public StrategyViewModel GetEditStrategy(int strategyId)
{
Strategy strategy = _strategyService.GetById(strategyId);
if (strategy == null)
{
return(null);
}
StrategyViewModel viewModel = Mapper.Map <Strategy, StrategyViewModel>(strategy);
viewModel.PairStrategyOptions = GetPairStrategyOptions(strategyId);
return(viewModel);
}
public SuggestedStrategy FullfillStrategy(OptionChain chain, Strategy strategyTemplate, bool opposite = false)
{
bool invertLegs = false;
if (opposite)
{
if (strategyTemplate.PairStrategyId == null)
{
// if there is no pair strategy defined we just invert legs for current strategy
}
else
{
strategyTemplate = _strategyService.GetById(strategyTemplate.PairStrategyId.Value);
}
}
int zeroExpiryIndex = 0;
if (chain != null)
{
DateAndNumberOfDaysUntil sigma1Date, sigma2Date;
// expiry date that is closest to 45 (by default) days from today
chain.GetClosestExpiryDatesToDaysInFeature(DefaultDaysInFutureForExpiry, out sigma1Date, out sigma2Date);
// this should be threated as base index for expiryDate. Use ExpirationDates[one + strategy.Expiry] to get current one.
zeroExpiryIndex = chain.ExpirationDates.ToList().IndexOf(sigma1Date) - 1;
}
SuggestedStrategy model = new SuggestedStrategy(strategyTemplate.Name, BuyOrSell.Buy);
List <SuggestedStrategyLeg> legs = new List <SuggestedStrategyLeg>();
foreach (StrategyLeg leg in strategyTemplate.Legs)
{
BuyOrSell buyOrSellForLeg = !invertLegs
? leg.BuyOrSell.Value
: leg.BuyOrSell == BuyOrSell.Buy
? BuyOrSell.Sell
: BuyOrSell.Buy;
SuggestedStrategyLeg legModel = new SuggestedStrategyLeg(leg.LegType.Value, buyOrSellForLeg, leg.Quantity);
if (legModel.LegType != LegType.Security)
{
if (chain == null)
{
return(model);
}
Debug.Assert(leg.Expiry != null, "leg.Expiry != null");
legModel.ExpirationDate = chain.ExpirationDates[zeroExpiryIndex + leg.Expiry.Value];
legModel.StrikePrice = GetStrikePriceForLegOld(chain, leg, legModel.ExpirationDate);
if (!legModel.StrikePrice.HasValue || !MeetMinBidResctictions(chain, legModel))
{
return(model);
}
}
legs.Add(legModel);
}
if (legs.Count == 2 &&
legs[0].BuyOrSell != legs[1].BuyOrSell && legs[0].StrikePrice == legs[1].StrikePrice &&
legs[0].ExpirationDate == legs[1].ExpirationDate)
{
// don't compose strategy if both legs have the same expiry and strike price
return(model);
}
model.Legs = legs;
return(model);
}
