wehub-resource-sync
88 lines
3.4 KiB
C#
88 lines
3.4 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Securities.Option.StrategyMatcher
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{
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/// <summary>
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/// Stub class providing an idea towards an optimal <see cref="IOptionPositionCollectionEnumerator"/> implementation
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/// that still needs to be implemented.
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/// </summary>
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public class AbsoluteRiskOptionPositionCollectionEnumerator : IOptionPositionCollectionEnumerator
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{
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private readonly Func<Symbol, decimal> _marketPriceProvider;
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/// <summary>
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/// Intializes a new instance of the <see cref="AbsoluteRiskOptionPositionCollectionEnumerator"/> class
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/// </summary>
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/// <param name="marketPriceProvider">Function providing the current market price for a provided symbol</param>
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public AbsoluteRiskOptionPositionCollectionEnumerator(Func<Symbol, decimal> marketPriceProvider)
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{
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_marketPriceProvider = marketPriceProvider;
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}
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/// <summary>
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/// Enumerates the provided <paramref name="positions"/>. Positions enumerated first are more
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/// likely to be matched than those appearing later in the enumeration.
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/// </summary>
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public IEnumerable<OptionPosition> Enumerate(OptionPositionCollection positions)
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{
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if (positions.IsEmpty)
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{
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yield break;
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}
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var marketPrice = _marketPriceProvider(positions.Underlying);
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var longPositions = new List<OptionPosition>();
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var shortPuts = new SortedDictionary<decimal, OptionPosition>();
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var shortCalls = new SortedDictionary<decimal, OptionPosition>();
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foreach (var position in positions)
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{
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if (!position.Symbol.HasUnderlying)
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{
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yield return position;
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}
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if (position.Quantity > 0)
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{
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longPositions.Add(position);
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}
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else
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{
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switch (position.Right)
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{
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case OptionRight.Put:
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shortPuts.Add(position.Strike, position);
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break;
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case OptionRight.Call:
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shortCalls.Add(position.Strike, position);
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break;
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default:
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throw new ApplicationException(
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"The skies are falling, the oceans rising - you're having a bad time"
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);
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}
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}
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}
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throw new NotImplementedException("This implementation needs to be completed.");
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}
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}
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} |