Code cleanup.
This commit is contained in:
@@ -148,7 +148,7 @@ namespace TradeBlotter.ViewModels
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{
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try{LocalPriceCache.GetInstance().Clear();}catch(Exception){;}
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try{GBPriceCache.GetInstance().Clear();}catch(Exception){;}
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try{PriceCache.GetInstance().Clear();}catch(Exception){;}
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// try{PriceCache.GetInstance().Clear();}catch(Exception){;}
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MessageBox.Show("All caches have been re-intiialized.",base.DisplayName);
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}
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private void Refresh()
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@@ -921,7 +921,6 @@ namespace TradeBlotter.ViewModels
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{
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try{LocalPriceCache.GetInstance().Clear();}catch(Exception){;}
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try{GBPriceCache.GetInstance().Clear();}catch(Exception){;}
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try{PriceCache.GetInstance().Clear();}catch(Exception){;}
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}
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// **************************************************************************************************************************************************************************************
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// ******************************************************************************** C O M M A N D S *************************************************************************************
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@@ -100,7 +100,6 @@ namespace TradeBlotter.ViewModels
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}
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try{LocalPriceCache.GetInstance().Dispose();}catch(Exception){;}
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try{GBPriceCache.GetInstance().Dispose();}catch(Exception){;}
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try{PriceCache.GetInstance().Dispose();}catch(Exception){;}
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try{SymbolCache.GetInstance().Dispose();}catch(Exception){;}
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base.OnDispose();
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}
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@@ -237,7 +236,6 @@ namespace TradeBlotter.ViewModels
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new CommandViewModel("MGSHMomentum Model",new RelayCommand(ParamArrayAttribute=>this.ViewMGSHMomentumGenerator())),
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new CommandViewModel("CMMomentum Model",new RelayCommand(ParamArrayAttribute=>this.ViewCMMomentumGenerator())),
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new CommandViewModel("CMTTrend Model",new RelayCommand(ParamArrayAttribute=>this.ViewCMTTrendGenerator())),
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new CommandViewModel("Options",new RelayCommand(ParamArrayAttribute=>this.ViewOptions())),
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new CommandViewModel("Watch Lists",new RelayCommand(ParamArrayAttribute=>this.ViewWatchLists())),
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new CommandViewModel("Feed Statistics",new RelayCommand(ParamArrayAttribute=>this.ViewFeedStatistics()))
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};
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@@ -432,18 +430,6 @@ namespace TradeBlotter.ViewModels
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}
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this.SetActiveWorkspace(workspace);
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}
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private void ViewOptions()
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{
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OptionsViewModel workspace = this.Workspaces.FirstOrDefault(vm => vm is OptionsViewModel) as OptionsViewModel;
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if (null == workspace)
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{
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workspace = new OptionsViewModel();
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workspace.WorkspaceInstantiator = InstantiateWorkspace;
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AddMenuItem(workspace);
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this.Workspaces.Add(workspace);
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}
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this.SetActiveWorkspace(workspace);
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}
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private void ViewEarningsAnnouncements()
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{
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EarningsAnnouncementViewModel workspace = this.Workspaces.FirstOrDefault(vm => vm is EarningsAnnouncementViewModel) as EarningsAnnouncementViewModel;
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@@ -1,910 +0,0 @@
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using System;
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using System.ComponentModel;
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using System.Collections.Generic;
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using System.Collections.ObjectModel;
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using System.Collections.Specialized;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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using System.Threading;
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using System.Windows.Input;
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using System.Windows.Forms;
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using System.Xml.Serialization;
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using System.Windows.Media;
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using MarketData;
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using MarketData.Utils;
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using MarketData.MarketDataModel;
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using MarketData.Generator;
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using MarketData.DataAccess;
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using MarketData.Helper;
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using MarketData.Numerical;
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using TradeBlotter.DataAccess;
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using TradeBlotter.Command;
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using TradeBlotter.Model;
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using TradeBlotter.Cache;
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using Microsoft.Research.DynamicDataDisplay.DataSources;
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using System.IO;
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namespace TradeBlotter.ViewModels
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{
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public class OptionsViewModel : WorkspaceViewModel
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{
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private enum Tasks{SelectedSymbol,SelectedItem,CheckBoxFullHistory,CheckBoxCallPutRatio,SelectedExpirationDate,SelectedOptionType,SelectedWatchList,SelectedRiskFreeRateType,SelectedVolatilityDays};
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private Dictionary<Tasks,Semaphore> semaphorePool=new Dictionary<Tasks,Semaphore>();
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private RelayCommand launchOptionsWorksheetCommand = null;
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private BollingerBands bollingerBands;
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private Prices prices;
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private String symbol;
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private double volatility;
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private List<String> symbols;
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private List<String> watchLists;
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private String selectedWatchList;
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private RelayCommand updateCommand;
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private List<String> optionTypes;
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private String selectedOptionType;
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private ObservableCollection<Option> optionModels = new ObservableCollection<Option>();
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private ObservableCollection<Item> expirationDates=new ObservableCollection<Item>();
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private Options options = null;
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private List<String> riskFreeRateTypes;
