty * option.LotTick;
string sigName = String.Format(CultureInfo.InvariantCulture,
"Qty:{0}; IV:{1:P2}+{2}; dT:{3}; Mode:{4}", actQty, iv, shift, dT, QuoteMode);
posMan.SellVolatility(m_context, option, Math.Abs(actQty), QuoteMode, iv, shift, "SellVola", sigName);
m_context.Log(sigName, MessageType.Info, false);
}
}
#endregion 5. Торговля
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);
}
public InteractiveSeries Execute(double price, ISecurity sec, int barNum)
{
InteractiveSeries res = new InteractiveSeries();
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(res);
}
res.ClickEvent -= InteractiveSplineOnClickEvent;
res.ClickEvent += InteractiveSplineOnClickEvent;
m_clickableSeries = res;
double f = price;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
{
InteractivePointActive ip = new InteractivePointActive(f, m_sigmaLow);
ip.IsActive = true;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Ellipse;
ip.Color = AlphaColors.BlueViolet;
ip.Tooltip = String.Format("F:{0}; Y:{1:0.00}%", f, m_sigmaLow * Constants.PctMult);
SmileNodeInfo node = new SmileNodeInfo();
node.OptPx = f;
node.Security = sec;
node.PxMode = OptionPxMode.Bid;
node.Symbol = node.Security.Symbol;
node.DSName = node.Security.SecurityDescription.DSName;
node.Expired = node.Security.SecurityDescription.Expired;
node.FullName = node.Security.SecurityDescription.FullName;
ip.Tag = node;
controlPoints.Add(new InteractiveObject(ip));
}
{
InteractivePointActive ip = new InteractivePointActive(f, m_sigmaHigh);
ip.IsActive = true;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Triangle;
ip.Color = AlphaColors.Green;
ip.Tooltip = String.Format("F:{0}; Y:{1:0.00}%", f, m_sigmaHigh * Constants.PctMult);
SmileNodeInfo node = new SmileNodeInfo();
node.OptPx = f;
node.Security = sec;
node.PxMode = OptionPxMode.Ask;
node.Symbol = node.Security.Symbol;
node.DSName = node.Security.SecurityDescription.DSName;
node.Expired = node.Security.SecurityDescription.Expired;
node.FullName = node.Security.SecurityDescription.FullName;
ip.Tag = node;
controlPoints.Add(new InteractiveObject(ip));
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
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);
}
/// <summary>
/// Метод под флаг TemplateTypes.INTERACTIVESPLINE
/// </summary>
public InteractiveSeries Execute(InteractiveSeries quotes, InteractiveSeries smile, int barNum)
{
if ((quotes == null) || (smile == null))
{
return(Constants.EmptySeries);
}
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(quotes);
}
SmileInfo oldInfo = smile.GetTag <SmileInfo>();
if ((oldInfo == null) || (oldInfo.ContinuousFunction == null))
{
return(Constants.EmptySeries);
}
InteractiveSeries res = quotes;
double futPx = oldInfo.F;
double dT = oldInfo.dT;
foreach (InteractiveObject obj in res.ControlPoints)
{
SmileNodeInfo nodeInfo = obj.Anchor.Tag as SmileNodeInfo;
if (nodeInfo == null)
{
continue;
}
double realOptPx = nodeInfo.OptPx;
bool isCall = (nodeInfo.OptionType == StrikeType.Call);
double sigma = oldInfo.ContinuousFunction.Value(nodeInfo.Strike);
if (Double.IsNaN(sigma) || (sigma < Double.Epsilon))
{
//string msg = String.Format("[DEBUG:{0}] Invalid sigma:{1} for strike:{2}", GetType().Name, sigma, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
double theorOptPx = FinMath.GetOptionPrice(futPx, nodeInfo.Strike, dT, sigma, oldInfo.RiskFreeRate, isCall);
if (Double.IsNaN(theorOptPx) || (theorOptPx < Double.Epsilon))
{
//string msg = String.Format("[DEBUG:{0}] Invalid theorOptPx:{1} for strike:{2}", GetType().Name, theorOptPx, nodeInfo.Strike);
//m_context.Log(msg, MessageType.Warning, true);
continue;
}
if (nodeInfo.PxMode == OptionPxMode.Ask)
{
double doLevel = theorOptPx - m_widthPx * nodeInfo.Pair.Tick;
if (realOptPx <= doLevel)
{
var anchor = (InteractivePointActive)obj.Anchor;
// ReSharper disable once UseObjectOrCollectionInitializer
var tmp = new InteractivePointActive();
tmp.IsActive = true;
