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2444 lines (2187 loc) · 157 KB
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using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.Globalization;
using TSLab.DataSource;
using TSLab.Script;
using TSLab.Script.CanvasPane;
using TSLab.Script.Control;
using TSLab.Script.DataGridPane;
using TSLab.Script.Handlers;
using TSLab.Script.Handlers.Options;
using TSLab.Script.Optimization;
using TSLab.Script.Options;
using TSLab.Utils;
// ReSharper disable UnusedMember.Global
// ReSharper disable TooWideLocalVariableScope
// ReSharper disable MemberCanBePrivate.Global
// ReSharper disable FieldCanBeMadeReadOnly.Local
// ReSharper disable FieldCanBeMadeReadOnly.Global
namespace TSLab.ScriptEngine.Handlers
{
// ReSharper disable once UnusedMember.Global
public sealed class OptionsBoardHandler : IExternalOptionScript, IDisposable
{
/// <summary>При работе с зоной валидных значений нужно сразу ставить очень широкий диапазон, но не MaxValue!</summary>
private const double ValidBorderMaxValue = 1e6;
private const string DefaultPx = "0";
// TODO: менять формат в зависимости от шага цены?
private const string AveragePriceFormat = "### ### ##0.###";
/// <summary>
/// Формат экспирации должен соблюдаться крайне строго: dd-MM-yyyy HH:mm
/// Он должен совпадать с форматом TimeToExpiry.DateTimeFormat
/// </summary>
private const string DefaultExpiration = "15-12-2014 18:45";
/// <summary>Темно-красный: 12603469 == 0xC0504D</summary>
private const int DarkRed = 0xC0504D;
/// <summary>Цвет линий, связанных с рыночной улыбкой (12603469; Темно-красный; 0xC0504D)</summary>
private const int MarketProfileLineColor = DarkRed; // Темно-красный: 0xC0504D
/// <summary>Цвет якорей, связанных с рыночной улыбкой (16776960; Yellow; 0xFFFF00)</summary>
private int MarketProfileAnchorColor = AlphaColors.Yellow; // Yellow: 0xFFFF00 == 16776960
/// <summary>Цвет линий, связанных с модельной улыбкой (16777215; White; 0xFFFFFF or Black; 0x0F0F0F)</summary>
private int ModelProfileLineColor = AlphaColors.White; // White: 0xFFFFFF or Black: 0x0F0F0F == 16777215
///// <summary>Цвет якорей, связанных с модельной улыбкой (; Yellow; 0xFFFF00)</summary>
//private const int ModelProfileAnchorColor = ; // Yellow: 0xFFFF00
/// <summary>Цвет линий, связанных с портфельной улыбкой (-16711936; Green; 0x00FF00)</summary>
private int PortfolioProfileLineColor = AlphaColors.Green; // Green: 0x00FF00 == -16711936
/// <summary>Цвет якорей, связанных с портфельной улыбкой (16776960; Yellow; 0xFFFF00 or Magenta; 0xFF00FF)</summary>
private int PortfolioProfileAnchorColor = AlphaColors.Yellow; // Yellow: 0xFFFF00 == 16776960
/// <summary>Цвет линий, связанных с исторической волатильностью (16760832; Orange; 0xFFC000)</summary>
private const int HvProfileLineColor = 16760832; // Orange: 0xFFC000
/// <summary>UiControlFirstTop == 5 (положение по вертикали вехнего угла первого контрола на панели)</summary>
private const double UiControlFirstTop = 5;
/// <summary>UiControlLeft == 5 (отступ по горизонтали от края панели)</summary>
private const double UiControlLeft = 5;
/// <summary>UiControlFullWidth == 180</summary>
private const double UiControlFullWidth = 180;
/// <summary>UiControlHalfWidth == 90</summary>
private const double UiControlHalfWidth = 90;
/// <summary>UiControlBtnHeight == 30</summary>
private const double UiControlBtnHeight = 30;
/// <summary>UiControlDropHeight == 45</summary>
private const double UiControlDropHeight = 45;
/// <summary>UiControlNumHeight == 45</summary>
private const double UiControlNumHeight = 45;
/// <summary>UiControlUpDownHeight == 45</summary>
private const double UiControlUpDownHeight = 45;
/// <summary>UiControlChkBoxHeight == 30</summary>
private const double UiControlChkBoxHeight = 30;
#region Fields - Handlers
private PositionsManager m_posManH = new PositionsManager();
private OptionSeriesByNumber2 m_nearOptionsH = new OptionSeriesByNumber2();
private SingleSeriesProfile m_mktProfileH = new SingleSeriesProfile();
/// <summary>Профиль позиции по портфельной улыбке PROD-5352 [2017-10-04]</summary>
private SingleSeriesProfile m_portfolioProfileH = new SingleSeriesProfile();
private SingleSeriesProfile m_expiryProfileH = new SingleSeriesProfile();
private FixedValue m_zeroDtH = new FixedValue();
private SingleSeriesPositionGrid m_qtyCallsH = new SingleSeriesPositionGrid();
private SingleSeriesPositionGrid m_qtyPutsH = new SingleSeriesPositionGrid();
private SingleSeriesPositionGrid m_qtyTotalH = new SingleSeriesPositionGrid();
private AutoHedger m_autoHedgeH = new AutoHedger();
private CurrentFutPx m_currentFutPxH = new CurrentFutPx();
private CurrentFutPx m_currentFutPx1H = new CurrentFutPx();
private NumericalVegaOnF m_numerVegaAtmH = new NumericalVegaOnF();
private TotalQty m_totalQtyH = new TotalQty();
private OptionBase2 m_optionBase2H = new OptionBase2();
private NumericalThetaOnF m_numerThetaAtmH = new NumericalThetaOnF();
private SingleSeriesNumericalDelta3 m_sinSerNumDelIntH = new SingleSeriesNumericalDelta3();
private NumericalGammaOnF3 m_numGamAtmIntH = new NumericalGammaOnF3();
private ConstSmileLevel2 m_zeroPnLh = new ConstSmileLevel2();
private BasePx2 m_basePriceH = new BasePx2();
private TimeToExpiry m_dTh = new TimeToExpiry();
private IvSmile2 m_ivAsksH = new IvSmile2();
private IvSmile2 m_ivBidsH = new IvSmile2();
private TransformSmile m_wrapSmileH = new TransformSmile();
private BestChartTrading m_tradeAsksH = new BestChartTrading();
private BestChartTrading m_tradeBidsH = new BestChartTrading();
private ExchangeTheorSigma5 m_exSmileRescaledH = new ExchangeTheorSigma5();
private SmileImitation5 m_globalSmileH = new SmileImitation5();
private SingleSeriesProfile m_mktSimmProfileH = new SingleSeriesProfile();
private SingleSeriesNumericalDelta3 m_ssndiSimmH = new SingleSeriesNumericalDelta3();
private NumericalDeltaOnF3 m_ndaiSimmH = new NumericalDeltaOnF3();
private SingleSeriesNumericalGamma3 m_ssngiSimmH = new SingleSeriesNumericalGamma3();
private NumericalDeltaOnF3 m_numDeltaAtmIntH = new NumericalDeltaOnF3();
private SmileImitation5 m_hedgeSmileH = new SmileImitation5();
/// <summary>Портфельная улыбка PROD-5352 [2017-10-04]</summary>
private SmileImitation5 m_portfolioSmileH = new SmileImitation5();
private TransformSmile m_simmSmileH = new TransformSmile();
private Multiply m_wrapDtH = new Multiply();
private LinearTransform m_wrapFutPxH = new LinearTransform();
