private WeeklyIncomeActionPlan PcGeneticOptimizationActionPlanGenerator(List <PairCondor> pairCondorCandidates,
int slots, int popSize = 50, Double mutProb = .2, Double elite = .2, int maxIter = 100)
{
List <WeeklyIncomeActionPlan> pop = new List <WeeklyIncomeActionPlan>();
for (int i = 0; i < popSize; i++)
{
pop.Add(BuildRandomSolution(pairCondorCandidates, WeeklyActionPlanGenerationMethods.GeneticOptimization, slots));
}
int topElite = (int)(elite * popSize);
for (int i = 0; i < maxIter; i++)
{
pop = pop.OrderByDescending(x => x.Credit).Take(topElite).ToList();
while (pop.Count < popSize)
{
if (random.NextDouble() < mutProb)
{
WeeklyIncomeActionPlan mut = new WeeklyIncomeActionPlan(pop.Take(topElite).ToList()[random.Next(0, topElite)]);
Mutate(mut, pairCondorCandidates, slots);
pop.Add(mut);
}
else
{
WeeklyIncomeActionPlan r1 = new WeeklyIncomeActionPlan(pop.Take(topElite).ToList()[random.Next(0, topElite)]);
WeeklyIncomeActionPlan r2 = new WeeklyIncomeActionPlan(pop.Take(topElite).ToList()[random.Next(0, topElite)]);
pop.Add(Crossover(r1, r2, pairCondorCandidates, slots));
}
}
}
return(pop.OrderByDescending(x => x.Credit).First());
}
public static void Delete(int identifier)
{
using (TradeProAssistantContext context = new TradeProAssistantContext())
{
try
{
WeeklyIncomeActionPlan weeklyincomeactionplan = context.WeeklyIncomeActionPlans.Find(identifier);
context.Entry(weeklyincomeactionplan).State = EntityState.Deleted;
context.SaveChanges();
}
catch { }
}
}
public static int Save(WeeklyIncomeActionPlan weeklyincomeactionplan)
{
using (TradeProAssistantContext context = new TradeProAssistantContext())
{
context.Entry(weeklyincomeactionplan).State = weeklyincomeactionplan.IsNew ?
EntityState.Added :
EntityState.Modified;
context.SaveChanges();
return(weeklyincomeactionplan.Identifier);
}
}
private WeeklyIncomeActionPlan BuildRandomSolution(List <PairCondor> pairCondorCandidates, WeeklyActionPlanGenerationMethods generationMethod, int slots)
{
WeeklyIncomeActionPlan actionPlan = new WeeklyIncomeActionPlan();
actionPlan.GenerationMethod = generationMethod;
while (actionPlan.Pairs.Count < slots)
{
int idx = random.Next(pairCondorCandidates.Count);
actionPlan.AddPairCondor(pairCondorCandidates[idx]);
}
return(actionPlan);
}
private WeeklyIncomeActionPlan PcRandomSearchActionPlanGenerator(List <PairCondor> pairCondorCandidates,
int slots, int iterations = 500)
{
WeeklyIncomeActionPlan best = BuildRandomSolution(pairCondorCandidates, WeeklyActionPlanGenerationMethods.RandomSearch, slots);
for (int i = 0; i < iterations; i++)
{
WeeklyIncomeActionPlan temp = BuildRandomSolution(pairCondorCandidates, WeeklyActionPlanGenerationMethods.RandomSearch, slots);
if (temp.Credit > best.Credit)
{
best = temp;
}
}
return(best);
}
private void Mutate(WeeklyIncomeActionPlan actionPlan, List <PairCondor> pairCondorCandidates, int slots)
{
int step = random.Next(0, 2) == 0 ? 1 : -1;
int rmvIdx = random.Next(0, actionPlan.Pairs.Count);
PairCondor rmvPair = actionPlan.Pairs[rmvIdx];
int pairIdx = pairCondorCandidates.FindIndex(x => x.BullPutSpread.SecurityIdentifier == rmvPair.BullPutSpread.SecurityIdentifier &&
x.BearCallSpread.SecurityIdentifier == rmvPair.BearCallSpread.SecurityIdentifier);