tmp.Tag = anchor.Tag;
tmp.Tooltip = null; // anchor.Tooltip;
int decimals = (nodeInfo.Security != null) ? nodeInfo.Security.Decimals : 0;
string pot = Math.Abs(theorOptPx - realOptPx).ToString("N" + decimals, CultureInfo.InvariantCulture);
tmp.Label = anchor.Tooltip + " (" + pot + ")";
tmp.ValueX = anchor.ValueX;
tmp.ValueY = anchor.ValueY + m_outlet;
tmp.DragableMode = DragableMode.None;
tmp.Size = m_outletSize;
//tmp.Color = Colors.White;
//tmp.Geometry = m_outletGeometry; // Geometries.Ellipse;
obj.ControlPoint1 = tmp;
}
}
if (nodeInfo.PxMode == OptionPxMode.Bid)
{
double upLevel = theorOptPx + m_widthPx * nodeInfo.Pair.Tick;
if (realOptPx >= upLevel)
{
var anchor = (InteractivePointActive)obj.Anchor;
// ReSharper disable once UseObjectOrCollectionInitializer
var tmp = new InteractivePointActive();
tmp.IsActive = true;
tmp.Tag = anchor.Tag;
tmp.Tooltip = null; // anchor.Tooltip;
int decimals = (nodeInfo.Security != null) ? nodeInfo.Security.Decimals : 0;
string pot = Math.Abs(theorOptPx - realOptPx).ToString("N" + decimals, CultureInfo.InvariantCulture);
tmp.Label = anchor.Tooltip + " (" + pot + ")";
tmp.ValueX = anchor.ValueX;
tmp.ValueY = anchor.ValueY - m_outlet;
tmp.DragableMode = DragableMode.None;
tmp.Size = m_outletSize;
//tmp.Color = Colors.White;
//tmp.Geometry = m_outletGeometry; // Geometries.Ellipse;
obj.ControlPoint1 = tmp;
}
}
}
res.ClickEvent -= InteractiveSplineOnClickEvent;
res.ClickEvent += InteractiveSplineOnClickEvent;
m_clickableSeries = res;
return(res);
}
public InteractiveSeries Execute(double price, InteractiveSeries line, ISecurity sec, int barNum)
{
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(Constants.EmptySeries);
}
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ClickEvent += InteractiveSplineOnClickEvent;
m_clickableSeries = res;
double f = price;
double? sigmaAtm = null;
SmileInfo sInfo = line.GetTag <SmileInfo>();
if ((sInfo != null) && (sInfo.ContinuousFunction != null))
{
double tmp;
if (sInfo.ContinuousFunction.TryGetValue(f, out tmp))
{
if (!Double.IsNaN(tmp))
{
sigmaAtm = tmp;
}
}
}
if (sigmaAtm == null)
{
return(res);
}
double h = Math.Max(m_minHeight, sigmaAtm.Value * m_offset);
// Теперь определяем максимальный размах по вертикали
if (line.ControlPoints.Count > 1)
{
var cps = line.ControlPoints;
double min = Double.MaxValue, max = Double.MinValue;
for (int j = 0; j < cps.Count; j++)
{
var anchor = cps[j].Anchor;
double y = anchor.ValueY;
if (y <= min)
{
min = y;
}
if (max <= y)
{
max = y;
}
}
if ((min < max) && (!Double.IsInfinity(max - min)))
{
h = Math.Max(h, (max - min) * m_offset);
}
}
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
{
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = true;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Ellipse; // Geometries.TriangleDown;
ip.Color = AlphaColors.Magenta;
double y = (sigmaAtm.Value - h);
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
// По умолчанию формат 'P2' -- то есть отображение с точностью 2знака,
// со знаком процента и с автоматическим умножением на 100.
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; Y:{1}", f, yStr);
SmileNodeInfo node = new SmileNodeInfo();
node.OptPx = f;
node.Security = sec;
node.PxMode = OptionPxMode.Bid;
node.Symbol = node.Security.Symbol;
node.DSName = node.Security.SecurityDescription.DSName;
node.Expired = node.Security.SecurityDescription.Expired;
node.FullName = node.Security.SecurityDescription.FullName;
ip.Tag = node;
controlPoints.Add(new InteractiveObject(ip));
}
{
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = true;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Triangle;
ip.Color = AlphaColors.GreenYellow;
double y = (sigmaAtm.Value + h);
ip.Value = new Point(f, y);
string yStr = y.ToString(m_tooltipFormat, CultureInfo.InvariantCulture);
// По умолчанию формат 'P2' -- то есть отображение с точностью 2знака,
// со знаком процента и с автоматическим умножением на 100.