private SetViewport m_manageSmilePaneH = new SetViewport();
private SetViewport m_managePosPaneH = new SetViewport();
private SingleSeriesPositionPrices m_longCallPxsH = new SingleSeriesPositionPrices();
private SingleSeriesPositionPrices m_longPutPxsH = new SingleSeriesPositionPrices();
private SingleSeriesPositionPrices m_shortPutPxsH = new SingleSeriesPositionPrices();
private SingleSeriesPositionPrices m_shortCallPxsH = new SingleSeriesPositionPrices();
private SingleSeriesPositionPrices m_longCallQtyH = new SingleSeriesPositionPrices();
private SingleSeriesPositionPrices m_longPutQtyH = new SingleSeriesPositionPrices();
private SingleSeriesPositionPrices m_shortPutQtyH = new SingleSeriesPositionPrices();
private SingleSeriesPositionPrices m_shortCallQtyH = new SingleSeriesPositionPrices();
private QuoteIv m_quoteIvH = new QuoteIv();
private ShowIvTargets m_showLongTargetsH = new ShowIvTargets();
private ShowIvTargets m_showShortTargetsH = new ShowIvTargets();
private TotalProfit m_totalProfitH = new TotalProfit();
private GlobalHv m_globalHvH = new GlobalHv();
private BlackScholesSmile2 m_blackScholseSmileH = new BlackScholesSmile2();
// TODO: Убрать, когда появится возможность задавать пересчеты агента строго на границе бара по таймеру (переделать Доску на эту фичу)
private Heartbeat m_heartbeat = new Heartbeat();
#endregion Fields - Handlers
#region Fields - Optim properties
public BoolOptimProperty PosManAgregatePositions = new BoolOptimProperty(true, false);
public BoolOptimProperty PosManBlockTrading = new BoolOptimProperty(false, false);
public BoolOptimProperty PosManDropVirtualPos = new BoolOptimProperty(false, false);
public BoolOptimProperty PosManUseVirtualPositions = new BoolOptimProperty(false, false);
public StringOptimProperty DtExpiryTime = new StringOptimProperty("18:45", false);
public OptimProperty DtTime = new OptimProperty(0.08, true, 1e-9, 100, 0.001, 3);
public OptimProperty BasePriceDisplayPrice = new OptimProperty(120000, true, 1e-9, 100000000, 1, 1);
public BoolOptimProperty BasePriceRepeatLastPx = new BoolOptimProperty(true, false);
public OptimProperty ExSmileRescaledSigmaMult = new OptimProperty(7D, false, 0D, 1000000D, 1D, 3);
public OptimProperty GlobalSmileIvAtmPct = new OptimProperty(30.0, false, 0.000001, 10000.0, 0.5, 1);
public BoolOptimProperty GlobalSmileSetIvByHands = new BoolOptimProperty(false, false);
public BoolOptimProperty GlobalSmileSetShapeByHands = new BoolOptimProperty(false, false);
public BoolOptimProperty GlobalSmileSetSlopeByHands = new BoolOptimProperty(false, false);
/// <summary>По умолчанию 0</summary>
public OptimProperty GlobalSmileShapePct = new OptimProperty(0.0, false, -1000000.0, 1000000.0, 0.5, 1);
/// <summary>По умолчанию 7</summary>
public OptimProperty GlobalSmileSigmaMult = new OptimProperty(7D, false, 0D, 1000000D, 1D, 3);
public OptimProperty GlobalSmileSlopePct = new OptimProperty(-10.0, false, -10000.0, 10000.0, 0.5, 1);
public IntOptimProperty MktProfileNodesCount = new IntOptimProperty(0, false, 0, 1000000, 1);
public OptimProperty MktProfileSigmaMult = new OptimProperty(7D, false, 0D, 1000000D, 1D, 3);
public StringOptimProperty MktProfileTooltipFormat = new StringOptimProperty("0", false);
public IntOptimProperty ExpiryProfileNodesCount = new IntOptimProperty(0, false, 0, 1000000, 1);
public BoolOptimProperty ExpiryProfileShowNodes = new BoolOptimProperty(false, false);
public OptimProperty ExpiryProfileSigmaMult = new OptimProperty(7D, false, 0D, 1000000D, 1D, 3);
public StringOptimProperty ExpiryProfileTooltipFormat = new StringOptimProperty("0", false);
public StringOptimProperty QtyCallsTooltipFormat = new StringOptimProperty("0", false);
public StringOptimProperty QtyPutsTooltipFormat = new StringOptimProperty("0", false);
public StringOptimProperty QtyTotalTooltipFormat = new StringOptimProperty("0", false);
public OptimProperty HedgeSmileIvAtmPct = new OptimProperty(30.0, false, 0.000001, 10000.0, 0.5, 1);
public BoolOptimProperty HedgeSmileSetIvByHands = new BoolOptimProperty(false, false);
// [2016-03-31] PROD-3345 - Фиксирую Shape == 0
/// <summary>По умолчанию 0</summary>
public OptimProperty HedgeSmileShapePct = new OptimProperty(0.0, false, -1000000.0, 1000000.0, 0.5, 1);
public OptimProperty HedgeSmileSigmaMult = new OptimProperty(7D, false, 0D, 1000000D, 1D, 3);
// [2016-10-21] PROD-4340 - Другой алгоритм построения модельной улыбки
/// <summary>По умолчанию 0</summary>
public OptimProperty HedgeSmileSlopePct = new OptimProperty(0.0, false, -1000000.0, 1000000.0, 0.5, 1);
// [2017-10-04] PROD-5352 - Параметры портфельной улыбки
public BoolOptimProperty PortfolioSmileSetIvByHands = new BoolOptimProperty(false, false);
public BoolOptimProperty PortfolioSmileSetSlopeByHands = new BoolOptimProperty(false, false);
//public BoolOptimProperty PortfolioSmileSetShapeByHands = new BoolOptimProperty(true, false); -- Форма всегда задается руками
public OptimProperty PortfolioSmileIvAtmPct = new OptimProperty(30.0, false, 0.000001, 10000.0, 0.5, 1);
public OptimProperty PortfolioSmileSlopePct = new OptimProperty(-10.0, false, -1000000.0, 1000000.0, 0.5, 1);
public OptimProperty PortfolioSmileShapePct = new OptimProperty(0.0, false, -1000000.0, 1000000.0, 0.5, 1);
// [2016-10-21] PROD-4340 - Другой алгоритм построения модельной улыбки
public OptimProperty SimmWeight = new OptimProperty(0.5, false, -5.0, 5.0, 0.05, 2);
public IntOptimProperty MktSimmProfileNodesCount = new IntOptimProperty(0, false, 0, 1000000, 1);
public OptimProperty MktSimmProfileSigmaMult = new OptimProperty(7D, false, 0D, 1000000D, 1D, 3);
public StringOptimProperty MktSimmProfileTooltipFormat = new StringOptimProperty("0", false);
public OptimProperty SsndiSimmSigmaMult = new OptimProperty(7D, false, 0D, 1000000D, 1D, 3);
public OptimProperty NdaiSimmDelta = new OptimProperty(0, true, -1000000D, 1000000D, 1, 6);
public BoolOptimProperty NdaiSimmHedgeDelta = new BoolOptimProperty(false, false);
public BoolOptimProperty NdaiSimmPrintDeltaInLog = new BoolOptimProperty(false, false);
public OptimProperty AutoHedgeBuyShift = new OptimProperty(0, false, -1000000, 1000000, 1, 0);
public OptimProperty AutoHedgeSellShift = new OptimProperty(0, false, -1000000, 1000000, 1, 0);
public OptimProperty AutoHedgeBuyPrice = new OptimProperty(120000, true, 0, 100000000, 1, 4);
public OptimProperty AutoHedgeSellPrice = new OptimProperty(120000, true, 0, 100000000, 1, 4);
public BoolOptimProperty AutoHedgeHedgeDelta = new BoolOptimProperty(false, false);
