void Process::HandleTSTrading( const Quote& quote ) {
// m_dblCallPrice = m_iterOILatestGammaSelectCall->Call()->Ask();
m_dblPutPrice = m_iterOILatestGammaSelectPut->second.Put()->Ask();
ptime dt = ou::TimeSource::Instance().Internal();
if ( dt.time_of_day() >= m_dtMarketClosingOrder ) {
m_ss.str( "" );
m_ss << dt;
m_ss << " State: Close Orders." << std::endl;
OutputDebugString( m_ss.str().c_str() );
m_TradingState = ETSCloseOrders;
}
else {
double dblMidQuote = ( quote.Bid() + quote.Ask() ) / 2.0;
double dblDeltaPut = m_iterOILatestGammaSelectPut->second.Put()->Delta() * m_posPut->GetRow().nPositionActive * 100;
//double dblDeltaCall = m_iterOILatestGammaSelectCall->second.Call()->Delta() * m_nCalls * 100;
bool bTraded = false;
if ( ( 0.0 != dblDeltaPut ) && !m_posUnderlying->OrdersPending() && !m_posPut->OrdersPending() ) {
try {
// todo: while implied volatility is rising, hold back on exiting?
// todo: while implied volatility is falling, hold back on entering?
double dblDeltaTotalUnderlying = m_posUnderlying->GetRow().nPositionActive;
if ( ou::tf::OrderSide::Sell == m_posUnderlying->GetRow().eOrderSideActive ) {
dblDeltaTotalUnderlying *= -1.0;
}
double dblDeltaDif = dblDeltaPut + dblDeltaTotalUnderlying;
if ( dblDeltaDif > m_dblBaseDeltaIncrement ) { // sell underlying to get closer to put delta
//m_posUnderlying->PlaceOrder( OrderType::Market, OrderSide::Sell, m_dblBaseDeltaIncrement / 100 ); // <<=== temporary fix for this simulation set
m_posUnderlying->PlaceOrder( OrderType::Market, OrderSide::Sell, m_dblBaseDeltaIncrement );
bTraded = true;
m_ss.str( "" );
m_ss << dt;
m_ss << " Underlying Sell " << m_dblBaseDeltaIncrement << ", trigger @" << dblMidQuote << std::endl;
OutputDebugString( m_ss.str().c_str() );
}
else {
if ( dblDeltaDif < -m_dblBaseDeltaIncrement ) { // buy underlying to get closer to put delta
//m_posUnderlying->PlaceOrder( OrderType::Market, OrderSide::Buy, m_dblBaseDeltaIncrement / 100 ); // <<=== temporary fix for this simulation set
m_posUnderlying->PlaceOrder( OrderType::Market, OrderSide::Buy, m_dblBaseDeltaIncrement );
bTraded = true;
m_ss.str( "" );
m_ss << dt;
m_ss << " Underlying Buy " << m_dblBaseDeltaIncrement << ", trigger @" << dblMidQuote << std::endl;
OutputDebugString( m_ss.str().c_str() );
}
}
}
catch ( std::logic_error &e ) {
// just catch, don't do anything
}
if ( bTraded ) {
PrintGreeks();
}
}
}
}
void Process::HandleTSMarketOpened( const Quote& quote ) {
double dblOpenValue = ( quote.Bid() + quote.Ask() ) / 2.0;
// comment our starting trade of the day
m_ss.str( "" );
m_ss << ou::TimeSource::Instance().Internal();
m_ss << " Opening mid quote: " << dblOpenValue << std::endl;
OutputDebugString( m_ss.str().c_str() );
// set iterators for center of the pack (crossovers are above and below trade):
m_iterAboveCrossOver = m_vCrossOverPoints.begin();
while ( dblOpenValue >= *m_iterAboveCrossOver ) {
++m_iterAboveCrossOver;
}
m_iterBelowCrossOver = m_iterAboveCrossOver;
while ( dblOpenValue <= *m_iterBelowCrossOver ) {
--m_iterBelowCrossOver;
}
// comment our crossover points
m_ss.str( "" );
m_ss << "Trade start " << *m_iterBelowCrossOver << ", " << dblOpenValue << ", " << *m_iterAboveCrossOver << std::endl;
OutputDebugString( m_ss.str().c_str() );
// calculate where to have put/call option watches,
// have a range of strikes above and below current trade (have maximum 100 watches available)
m_iterOIHighestWatch = m_mapStrikeInfo.begin();
while ( (m_iterOIHighestWatch->first) <= dblOpenValue ) {
++m_iterOIHighestWatch;
}
m_iterOILowestWatch = m_iterOIHighestWatch;
--m_iterOILowestWatch;
for ( int i = 0; i < 15; ++i ) {
if ( m_mapStrikeInfo.begin() != m_iterOILowestWatch ) {
--m_iterOILowestWatch;
}
if ( m_mapStrikeInfo.end() != m_iterOIHighestWatch ) {
++m_iterOIHighestWatch;
}
}
// set the actual watches
m_bWatchingOptions = true;
if ( keytypes::EProviderSimulator != m_pDataProvider->ID() ) {
for ( mapStrikeInfo_iter_t iter = m_iterOILowestWatch; iter != m_iterOIHighestWatch; ++iter ) {
StrikeInfo& oi = iter->second;
m_pDataProvider->AddQuoteHandler( oi.Call()->GetInstrument(), MakeDelegate( oi.Call(), &CNakedCall::HandleQuote ) );
m_pDataProvider->AddTradeHandler( oi.Call()->GetInstrument(), MakeDelegate( oi.Call(), &CNakedCall::HandleTrade ) );
m_pDataProvider->AddGreekHandler( oi.Call()->GetInstrument(), MakeDelegate( oi.Call(), &CNakedCall::HandleGreek ) );
m_pDataProvider->AddQuoteHandler( oi.Put()->GetInstrument(), MakeDelegate( oi.Put(), &CNakedPut::HandleQuote ) );
m_pDataProvider->AddTradeHandler( oi.Put()->GetInstrument(), MakeDelegate( oi.Put(), &CNakedPut::HandleTrade ) );
m_pDataProvider->AddGreekHandler( oi.Put()->GetInstrument(), MakeDelegate( oi.Put(), &CNakedPut::HandleGreek ) );
}
}
m_TradingState = ETSFirstTrade;
}