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private String selectedRiskFreeRateType;
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private double selectedRiskFreeRate;
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private DateTime selectedRiskFreeRateDate=DateTime.MinValue;
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private List<Int32> volatilityDays =null;
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private Int32 selectedVolatilityDays;
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private String companyName;
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private Option selectedItem = null;
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private bool busyIndicator = false;
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private Item selectedExpirationDate = null;
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private bool checkBoxFullHistory = false;
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private bool checkBoxFullHistoryEnabled=false;
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private bool checkBoxCallPutRatio=true;
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private bool checkBoxCallPutRatioEnabled=true;
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private bool useLeastSquaresFit=false;
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// private bool showOnlyCallPutRatio=true;
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public OptionsViewModel()
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{
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semaphorePool.Add(Tasks.SelectedSymbol,new Semaphore(1,1));
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semaphorePool.Add(Tasks.SelectedItem,new Semaphore(1,1));
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semaphorePool.Add(Tasks.CheckBoxFullHistory,new Semaphore(1,1));
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semaphorePool.Add(Tasks.CheckBoxCallPutRatio,new Semaphore(1,1));
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semaphorePool.Add(Tasks.SelectedExpirationDate,new Semaphore(1,1));
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semaphorePool.Add(Tasks.SelectedOptionType,new Semaphore(1,1));
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semaphorePool.Add(Tasks.SelectedWatchList,new Semaphore(1,1));
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semaphorePool.Add(Tasks.SelectedRiskFreeRateType,new Semaphore(1,1));
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semaphorePool.Add(Tasks.SelectedVolatilityDays,new Semaphore(1,1));
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base.DisplayName = "Options";
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watchLists = WatchListDA.GetWatchLists();
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watchLists.Insert(0, Constants.CONST_ALL);
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selectedWatchList = watchLists.Find(x => x.Equals("Valuations"));
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symbols = WatchListDA.GetWatchList(selectedWatchList);
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symbols = OptionsDA.GetOptionsSymbolIn(symbols);
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volatilityDays = new List<Int32>();
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volatilityDays.Add(15);
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volatilityDays.Add(30);
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volatilityDays.Add(60);
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volatilityDays.Add(90);
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volatilityDays.Add(120);
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volatilityDays.Add(180);
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volatilityDays.Add(360);
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selectedVolatilityDays = volatilityDays[0];
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optionTypes = new List<String>();
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optionTypes.Add("Put");
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optionTypes.Add("Call");
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selectedOptionType = optionTypes[0];
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riskFreeRateTypes = YieldCurveData.GetRateTypesString();
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selectedRiskFreeRateType = riskFreeRateTypes[3];
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YieldCurve yieldCurve=YieldCurveDA.GetYieldCurve(1);
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selectedRiskFreeRateDate = yieldCurve[0].Date;
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selectedRiskFreeRate = yieldCurve[0].GetRate(selectedRiskFreeRateType);
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base.OnPropertyChanged("RiskFreeRateTypes");
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base.OnPropertyChanged("SelectedRiskFreeRateType");
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base.OnPropertyChanged("SelectedRiskFreeRate");
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base.OnPropertyChanged("SelectedRiskFreeRateDate");
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base.OnPropertyChanged("VolatilityDays");
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base.OnPropertyChanged("SelectedVolatilityDays");
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PropertyChanged += OnOptionsViewModelPropertyChanged;
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}
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public override SaveParameters GetSaveParameters()
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{
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return null;
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}
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public override void SetSaveParameters(SaveParameters saveParameters)
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{
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}
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public override bool CanPersist()
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{
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return false;
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}
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public ObservableCollection<TradeBlotter.Model.MenuItem> MenuItems
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{
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get
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{
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ObservableCollection<TradeBlotter.Model.MenuItem> collection = new ObservableCollection<TradeBlotter.Model.MenuItem>();
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collection.Add(new TradeBlotter.Model.MenuItem() { Text = "Launch Options Worksheet", MenuItemClickedCommand = LaunchOptionsWorksheet, StaysOpenOnClick = false });
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return collection;
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}
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}
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public ICommand LaunchOptionsWorksheet
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{
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get
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{
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if (null == launchOptionsWorksheetCommand)
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{
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launchOptionsWorksheetCommand = new RelayCommand(param =>
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{
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Price latestPrice=PriceCache.GetInstance().GetLatestPrice(selectedItem.Symbol);
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if(null==latestPrice)latestPrice=PricingDA.GetPrice(selectedItem.Symbol);
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SaveParameters saveParams = new SaveParameters();
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XmlSerializer optionSerializer = new XmlSerializer(selectedItem.GetType());
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StringWriter optionStringWriter = new StringWriter();
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optionSerializer.Serialize(optionStringWriter, selectedItem);
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XmlSerializer priceSerializer = new XmlSerializer(typeof(Price));
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StringWriter priceWriter = new StringWriter();
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priceSerializer.Serialize(priceWriter, latestPrice);
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saveParams.Add(new KeyValuePair<String, String>("Type", "TradeBlotter.ViewModels.OptionsWorksheetViewModel"));
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saveParams.Add(new KeyValuePair<String, String>("Option",optionStringWriter.ToString()));
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saveParams.Add(new KeyValuePair<String, String>("CompanyName", companyName));
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saveParams.Add(new KeyValuePair<String, String>("Price", priceWriter.ToString()));
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saveParams.Referer=this;