public OptimProperty AutoHedgeMinPeriod = new OptimProperty(0, false, 0, 1000000, 1, 0);
public OptimProperty AutoHedgeSensitivityPct = new OptimProperty(66, false, 50, 100, 1, 0);
public OptimProperty AutoHedgeDownDelta = new OptimProperty(-1.0, false, -1000000.0, 0, 1.0, 1);
public OptimProperty AutoHedgeTargetDelta = new OptimProperty(0.0, false, -1000000.0, 1000000.0, 1.0, 1);
public OptimProperty AutoHedgeUpDelta = new OptimProperty(1.0, false, 0, 1000000.0, 1.0, 1);
public IntOptimProperty CurrentFutPxQty = new IntOptimProperty(1, false, 1, 1000000, 1);
public OptimProperty NumerVegaAtmVega = new OptimProperty(0, true, -1000000, 1000000, 1, 3);
public OptimProperty TotalQtyOpenQty = new OptimProperty(0, true, 1, 10, 1, 0);
public OptimProperty NumerThetaAtmTheta = new OptimProperty(0, true, -1000000, 1000000, 1, 3);
public OptimProperty SinSerNumDelIntSigmaMult = new OptimProperty(7D, false, 0D, 1000000D, 1D, 3);
public OptimProperty SsngiSimmSigmaMult = new OptimProperty(7D, false, 0D, 1000000D, 1D, 3);
public OptimProperty NumGamAtmIntGamma = new OptimProperty(0, true, -1000000, 1000000, 1, 6);
public BoolOptimProperty ZeroPnLShowNodes = new BoolOptimProperty(false, false);
public OptimProperty ZeroPnLSigmaMult = new OptimProperty(7D, false, 0D, 1000000D, 1D, 3);
// PROD-5353 - Схлопываем два контрола в один
//public EnumOptimProperty IvAsksOptionType = new EnumOptimProperty(StrikeType.Any, false);
//public EnumOptimProperty IvBidsOptionType = new EnumOptimProperty(StrikeType.Any, false);
public EnumOptimProperty IvOptionType = new EnumOptimProperty(StrikeType.Any, false);
public IntOptimProperty TradeAsksQty = new IntOptimProperty(10, false, 1, 1000000, 1);
public OptimProperty TradeAsksWidthPx = new OptimProperty(100D, false, -10000000, 10000000, 10, 0);
public IntOptimProperty TradeBidsQty = new IntOptimProperty(10, false, 1, 1000000, 1);
public OptimProperty TradeBidsWidthPx = new OptimProperty(100D, false, -10000000, 10000000, 10, 0);
public OptimProperty NumDeltaAtmIntDelta = new OptimProperty(0, true, -1000000, 1000000, 1, 6);
public BoolOptimProperty NumDeltaAtmIntHedgeDelta = new BoolOptimProperty(false, false);
public BoolOptimProperty NumDeltaAtmIntPrintDeltaInLog = new BoolOptimProperty(false, false);
public BoolOptimProperty ManageSmilePaneApplyVisualSettings = new BoolOptimProperty(false, false);
public OptimProperty ManageSmilePaneSigmaMult = new OptimProperty(5D, false, 0D, 1000000D, 1D, 1);
public OptimProperty ManageSmilePaneXAxisDivisor = new OptimProperty(1000D, false, 1E-09D, 10000000D, 1D, 1);
public OptimProperty ManageSmilePaneXAxisStep = new OptimProperty(5000D, false, 1E-09D, 10000000D, 1D, 1);
//public OptimProperty ManagePosPaneSigmaMult = new OptimProperty(7D, false, 0D, 1000000D, 1D, 3);
public OptimProperty ManagePosPaneXAxisDivisor = new OptimProperty(1000D, false, 1E-09D, 10000000D, 1D, 1);
public OptimProperty ManagePosPaneXAxisStep = new OptimProperty(5000D, false, 1E-09D, 10000000D, 1D, 1);
public BoolOptimProperty QuoteIvCancelAllLong = new BoolOptimProperty(false, false);
public BoolOptimProperty QuoteIvCancelAllShort = new BoolOptimProperty(false, false);
public BoolOptimProperty QuoteIvExecuteCommand = new BoolOptimProperty(false, false);
public IntOptimProperty QuoteIvQty = new IntOptimProperty(0, false, -1000000, 1000000, 1);
public OptimProperty QuoteIvShiftIvPct = new OptimProperty(0D, false, -10000000D, 10000000D, 0.2, 2);
public IntOptimProperty QuoteIvShiftPrice = new IntOptimProperty(0, false, -10000000, 10000000, 1);
public StringOptimProperty QuoteIvStrike = new StringOptimProperty("120000", false);
public EnumOptimProperty QuoteIvOptionType = new EnumOptimProperty(StrikeType.Any, false);
public OptimProperty TotalProfitDisplayValue = new OptimProperty(0, true, -1000000, 1000000, 1, 1);
#endregion Fields - Optim properties
/// <summary>
/// Формат экспирации должен соблюдаться крайне строго: dd-MM-yyyy HH:mm
/// Он должен совпадать с форматом TimeToExpiry.DateTimeFormat
/// </summary>
private string m_expDateStr = DefaultExpiration;
/// <summary>
/// \~english Base asset price (only to display at UI)
/// \~russian Цена БА (только для отображения в интерфейсе)
/// </summary>
[ReadOnly(true)]
[HelperName("Display Price", Constants.En)]
[HelperName("Цена для интерфейса", Constants.Ru)]
[Description("Цена БА (только для отображения в интерфейсе)")]
[HelperDescription("Base asset price (only to display at UI)", Constants.En)]
//[HandlerParameter(true, NotOptimized = false, IsVisibleInBlock = true, Default = DefaultPx, IsCalculable = true)]
// ReSharper disable once InconsistentNaming
public OptimProperty DisplayPrice = new OptimProperty(Double.Parse(DefaultPx, CultureInfo.InvariantCulture), true, Double.MinValue, Double.MaxValue, 1.0, 4);
/// <summary>
/// \~english Time to expiry (just to show it on ControlPane)
/// \~russian Время до экспирации (для отображения в интерфейсе агента)
/// </summary>
[HelperName("Display Time", Constants.En)]
[HelperName("Время для интерфейса", Constants.Ru)]
[ReadOnly(true)]
[Description("Время до экспирации (только для отображения на UI)")]
[HelperDescription("Time to expiry (just to show it on ControlPane)", Language = Constants.En)]
//[HandlerParameter(true, NotOptimized = false, IsVisibleInBlock = true, Default = "0.08", IsCalculable = true)]
// ReSharper disable once InconsistentNaming
public OptimProperty DisplayTime = new OptimProperty(30, true, Double.MinValue, Double.MaxValue, 1.0, 3);
/// <summary>
/// \~english Implied volatility ATM (just to show it on ControlPane)
/// \~russian Подразумеваемая волатильность на-деньгах (для отображения в интерфейсе агента)
/// </summary>
[HelperName("Display IV", Constants.En)]
[HelperName("Волатильность для интерфейса", Constants.Ru)]
[ReadOnly(true)]
[Description("Подразумеваемая волатильность на-деньгах (для отображения в интерфейсе агента)")]
[HelperDescription("Implied volatility ATM (just to show it on ControlPane)", Language = Constants.En)]
//[HandlerParameter(true, NotOptimized = false, IsVisibleInBlock = true, Default = "0.08", IsCalculable = true)]
// ReSharper disable once InconsistentNaming
public OptimProperty DisplayIvPct = new OptimProperty(30, true, Double.MinValue, Double.MaxValue, 1.0, 1);
public OptimProperty DisplaySigmaPriceWidth = new OptimProperty(-1, true, Double.MinValue, Double.MaxValue, 1.0, 0);
/// <summary>
/// Дата экспирации (включая время суток) для режима FixedExpiry.
