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[MDAPI-42] [.NET] Implement OptionChain
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Konstantin Ivaschenko
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| * [MDAPI-42] [.NET] Implement OptionChain | ||
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| ## Version 2.3.0 | ||
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| * [MDAPI-115] [.NET] Add IncOrderSnapshot sample | ||
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| <Project Sdk="Microsoft.NET.Sdk"> | ||
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| <PropertyGroup> | ||
| <OutputType>Exe</OutputType> | ||
| <RootNamespace>DxFeed.Graal.Net.Samples</RootNamespace> | ||
| <TargetFrameworks>net6.0</TargetFrameworks> | ||
| </PropertyGroup> | ||
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| <PropertyGroup Condition=" '$(Configuration)' == 'Debug' "> | ||
| <OutputPath>../../artifacts/Debug/Samples/</OutputPath> | ||
| </PropertyGroup> | ||
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| <PropertyGroup Condition=" '$(Configuration)' == 'Release' "> | ||
| <OutputPath>../../artifacts/Release/Samples/</OutputPath> | ||
| </PropertyGroup> | ||
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| <ItemGroup> | ||
| <ProjectReference Include="..\..\src\DxFeed.Graal.Net\DxFeed.Graal.Net.csproj"/> | ||
| </ItemGroup> | ||
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| </Project> |
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| using System; | ||
| using System.Collections.Generic; | ||
| using System.Diagnostics.CodeAnalysis; | ||
| using System.Globalization; | ||
| using System.Linq; | ||
| using System.Threading; | ||
| using System.Threading.Tasks; | ||
| using DxFeed.Graal.Net.Api; | ||
| using DxFeed.Graal.Net.Events.Market; | ||
| using DxFeed.Graal.Net.Ipf; | ||
| using DxFeed.Graal.Net.Ipf.Options; | ||
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| namespace DxFeed.Graal.Net.Samples; | ||
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| /// <summary> | ||
| /// A simple sample that shows how to build option chains, and prints quotes for nearby option strikes. | ||
| /// </summary> | ||
| [SuppressMessage("ReSharper", "MethodSupportsCancellation")] | ||
| internal abstract class Program | ||
| { | ||
| public static async Task Main(string[] args) | ||
| { | ||
| if (args.Length != 5) | ||
| { | ||
| Console.WriteLine("usage: DXFeedOptionChain <address> <ipf-file> <symbol> <nStrikes> <nMonths>"); | ||
| Console.WriteLine(" <ipf-file> is endpoint address"); | ||
| Console.WriteLine(" <ipf-file> is name of instrument profiles file"); | ||
| Console.WriteLine(" <symbol> is the product or underlying symbol"); | ||
| Console.WriteLine(" <nStrikes> number of strikes to print for each series"); | ||
| Console.WriteLine(" <nMonths> number of months to print"); | ||
| return; | ||
| } | ||
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| var argAddress = args[0]; | ||
| var argIpfFile = args[1]; | ||
| var argSymbol = args[2]; | ||
| var nStrikes = int.Parse(args[3], CultureInfo.InvariantCulture); | ||
| var nMonths = int.Parse(args[4], CultureInfo.InvariantCulture); | ||
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| var feed = DXEndpoint.Create().Connect(argAddress).GetFeed(); | ||
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| // Subscribe to trade to learn instrument last price. | ||
| Console.WriteLine($"Waiting for price of {argSymbol} ..."); | ||
| using var cts = new CancellationTokenSource(); | ||
| cts.CancelAfter(TimeSpan.FromSeconds(1)); | ||
| var trade = await feed.GetLastEventAsync<Trade>(argSymbol, cts.Token); | ||
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| var price = trade.Price; | ||
| Console.WriteLine($"Price of {argSymbol} is {price.ToString(CultureInfo.InvariantCulture)}"); | ||
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| Console.WriteLine($"Reading instruments from {argIpfFile} ..."); | ||
| var instruments = new InstrumentProfileReader().ReadFromFile(argIpfFile).ToList(); | ||
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| Console.WriteLine("Building option chains ..."); | ||
| var chains = OptionChainsBuilder<InstrumentProfile>.Build(instruments).Chains; | ||
| if (!chains.TryGetValue(argSymbol, out var chain)) | ||
| { | ||
| Console.WriteLine($"No chain found for symbol {argSymbol}"); | ||
| return; | ||
| } | ||
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| nMonths = Math.Min(nMonths, chain.GetSeries().Count); | ||
| var seriesList = chain.GetSeries().Take(nMonths).ToList(); | ||
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| Console.WriteLine("Requesting option quotes ..."); | ||
| var quotes = new Dictionary<InstrumentProfile, Task<Quote>>(); | ||
| foreach (var series in seriesList) | ||
| { | ||
| var strikes = series.GetNStrikesAround(nStrikes, price); | ||
| foreach (var strike in strikes) | ||
| { | ||
| if (series.Calls.TryGetValue(strike, out var call)) | ||
| { | ||
| quotes[call] = feed.GetLastEventAsync<Quote>(call.Symbol); | ||