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WorkspaceInstantiator.Invoke(saveParams);
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}, param => { return true; });
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}
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return launchOptionsWorksheetCommand;
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}
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}
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public bool BusyIndicator
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{
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get { return busyIndicator; }
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set { busyIndicator = value; base.OnPropertyChanged("BusyIndicator"); }
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}
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// ***************************************************************************************************************************************************************
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// *************************************************************** M A I N E V E N T H A N D L E R ***********************************************************
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// ***************************************************************************************************************************************************************
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private void OnOptionsViewModelPropertyChanged(object sender, PropertyChangedEventArgs eventArgs)
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{
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try
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{
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if(eventArgs.PropertyName.Equals("CheckBoxCallPutRatio"))
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{
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HandleCheckBoxCallPutRatio();
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}
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if (eventArgs.PropertyName.Equals("CheckBoxFullHistory"))
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{
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HandleCheckBoxFullHistory();
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}
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if (eventArgs.PropertyName.Equals("SelectedSymbol") && null != symbol)
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{
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HandleSelectedSymbol();
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}
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else if (eventArgs.PropertyName.Equals("SelectedExpirationDate"))
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{
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HandleSelectedExpirationDate();
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}
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else if (eventArgs.PropertyName.Equals("SelectedOptionType") && null != symbol)
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{
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HandleSelectedOptionType();
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}
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else if (eventArgs.PropertyName.Equals("SelectedWatchList"))
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{
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HandleSelectedWatchList();
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}
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else if (eventArgs.PropertyName.Equals("SelectedRiskFreeRateType"))
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{
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HandleSelectedRiskFreeRateType();
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}
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else if (eventArgs.PropertyName.Equals("SelectedVolatilityDays"))
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{
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HandleSelectedVolatilityDays();
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}
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else if (eventArgs.PropertyName.Equals("SelectedItem"))
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{
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HandleSelectedItem();
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}
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else if(eventArgs.PropertyName.Equals("LeastSquaresFit"))
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{
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base.OnPropertyChanged("LeastSquares");
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}
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}
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catch(Exception /*e*/)
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{
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}
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finally
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{
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}
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}
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private void HandleCheckBoxCallPutRatio()
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{
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try
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{
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semaphorePool[Tasks.CheckBoxCallPutRatio].WaitOne();
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if(!checkBoxCallPutRatioEnabled)return;
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SelectedItem=null;
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("OnOptionsViewModelPropertyChanged:CheckBoxCallPutRatio:{0}", symbol));
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base.OnPropertyChanged("SelectedSymbol");
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}
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finally
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{
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semaphorePool[Tasks.CheckBoxCallPutRatio].Release();
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}
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}
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private void HandleCheckBoxFullHistory()
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{
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try
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{
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semaphorePool[Tasks.CheckBoxFullHistory].WaitOne();
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if(!checkBoxFullHistoryEnabled)return;
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SelectedItem=null;
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MDTrace.WriteLine(LogLevel.DEBUG, String.Format("OnOptionsViewModelPropertyChanged:CheckBoxFullHistory:{0}", symbol));
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base.OnPropertyChanged("SelectedSymbol");
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}
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finally
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{
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semaphorePool[Tasks.CheckBoxFullHistory].Release();
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}
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}
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private void HandleSelectedSymbol()
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{
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try
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{
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semaphorePool[Tasks.SelectedSymbol].WaitOne();
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MDTrace.WriteLine(LogLevel.DEBUG, String.Format("OnOptionsViewModelPropertyChanged:SelectedSymbol:{0}", symbol));
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checkBoxFullHistoryEnabled=true;
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SelectedItem=null;
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BusyIndicator = true;
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base.DisplayName="Options"+"("+symbol+")";
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Task workerTask = Task.Factory.StartNew(() =>
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{
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companyName = PricingDA.GetNameForSymbol(SelectedSymbol);
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if(checkBoxFullHistory)options=OptionsDA.GetOptions(symbol);
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else options = OptionsDA.GetOptions(symbol,DateTime.Now);
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if (null == options || 0 == options.Count)
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{
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App.Current.Dispatcher.Invoke((Action)delegate
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{
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optionModels.Clear();
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expirationDates.Clear();