/// Обязательно как ПОЛЕ класса!!! См. PROD-2558
/// </summary>
//[HelperName("Expiry", Constants.En)]
//[HelperName("Экспирация", Constants.Ru)]
//[Description("Дата экспирации (включая время суток) для режима FixedExpiry")]
//[HelperDescription("Expiration datetime (including time of a day) for algorythm FixedExpiry", Language = Constants.En)]
//[HandlerParameter(Default = DefaultExpiration)]
// ReSharper disable once InconsistentNaming
public StringOptimProperty Expiry = new StringOptimProperty(DefaultExpiration);
public EnumOptimProperty TimeMode = new EnumOptimProperty(TimeRemainMode.RtsTradingTime);
public EnumOptimProperty BasePriceMode = new EnumOptimProperty(BasePxMode.LastTrade);
public EnumOptimProperty SmileMode = new EnumOptimProperty(SmileType.Market);
public OptimProperty RiskFreeRatePct = new OptimProperty(0, false, Double.MinValue, Double.MaxValue, 1.0, 3);
public OptimProperty StrikesStep = new OptimProperty(0, false, 0, double.MaxValue, 1.0, 3);
#region Вспомогательные обработчики для заполнения Доски Опционов
public OptionsBoardVolatility BoardVolatilityH = new OptionsBoardVolatility();
public OptionsBoardPrice BoardPutPriceH = new OptionsBoardPrice();
public OptionsBoardPrice BoardCallPriceH = new OptionsBoardPrice();
public OptionsBoardNumericalDelta BoardNumericalPutDeltaH = new OptionsBoardNumericalDelta();
public OptionsBoardNumericalDelta BoardNumericalCallDeltaH = new OptionsBoardNumericalDelta();
public OptionsBoardNumericalGamma BoardNumericalPutGammaH = new OptionsBoardNumericalGamma();
public OptionsBoardNumericalGamma BoardNumericalCallGammaH = new OptionsBoardNumericalGamma();
public OptionsBoardNumericalTheta BoardNumericalPutThetaH = new OptionsBoardNumericalTheta();
public OptionsBoardNumericalTheta BoardNumericalCallThetaH = new OptionsBoardNumericalTheta();
public OptionsBoardNumericalVega BoardNumericalPutVegaH = new OptionsBoardNumericalVega();
public OptionsBoardNumericalVega BoardNumericalCallVegaH = new OptionsBoardNumericalVega();
public InteractiveSeries BoardVolatility;
public InteractiveSeries BoardPutPrice, BoardCallPrice;
public InteractiveSeries BoardNumericalPutDelta, BoardNumericalCallDelta;
public InteractiveSeries BoardNumericalPutGamma, BoardNumericalCallGamma;
public InteractiveSeries BoardNumericalPutTheta, BoardNumericalCallTheta;
public InteractiveSeries BoardNumericalPutVega, BoardNumericalCallVega;
#endregion Вспомогательные обработчики для заполнения Доски Опционов
#region Public Methods and Operators
public void Dispose()
{
m_currentFutPxH.Dispose();
m_currentFutPx1H.Dispose();
m_tradeAsksH.Dispose();
m_tradeBidsH.Dispose();
m_quoteIvH.Dispose();
}
/// <summary>
/// Инициализирую вспомогательные обработчики для заполнения Доски Опционов
/// </summary>
private void InitializeBoardHandlers(IContext context)
{
// Initialize 'BoardVolatilityH' item
BoardVolatilityH.Context = context;
BoardVolatilityH.VariableId = "6760F6A8-C8DB-4527-8861-BD5940559EC4";
BoardVolatilityH.OptionType = StrikeType.Any;
BoardVolatilityH.ShowNodes = false;
BoardVolatilityH.SigmaMult = 7;
// Initialize 'BoardPutPriceH' item
BoardPutPriceH.Context = context;
BoardPutPriceH.VariableId = "16A2947F-DB42-41C9-A05D-2B0009A0C5B9";
BoardPutPriceH.OptionType = StrikeType.Put;
BoardPutPriceH.ShowNodes = false;
BoardPutPriceH.SigmaMult = 7;
// Initialize 'BoardCallPriceH' item
BoardCallPriceH.Context = context;
BoardCallPriceH.VariableId = "87787492-C695-4205-AB7A-6B3D0BD38DD8";
BoardCallPriceH.OptionType = StrikeType.Call;
BoardCallPriceH.ShowNodes = false;
BoardCallPriceH.SigmaMult = 7;
// Initialize 'BoardNumericalPutDeltaH' item
BoardNumericalPutDeltaH.Context = context;
BoardNumericalPutDeltaH.VariableId = "40B5503D-F1C9-424D-819C-EDB51333857B";
BoardNumericalPutDeltaH.GreekAlgo = NumericalGreekAlgo.ShiftingSmile;
BoardNumericalPutDeltaH.OptionType = StrikeType.Put;
BoardNumericalPutDeltaH.ShowNodes = false;
BoardNumericalPutDeltaH.SigmaMult = 7;
// Initialize 'BoardNumericalCallDeltaH' item
BoardNumericalCallDeltaH.Context = context;
BoardNumericalCallDeltaH.VariableId = "3868CA2A-6412-43A5-B105-2E642F25EC65";
BoardNumericalCallDeltaH.GreekAlgo = NumericalGreekAlgo.ShiftingSmile;
BoardNumericalCallDeltaH.OptionType = StrikeType.Call;
BoardNumericalCallDeltaH.ShowNodes = false;
BoardNumericalCallDeltaH.SigmaMult = 7;
// Initialize 'BoardNumericalPutGammaH' item
BoardNumericalPutGammaH.Context = context;
BoardNumericalPutGammaH.VariableId = "98C96689-CCE3-4450-9665-16EED13D233E";
BoardNumericalPutGammaH.GreekAlgo = NumericalGreekAlgo.ShiftingSmile;
BoardNumericalPutGammaH.OptionType = StrikeType.Put;
BoardNumericalPutGammaH.FixedQty = (int)Constants.MillionMult;
BoardNumericalPutGammaH.TooltipFormat = "######0.00";
BoardNumericalPutGammaH.ShowNodes = false;
BoardNumericalPutGammaH.SigmaMult = 7;
// Initialize 'BoardNumericalCallGammaH' item
BoardNumericalCallGammaH.Context = context;