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "F:{0}; Y:{1}", f, yStr);
SmileNodeInfo node = new SmileNodeInfo();
node.OptPx = f;
node.Security = sec;
node.PxMode = OptionPxMode.Ask;
node.Symbol = node.Security.Symbol;
node.DSName = node.Security.SecurityDescription.DSName;
node.Expired = node.Security.SecurityDescription.Expired;
node.FullName = node.Security.SecurityDescription.FullName;
ip.Tag = node;
controlPoints.Add(new InteractiveObject(ip));
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
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);
}
}
public InteractiveSeries Execute(InteractiveSeries smile, int barNum)
{
if (m_transformation == SmileTransformation.None)
{
if (DoubleUtil.IsZero(m_shiftIv))
{
return(smile);
}
}
int barsCount = m_context.BarsCount;
if (!m_context.IsLastBarUsed)
{
barsCount--;
}
if (barNum < barsCount - 1)
{
return(smile);
}
// Пустая улыбка останется пустой. Что с ней делать непонятно.
if (smile.ControlPoints.Count <= 1)
{
return(smile);
}
SmileInfo sInfo = smile.GetTag <SmileInfo>();
if (sInfo == null)
{
throw new ScriptException("ArgumentException: smile.Tag must be filled with SmileInfo object.");
}
var cps = smile.ControlPoints;
int len = cps.Count;
IFunction symmetrizedFunc = null;
IFunction symmetrizedFuncD1 = null;
InteractiveSeries res = new InteractiveSeries();
List <double> xs = new List <double>();
List <double> ys = new List <double>();
if (m_transformation == SmileTransformation.Simmetrise)
{
#region Simmetrise
double f = sInfo.F;
double minX = cps[0].Anchor.ValueX;
double maxX = cps[len - 1].Anchor.ValueX;
double width = Math.Min(maxX - f, f - minX);
if (width < 0)
{
throw new ScriptException("ArgumentException: current price is outside of the smile.");
}
// TODO: сократить вычисления вдвое, учитывая явное требование симметричности результирующей улыбки
double step = 2.0 * width / (len - 1);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
for (int j = 0; j < len; j++)
{
double kLeft = (f - width) + j * step;
double ivLeft = sInfo.ContinuousFunction.Value(kLeft);
double kRight = (f + width) - j * step;
double ivRight = sInfo.ContinuousFunction.Value(kRight);
double iv = 0.5 * (ivLeft + ivRight) + m_shiftIv;
InteractiveObject oldObj = cps[j];
if (oldObj.Anchor is InteractivePointActive)
{
InteractivePointActive ip = (InteractivePointActive)oldObj.Anchor.Clone();
ip.Color = (m_optionPxMode == OptionPxMode.Ask) ? AlphaColors.DarkOrange : AlphaColors.DarkCyan;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Rect;
// (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
ip.IsActive = (m_optionPxMode != OptionPxMode.Mid);
ip.Value = new Point(kLeft, iv);
ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", kLeft, iv * Constants.PctMult);
InteractiveObject newObj = new InteractiveObject(ip);
controlPoints.Add(newObj);
}
else if (oldObj.Anchor is InteractivePointLight)
{
InteractivePointLight ip = (InteractivePointLight)oldObj.Anchor.Clone();
ip.Value = new Point(kLeft, iv);
InteractiveObject newObj = new InteractiveObject(ip);
controlPoints.Add(newObj);
}
else
{
string msg = String.Format("[{0}] Point of type '{1}' is not supported.",
GetType().Name, oldObj.Anchor.GetType().Name);
throw new ScriptException(msg);
}
xs.Add(kLeft);
ys.Add(iv);
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
#endregion Simmetrise
}
else if (m_transformation == SmileTransformation.LogSimmetrise)
{
#region Log Simmetrise
double f = sInfo.F;
LogSimmetrizeFunc lsf = new LogSimmetrizeFunc(sInfo.ContinuousFunction, f, m_simmWeight);
symmetrizedFunc = lsf;