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});
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base.OnPropertyChanged("AllOptions");
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base.OnPropertyChanged("ExpirationDates");
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return;
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}
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PutCallRatioHelper.CalculatePutCallRatios(options);
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if(checkBoxCallPutRatio)options=new Options((from Option option in options where (option.Type.Equals(OptionTypeEnum.CallOption) && !option.CallPutRatio.Equals(double.NaN))||(option.Type.Equals(OptionTypeEnum.PutOption) && !option.PutCallRatio.Equals(double.NaN)) select option).ToList());
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IEnumerable<Option> selectedOptions = null;
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OptionTypeEnum optionType = selectedOptionType.Equals("Call") ? OptionTypeEnum.CallOption : OptionTypeEnum.PutOption;
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selectedOptions = from option in options where option.Type.Equals(optionType) select option;
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if(!selectedOptions.Any())
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{
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App.Current.Dispatcher.Invoke((Action)delegate
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{
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optionModels.Clear();
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expirationDates.Clear();
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});
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base.OnPropertyChanged("AllOptions");
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base.OnPropertyChanged("ExpirationDates");
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return;
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}
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var selection = from option in selectedOptions select option.Expiration;
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IEnumerable<DateTime> distinctDates = selection.Distinct();
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App.Current.Dispatcher.Invoke((Action)delegate
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{
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expirationDates.Clear();
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for (int index = 0; index < distinctDates.Count<DateTime>(); index++)
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{
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expirationDates.Add(new Item(Utility.DateTimeToStringMMHDDHYYYY(distinctDates.ElementAt(index))));
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}
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selectedExpirationDate=expirationDates[0];
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});
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UpdateOptionValues();
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});
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workerTask.ContinueWith((continuation) =>
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{
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BusyIndicator = false;
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UpdateGraphs();
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base.OnPropertyChanged("DisplayName");
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base.OnPropertyChanged("ExpirationDates");
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base.OnPropertyChanged("SelectedExpirationDate");
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base.OnPropertyChanged("UnderlyingPrice");
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base.OnPropertyChanged("PricingDate");
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base.OnPropertyChanged("Title");
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base.OnPropertyChanged("CheckBoxFullHistoryEnabled");
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base.OnPropertyChanged("CheckBoxCallPutRatioEnabled");
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});
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}
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finally
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{
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semaphorePool[Tasks.SelectedSymbol].Release();
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}
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}
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private void HandleSelectedExpirationDate()
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{
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try
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{
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semaphorePool[Tasks.SelectedExpirationDate].WaitOne();
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MDTrace.WriteLine(String.Format("OnOptionsViewModelPropertyChanged:SelectedExpirationDate:{0}", symbol));
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selectedItem = null;
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IEnumerable<Option> selectedOptions = null;
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if (null == options || null == selectedExpirationDate)
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{
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MDTrace.WriteLine("null == options || null==selectedExpirationDate");
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bollingerBands = null;
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UpdateGraphs();
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return;
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}
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MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Selected Expiration Date:{0}", selectedExpirationDate.Value));
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selectedOptions = from option in options where option.Expiration.Date.Equals(DateTime.Parse(selectedExpirationDate.Value).Date) select option;
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if (null != selectedOptionType)
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{
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OptionTypeEnum optionType = selectedOptionType.Equals("Call") ? OptionTypeEnum.CallOption : OptionTypeEnum.PutOption;
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selectedOptions = from option in selectedOptions where option.Type.Equals(optionType) select option;
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}
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optionModels = new ObservableCollection<Option>(selectedOptions);
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Option topItem = optionModels.FirstOrDefault();
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if (topItem.Expiration < DateTime.Now) prices = PricingDA.GetPrices(symbol, topItem.Expiration, selectedVolatilityDays);
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else prices = PricingDA.GetPrices(symbol, selectedVolatilityDays);
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if (selectedVolatilityDays < 40)
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{
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Prices bollingerBandPrices = null;
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if (topItem.Expiration < DateTime.Now) bollingerBandPrices = PricingDA.GetPrices(symbol, topItem.Expiration, 40);
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else bollingerBandPrices = PricingDA.GetPrices(symbol, 40);
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bollingerBands = BollingerBandGenerator.GenerateBollingerBands(bollingerBandPrices);
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if (null != bollingerBandPrices) MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Bollinger Band Prices(<40) - {0} Min:{1} Max:{2}", symbol, bollingerBandPrices[0].Date, bollingerBandPrices[bollingerBandPrices.Count - 1].Date));
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else MDTrace.WriteLine(LogLevel.DEBUG,String.Format("No price for {0}",symbol));
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}
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else
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{
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if(null!=prices)MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Bollinger Band Prices - {0} Min:{1} Max:{2}", symbol, prices[0].Date, prices[prices.Count - 1].Date));
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else MDTrace.WriteLine(LogLevel.DEBUG,String.Format("No prices for symbol {0}", symbol));
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bollingerBands = BollingerBandGenerator.GenerateBollingerBands(prices);
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}
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if (null != prices && 0 != prices.Count)
|
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{
|
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float[] closingPrices = prices.GetPrices();
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volatility = Numerics.Volatility(ref closingPrices);