actionPlan.Pairs.RemoveAt(rmvIdx);
pairIdx = MutateIndex(pairIdx, step, pairCondorCandidates);
while (actionPlan.Pairs.Count < slots)
{
actionPlan.AddPairCondor(pairCondorCandidates[pairIdx]);
pairIdx = MutateIndex(pairIdx, step, pairCondorCandidates);
}
}
private WeeklyIncomeActionPlan IcBruteForceActionPlanGenerator(List <PairCondor> ironCondorCandidates, int slots)
{
WeeklyIncomeActionPlan actionPlan = new WeeklyIncomeActionPlan();
actionPlan.GenerationMethod = Enums.WeeklyActionPlanGenerationMethods.BruteForce;
foreach (PairCondor ironCondor in ironCondorCandidates.OrderByDescending(x => x.Credit))
{
actionPlan.Pairs.Add(ironCondor);
if (actionPlan.Pairs.Count == slots)
{
break;
}
}
return(actionPlan);
}
private WeeklyIncomeActionPlan Crossover(WeeklyIncomeActionPlan r1, WeeklyIncomeActionPlan r2, List <PairCondor> pairCondorCandidates, int slots)
{
WeeklyIncomeActionPlan co = new WeeklyIncomeActionPlan();
co.GenerationMethod = r1.GenerationMethod;
int splitIdx = random.Next(1, slots - 1);
co.Pairs.AddRange(r1.Pairs.Take(splitIdx));
for (int i = splitIdx; i < r2.Pairs.Count; i++)
{
co.AddPairCondor(r2.Pairs[splitIdx]);
}
while (co.Pairs.Count < slots)
{
int idx = random.Next(pairCondorCandidates.Count);
co.AddPairCondor(pairCondorCandidates[idx]);
}
return(co);
}
public static void Delete(WeeklyIncomeActionPlan weeklyincomeactionplan)
{
Delete(weeklyincomeactionplan.Identifier);
}
public async Task BuildPcPlan(int slots, Decimal minStrikeDiff, Decimal maxRisk, int strikePadding)
{
Thread.Sleep(1000);
Query query = new Query();
query.SortPropertyName = Security.PropertyNames.Symbol;
query.QuerySingleFilters.Add(new QuerySingleFilter()
{
PropertyName = Security.PropertyNames.PairEligible,
Parameter = "true",
QueryOperator = QueryOperators.Equals,
IsAndFilter = true
});
query.QuerySingleFilters.Add(new QuerySingleFilter()
{
PropertyName = Security.PropertyNames.Ignore,
Parameter = "false",
QueryOperator = QueryOperators.Equals,
IsAndFilter = true
});
query.Includes.Add(Security.PropertyNames.OptionChainsInclude);
query.Includes.Add(Security.PropertyNames.OptionChains.DatesInclude);
query.Includes.Add(Security.PropertyNames.OptionChains.Dates.StrikesInclude);
query.Includes.Add(Security.PropertyNames.OptionChains.Dates.Strikes.CallInclude);
query.Includes.Add(Security.PropertyNames.OptionChains.Dates.Strikes.PutInclude);
List <Security> securities = SecurityService.GetCollection(query);
securities.FilterForImportantDates();
//securities = securities.Where(x => x.SectorEnum == Enums.Sectors.Index).ToList();
OnProgressMessageRaised(new HtmlTag("li").Class("list-group-item").Class("active")
.Append(HtmlTags.B.Append(securities.Count.ToString()))
.Append(HtmlTags.Span.Append(" optionable securities retrieved"))
.ToHtml().ToString(), this.JobId);
foreach (Security security in securities)
{
security.MinStrikeDiff = minStrikeDiff;
security.MaxRisk = maxRisk;
security.StrikePadding = strikePadding;
OnProgressMessageRaised(new HtmlTag("li").Class("list-group-item")
.Append(HtmlTags.B.Append($"{security.Symbol}"))
.Append(HtmlTags.Span.Append(" expected move: "))
.Append(HtmlTags.B.Append($"{security.ExpectedMove:C} ({(security.ExpectedMove / security.CurrentPrice):P2})"))
