wehub-resource-sync
75 lines
3.1 KiB
C#
75 lines
3.1 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.Collections.Generic;
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namespace QuantConnect.Securities.Option.StrategyMatcher
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{
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/// <summary>
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/// Matches <see cref="OptionPositionCollection"/> against a collection of <see cref="OptionStrategyDefinition"/>
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/// according to the <see cref="OptionStrategyMatcherOptions"/> provided.
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/// </summary>
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public class OptionStrategyMatcher
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{
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/// <summary>
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/// Specifies options controlling how the matcher operates
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/// </summary>
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public OptionStrategyMatcherOptions Options { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="OptionStrategyMatcher"/> class
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/// </summary>
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/// <param name="options">Specifies definitions and other options controlling the matcher</param>
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public OptionStrategyMatcher(OptionStrategyMatcherOptions options)
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{
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Options = options;
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}
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// TODO : Implement matching multiple permutations and using the objective function to select the best solution
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/// <summary>
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/// Using the definitions provided in <see cref="Options"/>, attempts to match all <paramref name="positions"/>.
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/// The resulting <see cref="OptionStrategyMatch"/> presents a single, valid solution for matching as many positions
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/// as possible.
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/// </summary>
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public OptionStrategyMatch MatchOnce(OptionPositionCollection positions)
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{
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// these definitions are enumerated according to the configured IOptionStrategyDefinitionEnumerator
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var strategies = new List<OptionStrategy>();
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foreach (var definition in Options.Definitions)
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{
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// simplest implementation here is to match one at a time, updating positions in between
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// a better implementation would be to evaluate all possible matches and make decisions
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// prioritizing positions that would require more margin if not matched
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OptionStrategyDefinitionMatch match;
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while (definition.TryMatchOnce(Options, positions, out match))
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{
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positions = match.RemoveFrom(positions);
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strategies.Add(match.CreateStrategy());
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}
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if (positions.IsEmpty)
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{
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break;
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}
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}
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return new OptionStrategyMatch(strategies);
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}
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}
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}
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