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base.OnPropertyChanged("Volatility");
|
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}
|
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UpdateOptionValues();
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UpdateGraphs();
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}
|
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catch (Exception exception)
|
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{
|
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Exception:{0}",exception.ToString()));
|
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}
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finally
|
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{
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semaphorePool[Tasks.SelectedExpirationDate].Release();
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}
|
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}
|
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private void HandleSelectedOptionType()
|
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{
|
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try
|
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{
|
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semaphorePool[Tasks.SelectedOptionType].WaitOne();
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MDTrace.WriteLine(LogLevel.DEBUG, String.Format("OnOptionsViewModelPropertyChanged:SelectedOptionType:{0}", selectedOptionType));
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SelectedItem=null;
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BusyIndicator = true;
|
||||
Task workerTask = Task.Factory.StartNew(() =>
|
||||
{
|
||||
IEnumerable<Option> selectedOptions = null;
|
||||
OptionTypeEnum optionType = selectedOptionType.Equals("Call") ? OptionTypeEnum.CallOption : OptionTypeEnum.PutOption;
|
||||
if (null == options || 0 == options.Count) return;
|
||||
selectedOptions = from option in options where option.Type.Equals(optionType) select option;
|
||||
selectedOptions = from option in selectedOptions where option.Expiration.Date.Equals(DateTime.Parse(selectedExpirationDate.Value).Date) select option;
|
||||
Option newSelection=selectedOptions.FirstOrDefault();
|
||||
optionModels = new ObservableCollection<Option>(selectedOptions);
|
||||
UpdateOptionValues();
|
||||
});
|
||||
workerTask.ContinueWith((continuation) =>
|
||||
{
|
||||
BusyIndicator = false;
|
||||
base.OnPropertyChanged("SelectedItem");
|
||||
UpdateGraphs();
|
||||
});
|
||||
}
|
||||
finally
|
||||
{
|
||||
semaphorePool[Tasks.SelectedOptionType].Release();
|
||||
}
|
||||
}
|
||||
private void HandleSelectedWatchList()
|
||||
{
|
||||
try
|
||||
{
|
||||
semaphorePool[Tasks.SelectedWatchList].WaitOne();
|
||||
MDTrace.WriteLine(LogLevel.DEBUG, "OnOptionsViewModelPropertyChanged:SelectedWatchList");
|
||||
// if (selectedWatchList.Equals(Constants.CONST_ALL)) symbols = PricingDA.GetSymbols();
|
||||
if (selectedWatchList.Equals(Constants.CONST_ALL)) symbols = SymbolCache.GetInstance().GetSymbols();
|
||||
else symbols = WatchListDA.GetWatchList(selectedWatchList);
|
||||
symbols = OptionsDA.GetOptionsSymbolIn(symbols);
|
||||
base.OnPropertyChanged("Symbols");
|
||||
}
|
||||
finally
|
||||
{
|
||||
semaphorePool[Tasks.SelectedWatchList].Release();
|
||||
}
|
||||
}
|
||||
private void HandleSelectedRiskFreeRateType()
|
||||
{
|
||||
try
|
||||
{
|
||||
semaphorePool[Tasks.SelectedRiskFreeRateType].WaitOne();
|
||||
MDTrace.WriteLine(LogLevel.DEBUG, "OnOptionsViewModelPropertyChanged:SelectedRiskFreeRateType");
|
||||
YieldCurve yieldCurve = YieldCurveDA.GetYieldCurve(1);
|
||||
selectedRiskFreeRate = yieldCurve[0].GetRate(selectedRiskFreeRateType);
|
||||
selectedRiskFreeRateDate = yieldCurve[0].Date;
|
||||
UpdateOptionValues();
|
||||
base.OnPropertyChanged("SelectedRiskFreeRate");
|
||||
base.OnPropertyChanged("SelectedRiskFreeRateDate");
|
||||
}
|
||||
finally
|
||||
{
|
||||
semaphorePool[Tasks.SelectedRiskFreeRateType].Release();
|
||||
}
|
||||
}
|
||||
public void HandleSelectedVolatilityDays()
|
||||
{
|
||||
try
|
||||
{
|
||||
semaphorePool[Tasks.SelectedVolatilityDays].WaitOne();
|
||||
MDTrace.WriteLine(LogLevel.DEBUG, "OnOptionsViewModelPropertyChanged:SelectedVolatilityDays");
|
||||
DateTime expirationDate=DateTime.Parse(selectedExpirationDate.Value);
|
||||
if(expirationDate<DateTime.Now)prices=PricingDA.GetPrices(symbol,expirationDate,selectedVolatilityDays);
|
||||
else prices = PricingDA.GetPrices(symbol, selectedVolatilityDays);
|
||||
if (null != prices && 0 != prices.Count)
|
||||
{
|
||||
float[] closingPrices = prices.GetPrices();
|
||||
volatility = Numerics.Volatility(ref closingPrices);
|
||||
base.OnPropertyChanged("Volatility");
|
||||
}
|
||||
if (selectedVolatilityDays < 40)
|
||||
{
|
||||
Prices bollingerBandPrices=null;
|
||||
if(expirationDate<DateTime.Now)bollingerBandPrices=PricingDA.GetPrices(symbol,expirationDate,40);
|
||||
else bollingerBandPrices = PricingDA.GetPrices(symbol, 40);
|
||||
bollingerBands = BollingerBandGenerator.GenerateBollingerBands(bollingerBandPrices);
|
||||
}
|
||||
else bollingerBands = BollingerBandGenerator.GenerateBollingerBands(prices);
|
||||
UpdateOptionValues();
|
||||
UpdateGraphs();
|
||||
}
|
||||
finally
|
||||
{
|
||||
semaphorePool[Tasks.SelectedVolatilityDays].Release();
|
||||
}
|
||||
}
|
||||
private void HandleSelectedItem()
|
||||
{
|
||||
try
|
||||
{
|
||||
semaphorePool[Tasks.SelectedItem].WaitOne();
|
||||
if(null==selectedItem)return;
|
||||
MDTrace.WriteLine(LogLevel.DEBUG, "OnOptionsViewModelPropertyChanged:SelectedItem");
|
||||
base.OnPropertyChanged("SelectedOptionStrikePoints");
|
||||
}
|
||||
finally
|
||||
{
|
||||
semaphorePool[Tasks.SelectedItem].Release();
|
||||
}
|
||||
}
|
||||
public Boolean LeastSquaresFit
|
||||
{
|
||||
get
|
||||
{
|
||||
return useLeastSquaresFit;
|
||||
}
|
||||
set
|
||||
{
|
||||
useLeastSquaresFit = value;
|
||||
base.OnPropertyChanged("LeastSquaresFit");
|
||||
}
|
||||
}
|
||||
// ************************************************************************************************************************************************************
|
||||
// ***************************************************************************************************************************************************************
|
||||
// ***************************************************************************************************************************************************************
|
||||
public String RatioDescription
|
||||
{
|
||||
get
|
||||
{
|
||||
if(null== selectedItem || null==selectedItem.Symbol)return "No row selected.";
|
||||
StringBuilder sb=new StringBuilder();
|
||||
sb.Append("The contrarian viewpoint is to trade against the positions of option traders. \nA high put/call ratio may indicate a buying opportunity while a low put/call ration may indicate a pullback.\n");
|
||||
if(selectedOptionType.Equals("Put"))
|
||||
{
|
||||
Option option=optionModels.OrderByDescending(x=>x.PutCallRatio).First();
|
||||
sb.Append(String.Format("The highest put/call ratio for {0} {1} expiry is the {2} strike.",selectedItem.Symbol,Utility.DateTimeToStringMMHDDHYYYY(selectedItem.Expiration),Utility.FormatCurrency(option.Strike)));
|
||||
}
|
||||
else
|
||||
{
|
||||
Option option=optionModels.OrderByDescending(x=>x.CallPutRatio).First();
|
||||
sb.Append(String.Format("The highest call/put ratio for {0} {1} expiry is the {2} strike.",selectedItem.Symbol,Utility.DateTimeToStringMMHDDHYYYY(selectedItem.Expiration),Utility.FormatCurrency(option.Strike)));
|
||||
}
|
||||
return sb.ToString();
|
||||
}
|
||||
}
|
||||
public ObservableCollection<Option> AllOptions
|
||||
{
|
||||
get { return optionModels; }
|
||||
}
|
||||
public List<String> OptionTypes
|
||||
{
|
||||
get
|
||||
{
|
||||
return optionTypes;
|
||||
}
|
||||
}
|
||||
public String SelectedOptionType
|
||||
{
|
||||
get { return selectedOptionType; }
|
||||
set{selectedOptionType=value;base.OnPropertyChanged("SelectedOptionType");}
|
||||
}
|
||||
public ObservableCollection<Item> ExpirationDates
|
||||
{
|
||||
get
|
||||
{
|
||||
return expirationDates;
|
||||
}
|
||||
}
|
||||
public List<String> Symbols
|
||||
{
|
||||
get
|
||||
{
|
||||
return symbols;
|
||||
}
|
||||
}
|
||||
public String SelectedSymbol
|
||||
{
|
||||
get { return symbol; }
|
||||
set
|
||||
{
|
||||
if (value == symbol || String.IsNullOrEmpty(value)) return;
|
||||
symbol = value;
|
||||
checkBoxFullHistory=false;
|
||||
base.OnPropertyChanged("CheckBoxFullHistory");
|
||||
base.OnPropertyChanged("SelectedSymbol");
|
||||
}
|
||||
}
|
||||
public override String Title
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == companyName || null == SelectedSymbol) return null;
|
||||
return companyName+" ("+SelectedSymbol+")";
|
||||
}
|
||||
}
|
||||
public List<String> WatchListNames
|
||||
{
|
||||
get
|
||||
{
|
||||
return watchLists;
|
||||
}
|
||||
set { ;}
|
||||
}
|
||||
public String SelectedWatchList
|
||||
{
|
||||
get { return selectedWatchList; }
|
||||
set { selectedWatchList = value; base.OnPropertyChanged("SelectedWatchList"); }
|
||||
}
|
||||
|
||||
public List<String> RiskFreeRateTypes
|
||||
{
|
||||
get
|
||||
{
|
||||
return riskFreeRateTypes;
|
||||
}
|
||||
}
|
||||
public String SelectedRiskFreeRateType
|
||||
{
|
||||
get
|
||||
{
|
||||