.Append(HtmlTags.Span.Append(" credit spreads: "))
.Append(HtmlTags.B.Append($"{security.PcBearCallSpread}, {security.PcBullPutSpread}"))
//.Append(HtmlTags.Span.Append($", price range: "))
//.Append(HtmlTags.B.Append($"{security.LowerBoundStrike:C} : {security.ExpectedLowerMove:C} : {security.CurrentPrice:C} : {security.ExpectedUpperMove:C} : {security.UpperBoundStrike:C}"))
//.Append(HtmlTags.Span.Append($", step/qty: "))
//.Append(HtmlTags.B.Append($"{security.StrikeStep:C} / {security.ContractQuantity}"))
.ToHtml().ToString(), this.JobId);
}
WeeklyIncomePlaySheet playSheet = new WeeklyIncomePlaySheet();
playSheet.TimeStamp = DateTime.Now;
playSheet.Expiry = securities[0].LatestOptionDate.ExpiryDate;
//var results = from p in persons
// group p.car by p.PersonId into g
// select new { PersonId = g.Key, Cars = g.ToList() };
var sectorGroups = from s in securities
group s by s.SectorEnum into g
select new { Sector = g.Key, Securities = g.ToList() };
List <PairCondor> pairCondorCandidates = new List <PairCondor>();
foreach (var sectorGroup in sectorGroups)
{
OnProgressMessageRaised(new HtmlTag("li").Class("list-group-item")
.Append(HtmlTags.Span.Append("Sector group: "))
.Append(HtmlTags.B.Append($"{sectorGroup.Sector.GetStringValue()}"))
.ToHtml().ToString(), this.JobId);
if (sectorGroup.Securities.Count > 1)
{
for (int i = 0; i < sectorGroup.Securities.Count - 1; i++)
{
for (int j = i + 1; j < sectorGroup.Securities.Count; j++)
{
Security iSecurity = sectorGroup.Securities[i];
Security jSecurity = sectorGroup.Securities[j];
if (!iSecurity.IsBearish && !jSecurity.IsBullish)
{
PairCondor ijPairCondor = new PairCondor();
ijPairCondor.SectorEnum = sectorGroup.Sector;
ijPairCondor.Strategy = StrategyTypes.PairCondor;
ijPairCondor.BullPutSpread = iSecurity.PcBullPutSpread;
ijPairCondor.BearCallSpread = jSecurity.PcBearCallSpread;
pairCondorCandidates.Add(ijPairCondor);
}
if (!jSecurity.IsBearish && !iSecurity.IsBullish)
{
PairCondor jiPairCondor = new PairCondor();
jiPairCondor.SectorEnum = sectorGroup.Sector;
jiPairCondor.Strategy = StrategyTypes.PairCondor;
jiPairCondor.BullPutSpread = jSecurity.PcBullPutSpread;
jiPairCondor.BearCallSpread = iSecurity.PcBearCallSpread;
pairCondorCandidates.Add(jiPairCondor);
}
}
}
}
}
List <WeeklyIncomeComboCount> comboCounts = (from x in pairCondorCandidates
group x by x.SectorEnum into g
select new WeeklyIncomeComboCount()
{
SectorEnum = g.Key,
Count = g.Count()
}).OrderByDescending(x => x.Count).ToList();
playSheet.ComboCounts = comboCounts;
playSheet.Strategy = StrategyTypes.PairCondor;
int playSheetId = WeeklyIncomePlaySheetService.Save(playSheet);
pairCondorCandidates = pairCondorCandidates.OrderByDescending(x => x.Credit).Select(x => new PairCondor(x)).ToList();
WeeklyIncomeActionPlan bruteForceActionPlan = PcBruteForceActionPlanGenerator(pairCondorCandidates, slots);
bruteForceActionPlan.PlaySheetIdentifier = playSheetId;
WeeklyIncomeActionPlanService.Save(bruteForceActionPlan);
pairCondorCandidates = pairCondorCandidates.OrderByDescending(x => x.Credit).Select(x => new PairCondor(x)).ToList();
WeeklyIncomeActionPlan randomSearchActionPlan = PcRandomSearchActionPlanGenerator(pairCondorCandidates, slots);
randomSearchActionPlan.PlaySheetIdentifier = playSheetId;
