/* Weron California prices... */
//private string _timeSeries = @"CA\Price_Hourly.json";
//private string _exVarsPre = @"CA\";
//TODO: add uniqueStructure only for non overlapping short contracts to take priority
public JsonResult ForwardCurve(string region, bool nonOverlapping)
{
var dd = new Utils.NasdaqOMX.Downloader();
var fc = dd.ForwardCurve(nonOverlapping);
return(Json(fc, JsonRequestBehavior.AllowGet));
}
public JsonResult ArbVals()
{
var dd = new Utils.NasdaqOMX.Downloader();
var fc = dd.ForwardCurve(false);
/* Find all overlapping contracts */
var years = fc.Where(c => c.Resolution == Resolution.Yearly).ToList();
var quarters = fc.Where(c => c.Resolution == Resolution.Quarterly).ToList();
var months = fc.Where(c => c.Resolution == Resolution.Monthly).ToList();
//Months in Quarters
var mqs = quarters
.Where(quarter => months.Count(m => quarter.Begin <= m.Begin && m.End <= quarter.End) == 3)
.Select(quarter => new Tuple <ForwardContract, List <ForwardContract> >(quarter, months
.Where(month => quarter.Begin <= month.Begin && month.End <= quarter.End)
.ToList())
).ToList();
//Quarters in Years
var qys = years
.Where(year => quarters.Count(quarter => quarter.Begin.Year == year.Begin.Year) == 4)
.Select(year => new Tuple <ForwardContract, List <ForwardContract> >(year, quarters
.Where(quarter => quarter.Begin.Year == year.Begin.Year)
.ToList())
).ToList();
var allPairs = new List <Tuple <ForwardContract, List <ForwardContract> > >();
allPairs.AddRange(mqs);
allPairs.AddRange(qys);
/* Look for arbitrages */
//Long
var longs = allPairs.Select(p => new {
Pair = p.Item1.ContractS + " <-> " + string.Join(", ", p.Item2.Select(x => x.ContractS)),
Direction = "Long",
Leg1 = -p.Item1.Ask,
Leg2 = +WA(p.Item2, f => f.Bid),
PnL = -p.Item1.Ask + WA(p.Item2, f => f.Bid)
}).ToList();
//Short
var shorts = allPairs.Select(p => new
{
Pair = p.Item1.ContractS + " <-> " + string.Join(", ", p.Item2.Select(x => x.ContractS)),
Direction = "Short",
Leg1 = +p.Item1.Bid,
Leg2 = -WA(p.Item2, f => f.Ask),
PnL = +p.Item1.Bid - WA(p.Item2, f => f.Ask)
}).ToList();
var allPositions = new List <object>();
allPositions.AddRange(longs);
allPositions.AddRange(shorts);
return(Json(allPositions, JsonRequestBehavior.AllowGet));
}
public JsonResult ArbVals()
{
var dd = new Utils.NasdaqOMX.Downloader();
var fc = dd.ForwardCurve(false);
/* Find all overlapping contracts */
var years = fc.Where(c => c.Resolution == Resolution.Yearly).ToList();
var quarters = fc.Where(c => c.Resolution == Resolution.Quarterly).ToList();
var months = fc.Where(c => c.Resolution == Resolution.Monthly).ToList();
//Months in Quarters
var mqs = quarters
.Where(quarter => months.Count(m => quarter.Begin <= m.Begin && m.End <= quarter.End) == 3)
.Select(quarter => new Tuple<ForwardContract, List<ForwardContract>>(quarter, months
.Where(month => quarter.Begin <= month.Begin && month.End <= quarter.End)
.ToList())
).ToList();
//Quarters in Years
var qys = years
.Where(year => quarters.Count(quarter => quarter.Begin.Year == year.Begin.Year) == 4)
.Select(year => new Tuple<ForwardContract, List<ForwardContract>>(year, quarters
.Where(quarter => quarter.Begin.Year == year.Begin.Year)
.ToList())
).ToList();
var allPairs = new List<Tuple<ForwardContract, List<ForwardContract>>>();
allPairs.AddRange(mqs);
allPairs.AddRange(qys);
/* Look for arbitrages */
//Long
var longs = allPairs.Select(p => new {
Pair = p.Item1.ContractS + " <-> " + string.Join(", ", p.Item2.Select(x=>x.ContractS)),
Direction = "Long",
Leg1 = -p.Item1.Ask,
Leg2 = + WA(p.Item2, f => f.Bid),
PnL = -p.Item1.Ask + WA(p.Item2, f => f.Bid)
}).ToList();
//Short
var shorts = allPairs.Select(p => new
{
Pair = p.Item1.ContractS + " <-> " + string.Join(", ", p.Item2.Select(x => x.ContractS)),
Direction = "Short",
Leg1 = +p.Item1.Bid,
Leg2 = -WA(p.Item2, f => f.Ask),
PnL = +p.Item1.Bid - WA(p.Item2, f => f.Ask)
}).ToList();
var allPositions = new List<object>();
allPositions.AddRange(longs);
allPositions.AddRange(shorts);
return Json(allPositions, JsonRequestBehavior.AllowGet);
}