return selectedRiskFreeRateType;
|
||||
}
|
||||
set
|
||||
{
|
||||
selectedRiskFreeRateType = value;
|
||||
base.OnPropertyChanged("SelectedRiskFreeRateType");
|
||||
}
|
||||
}
|
||||
public double SelectedRiskFreeRate
|
||||
{
|
||||
get
|
||||
{
|
||||
return selectedRiskFreeRate;
|
||||
}
|
||||
set
|
||||
{
|
||||
selectedRiskFreeRate = value;
|
||||
base.OnPropertyChanged("SelectedRiskFreeRate");
|
||||
}
|
||||
}
|
||||
public DateTime SelectedRiskFreeRateDate
|
||||
{
|
||||
get
|
||||
{
|
||||
return selectedRiskFreeRateDate;
|
||||
}
|
||||
set
|
||||
{
|
||||
selectedRiskFreeRateDate = value;
|
||||
base.OnPropertyChanged("SelectedRiskFreeRateDate");
|
||||
}
|
||||
}
|
||||
public List<Int32> VolatilityDays
|
||||
{
|
||||
get
|
||||
{
|
||||
return volatilityDays;
|
||||
}
|
||||
}
|
||||
public Int32 SelectedVolatilityDays
|
||||
{
|
||||
get
|
||||
{
|
||||
return selectedVolatilityDays;
|
||||
}
|
||||
set
|
||||
{
|
||||
selectedVolatilityDays = value;
|
||||
base.OnPropertyChanged("SelectedVolatilityDays");
|
||||
}
|
||||
}
|
||||
public String UnderlyingPrice
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == prices || 0 == prices.Count) return Constants.CONST_DASHES;
|
||||
return Utility.FormatCurrency(prices[0].Close);
|
||||
}
|
||||
}
|
||||
public String PricingDate
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == prices || 0 == prices.Count) return Constants.CONST_DASHES;
|
||||
return Utility.DateTimeToStringMMSDDSYYYY(prices[0].Date);
|
||||
}
|
||||
}
|
||||
public String Volatility
|
||||
{
|
||||
get
|
||||
{
|
||||
if (double.IsNaN(volatility)) return Constants.CONST_DASHES;
|
||||
return Utility.FormatNumber(volatility);
|
||||
}
|
||||
}
|
||||
private void Update()
|
||||
{
|
||||
try
|
||||
{
|
||||
BusyIndicator = true;
|
||||
Task workerTask=Task.Factory.StartNew(()=>
|
||||
{
|
||||
if (null == symbol) return;
|
||||
Options options = MarketDataHelper.GetOptions(symbol);
|
||||
if (null == options || 0 == options.Count) return;
|
||||
if (OptionsDA.AddOptions(options)) MessageBox.Show(String.Format("Added {0} records for {1}", options.Count, symbol));
|
||||
else MessageBox.Show(String.Format("Failed to add options chain for {0}", symbol));
|
||||
});
|
||||
workerTask.ContinueWith((continuation) =>
|
||||
{
|
||||
BusyIndicator = false;
|
||||
base.OnPropertyChanged("SelectedSymbol");
|
||||
});
|
||||
}
|
||||
catch (Exception exception)
|
||||
{
|
||||
BusyIndicator = false;
|
||||
MessageBox.Show(exception.ToString());
|
||||
}
|
||||
}
|
||||
private bool CanUpdate
|
||||
{
|
||||
get { return true; }
|
||||
}
|
||||
public ICommand UpdateCommand
|
||||
{
|
||||
get
|
||||
{
|
||||
if (updateCommand == null)
|
||||
{
|
||||
updateCommand = new RelayCommand(param => this.Update(), param => this.CanUpdate);
|
||||
}
|
||||
return updateCommand;
|
||||
}
|
||||
}
|
||||
private void UpdateOptionValues()
|
||||
{
|
||||
if (null == optionModels) return;
|
||||
DateGenerator dateGenerator = new DateGenerator();
|
||||
foreach(Option option in optionModels)
|
||||
{
|
||||
int days = dateGenerator.DaysBetween(option.Expiration, prices[0].Date);
|
||||
double fractionOfYear = days / 360.00;
|
||||
double optionValue = BlackScholesOptionPricingModel.GetPrice(option.Type, prices[0].Close, option.Strike, fractionOfYear, selectedRiskFreeRate/100.00, volatility);
|
||||
option.OptionValue = optionValue;
|
||||
option.MoneyType.SetMoney(prices[0].Close, option.Strike);
|
||||
}
|
||||
if(checkBoxCallPutRatio)optionModels = new ObservableCollection<Option>(optionModels.OrderByDescending(x=>x.Ratio));
|
||||
else optionModels = new ObservableCollection<Option>(optionModels.OrderByDescending(x=>x.Strike));
|
||||
base.OnPropertyChanged("AllOptions");
|
||||
}
|
||||
// BollingerBands
|
||||
private void UpdateGraphs()
|
||||
{
|
||||
base.OnPropertyChanged("SelectedOptionStrikePoints");
|
||||
base.OnPropertyChanged("OptionStrikePoints");
|
||||
base.OnPropertyChanged("K");
|
||||
base.OnPropertyChanged("KL1");
|
||||
base.OnPropertyChanged("L");
|
||||
base.OnPropertyChanged("LP1");
|
||||
base.OnPropertyChanged("High");
|
||||
base.OnPropertyChanged("Low");
|
||||
base.OnPropertyChanged("Close");
|
||||
base.OnPropertyChanged("SMAN");
|
||||
base.OnPropertyChanged("LeastSquares");
|
||||
}
|
||||
public CompositeDataSource K
|
||||
{
|
||||
get
|
||||
{
|
||||
CompositeDataSource compositeDataSource = BollingerBandModel.K(bollingerBands);
|
||||
return compositeDataSource;
|
||||
}
|
||||
}
|
||||
public CompositeDataSource KL1
|
||||
{
|
||||
get
|
||||
{
|
||||
CompositeDataSource compositeDataSource = BollingerBandModel.KL1(bollingerBands);
|
||||
return compositeDataSource;
|
||||
}
|
||||
}
|
||||
public CompositeDataSource L
|
||||
{
|
||||
get
|
||||
{
|
||||
CompositeDataSource compositeDataSource = BollingerBandModel.L(bollingerBands);
|
||||
return compositeDataSource;
|
||||
}
|
||||
}
|
||||
public CompositeDataSource LP1
|
||||
{
|
||||
get
|
||||
{
|
||||
CompositeDataSource compositeDataSource = BollingerBandModel.LP1(bollingerBands);
|
||||
return compositeDataSource;
|
||||
}
|
||||
}
|
||||
public CompositeDataSource High
|
||||
{
|
||||
get
|
||||
{
|
||||
CompositeDataSource compositeDataSource = BollingerBandModel.High(bollingerBands);
|
||||
return compositeDataSource;
|
||||
}
|
||||
}
|
||||
public CompositeDataSource Low
|
||||
{
|
||||
get
|
||||
{
|
||||
CompositeDataSource compositeDataSource = BollingerBandModel.Low(bollingerBands);
|
||||
return compositeDataSource;
|
||||
}
|
||||
}
|
||||
public CompositeDataSource Close
|
||||
{
|
||||
get
|
||||
{
|
||||
CompositeDataSource compositeDataSource = BollingerBandModel.Close(bollingerBands);
|
||||
return compositeDataSource;
|
||||
}
|
||||
}
|
||||
public CompositeDataSource SMAN
|
||||
{
|
||||
get
|
||||
{
|
||||
CompositeDataSource compositeDataSource = BollingerBandModel.SMAN(bollingerBands);
|
||||
return compositeDataSource;
|
||||
}
|
||||
}
|
||||
public CompositeDataSource LeastSquares
|
||||
{
|
||||
get
|
||||
{
|
||||
if(!useLeastSquaresFit||null==bollingerBands||null==selectedExpirationDate||null==selectedExpirationDate.Value)return null;
|
||||
CompositeDataSource compositeDataSourceLeastSquares=null;
|
||||
compositeDataSourceLeastSquares=BollingerBandModel.LeastSquaresExtend(bollingerBands,DateTime.Parse(selectedExpirationDate.Value));
|
||||
return compositeDataSourceLeastSquares;
|
||||
}
|
||||
}
|
||||
// ***************************************************************************************************
|
||||
public CompositeDataSource OptionStrikePoints
|
||||
{
|
||||
get
|
||||
{
|
||||
if(null==selectedExpirationDate || null==selectedOptionType)return new CompositeDataSource();
|
||||
OptionTypeEnum optionType = selectedOptionType.Equals("Call") ? OptionTypeEnum.CallOption : OptionTypeEnum.PutOption;
|
||||
List<Option> optionsList = (from option in options where option.Expiration.Date.Equals(DateTime.Parse(selectedExpirationDate.Value).Date) && option.Type.Equals(optionType) select option).ToList();
|
||||
OptionStrikes optionStrikes = new OptionStrikes();
|
||||
foreach (Option option in optionsList) optionStrikes.Add(new OptionStrike(option.Expiration,option.Strike));
|
||||
CompositeDataSource compositeDataSource = OptionStrikeModel.OptionStrikes(optionStrikes);
|
||||
return compositeDataSource;
|
||||
}
|
||||
}
|
||||
public CompositeDataSource SelectedOptionStrikePoints
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == selectedItem)return new CompositeDataSource();
|
||||
MDTrace.WriteLine(LogLevel.DEBUG, "SelectedOptionStrikePoints:returning composite");
|
||||
OptionStrikes optionStrikes = new OptionStrikes();
|
||||
optionStrikes.Add(new OptionStrike(selectedItem.Expiration, selectedItem.Strike));
|
||||
CompositeDataSource compositeDataSource = OptionStrikeModel.OptionStrikes(optionStrikes);
|
||||
return compositeDataSource;
|
||||
}
|
||||
}
|
||||
//***********************************************************
|
||||
public Option SelectedItem
|
||||
{
|
||||
get
|
||||
{
|
||||
return selectedItem;
|
||||
}
|
||||
set
|
||||
{
|
||||
selectedItem = value;
|
||||
base.OnPropertyChanged("SelectedItem");
|
||||
}
|
||||
}
|
||||
public Item SelectedExpirationDate
|
||||
{
|
||||
get
|
||||
{
|
||||
return selectedExpirationDate;
|
||||
}
|
||||
set
|
||||
{
|
||||
selectedExpirationDate = value;
|
||||
base.OnPropertyChanged("SelectedExpirationDate");
|
||||
}
|
||||
}
|
||||
|
||||
public bool CheckBoxCallPutRatioEnabled
|
||||
{
|
||||
get{return checkBoxCallPutRatioEnabled;}
|
||||
}
|
||||
public bool CheckBoxCallPutRatio
|
||||
{
|
||||
get
|
||||
{
|
||||
return checkBoxCallPutRatio;
|
||||
}
|
||||
set
|
||||
{
|
||||
checkBoxCallPutRatio=value;
|
||||
base.OnPropertyChanged("CheckBoxCallPutRatio");
|
||||
}
|
||||
}
|
||||
// ************************************************
|
||||
public bool CheckBoxFullHistoryEnabled
|
||||
{
|
||||
get{return checkBoxFullHistoryEnabled;}
|
||||
}
|
||||
public bool CheckBoxFullHistory
|
||||
{
|
||||
get
|
||||
{
|
||||
return checkBoxFullHistory;
|
||||
}
|
||||
set
|
||||
{
|
||||
checkBoxFullHistory=value;
|
||||
base.OnPropertyChanged("CheckBoxFullHistory");
|
||||
}
|
||||
}
|
||||
// ************************************************
|
||||
}
|
||||
}
|
||||
@@ -1,439 +0,0 @@
|
||||
using System;
|
||||
using System.ComponentModel;
|
||||
using System.Collections.Generic;
|
||||