| } | ||
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| if (series.Puts.TryGetValue(strike, out var put)) | ||
| { | ||
| quotes[put] = feed.GetLastEventAsync<Quote>(put.Symbol); | ||
| } | ||
| } | ||
| } | ||
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| await Task.WhenAll(quotes.Values); | ||
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| Console.WriteLine("Printing option series ..."); | ||
| foreach (var series in seriesList) | ||
| { | ||
| Console.WriteLine($"Option series {series}"); | ||
| var strikes = series.GetNStrikesAround(nStrikes, price); | ||
| Console.WriteLine($"{"C.BID",10} {"C.ASK",10} {"STRIKE",10} {"P.BID",10} {"P.ASK",10}"); | ||
| foreach (var strike in strikes) | ||
| { | ||
| series.Calls.TryGetValue(strike, out var call); | ||
| series.Puts.TryGetValue(strike, out var put); | ||
| var callQuote = call != null && quotes.TryGetValue(call, out var callTask) | ||
| ? callTask.Result | ||
| : new Quote(); | ||
| var putQuote = put != null && quotes.TryGetValue(put, out var putTask) | ||
| ? putTask.Result | ||
| : new Quote(); | ||
| Console.WriteLine( | ||
| $"{callQuote.BidPrice,10:F3} {callQuote.AskPrice,10:F3} {strike,10:F3} {putQuote.BidPrice,10:F3} {putQuote.AskPrice,10:F3}"); | ||
| } | ||
| } | ||
| } | ||
| } |
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| // <copyright file="OptionChain.cs" company="Devexperts LLC"> | ||
| // Copyright © 2024 Devexperts LLC. All rights reserved. | ||
| // This Source Code Form is subject to the terms of the Mozilla Public License, v. 2.0. | ||
| // If a copy of the MPL was not distributed with this file, You can obtain one at http://mozilla.org/MPL/2.0/. | ||
| // </copyright> | ||
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| using System; | ||
| using System.Collections.Generic; | ||
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| namespace DxFeed.Graal.Net.Ipf.Options; | ||
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| /// <summary> | ||
| /// Represents a set of option series for a single product or underlying symbol. | ||
| /// | ||
| /// <h3>Threads and locks</h3> | ||
| /// | ||
| /// This class is <b>NOT</b> thread-safe and cannot be used from multiple threads without external synchronization. | ||
| /// </summary> | ||
| /// <typeparam name="T">The type of option instrument instances.</typeparam> | ||
| public sealed class OptionChain<T> : ICloneable | ||
| { | ||
| private readonly SortedDictionary<OptionSeries<T>, OptionSeries<T>> _seriesMap = new(); | ||
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| /// <summary> | ||
| /// Initializes a new instance of the <see cref="OptionChain{T}"/> class with the specified symbol. | ||
| /// </summary> | ||
| /// <param name="symbol">The symbol (product or underlying) of this option chain.</param> | ||
| internal OptionChain(string symbol) => | ||
| Symbol = symbol; | ||
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| /// <summary> | ||
| /// Gets the symbol (product or underlying) of this option chain. | ||
| /// </summary> | ||
| public string Symbol { get; } | ||
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| /// <summary> | ||
| /// Returns a sorted set of option series in this option chain. | ||
| /// </summary> | ||
| /// <returns>A sorted set of option series in this option chain.</returns> | ||
| public SortedSet<OptionSeries<T>> GetSeries() => | ||
| new(_seriesMap.Keys); | ||
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| /// <summary> | ||
| /// Returns a shallow copy of this option chain. | ||
| /// All series are copied (cloned) themselves, but option instrument instances are shared with the original. | ||
| /// </summary> | ||
| /// <returns>A shallow copy of this option chain.</returns> | ||
| public object Clone() | ||
| { | ||
| var clone = new OptionChain<T>(Symbol); | ||
| foreach (var series in _seriesMap.Values) | ||
| { | ||
| var seriesClone = (OptionSeries<T>)series.Clone(); | ||
| clone._seriesMap.Add(seriesClone, seriesClone); | ||
| } | ||
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| return clone; | ||
| } | ||
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| /// <summary> | ||
| /// Adds an option to the specified series in this option chain. | ||
| /// If the series does not exist, it is created. | ||
| /// </summary> | ||
| /// <param name="series">The option series to which the option will be added.</param> | ||
| /// <param name="isCall">Indicates whether the option is a call option.</param> | ||
| /// <param name="strike">The strike price of the option.</param> | ||
| /// <param name="option">The option to add.</param> | ||
| internal void AddOption(OptionSeries<T> series, bool isCall, double strike, T option) | ||
| { | ||
| if (!_seriesMap.TryGetValue(series, out var os)) | ||
| { | ||
| os = new OptionSeries<T>(series); | ||
| _seriesMap[os] = os; | ||
| } | ||
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| os.AddOption(isCall, strike, option); | ||
| } | ||
| } |
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