BoardNumericalCallGammaH.VariableId = "9138ED21-0347-43BC-82C0-014B13503A0A";
BoardNumericalCallGammaH.GreekAlgo = NumericalGreekAlgo.ShiftingSmile;
BoardNumericalCallGammaH.OptionType = StrikeType.Call;
BoardNumericalCallGammaH.FixedQty = (int)Constants.MillionMult;
BoardNumericalCallGammaH.TooltipFormat = "######0.00";
BoardNumericalCallGammaH.ShowNodes = false;
BoardNumericalCallGammaH.SigmaMult = 7;
// Initialize 'BoardNumericalPutThetaH' item
BoardNumericalPutThetaH.Context = context;
BoardNumericalPutThetaH.VariableId = "FDF6DF83-A2B6-4D06-8428-66D1B6C285A7";
BoardNumericalPutThetaH.GreekAlgo = NumericalGreekAlgo.FrozenSmile;
BoardNumericalPutThetaH.OptionType = StrikeType.Put;
BoardNumericalPutThetaH.ShowNodes = false;
BoardNumericalPutThetaH.SigmaMult = 7;
// Initialize 'BoardNumericalCallThetaH' item
BoardNumericalCallThetaH.Context = context;
BoardNumericalCallThetaH.VariableId = "7AF77A1A-118E-425B-B390-0E174FB86DE1";
BoardNumericalCallThetaH.GreekAlgo = NumericalGreekAlgo.FrozenSmile;
BoardNumericalCallThetaH.OptionType = StrikeType.Call;
BoardNumericalCallThetaH.ShowNodes = false;
BoardNumericalCallThetaH.SigmaMult = 7;
// Initialize 'BoardNumericalPutVegaH' item
BoardNumericalPutVegaH.Context = context;
BoardNumericalPutVegaH.VariableId = "1FACE3A9-C09A-4F6B-9E56-30642D40D763";
BoardNumericalPutVegaH.GreekAlgo = NumericalGreekAlgo.ShiftingSmile;
BoardNumericalPutVegaH.OptionType = StrikeType.Put;
BoardNumericalPutVegaH.ShowNodes = false;
BoardNumericalPutVegaH.SigmaMult = 7;
// Initialize 'BoardNumericalCallVegaH' item
BoardNumericalCallVegaH.Context = context;
BoardNumericalCallVegaH.VariableId = "BCBF44A6-2030-475D-B359-6C66A761E6D0";
BoardNumericalCallVegaH.GreekAlgo = NumericalGreekAlgo.ShiftingSmile;
BoardNumericalCallVegaH.OptionType = StrikeType.Call;
BoardNumericalCallVegaH.ShowNodes = false;
BoardNumericalCallVegaH.SigmaMult = 7;
}
public void Execute(IContext context, IOption option)
{
// Текущее значение даты экпирации
m_expDateStr = Expiry.Value;
int actualDecimals = 1;
var optionUnderlyingAsset = option.UnderlyingAsset;
{
int futDecimals = (option != null) && (optionUnderlyingAsset != null) ? optionUnderlyingAsset.SecurityDescription.Decimals : actualDecimals;
actualDecimals = Math.Abs(futDecimals);
if ((option != null) && (optionUnderlyingAsset != null) && (optionUnderlyingAsset.Tick > 0))
{
double futTick = optionUnderlyingAsset.Tick;
BasePxMode basePxMode2 = (BasePriceMode.Value != null) && (BasePriceMode.Value is BasePxMode) ?
(BasePxMode)BasePriceMode.Value : BasePxMode.LastTrade;
if ((basePxMode2 == BasePxMode.BidAskMidPoint) || (basePxMode2 == BasePxMode.TheorPxBased))
{
// В этих режимах нужно адекватно увеличить точность отображения
futTick /= 2;
}
int tickDecimals = optionUnderlyingAsset.SecurityDescription.DecimalsFromTick(futTick);
actualDecimals = Math.Max(Math.Abs(futDecimals), Math.Abs(tickDecimals));
//BasePriceDisplayPrice.NumberDecimalDigits = actualDecimals;
}
}
// формат для количество купленных опционов
var qtyFormat = optionUnderlyingAsset == null || optionUnderlyingAsset.LotTick >= 1
? "### ##0"
: "### ##0." + new string('0',
optionUnderlyingAsset.SecurityDescription.DecimalsFromTick(optionUnderlyingAsset
.LotTick));
// Форматирование профита в тултипах узлов делаю с учетом фактической точности инструмента
MktProfileTooltipFormat.Value = ExpiryProfileTooltipFormat.Value = MktSimmProfileTooltipFormat.Value = "N" + actualDecimals;
// PROD-5774 - Детектирую цветовую схему и делаю подмену если нужно
/*var theme = AppUtils.CurrentTheme;
if (theme == AppThemes.Light)
{
MarketProfileAnchorColor = AlphaColors.Magenta; // Якоря делаем сиреневыми: 0xFF00FF
ModelProfileLineColor = 0x0F0F0F; // В светлой теме профиль будет почти черный
PortfolioProfileAnchorColor = AlphaColors.Magenta; // Якоря делаем сиреневыми: 0xFF00FF
}*/
// =================================================
// Windows
// =================================================
// Make 'SmileWin' window
//IWindow smileWinWnd = context.AddWindow("SmileWin", "Smile");
// Make 'PosWin' window
IWindow posWinWnd = context.AddWindow("PosWin", RM.GetString("OptBoard.Win.PositionProfile") /* "Pos Profile" */);
// =================================================
// Panels
// =================================================
// Make 'SmilePane' pane
string futName = (option != null) && (optionUnderlyingAsset != null) ? optionUnderlyingAsset.SecurityDescription.Name : "";
var smilePanePane = context.CreateCanvasPane("SmilePane", RM.GetString("OptBoard.Pane.SmilePane") + ": " + futName + " - " + m_expDateStr);
#region Configure 'SmilePane' pane
{
smilePanePane.Visible = true;
smilePanePane.HideLegend = false;
smilePanePane.Dockability = false;
smilePanePane.ScaleStepPercent = 0D;
smilePanePane.GraphIndentPercent = 5;
// PROD-3901 - Всегда выставлять FeetToBorder2ByDefault = true
smilePanePane.FeetToBorder2ByDefault = true;
// PROD-3577 - Вообще не надо трогать Border1!