symmetrizedFuncD1 = new LogSimmetrizeFunc(sInfo.ContinuousFunctionD1, f, m_simmWeight);
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (var oldObj in smile.ControlPoints)
{
double k = oldObj.Anchor.ValueX;
double iv;
if (lsf.TryGetValue(k, out iv))
{
iv += m_shiftIv;
if (oldObj.Anchor is InteractivePointActive)
{
InteractivePointActive ip = (InteractivePointActive)oldObj.Anchor.Clone();
ip.Color = (m_optionPxMode == OptionPxMode.Ask) ? AlphaColors.DarkOrange : AlphaColors.DarkCyan;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Rect;
// (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
ip.IsActive = (m_optionPxMode != OptionPxMode.Mid);
ip.Value = new Point(k, iv);
ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, iv * Constants.PctMult);
InteractiveObject newObj = new InteractiveObject(ip);
controlPoints.Add(newObj);
}
else if (oldObj.Anchor is InteractivePointLight)
{
InteractivePointLight ip = (InteractivePointLight)oldObj.Anchor.Clone();
ip.Value = new Point(k, iv);
InteractiveObject newObj = new InteractiveObject(ip);
controlPoints.Add(newObj);
}
else
{
string msg = String.Format("[{0}] Point of type '{1}' is not supported.",
GetType().Name, oldObj.Anchor.GetType().Name);
throw new ScriptException(msg);
}
xs.Add(k);
ys.Add(iv);
}
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
#endregion Log Simmetrise
}
else if (m_transformation == SmileTransformation.None)
{
#region None (only vertical shift)
double f = sInfo.F;
double dT = sInfo.dT;
double rate = sInfo.RiskFreeRate;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
for (int j = 0; j < len; j++)
{
InteractiveObject oldObj = cps[j];
SmileNodeInfo nodeInfo = oldObj.Anchor.Tag as SmileNodeInfo;
// Обязательно нужна полная информация об узле улыбки, чтобы потом можно было торговать
if (nodeInfo == null)
{
continue;
}
double k = oldObj.Anchor.Value.X;
double iv = oldObj.Anchor.Value.Y + m_shiftIv;
if (oldObj.Anchor is InteractivePointActive)
{
InteractivePointActive ip = (InteractivePointActive)oldObj.Anchor.Clone();
ip.Color = (m_optionPxMode == OptionPxMode.Ask) ? AlphaColors.DarkOrange : AlphaColors.DarkCyan;
ip.DragableMode = DragableMode.None;
ip.Geometry = Geometries.Rect;
// (optionPxMode == OptionPxMode.Ask) ? Geometries.Rect : Geometries.Rect;
ip.IsActive = (m_optionPxMode != OptionPxMode.Mid);
//ip.Value = new Point(oldObj.Anchor.Value.X, iv);
//ip.Tooltip = String.Format("K:{0}; IV:{1:0.00}", k, iv * PctMult);
InteractiveObject newObj = new InteractiveObject(ip);
if (k <= f) // Puts
{
FillNodeInfo(ip, f, dT, nodeInfo.Pair, StrikeType.Put, m_optionPxMode, iv, false, rate);
}
else // Calls
{
FillNodeInfo(ip, f, dT, nodeInfo.Pair, StrikeType.Call, m_optionPxMode, iv, false, rate);
}
controlPoints.Add(newObj);
}
else if (oldObj.Anchor is InteractivePointLight)
{
InteractivePointLight ip = (InteractivePointLight)oldObj.Anchor.Clone();
ip.Value = new Point(k, iv);
InteractiveObject newObj = new InteractiveObject(ip);
if (k <= f) // Puts
{
FillNodeInfo(ip, f, dT, nodeInfo.Pair, StrikeType.Put, m_optionPxMode, iv, false, rate);
}
else // Calls
{
FillNodeInfo(ip, f, dT, nodeInfo.Pair, StrikeType.Call, m_optionPxMode, iv, false, rate);
}
controlPoints.Add(newObj);
}
else
{
string msg = String.Format("[{0}] Point of type '{1}' is not supported.",
GetType().Name, oldObj.Anchor.GetType().Name);
throw new ScriptException(msg);
}
xs.Add(k);
ys.Add(iv);
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
#endregion None (only vertical shift)
}
else
{
throw new NotImplementedException("Transformation: " + m_transformation);
}
// ReSharper disable once UseObjectOrCollectionInitializer
