/// <summary>
/// To get the synthetic position for the option.
/// </summary>
/// <param name="side">The main position direction.</param>
/// <returns>The synthetic position.</returns>
public KeyValuePair<Security, Sides>[] Position(Sides side)
{
var asset = Option.GetUnderlyingAsset(_provider);
return new[]
{
new KeyValuePair<Security, Sides>(asset, Option.OptionType == OptionTypes.Call ? side : side.Invert()),
new KeyValuePair<Security, Sides>(Option.GetOppositeOption(_provider), side)
};
}
private void TryCreateOppositeOrder(List <ExecutionMessage> retVal, SortedDictionary <decimal, RefPair <LevelQuotes, QuoteChange> > quotes, DateTimeOffset localTime, DateTimeOffset serverTime, decimal tradePrice, decimal volume, Sides originSide)
{
if (HasDepth(localTime))
{
return;
}
var priceStep = GetPriceStep();
var oppositePrice = (tradePrice + _settings.SpreadSize * priceStep * (originSide == Sides.Buy ? 1 : -1)).Max(priceStep);
var bestQuote = quotes.FirstOrDefault();
if (bestQuote.Value == null || ((originSide == Sides.Buy && oppositePrice < bestQuote.Key) || (originSide == Sides.Sell && oppositePrice > bestQuote.Key)))
{
retVal.Add(CreateMessage(localTime, serverTime, originSide.Invert(), oppositePrice, volume));
}
}
/// <summary>
/// To get the synthetic position for the option.
/// </summary>
/// <param name="side">The main position direction.</param>
/// <returns>The synthetic position.</returns>
public KeyValuePair <Security, Sides>[] Position(Sides side)
{
var asset = Option.GetUnderlyingAsset(_provider);
return(new[]
{
new KeyValuePair <Security, Sides>(asset, Option.OptionType == OptionTypes.Call ? side : side.Invert()),
new KeyValuePair <Security, Sides>(Option.GetOppositeOption(_provider), side)
});
}
private IEnumerable<ExecutionMessage> IncreaseDepthVolume(DateTime time, DateTimeOffset serverTime, Sides orderSide, decimal leftVolume)
{
var quotes = orderSide == Sides.Buy ? _asks : _bids;
var quote = quotes.LastOrDefault();
if(quote.Value == null)
yield break;
var side = orderSide.Invert();
var lastVolume = quote.Value.Second.Volume;
var lastPrice = quote.Value.Second.Price;
while (leftVolume > 0 && lastPrice != 0)
{
lastVolume *= 2;
lastPrice += GetPriceStep() * (side == Sides.Buy ? -1 : 1);
leftVolume -= lastVolume;
yield return CreateMessage(time, serverTime, side, lastPrice, lastVolume);
}
}
private void TryCreateOppositeOrder(List<ExecutionMessage> retVal, SortedDictionary<decimal, RefPair<List<ExecutionMessage>, QuoteChange>> quotes, DateTime localTime, DateTimeOffset serverTime, decimal tradePrice, decimal volume, Sides originSide)
{
if (HasDepth(localTime))
return;
var oppositePrice = tradePrice + _settings.SpreadSize * GetPriceStep() * (originSide == Sides.Buy ? 1 : -1);
var bestQuote = quotes.FirstOrDefault();
if (bestQuote.Value == null || ((originSide == Sides.Buy && oppositePrice < bestQuote.Key) || (originSide == Sides.Sell && oppositePrice > bestQuote.Key)))
retVal.Add(CreateMessage(localTime, serverTime, originSide.Invert(), oppositePrice, volume));
}
private void ProcessMarketOrder(List<ExecutionMessage> retVal, SortedDictionary<decimal, RefPair<List<ExecutionMessage>, QuoteChange>> quotes, DateTimeOffset time, DateTime localTime, Sides orderSide, decimal tradePrice, decimal volume)
{
// вычисляем объем заявки по рынку, который смог бы пробить текущие котировки.
// bigOrder - это наша большая рыночная заявка, которая способствовала появлению tradeMessage
var bigOrder = CreateMessage(localTime, time, orderSide, tradePrice, 0, tif: TimeInForce.MatchOrCancel);
var sign = orderSide == Sides.Buy ? -1 : 1;
var hasQuotes = false;
foreach (var pair in quotes)
{
var quote = pair.Value.Second;
if (quote.Price * sign > tradePrice * sign)
{
bigOrder.Volume += quote.Volume;
}
else
{
if (quote.Price == tradePrice)
{
bigOrder.Volume += volume;
//var diff = tradeMessage.Volume - quote.Volume;
//// если объем котиовки был меньше объема сделки
//if (diff > 0)
// retVal.Add(CreateMessage(tradeMessage.LocalTime, quote.Side, quote.Price, diff));
}
else
{
if ((tradePrice - quote.Price).Abs() == _securityDefinition.PriceStep)
{
// если на один шаг цены выше/ниже есть котировка, то не выполняем никаких действий
// иначе добавляем новый уровень в стакан, чтобы не было большого расхождения цен.
hasQuotes = true;
}
break;
}
//// если котировки с ценой сделки вообще не было в стакане
//else if (quote.Price * sign < tradeMessage.TradePrice * sign)
//{
// retVal.Add(CreateMessage(tradeMessage.LocalTime, quote.Side, tradeMessage.Price, tradeMessage.Volume));
//}
}
}
retVal.Add(bigOrder);
// если собрали все котировки, то оставляем заявку в стакане по цене сделки
if (!hasQuotes)
retVal.Add(CreateMessage(localTime, time, orderSide.Invert(), tradePrice, volume));
}
/// <summary>
/// To get the option position for the synthetic base asset.
/// </summary>
/// <param name="strike">Strike.</param>
/// <param name="expiryDate">The date of the option expiration.</param>
/// <param name="side">The main position direction.</param>
/// <returns>The option position.</returns>
public KeyValuePair<Security, Sides>[] Position(decimal strike, DateTimeOffset expiryDate, Sides side)
{
var call = _security.GetCall(_provider, strike, expiryDate);
var put = _security.GetPut(_provider, strike, expiryDate);
return new[]
{
new KeyValuePair<Security, Sides>(call, side),
new KeyValuePair<Security, Sides>(put, side.Invert())
};
}