//smilePanePane.BorderX1 = 60000D;
//smilePanePane.BorderX2 = 110000D;
//smilePanePane.BorderY1 = 0.2D;
//smilePanePane.BorderY2 = 0.6D;
smilePanePane.ValidBorderMode = ValidBorderMode.Fixed;
smilePanePane.ValidBorderX1 = 0;
smilePanePane.ValidBorderY1 = -0.05;
// PROD-5740 - Поменьше дергаем настройки панелей
//smilePanePane.XAxisStep = 5000D;
//smilePanePane.XAxisDiviser = 1000D;
smilePanePane.XAxisLineIsVisible = true;
smilePanePane.XAxisLineColor = -1; // белый насколько понимаю
smilePanePane.XAxisLineStyle = LineStyles.SOLID;
smilePanePane.XAxisLinePosition = 0D;
smilePanePane.YAxisLineIsVisible = true;
smilePanePane.YAxisLineColor = -1; // белый насколько понимаю
smilePanePane.YAxisLineStyle = LineStyles.SOLID;
smilePanePane.YAxisLinePosition = 0D;
}
#endregion Configure 'SmilePane' pane
// Make 'PosPane' pane
var posPanePane = posWinWnd.CreateCanvasPane("PosPane", RM.GetString("OptBoard.Pane.PositionPane") + ": " + futName + " - " + m_expDateStr);
#region Configure 'PosPane' pane
{
posPanePane.Visible = true;
posPanePane.HideLegend = false;
posPanePane.Dockability = false;
posPanePane.ScaleStepPercent = 0D;
posPanePane.GraphIndentPercent = 5;
// PROD-3901 - Всегда выставлять FeetToBorder2ByDefault = true
posPanePane.FeetToBorder2ByDefault = true;
// PROD-3577 - Вообще не надо трогать Border1!
//posPanePane.BorderX1 = 60000D;
//posPanePane.BorderX2 = 110000D;
//posPanePane.BorderY1 = null;
//posPanePane.BorderY2 = null;
posPanePane.ValidBorderMode = ValidBorderMode.Fixed;
posPanePane.ValidBorderX1 = 0;
// PROD-5740 - Поменьше дергаем настройки панелей
//posPanePane.XAxisStep = 5000D;
//posPanePane.XAxisDiviser = 1000D;
posPanePane.XAxisLineIsVisible = true;
posPanePane.XAxisLineColor = -1; // белый насколько понимаю
posPanePane.XAxisLineStyle = LineStyles.SOLID;
posPanePane.XAxisLinePosition = 0D;
posPanePane.YAxisLineIsVisible = true;
posPanePane.YAxisLineColor = -1; // белый насколько понимаю
posPanePane.YAxisLineStyle = LineStyles.SOLID;
posPanePane.YAxisLinePosition = 0D;
// Точность правой шкалы настраиваю один раз. Остальные вызовы делаются по ошибке.
posPanePane.YAxisPrecision = actualDecimals; // option.Decimals;
}
#endregion Configure 'PosPane' pane
// =================================================
// Control Panels
// =================================================
// Make 'VisualPane' control pane
var visualPanePane = context.CreateControlPane("8ebc5645-9336-48c0-9ec4-a1382a821409", "VisualPane", RM.GetString("OptBoard.Pane.VisualSettings"));
// Make 'MktPane' control pane
//IControlPane mktPanePane = smileWinWnd.CreateControlPane("5e2e8590-27d1-4b57-8511-cac9ead95962", "MktPane");
var mktPanePane = context.CreateControlPane("5e2e8590-27d1-4b57-8511-cac9ead95962", "MktPane", RM.GetString("OptBoard.Pane.MarketSettings"));
// Make 'HedgeControlPane' control pane
//IControlPane hedgeControlPanePane = smileWinWnd.CreateControlPane("40d69210-5c61-4a5b-93d4-5efa0d02c7f2", "HedgeControlPane");
var hedgeControlPanePane = context.CreateControlPane("40d69210-5c61-4a5b-93d4-5efa0d02c7f2", "HedgeControlPane", RM.GetString("OptBoard.Pane.HedgeSettings"));
// Make 'SmileControlPane' control pane
//IControlPane smileControlPanePane = smileWinWnd.CreateControlPane("7146ef79-52c6-4093-aa85-6d28ea737c26", "SmileControlPane");
var smileControlPanePane = context.CreateControlPane("7146ef79-52c6-4093-aa85-6d28ea737c26", "SmileControlPane", RM.GetString("OptBoard.Pane.TradeSettings"));
// Make 'QuotePane' control pane
var quotePanePane = context.CreateControlPane("e7db4c07-d516-407f-b99b-4003969e0493", "QuotePane", RM.GetString("OptBoard.Pane.QuoteSettings"));
// Make 'PosControlPane' control pane
var posControlPanePane = posWinWnd.CreateControlPane("6b8aeecf-1e7e-419c-9c36-6342e0962bf4", "PosControlPane", RM.GetString("OptBoard.Pane.PositionOverview"));
// =================================================
// DataGrid Panels
// =================================================
// Make 'DataGridPane' dataGrid pane
var dataGridPaneDataGridPane = posWinWnd.CreateDataGridPane("DataGridPane", RM.GetString("OptBoard.Pane.Position"), 2, "N" + actualDecimals, "K", true, TextAlignment.Left, null, 1, "d", "Date", false, TextAlignment.Left, null);
// Make 'PriceGrid' dataGrid pane
var priceGridDataGridPane = posWinWnd.CreateDataGridPane("PriceGrid", RM.GetString("OptBoard.Pane.AveragePrices"), 2, "N" + actualDecimals, "K", true, TextAlignment.Left, null, 1, "d", "Date", false, TextAlignment.Left, null);
// Initialize 'PosMan' item
m_posManH.Context = context;
m_posManH.VariableId = "74530095-d19f-489b-996e-70f55e76a79f";
m_posManH.AgregatePositions = PosManAgregatePositions;
m_posManH.BlockTrading = PosManBlockTrading;
m_posManH.DropVirtualPos = PosManDropVirtualPos;
m_posManH.ImportRealPos = false;
m_posManH.UseGlobalCache = false;
m_posManH.UseVirtualPositions = PosManUseVirtualPositions;
IOption posMan;
// Initialize 'NearOptions' item
m_nearOptionsH.Context = context;
m_nearOptionsH.ExpirationMode = ExpiryMode.FixedExpiry;
m_nearOptionsH.Expiry = m_expDateStr;
m_nearOptionsH.Number = 1;
IOptionSeries nearOptions;
// Initialize 'dT' item
m_dTh.Context = context;
m_dTh.VariableId = "7dd5f841-f878-49cd-912f-5cc802076dce";
m_dTh.CurDateMode = CurrentDateMode.CurrentDate;
//m_dTh.DistanceMode = TimeRemainMode.RtsTradingTime;
TimeRemainMode tRemainMode =
(TimeMode.Value != null) && (TimeMode.Value is TimeRemainMode) ?