WeeklyIncomeActionPlanService.Save(randomSearchActionPlan);
pairCondorCandidates = pairCondorCandidates.OrderByDescending(x => x.Credit).Select(x => new PairCondor(x)).ToList();
WeeklyIncomeActionPlan geneticOptimizationActionPlan = PcGeneticOptimizationActionPlanGenerator(pairCondorCandidates, slots);
geneticOptimizationActionPlan.PlaySheetIdentifier = playSheetId;
WeeklyIncomeActionPlanService.Save(geneticOptimizationActionPlan);
Thread.Sleep(1000);
OnRedirectRaised("WeeklyIncome", "PlaySheet", playSheetId, this.JobId);
}
public async Task BuildIcPlan(int slots, Decimal minStrikeDiff, Decimal maxRisk, int strikePadding)
{
Thread.Sleep(1000);
Query query = new Query();
query.SortPropertyName = Security.PropertyNames.Symbol;
query.QuerySingleFilters.Add(new QuerySingleFilter()
{
PropertyName = Security.PropertyNames.IronCondorEligible,
Parameter = "true",
QueryOperator = QueryOperators.Equals,
IsAndFilter = true
});
query.QuerySingleFilters.Add(new QuerySingleFilter()
{
PropertyName = Security.PropertyNames.Ignore,
Parameter = "false",
QueryOperator = QueryOperators.Equals,
IsAndFilter = true
});
query.Includes.Add(Security.PropertyNames.OptionChainsInclude);
query.Includes.Add(Security.PropertyNames.OptionChains.DatesInclude);
query.Includes.Add(Security.PropertyNames.OptionChains.Dates.StrikesInclude);
query.Includes.Add(Security.PropertyNames.OptionChains.Dates.Strikes.CallInclude);
query.Includes.Add(Security.PropertyNames.OptionChains.Dates.Strikes.PutInclude);
List <Security> securities = SecurityService.GetCollection(query);
securities.FilterForImportantDates();
//securities = securities.Where(x => x.SectorEnum == Enums.Sectors.Index).ToList();
OnProgressMessageRaised(new HtmlTag("li").Class("list-group-item").Class("active")
.Append(HtmlTags.B.Append(securities.Count.ToString()))
.Append(HtmlTags.Span.Append(" optionable securities retrieved"))
.ToHtml().ToString(), this.JobId);
WeeklyIncomePlaySheet playSheet = new WeeklyIncomePlaySheet();
playSheet.TimeStamp = DateTime.Now;
playSheet.Expiry = securities[0].LatestOptionDate.ExpiryDate;
List <PairCondor> ironCondorCandidates = new List <PairCondor>();
foreach (Security security in securities)
{
security.MinStrikeDiff = minStrikeDiff;
security.MaxRisk = maxRisk;
security.StrikePadding = strikePadding;
}
foreach (Security security in securities.Where(x => x.IcOptionsExist))
{
PairCondor ironCondor = new PairCondor();
ironCondor.SectorEnum = security.SectorEnum;
ironCondor.Strategy = StrategyTypes.IronCondor;
ironCondor.BullPutSpread = security.IcBullPutSpread;
ironCondor.BearCallSpread = security.IcBearCallSpread;
ironCondorCandidates.Add(ironCondor);
}
playSheet.Strategy = StrategyTypes.IronCondor;
int playSheetId = WeeklyIncomePlaySheetService.Save(playSheet);
ironCondorCandidates = ironCondorCandidates.OrderByDescending(x => x.Credit).Select(x => new PairCondor(x)).ToList();
WeeklyIncomeActionPlan bruteForceActionPlan = IcBruteForceActionPlanGenerator(ironCondorCandidates, slots);
bruteForceActionPlan.PlaySheetIdentifier = playSheetId;
WeeklyIncomeActionPlanService.Save(bruteForceActionPlan);
Thread.Sleep(1000);
OnRedirectRaised("WeeklyIncome", "PlaySheet", playSheetId, this.JobId);
}