SmileInfo info = new SmileInfo();
info.F = sInfo.F;
info.dT = sInfo.dT;
info.Expiry = sInfo.Expiry;
info.ScriptTime = sInfo.ScriptTime;
info.RiskFreeRate = sInfo.RiskFreeRate;
info.BaseTicker = sInfo.BaseTicker;
try
{
if (symmetrizedFunc == null)
{
NotAKnotCubicSpline spline = new NotAKnotCubicSpline(xs, ys);
info.ContinuousFunction = spline;
info.ContinuousFunctionD1 = spline.DeriveD1();
}
else
{
// По факту эта ветка обслуживает только алгоритм LogSimm
info.ContinuousFunction = symmetrizedFunc;
info.ContinuousFunctionD1 = symmetrizedFuncD1;
}
res.Tag = info;
}
catch (Exception ex)
{
m_context.Log(ex.ToString(), MessageType.Error, true);
return(Constants.EmptySeries);
}
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;
}
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), nodeInfo.OptPx, 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), nodeInfo.OptPx, 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.Alert, 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.Alert, true);
}
}
if (recalc)
{
m_context.Recalc();
}
}
internal static void FillNodeInfo(InteractivePointActive ip,
double f, double dT, IOptionStrikePair sInfo,
StrikeType optionType, OptionPxMode optPxMode,
double optPx, double optQty, double optSigma, DateTime optTime, bool returnPct, double riskfreeRatePct)
{
if (optionType == StrikeType.Any)
{
throw new ArgumentException("Option type 'Any' is not supported.", "optionType");
}
// ReSharper disable once UseObjectOrCollectionInitializer
SmileNodeInfo nodeInfo = new SmileNodeInfo();
nodeInfo.F = f;
nodeInfo.dT = dT;
nodeInfo.RiskFreeRate = riskfreeRatePct;
nodeInfo.Sigma = returnPct ? optSigma * Constants.PctMult : optSigma;
nodeInfo.OptPx = optPx;
nodeInfo.Strike = sInfo.Strike;
// Сюда мы приходим когда хотим торговать, поэтому обращение к Security уместно
nodeInfo.Security = (optionType == StrikeType.Put) ? sInfo.Put.Security : sInfo.Call.Security;
nodeInfo.PxMode = optPxMode;
nodeInfo.OptionType = optionType;
nodeInfo.Pair = sInfo;
nodeInfo.ScriptTime = optTime;
nodeInfo.CalendarTime = DateTime.Now;
nodeInfo.Symbol = nodeInfo.Security.Symbol;
nodeInfo.DSName = nodeInfo.Security.SecurityDescription.DSName;
nodeInfo.Expired = nodeInfo.Security.SecurityDescription.Expired;
nodeInfo.FullName = nodeInfo.Security.SecurityDescription.FullName;
ip.Tag = nodeInfo;
ip.DragableMode = DragableMode.None;
ip.Value = new Point(sInfo.Strike, nodeInfo.Sigma);
// [2015-08-26] Алексей дал инструкцию убрать дату из тултипа.
bool tooltipWithTime = false;
#if DEBUG
tooltipWithTime = true;
#endif
// [2015-12-07] В режиме отладки возвращаю.
// Потому что иначе вообще непонятно что происходит и с какими данными скрипт работает.
if (optQty > 0)
{
if (tooltipWithTime)
{
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "K:{0}; IV:{1:#0.00}%\r\n{2} px {3} @ {4}\r\nDate: {5}",
sInfo.Strike, optSigma * Constants.PctMult, optionType, optPx, optQty,
optTime.ToString(DateTimeFormatWithMs, CultureInfo.InvariantCulture));
}
else
{
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "K:{0}; IV:{1:#0.00}%\r\n{2} px {3} @ {4}",
sInfo.Strike, optSigma * Constants.PctMult, optionType, optPx, optQty);
}
}
else
{
if (tooltipWithTime)
{
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "K:{0}; IV:{1:#0.00}%\r\n{2} px {3}\r\nDate: {4}",
sInfo.Strike, optSigma * Constants.PctMult, optionType, optPx,
optTime.ToString(DateTimeFormatWithMs, CultureInfo.InvariantCulture));
}
else
{
ip.Tooltip = String.Format(CultureInfo.InvariantCulture, "K:{0}; IV:{1:#0.00}%\r\n{2} px {3}",
sInfo.Strike, optSigma * Constants.PctMult, optionType, optPx);
}
}
}