(TimeRemainMode)TimeMode.Value : TimeRemainMode.RtsTradingTime;
m_dTh.DistanceMode = tRemainMode;
m_dTh.ExpirationMode = ExpiryMode.FixedExpiry;
m_dTh.Expiry = m_expDateStr;
m_dTh.ExpiryTime = DtExpiryTime;
m_dTh.FixedDate = m_expDateStr;
m_dTh.SeriesIndex = 1;
m_dTh.Time = DtTime;
m_dTh.UseDays = false;
// Make 'dT' item data
IList<double> dT = context.GetData("dT",
new[]
{
m_dTh.CurDateMode.ToString(),
m_dTh.DistanceMode.ToString(),
m_dTh.ExpirationMode.ToString(),
m_dTh.Expiry,
m_dTh.ExpiryTime,
m_dTh.FixedDate,
m_dTh.SeriesIndex.ToString(),
m_dTh.Time.ToString(),
m_dTh.UseDays.ToString(),
"76e4b545-046c-4280-a4c5-eeea0fe2d168"
}, () => m_dTh.Execute(option));
// Initialize 'WrapDT' item
m_wrapDtH.Coef = 1D;
// Make 'WrapDT' item data
IList<double> wrapDt = context.GetData("WrapDT",
new[]
{
m_dTh.CurDateMode.ToString(),
m_dTh.DistanceMode.ToString(),
m_dTh.ExpirationMode.ToString(),
m_dTh.Expiry,
m_dTh.ExpiryTime,
m_dTh.FixedDate,
m_dTh.SeriesIndex.ToString(),
m_dTh.Time.ToString(),
m_dTh.UseDays.ToString(),
m_wrapDtH.Coef.ToString(CultureInfo.InvariantCulture),
"76e4b545-046c-4280-a4c5-eeea0fe2d168"
}, () => m_wrapDtH.Execute(dT));
// Initialize 'BasePrice' item
m_basePriceH.Context = context;
m_basePriceH.VariableId = "6d3626a2-ab61-418c-879f-2b64d6888a4c";
m_basePriceH.DisplayPrice = BasePriceDisplayPrice;
m_basePriceH.DisplayUnits = FixedValueMode.AsIs;
m_basePriceH.FixedPx = 120000D;
//m_basePriceH.PxMode = BasePxMode.LastTrade;
BasePxMode basePxMode =
(BasePriceMode.Value != null) && (BasePriceMode.Value is BasePxMode) ?
(BasePxMode)BasePriceMode.Value : BasePxMode.LastTrade;
m_basePriceH.PxMode = basePxMode;
m_basePriceH.RepeatLastPx = BasePriceRepeatLastPx;
double basePrice = Double.NaN;
// Initialize 'WrapFutPx' item
m_wrapFutPxH.Add = 0D;
m_wrapFutPxH.Mult = 1D;
double wrapFutPx;
// Initialize 'exSmileRescaled' item
m_exSmileRescaledH.Context = context;
m_exSmileRescaledH.VariableId = "0cb10c59-691a-4d30-a54f-df9414420b06";
m_exSmileRescaledH.ExpiryTime = m_dTh.ExpireDateTime.ToString("HH:mm"); //it was always "18:45";
m_exSmileRescaledH.OptionType = StrikeType.Call;
m_exSmileRescaledH.RescaleTime = true;
m_exSmileRescaledH.ShowNodes = false;
m_exSmileRescaledH.SigmaMult = ExSmileRescaledSigmaMult;
InteractiveSeries exSmileRescaled;
InteractiveSeries exSmileRescaledChart = null;
// Initialize 'GlobalSmile' item
m_globalSmileH.Context = context;
m_globalSmileH.VariableId = "d6d6aca0-7bd1-4a24-a3b6-c9825b64a1f6";
m_globalSmileH.FrozenSmileID = "FrozenSmile";
m_globalSmileH.GenerateTails = true;
m_globalSmileH.GlobalSmileID = "GlobalSmile0";
m_globalSmileH.IvAtmPct = GlobalSmileIvAtmPct;
m_globalSmileH.SetIvByHands = GlobalSmileSetIvByHands;
m_globalSmileH.SetShapeByHands = GlobalSmileSetShapeByHands;
m_globalSmileH.SetSlopeByHands = GlobalSmileSetSlopeByHands;
m_globalSmileH.ShapePct = GlobalSmileShapePct;
m_globalSmileH.ShowNodes = true;
m_globalSmileH.SigmaMult = GlobalSmileSigmaMult;
m_globalSmileH.SlopePct = GlobalSmileSlopePct;
m_globalSmileH.UseLocalTemplate = false;
InteractiveSeries globalSmile;
InteractiveSeries globalSmileChart = null;
// Initialize 'WrapSmile' item
m_wrapSmileH.Context = context;
m_wrapSmileH.VariableId = "1e4332f5-7c70-4d1f-930b-6d80b91db55e";
m_wrapSmileH.OptPxMode = OptionPxMode.Mid;
m_wrapSmileH.ShiftIvPct = 0D;
m_wrapSmileH.SimmWeight = 0.5D;
m_wrapSmileH.Transformation = SmileTransformation.None;
InteractiveSeries wrapSmile;
// Initialize 'HV' item
var isGlobalTime = tRemainMode == TimeRemainMode.PlainCalendar;
m_globalHvH.Context = context;
m_globalHvH.VariableId = "e70c61f4-cbff-4cf3-811c-1b43e65f2539";
m_globalHvH.AnnualizingMultiplier = isGlobalTime ? 725D : 500D;
m_globalHvH.Period = isGlobalTime ? 1440 : 990;
m_globalHvH.RepeatLastHv = true;
m_globalHvH.Timeframe = 60;
m_globalHvH.UseAllData = isGlobalTime;
// Make 'HV' item data
Dictionary<DateTime, double> hvSigmas = null;
// Тестирую наличие данных в глобальном кеше БЕЗ ВЫВОДА СООБЩЕНИЙ ОБ ОШИБКАХ
string cashKey = HV.GetGlobalCashKey(optionUnderlyingAsset.Symbol, false,
m_globalHvH.UseAllData, m_globalHvH.Timeframe, m_globalHvH.AnnualizingMultiplier, m_globalHvH.Period);
try
{
object globalObj = context.LoadGlobalObject(cashKey, true);
hvSigmas = globalObj as Dictionary<DateTime, double>;
// PROD-3970 - 'Важный' объект
if (hvSigmas == null)
{
var container = globalObj as NotClearableContainer;
if ((container != null) && (container.Content != null))
hvSigmas = container.Content as Dictionary<DateTime, double>;
}
}
catch (Exception ex)
{
string msg = String.Format("[{0}.PrepareData] {1} when loading 'hvSigmas' from global cache. cashKey: {2}; Message: {3}\r\n\r\n{4}",
GetType().Name, ex.GetType().FullName, cashKey, ex.Message, ex);
//context.Log(msg, NotificationType.Alert, true);
hvSigmas = null;
}
IList<double> hvData = null;
if (hvSigmas != null)
{
hvData = context.GetData("HV",
new string[]
{
m_globalHvH.AnnualizingMultiplier.ToString(CultureInfo.InvariantCulture),
