/// <summary>
/// Метод для передачи на вход серии опционов и также в явном виде на вход передаётся разрешение на выполнение дельта-хеджа
/// </summary>
public double Execute(double price, double rawDelta, IOptionSeries optSer, bool permissionToWork, int barNum)
{
if ((optSer == null) || (optSer.UnderlyingAsset == null))
{
return(Constants.NaN);
}
int len = m_context.BarsCount;
if (len <= 0)
{
return(Constants.NaN);
}
if (len <= barNum)
{
string msg = String.Format("[{0}] (BarsCount <= barNum)! BarsCount:{1}; barNum:{2}",
GetType().Name, m_context.BarsCount, barNum);
m_context.Log(msg, MessageType.Info, true);
barNum = len - 1;
}
ISecurity under = optSer.UnderlyingAsset;
DateTime now = under.Bars[barNum].Date;
var strikes = optSer.GetStrikes();
double res = CommonExecute(m_variableId + "_rawDeltas", now, true, true, false, barNum,
new object[]
{
price, rawDelta, under.Tick, optSer.ExpirationDate, under.Symbol,
under.FinInfo.LastUpdate, under.SecurityDescription, permissionToWork,
strikes, under.LotTick
});
return(res);
}
public double Execute(IOptionSeries optSer, int barNumber)
{
double res = Execute(optSer.UnderlyingAsset, barNumber);
foreach (var strike in optSer.GetStrikes())
{
double comm = Execute(strike.Security, barNumber);
res += comm;
}
return(res);
}
/// <summary>
/// Метод под флаг TemplateTypes.OPTION_SERIES, чтобы подключаться к источнику-серии
/// </summary>
public double Execute(IOptionSeries optSer, int barNumber)
{
double res = Execute(optSer.UnderlyingAsset, barNumber);
if (barNumber < m_context.BarsCount - 1)
{
return(res);
}
double accum = 0;
foreach (IOptionStrike strike in optSer.GetStrikes())
{
ISecurity sec = strike.Security;
accum += Execute(sec, barNumber);
}
return(res + accum);
}
/// <summary>
/// Обработчик под тип входных данных OPTION_SERIES
/// </summary>
public IList <Double2> Execute(IOptionSeries optSer)
{
List <Double2> res = new List <Double2>();
IOptionStrike[] strikes = (from strike in optSer.GetStrikes()
orderby strike.Strike ascending
select strike).ToArray();
for (int j = 0; j < strikes.Length; j++)
{
IOptionStrike sInfo = strikes[j];
if ((sInfo.FinInfo == null) || (!sInfo.FinInfo.TheoreticalPrice.HasValue))
{
continue;
}
double optPx = sInfo.FinInfo.TheoreticalPrice.Value;
optPx *= m_multPx;
optPx += m_addPx * sInfo.Security.SecurityDescription.GetTick(sInfo.FinInfo.TheoreticalPrice.Value);
res.Add(new Double2(sInfo.Strike, optPx));
}
return(res);
}
public InteractiveSeries Execute(IOptionSeries optSer, int barNum)
{
int barsCount = ContextBarsCount;
if ((barNum < barsCount - 1) || (optSer == null))
{
return(Constants.EmptySeries);
}
int lastBarIndex = optSer.UnderlyingAsset.Bars.Count - 1;
DateTime now = optSer.UnderlyingAsset.Bars[Math.Min(barNum, lastBarIndex)].Date;
bool wasInitialized = HandlerInitializedToday(now);
IOptionStrike[] options = optSer.GetStrikes().ToArray();
PositionsManager posMan = PositionsManager.GetManager(m_context);
//if (Context.Runtime.IsAgentMode)
//{
// PROD-6089 - Если мы в режиме агента, значит все инструменты уже ISecurityRt
// SortedList<DateTime, IOrder> sortedOrders = new SortedList<DateTime, IOrder>(s_comparer);
//}
SortedList <DateTime, IPosition> sortedPos = new SortedList <DateTime, IPosition>(s_comparer);
if (m_countFutures)
{
ReadOnlyCollection <IPosition> futPositions = posMan.GetActiveForBar(optSer.UnderlyingAsset);
if (futPositions.Count > 0)
{
for (int j = 0; j < futPositions.Count; j++)
{
IPosition pos = futPositions[j];
AddSafely(sortedPos, pos);
}
}
}
for (int m = 0; m < options.Length; m++)
{
IOptionStrike optStrike = options[m];
ReadOnlyCollection <IPosition> optPositions = posMan.GetActiveForBar(optStrike.Security);
if (optPositions.Count > 0)
{
for (int j = 0; j < optPositions.Count; j++)
{
IPosition pos = optPositions[j];
AddSafely(sortedPos, pos);
}
}
}
int counter = 0;
List <InteractiveObject> controlPoints = new List <InteractiveObject>();
foreach (var node in sortedPos)
{
InteractivePointActive ip = new InteractivePointActive();
ip.IsActive = true;
//ip.DragableMode = DragableMode.None;
ip.DateTime = node.Key;
ip.ValueX = 0; // все одинаковые 'страйки' имеют
ip.ValueY = PrepareValue(node, barNum, m_displayMode);
ip.Tooltip = PrepareTooltip(node, barNum, m_displayMode);
controlPoints.Add(new InteractiveObject(ip));
counter++;
if (counter >= m_maxPositions)
{
break;
}
}
InteractiveSeries res = new InteractiveSeries(); // Здесь правильно делать new
// Задаю свойство для отображения
switch (m_displayMode)
{
case PositionGridDisplayMode.Px:
case PositionGridDisplayMode.Qty:
res.DisplayProperty.Name = nameof(IInteractivePointLight.ValueY);
break;
default:
res.DisplayProperty.Name = nameof(InteractivePointActive.Tooltip);
break;
}
res.ControlPoints = new ReadOnlyCollection <InteractiveObject>(controlPoints);
SetHandlerInitialized(now);
return(res);
}
public Double2N Execute(IOptionSeries source)
{
var strikes = source != null?source.GetStrikes() : new IOptionStrike[0];
return(CalculateInternal(strikes));
}
public IList <Double2> Execute(IOptionSeries source, IReadOnlyList <InteractiveObject> data)
{
var strikes = source.GetStrikes().ToArray();
return(Calculate(strikes, data));
}
public IList <Double2> Execute(IOptionSeries source, InteractiveSeries data)
{
var strikes = source.GetStrikes().ToArray();
return(Calculate(strikes, data.ControlPoints));
}