using System.Collections.ObjectModel;
|
||||
using System.Collections.Specialized;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Windows.Media;
|
||||
using System.Windows.Input;
|
||||
using System.Windows.Threading;
|
||||
using System.Threading.Tasks;
|
||||
using System.Xml.Serialization;
|
||||
using System.Xml;
|
||||
using System.IO;
|
||||
using MarketData;
|
||||
using MarketData.Numerical;
|
||||
using MarketData.Utils;
|
||||
using MarketData.MarketDataModel;
|
||||
using MarketData.Generator;
|
||||
using MarketData.DataAccess;
|
||||
using TradeBlotter.DataAccess;
|
||||
using TradeBlotter.Command;
|
||||
using TradeBlotter.Model;
|
||||
using TradeBlotter.Cache;
|
||||
using Microsoft.Research.DynamicDataDisplay.DataSources;
|
||||
|
||||
namespace TradeBlotter.ViewModels
|
||||
{
|
||||
public class OptionsWorksheetViewModel : WorkspaceViewModel
|
||||
{
|
||||
private const int PRICE_FETCH_INTERVAL_MINS = 2;
|
||||
private RelayCommand displayBollingerBandCommand = null;
|
||||
private RelayCommand displayMovingAverageCommand = null;
|
||||
private Option selectedOption = null;
|
||||
private OptionsParams optionsParams = new OptionsParams() { Cashdown = 10000 };
|
||||
private String companyName;
|
||||
private Price underlierPrice; // this is the price as of the date this record was created.
|
||||
private Price currentPrice; // this is the most recent price in the database
|
||||
private ObservableCollection<EquityPriceShock> equityPriceShocksCollection = null;
|
||||
private bool busyIndicator = false;
|
||||
private DispatcherTimer priceTimer = null;
|
||||
private Prices prices = null;
|
||||
private double transactionGL;
|
||||
private bool useRealPrice = false;
|
||||
|
||||
public OptionsWorksheetViewModel()
|
||||
{
|
||||
priceTimer = new DispatcherTimer();
|
||||
priceTimer.Tick += new EventHandler(TimerHandler);
|
||||
priceTimer.Interval = new TimeSpan(0, PRICE_FETCH_INTERVAL_MINS, 0);
|
||||
base.DisplayName = "Options Worksheet";
|
||||
PropertyChanged += OnViewModelPropertyChanged;
|
||||
base.OnPropertyChanged("Title");
|
||||
}
|
||||
protected override void OnDispose()
|
||||
{
|
||||
if (null == priceTimer) return;
|
||||
priceTimer.Stop();
|
||||
}
|
||||
private void TimerHandler(Object sender, EventArgs eventArgs)
|
||||
{
|
||||
if (null == underlierPrice) return;
|
||||
Task workerTask = Task.Factory.StartNew(() =>
|
||||
{
|
||||
currentPrice = PriceCache.GetInstance().GetLatestPrice(underlierPrice.Symbol);
|
||||
if (null == currentPrice || null==prices) return;
|
||||
if (prices[0].Date.Date.Equals(currentPrice.Date.Date))
|
||||
{
|
||||
prices[0] = currentPrice;
|
||||
}
|
||||
else prices.Insert(0, currentPrice);
|
||||
});
|
||||
workerTask.ContinueWith((continuation) =>
|
||||
{
|
||||
base.OnPropertyChanged("CurrentPrice");
|
||||
base.OnPropertyChanged("CurrentPriceDate");
|
||||
base.OnPropertyChanged("Close");
|
||||
base.OnPropertyChanged("TransactionGL");
|
||||
});
|
||||
}
|
||||
// ******************************************************************************************** P E R S I S T E N C E ********************************************************************************************
|
||||
public override bool CanPersist()
|
||||
{
|
||||
return true;
|
||||
}
|
||||
public override SaveParameters GetSaveParameters()
|
||||
{
|
||||
SaveParameters saveParams = new SaveParameters();
|
||||
|
||||
XmlWriterSettings xmlWriterSettings = new XmlWriterSettings();
|
||||
xmlWriterSettings.Indent = false;
|
||||
xmlWriterSettings.NewLineHandling = NewLineHandling.None;
|
||||
|
||||
XmlSerializer optionSerializer = new XmlSerializer(selectedOption.GetType());
|
||||
StringBuilder optionString=new StringBuilder();
|
||||
XmlWriter optionWriter = XmlWriter.Create(optionString, xmlWriterSettings);
|
||||
optionSerializer.Serialize(optionWriter, selectedOption);
|
||||
|
||||
XmlSerializer underlierPriceSerializer = new XmlSerializer(typeof(Price));
|
||||
StringBuilder underlierPriceString = new StringBuilder();
|
||||
XmlWriter underlierPriceWriter = XmlWriter.Create(underlierPriceString, xmlWriterSettings);
|
||||
underlierPriceSerializer.Serialize(underlierPriceWriter, underlierPrice);
|
||||
|
||||
saveParams.Add(new KeyValuePair<String, String>("Type", "TradeBlotter.ViewModels.OptionsWorksheetViewModel"));
|
||||
saveParams.Add(new KeyValuePair<String, String>("Option", optionString.ToString()));
|
||||
saveParams.Add(new KeyValuePair<String, String>("CompanyName", companyName));
|
||||
saveParams.Add(new KeyValuePair<String, String>("Price", underlierPriceString.ToString()));
|
||||
return saveParams;
|
||||
}
|
||||
public override void SetSaveParameters(SaveParameters saveParameters)
|
||||
{
|
||||
try
|
||||
{
|
||||
String strSelectedOption = (from KeyValuePair<String, String> item in saveParameters where item.Key.Equals("Option") select item).FirstOrDefault().Value;
|
||||
String strLatestPrice = (from KeyValuePair<String, String> item in saveParameters where item.Key.Equals("Price") select item).FirstOrDefault().Value;
|
||||
companyName = (from KeyValuePair<String, String> item in saveParameters where item.Key.Equals("CompanyName") select item).FirstOrDefault().Value;
|
||||
|
||||
XmlSerializer optionSerializer = new XmlSerializer(typeof(Option));
|
||||
StringReader stringReader = new StringReader(strSelectedOption);
|
||||
selectedOption = (Option)optionSerializer.Deserialize(stringReader);
|
||||
|
||||
XmlSerializer priceSerializer = new XmlSerializer(typeof(Price));
|
||||
StringReader priceReader = new StringReader(strLatestPrice);
|
||||
underlierPrice = (Price)priceSerializer.Deserialize(priceReader);
|
||||
|
||||
optionsParams.Symbol = underlierPrice.Symbol;
|
||||
optionsParams.Strike = selectedOption.Strike;
|
||||
optionsParams.Contracts = (int)Math.Round((optionsParams.Cashdown / underlierPrice.Close) / 100.00, 0);
|
||||
optionsParams.Premium = optionsParams.Shares*selectedOption.Bid;
|
||||
optionsParams.ExpirationDate = selectedOption.Expiration;
|
||||
|
||||
// volatility
|
||||
DateGenerator dateGenerator = new DateGenerator();
|
||||
int daysToExpiration = dateGenerator.DaysBetweenActual(optionsParams.ExpirationDate, underlierPrice.Date);
|
||||
prices = PricingDA.GetPrices(underlierPrice.Symbol, underlierPrice.Date, daysToExpiration);
|
||||
|
||||
if(DateTime.Now.Date>=optionsParams.ExpirationDate.Date)currentPrice=PricingDA.GetPrice(underlierPrice.Symbol,optionsParams.ExpirationDate);
|
||||
else currentPrice = PriceCache.GetInstance().GetLatestPrice(underlierPrice.Symbol);
|
||||
optionsParams.VolatilityDays = daysToExpiration;
|
||||
|
||||
float[] pricesAr = prices.GetPrices();
|
||||
optionsParams.Volatility = Numerics.Volatility(ref pricesAr);
|
||||
|
||||
if(DateTime.Now.Date>=optionsParams.ExpirationDate.Date)prices=PricingDA.GetPrices(underlierPrice.Symbol,optionsParams.ExpirationDate,daysToExpiration);
|
||||
else prices = PricingDA.GetPrices(underlierPrice.Symbol,daysToExpiration);
|
||||
|
||||
EquityPriceShocks equityPriceShocks = MarketData.MarketDataModel.EquityPriceShocks.CreateEquityPriceShocks(underlierPrice, optionsParams);
|
||||
equityPriceShocksCollection = new ObservableCollection<EquityPriceShock>(equityPriceShocks);
|
||||
|
||||
if (null != underlierPrice) base.DisplayName = "Options Worksheet" + "(" + underlierPrice.Symbol + ")";
|
||||
|
||||
if (null == optionsParams || null == currentPrice) transactionGL=double.NaN;
|
||||
else
|
||||
{
|
||||
if (optionsParams.Strike < currentPrice.Close)transactionGL=optionsParams.Premium + ((optionsParams.Strike * optionsParams.Shares) - (currentPrice.Close * optionsParams.Shares));
|
||||
else transactionGL=optionsParams.Premium + ((currentPrice.Close * optionsParams.Shares) - (underlierPrice.Close * optionsParams.Shares));
|
||||
}
|
||||
base.OnPropertyChanged("Strike");
|
||||
base.OnPropertyChanged("Bid");
|
||||
base.OnPropertyChanged("Investment");
|
||||
base.OnPropertyChanged("ExpirationDate");
|
||||
base.OnPropertyChanged("Shares");
|
||||
base.OnPropertyChanged("Contracts");
|
||||
base.OnPropertyChanged("Premium");
|
||||
base.OnPropertyChanged("EquityPriceShocks");
|
||||
base.OnPropertyChanged("UnderlierPrice");
|
||||
base.OnPropertyChanged("UnderlierPriceDate");
|
||||
base.OnPropertyChanged("CurrentPrice");
|
||||
base.OnPropertyChanged("CurrentPriceDate");
|
||||
base.OnPropertyChanged("OpenInterest");
|
||||
base.OnPropertyChanged("DisplayName");
|
||||
base.OnPropertyChanged("Volatility");
|
||||
base.OnPropertyChanged("ExpirationDateBackground");
|
||||
base.OnPropertyChanged("Close");
|
||||
}
|
||||
catch (Exception exception)
|
||||
{
|
||||
MDTrace.WriteLine(LogLevel.DEBUG,exception.ToString());
|
||||
}
|
||||
}
|
||||
// ******************************************************************************************************************************************************
|
||||
// *************************************************************** M E N U S U P P O R T **************************************************************
|
||||
// ******************************************************************************************************************************************************
|
||||
public ObservableCollection<TradeBlotter.Model.MenuItem> MenuItems
|
||||
{
|
||||
get
|
||||
{
|
||||
ObservableCollection<TradeBlotter.Model.MenuItem> collection = new ObservableCollection<TradeBlotter.Model.MenuItem>();
|
||||
