public CallState(long id, IContext context, IDataSourceSecurity dataSourceSecurity, bool onlyAtTradingSession)
{
Contract.Assert(context != null, "Почему вдруг (context==null) ??");
Contract.Assert(dataSourceSecurity != null, "Почему вдруг (dataSourceSecurity==null) ??");
CallId = id;
CallContext = context;
SecInfo = new PositionsManager.SecInfo(dataSourceSecurity);
OnlyAtTradingSession = onlyAtTradingSession;
DataSourceSecurity = dataSourceSecurity;
}
public bool Equals(IDataSourceSecurity secDesc)
{
if (secDesc == null)
{
return(false);
}
// проверка специально разбита на 3 части, чтобы легче было дебажить
bool res = FullName.Equals(secDesc.FullName, StringComparison.InvariantCultureIgnoreCase);
res &= Name.Equals(secDesc.Name, StringComparison.InvariantCultureIgnoreCase);
res &= DsName.Equals(secDesc.DSName, StringComparison.InvariantCultureIgnoreCase);
return(res);
}
public SecInfo(IDataSourceSecurity sec)
{
m_name = sec.Name;
m_dsName = sec.DSName;
m_fullName = sec.FullName;
m_strike = sec.Strike;
m_isOption = sec.IsOption;
m_expiry = sec.ExpirationDate;
if (m_isOption)
{
if (sec.ActiveType == ActiveType.OptionPut)
{
m_strikeType = Script.Options.StrikeType.Put;
}
else if (sec.ActiveType == ActiveType.OptionCall)
{
m_strikeType = Script.Options.StrikeType.Call;
}
}
}
public IList <double> Execute(IGraphPane pane, ISecurity security)
{
if (pane == null)
{
throw new ArgumentNullException(nameof(pane));
}
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
m_dataSourceSecurity = security.SecurityDescription;
var id = typeof(IInteractiveLineGen).Name + "." + VariableId;
var container = (NotClearableContainer <InteractiveLineGen>)Context.LoadObject(id);
container?.Content.Unsubscribe();
var result = GetLine(pane, m_bars = security.Bars);
Subscribe();
Context.StoreObject(id, new NotClearableContainer <InteractiveLineGen>(this));
return(result);
}
public DataSourceSecurity(IDataSourceSecurity source)
{
m_source = source ?? throw new ArgumentNullException(nameof(source));
}
/// <summary>
/// Метод под флаг TemplateTypes.INTERACTIVESPLINE
/// </summary>
public InteractiveSeries Execute(InteractiveSeries smile, IOptionSeries optSer, InteractiveSeries quoteIv, double scaleMult, int barNum)
{
if ((smile == null) || (optSer == null))
{
return(Constants.EmptySeries);
}
m_dataSourceSecurity = optSer.UnderlyingAsset.SecurityDescription;
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;
// 1. Формируем маркеры заявок
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
PositionsManager posMan = PositionsManager.GetManager(m_context);
IList <PositionsManager.IvTargetInfo> ivTargets = posMan.GetIvTargets(m_isLong, true);
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 <= k);
if ((ivTarget.SecInfo.StrikeType != null) &&
(ivTarget.SecInfo.StrikeType.Value != StrikeType.Any))
{
isCall = (ivTarget.SecInfo.StrikeType.Value == StrikeType.Call);
}
StrikeType optionType = isCall ? StrikeType.Call : StrikeType.Put;
Contract.Assert(pair.Tick < 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 += 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;
}
// Пересчитываем сигму обратно, ЕСЛИ мы применили сдвиг цены в абсолютном выражении
if (ivTarget.EntryShiftPrice != 0)
{
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;
}
}
double totalQty;
if (isCall)
{
totalQty = posMan.GetTotalQty(pair.Call.Security, m_context.BarsCount, TotalProfitAlgo.AllPositions, ivTarget.IsLong);
}
else
{
totalQty = posMan.GetTotalQty(pair.Put.Security, m_context.BarsCount, TotalProfitAlgo.AllPositions, ivTarget.IsLong);
}
double targetQty = Math.Abs(ivTarget.TargetShares) - totalQty;
// ReSharper disable once UseObjectOrCollectionInitializer
InteractivePointActive tmp = new InteractivePointActive();
// Попробуем по-простому?
tmp.Tag = ivTarget;
tmp.IsActive = true;
tmp.ValueX = k;
tmp.ValueY = sigma;
tmp.DragableMode = DragableMode.None;
if (ivTarget.EntryShiftPrice == 0)
{
tmp.Tooltip = String.Format(CultureInfo.InvariantCulture,
" F: {0}\r\n K: {1}; IV: {2:P2}\r\n {3} px {4} rIV {5:P2} @ {6}",
futPx, k, sigma, optionType, theorOptPxBitcoins, ivTarget.EntryIv, targetQty);
}
else
{
string shiftStr = (ivTarget.EntryShiftPrice > 0) ? "+" : "-";
shiftStr = shiftStr + Math.Abs(ivTarget.EntryShiftPrice) + "ps";
tmp.Tooltip = String.Format(CultureInfo.InvariantCulture,
" F: {0}\r\n K: {1}; IV: {2:P2}\r\n {3} px {4} rIV {5:P2} {6} @ {7}",
futPx, k, sigma, optionType, theorOptPxBitcoins, ivTarget.EntryIv, shiftStr, targetQty);
}
//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
InteractiveSeries res = new InteractiveSeries(); // Здесь так надо -- мы делаем новую улыбку
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
if (controlPoints.Count > 0)
{
res.ClickEvent -= InteractiveSplineOnClickEvent;
res.ClickEvent += InteractiveSplineOnClickEvent;
m_clickableSeries = res;
}
return(res);
}
