public EntityResponse <List <OptionQuotation> > GetOptionQuotes(List <string> optionNumbers)
{
EntityResponse <List <OptionQuotation> > results = GetOptionQuotesByOptionNumbers(optionNumbers);
if (!results.IsSuccess)
{
return(results);
}
foreach (OptionQuotation quote in results.Entity)
{
EntityResponse <OptionBasicInformation> basic = GetOptionInformation(quote.OptionNumber);
if (basic.IsSuccess)
{
quote.SecurityCode = basic.Entity.OptionUnderlyingCode;
decimal?stockPrice;
double daysToMaturity = _marketWorkTimeService.GetNumberOfDaysLeftUntilExpiry(basic.Entity.ExpireDate).TotalNumberOfDaysUntilExpiry;
if (!MemoryCache.IsStockQuoteInfoCacheExpired(quote.SecurityCode))
{
stockPrice = MemoryCache.StockQuoteInfoCache[quote.SecurityCode].StockQuoteInfos.LastPrice;
}
else
{
var stockQuoteInfo = GetStockQuote(basic.Entity.OptionUnderlyingCode).Entity;
stockPrice = stockQuoteInfo.LastPrice;
MemoryCache.AddOrUpdateStockQuoteInfoCache(quote.SecurityCode, stockQuoteInfo);
}
//decimal? stockPrice = GetStockQuote(basic.Entity.OptionUnderlyingCode).Entity.LastPrice;
double spotPrice = 0;
if (stockPrice != null)
{
spotPrice = (double)stockPrice;
}
quote.Greeks = MarketMath.GetGreeks(daysToMaturity, (double)basic.Entity.StrikePrice,
_riskFreeRateProvider.GetRiskFreeRate(), spotPrice, quote.Ask, quote.Bid, quote.LatestTradedPrice,
basic.Entity.OptionType == OptionType.Call ? LegType.Call : LegType.Put);
}
}
return(results);
}
public void UpdateQuotation(IEnumerable <OptionQuotation> quotations)
{
foreach (OptionQuotation optionQuotation in quotations)
{
Option option = this[optionQuotation.OptionNumber];
if (option != null)
{
optionQuotation.SecurityCode = option.SecurityCode;
optionQuotation.OptionName = option.OptionName;
optionQuotation.OptionCode = option.OptionCode;
Mapper.Map(optionQuotation, option);
option.Name = optionQuotation.OptionName;
option.Greeks = MarketMath.GetGreeks(option.RootPair.Expiry.TotalNumberOfDaysUntilExpiry,
option.RootPair.StrikePrice, RiskFreeRate,
UnderlyingCurrentPrice, option.Ask, option.Bid, option.LatestTradedPrice, option.LegType);
}
}
}