/// <summary>
/// Creates a new <see cref="OptionStrategyLegPredicate"/> from the specified predicate <paramref name="expression"/>
/// </summary>
public static OptionStrategyLegPredicate Create(
Expression <Func <IReadOnlyList <OptionPosition>, OptionPosition, bool> > expression
)
{
// expr must NOT include compound comparisons
// expr is a lambda of one of the following forms:
// (legs, position) => position.{target} {comparison} legs[i].{reference-target}
// (legs, position) => legs[i].{reference-target} {comparison} position.{target}
// (legs, position) => position.{target} {comparison} {literal-reference-target}
// (legs, position) => {literal-reference-target} {comparison} position.{target}
// we want to make the comparison of a common form, specifically:
// position.{target} {comparison} {reference-target}
// this is so when we invoke OptionPositionCollection we have the correct comparison type
// for example, legs[0].Strike > position.Strike
// needs to be inverted into position.Strike < legs[0].Strike
// so we can call OptionPositionCollection.Slice(BinaryComparison.LessThan, legs[0].Strike);
try
{
var legsParameter = expression.Parameters[0];
var positionParameter = expression.Parameters[1];
var binary = expression.OfType <BinaryExpression>().Single(e => e.NodeType.IsBinaryComparison());
var comparison = BinaryComparison.FromExpressionType(binary.NodeType);
var leftReference = CreateReferenceValue(legsParameter, positionParameter, binary.Left);
var rightReference = CreateReferenceValue(legsParameter, positionParameter, binary.Right);
if (leftReference != null && rightReference != null)
{
throw new ArgumentException($"The provided expression is not of the required form: {expression}");
}
// we want the left side to be null, indicating position.{target}
// if not, then we need to flip the comparison operand
var reference = rightReference;
if (rightReference == null)
{
reference = leftReference;
comparison = comparison.FlipOperands();
}
return(new OptionStrategyLegPredicate(comparison, reference, expression.Compile(), expression));
}
catch
{
// we can still handle arbitrary predicates, they just require a full search of the positions
// as we're unable to leverage any of the pre-build indexes via Slice methods.
return(new OptionStrategyLegPredicate(null, null, expression.Compile(), expression));
}
}
public void EvaluatesFlippedOperandsComparison(ExpressionType type, bool expected1, bool expected2)
{
const int left1 = 1;
const int right1 = 1;
const int left2 = 2;
const int right2 = 3;
var comparison = BinaryComparison.FromExpressionType(type).FlipOperands();
var actual1 = comparison.Evaluate(left1, right1);
Assert.AreEqual(expected1, actual1);
var actual2 = comparison.Evaluate(left2, right2);
Assert.AreEqual(expected2, actual2);
}