collection.Add(new TradeBlotter.Model.MenuItem() { Text = "Display Moving Average", MenuItemClickedCommand = DisplayMovingAverage, StaysOpenOnClick = false });
|
||||
collection.Add(new TradeBlotter.Model.MenuItem() { Text = "Display Bollinger Bands", MenuItemClickedCommand = DisplayBollingerBands, StaysOpenOnClick = false });
|
||||
return collection;
|
||||
}
|
||||
}
|
||||
public bool UseRealPrice
|
||||
{
|
||||
get { return useRealPrice; }
|
||||
set { useRealPrice = value; base.OnPropertyChanged("UseRealPrice"); }
|
||||
}
|
||||
public ICommand DisplayMovingAverage
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == displayMovingAverageCommand)
|
||||
{
|
||||
displayMovingAverageCommand = new RelayCommand(param =>
|
||||
{
|
||||
SaveParameters saveParams = new SaveParameters();
|
||||
saveParams.Add(new KeyValuePair<String, String>("Type", "TradeBlotter.ViewModels.MovingAverageViewModel"));
|
||||
saveParams.Add(new KeyValuePair<String, String>("SelectedSymbol", underlierPrice.Symbol));
|
||||
saveParams.Add(new KeyValuePair<String, String>("SelectedWatchList", Constants.CONST_ALL));
|
||||
saveParams.Add(new KeyValuePair<String, String>("SelectedDayCount", "180"));
|
||||
saveParams.Add(new KeyValuePair<String, String>("IsLegendVisible", "true"));
|
||||
saveParams.Referer=this;
|
||||
WorkspaceInstantiator.Invoke(saveParams);
|
||||
}, param => { return null == underlierPrice ? false : true; });
|
||||
}
|
||||
return displayMovingAverageCommand;
|
||||
}
|
||||
}
|
||||
public ICommand DisplayBollingerBands
|
||||
{
|
||||
get
|
||||
{
|
||||
if(null==displayBollingerBandCommand)
|
||||
{
|
||||
displayBollingerBandCommand = new RelayCommand(param =>
|
||||
{
|
||||
SaveParameters saveParams = new SaveParameters();
|
||||
saveParams.Add(new KeyValuePair<String, String>("Type", "TradeBlotter.ViewModels.BollingerBandViewModel"));
|
||||
saveParams.Add(new KeyValuePair<String, String>("SelectedSymbol", underlierPrice.Symbol));
|
||||
saveParams.Add(new KeyValuePair<String, String>("SelectedWatchList", Constants.CONST_ALL));
|
||||
saveParams.Add(new KeyValuePair<String, String>("SelectedDayCount", "90"));
|
||||
saveParams.Add(new KeyValuePair<String, String>("SyncTradeToBand", "false"));
|
||||
saveParams.Add(new KeyValuePair<String, String>("ShowTradeLabels", "true"));
|
||||
saveParams.Add(new KeyValuePair<String, String>("IsLegendVisible", "true"));
|
||||
saveParams.Referer=this;
|
||||
WorkspaceInstantiator.Invoke(saveParams);
|
||||
;
|
||||
}, param => { return null == underlierPrice ? false : true; });
|
||||
}
|
||||
return displayBollingerBandCommand;
|
||||
}
|
||||
}
|
||||
public bool BusyIndicator
|
||||
{
|
||||
get { return busyIndicator; }
|
||||
set
|
||||
{
|
||||
busyIndicator = value;
|
||||
base.OnPropertyChanged("BusyIndicator");
|
||||
}
|
||||
}
|
||||
public CompositeDataSource Close
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == prices) return null;
|
||||
CompositeDataSource compositeDataSource = PricesModel.Close(prices);
|
||||
return compositeDataSource;
|
||||
}
|
||||
}
|
||||
public ObservableCollection<EquityPriceShock> EquityPriceShocks
|
||||
{
|
||||
get
|
||||
{
|
||||
return equityPriceShocksCollection;
|
||||
}
|
||||
set
|
||||
{
|
||||
equityPriceShocksCollection = value;
|
||||
base.OnPropertyChanged("EquityPriceShocks");
|
||||
}
|
||||
}
|
||||
private void OnViewModelPropertyChanged(object sender, PropertyChangedEventArgs eventArgs)
|
||||
{
|
||||
if (eventArgs.PropertyName.Equals("UseRealPrice"))
|
||||
{
|
||||
if (useRealPrice) priceTimer.Start();
|
||||
else priceTimer.Stop();
|
||||
}
|
||||
}
|
||||
public String TransactionGL
|
||||
{
|
||||
get
|
||||
{
|
||||
if (double.NaN.Equals(transactionGL)) return Constants.CONST_DASHES;
|
||||
if (optionsParams.Strike < currentPrice.Close)return Utility.FormatCurrency(transactionGL);
|
||||
return Utility.FormatCurrency(transactionGL);
|
||||
}
|
||||
}
|
||||
public String Volatility
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == optionsParams) return Constants.CONST_DASHES;
|
||||
return Utility.FormatNumber(optionsParams.Volatility, 2, true);
|
||||
}
|
||||
}
|
||||
public String VolatilityDays
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == optionsParams) return Constants.CONST_DASHES;
|
||||
return Utility.FormatNumber(optionsParams.VolatilityDays,0, true);
|
||||
}
|
||||
}
|
||||
public String OpenInterest
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == selectedOption) return Constants.CONST_DASHES;
|
||||
return Utility.FormatNumber(selectedOption.OpenInterest,0,true);
|
||||
}
|
||||
}
|
||||
public String CurrentPrice
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == currentPrice) return Constants.CONST_DASHES;
|
||||
return Utility.FormatCurrency(currentPrice.Close);
|
||||
}
|
||||
}
|
||||
public String CurrentPriceDate
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == currentPrice) return Constants.CONST_DASHES;
|
||||
return Utility.DateTimeToStringMMSDDSYYYYHHMMSS(currentPrice.Date);
|
||||
}
|
||||
}
|
||||
public String LossPoint
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null==selectedOption || null == underlierPrice) return Constants.CONST_DASHES;
|
||||
return Utility.FormatCurrency(underlierPrice.Close-selectedOption.Bid);
|
||||
}
|
||||
}
|
||||
public String UnderlierPrice
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == underlierPrice) return Constants.CONST_DASHES;
|
||||
return Utility.FormatCurrency(underlierPrice.Close);
|
||||
}
|
||||
}
|
||||
public String UnderlierPriceDate
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == underlierPrice) return Constants.CONST_DASHES;
|
||||
return Utility.DateTimeToStringMMSDDSYYYY(underlierPrice.Date);
|
||||
}
|
||||
}
|
||||
public String Premium
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == selectedOption) return Constants.CONST_DASHES;
|
||||
return Utility.FormatCurrency(optionsParams.Premium);
|
||||
}
|
||||
}
|
||||
public String Shares
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == selectedOption) return Constants.CONST_DASHES;
|
||||
return Utility.FormatNumber(optionsParams.Shares,2,true);
|
||||
}
|
||||
}
|
||||
public String Contracts
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == selectedOption) return Constants.CONST_DASHES;
|
||||
return Utility.FormatNumber(optionsParams.Contracts, 0, true);
|
||||
}
|
||||
}
|
||||
public String ExpirationDate
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == selectedOption) return Constants.CONST_DASHES;
|
||||
return Utility.DateTimeToStringMMSDDSYYYY(selectedOption.Expiration);
|
||||
}
|
||||
}
|
||||
public Brush TransactionGLBackground
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == underlierPrice) return null;
|
||||
return underlierPrice.Date < DateTime.Now ? new SolidColorBrush(Colors.Green) : new SolidColorBrush(Colors.Red);
|
||||
}
|
||||
}
|
||||
public Brush ExpirationDateBackground
|
||||
{
|
||||
get
|
||||
{
|
||||
return DateTime.Now.Date>=optionsParams.ExpirationDate.Date?new SolidColorBrush(Colors.Red):new SolidColorBrush(Colors.Green);
|
||||
}
|
||||
}
|
||||
public String Strike
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == selectedOption) return Constants.CONST_DASHES;
|
||||
return Utility.FormatCurrency(selectedOption.Strike);
|
||||
}
|
||||
}
|
||||
public String Bid
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == selectedOption) return Constants.CONST_DASHES;
|
||||
return Utility.FormatCurrency(selectedOption.Bid);
|
||||
}
|
||||
}
|
||||
public String Investment
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == optionsParams) return Constants.CONST_DASHES;
|
||||
return Utility.FormatCurrency(optionsParams.Cashdown);
|
||||
}
|
||||
}
|
||||
|
||||
public void OnErrorItemHandler(String symbol, String message)
|
||||
{
|
||||
}
|
||||
public override String Title
|
||||
{
|
||||
get
|
||||
{
|
||||
if (null == companyName || null == optionsParams) return "Options Worksheet";
|
||||
return companyName + " (" + optionsParams.Symbol + ")";
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -29,7 +29,6 @@ namespace TradeBlotter.ViewModels
|
||||
private String selectedAccount = Constants.CONST_ALL;
|
||||
private String selectedOperation;
|
||||
private RelayCommand refreshCommand;
|
||||
private bool useRealPrice = false;
|
||||
private bool includeCash = false;
|
||||
private bool busyIndicator = false;
|
||||
private double cashBalance = double.NaN;
|
||||
@@ -181,9 +180,7 @@ namespace TradeBlotter.ViewModels
|
||||
PortfolioTrades accountTrades = GetAccountTrades();
|
||||
foreach (PortfolioTrade portfolioTrade in accountTrades)
|
||||
{
|
||||
Price price = null;
|
||||
if (useRealPrice) price = PriceCache.GetInstance().GetLatestPrice(portfolioTrade.Symbol);
|
||||
if (null == price) price = PricingDA.GetPrice(portfolioTrade.Symbol);
|
||||
Price price = PricingDA.GetPrice(portfolioTrade.Symbol);
|
||||
totalExposure += price.Close * portfolioTrade.Shares;
|
||||
if (sectorIndustry.Equals("Sector"))
|
||||
{
|
||||
@@ -248,11 +245,6 @@ namespace TradeBlotter.ViewModels
|
||||
return sectorIndustryDataPointsContribution;
|
||||
}
|
||||
}
|
||||
public bool UseRealPrice
|
||||
{
|
||||
get { return useRealPrice; }
|
||||
set { useRealPrice = value; base.OnPropertyChanged("UseRealPrice"); }
|
||||
}
|
||||
public bool IncludeCash
|
||||
{
|
||||
get { return includeCash; }
|
||||
|
||||
Reference in New Issue
Block a user