m_globalHvH.Period.ToString(),
m_globalHvH.RepeatLastHv.ToString(),
m_globalHvH.Timeframe.ToString(),
m_globalHvH.UseAllData.ToString(),
"d0a486d3-faea-4a87-ae77-72ceee564e60"
}, () => m_globalHvH.Execute(option));
}
// Initialize 'MktProfile' item
m_mktProfileH.Context = context;
m_mktProfileH.VariableId = "f014b793-0bf2-448b-b4f5-b019c4968697";
m_mktProfileH.GreekAlgo = NumericalGreekAlgo.ShiftingSmile;
m_mktProfileH.NodesCount = MktProfileNodesCount; // not used
m_mktProfileH.ShowNodes = true;
m_mktProfileH.SigmaMult = MktProfileSigmaMult;
m_mktProfileH.TooltipFormat = MktProfileTooltipFormat;
InteractiveSeries mktProfile;
InteractiveSeries mktProfileChart = null;
// Initialize 'PortfolioProfile' item
m_portfolioProfileH.Context = context;
m_portfolioProfileH.VariableId = "4E6F5056-A0F2-49C5-9DD2-0A8B14F2E9D8";
m_portfolioProfileH.GreekAlgo = NumericalGreekAlgo.ShiftingSmile;
m_portfolioProfileH.NodesCount = MktProfileNodesCount; // not used
m_portfolioProfileH.ShowNodes = true;
m_portfolioProfileH.SigmaMult = MktProfileSigmaMult;
m_portfolioProfileH.TooltipFormat = MktProfileTooltipFormat;
InteractiveSeries portfolioProfile;
InteractiveSeries portfolioProfileChart = null;
// Initialize 'blackScholseSmile' item
m_blackScholseSmileH.Context = context;
m_blackScholseSmileH.VariableId = "4e19206c-a926-4298-82a4-7aa514d8cace";
m_blackScholseSmileH.ShowNodes = false;
m_blackScholseSmileH.SigmaMult = 7D;
m_blackScholseSmileH.Label = "HV";
InteractiveSeries blackScholseSmile = null;
InteractiveSeries blackScholseSmileChart = null;
// Initialize 'ZeroDT' item
m_zeroDtH.Context = context;
m_zeroDtH.VariableId = "24075319-43b4-4900-8c3e-05bade631eb4";
m_zeroDtH.DisplayUnits = FixedValueMode.AsIs;
m_zeroDtH.MinValue = 1E-13D;
m_zeroDtH.Value = 1E-12D;
double zeroDt;
// Initialize 'ExpiryProfile' item
m_expiryProfileH.Context = context;
m_expiryProfileH.VariableId = "68b951db-e1c6-4e4d-85b2-c16149fb85e3";
m_expiryProfileH.GreekAlgo = NumericalGreekAlgo.ShiftingSmile;
m_expiryProfileH.NodesCount = ExpiryProfileNodesCount;
m_expiryProfileH.ShowNodes = ExpiryProfileShowNodes;
m_expiryProfileH.SigmaMult = ExpiryProfileSigmaMult;
m_expiryProfileH.TooltipFormat = ExpiryProfileTooltipFormat;
InteractiveSeries expiryProfile;
InteractiveSeries expiryProfileChart = null;
// Initialize 'QtyCalls' item
m_qtyCallsH.Context = context;
m_qtyCallsH.VariableId = "258f0e41-b379-48d6-b94a-fdf4c58ef859";
m_qtyCallsH.CountFutures = false;
m_qtyCallsH.OptionType = StrikeType.Call;
m_qtyCallsH.ShowNodes = false;
m_qtyCallsH.SigmaMult = 7D;
m_qtyCallsH.TooltipFormat = QtyCallsTooltipFormat;
InteractiveSeries qtyCalls;
InteractiveSeries qtyCallsChart = null;
// Initialize 'QtyPuts' item
m_qtyPutsH.Context = context;
m_qtyPutsH.VariableId = "ddb943f3-1e2b-42b6-bf21-7396aacdc044";
m_qtyPutsH.CountFutures = false;
m_qtyPutsH.OptionType = StrikeType.Put;
m_qtyPutsH.ShowNodes = false;
m_qtyPutsH.SigmaMult = 7D;
m_qtyPutsH.TooltipFormat = QtyPutsTooltipFormat;
InteractiveSeries qtyPuts;
InteractiveSeries qtyPutsChart = null;
// Initialize 'QtyTotal' item
m_qtyTotalH.Context = context;
m_qtyTotalH.VariableId = "53b88146-ef5f-4b3a-ba5e-b565eace6c45";
m_qtyTotalH.CountFutures = true;
m_qtyTotalH.OptionType = StrikeType.Any;
m_qtyTotalH.ShowNodes = false;
m_qtyTotalH.SigmaMult = 7D;
m_qtyTotalH.TooltipFormat = QtyTotalTooltipFormat;
InteractiveSeries qtyTotal;
InteractiveSeries qtyTotalChart = null;
// Initialize 'TotalProfit' item
m_totalProfitH.Context = context;
m_totalProfitH.VariableId = "e2d672d8-f0e5-4001-a99b-6709ffd9f21c";
m_totalProfitH.PrintProfitInLog = false;
m_totalProfitH.Profit = TotalProfitDisplayValue;
m_totalProfitH.ProfitAlgo = TotalProfitAlgo.AllPositions;
double totalProfit = 0;
// Initialize 'HedgeSmile' item
m_hedgeSmileH.Context = context;
m_hedgeSmileH.VariableId = "00cf523d-4906-4d30-a133-f403625775f2";
m_hedgeSmileH.FrozenSmileID = "FrozenSmile";
m_hedgeSmileH.GenerateTails = true;
m_hedgeSmileH.GlobalSmileID = "GlobalSmile0";
m_hedgeSmileH.IvAtmPct = HedgeSmileIvAtmPct;
m_hedgeSmileH.SetIvByHands = HedgeSmileSetIvByHands;
m_hedgeSmileH.SetShapeByHands = true;
m_hedgeSmileH.SetSlopeByHands = true;
// [2016-10-21] PROD-4340 - Другой алгоритм построения модельной улыбки
m_hedgeSmileH.SlopePct = HedgeSmileSlopePct; // GlobalSmileSlopePct;
// [2016-03-31] PROD-3345 - Фиксирую Shape == 0
m_hedgeSmileH.ShapePct = HedgeSmileShapePct; // GlobalSmileShapePct;
m_hedgeSmileH.ShowNodes = false;
m_hedgeSmileH.SigmaMult = HedgeSmileSigmaMult;
m_hedgeSmileH.UseLocalTemplate = false;
InteractiveSeries hedgeSmile;
// Initialize 'SimmSmile' item
m_simmSmileH.Context = context;
m_simmSmileH.VariableId = "5fac9f3b-ef65-44d4-8b76-337494efa496";
m_simmSmileH.OptPxMode = OptionPxMode.Mid;
m_simmSmileH.ShiftIvPct = 0D;
m_simmSmileH.SimmWeight = SimmWeight; //0.5D;
// [2016-10-21] PROD-4340 - Другой алгоритм построения модельной улыбки
m_simmSmileH.Transformation = SmileTransformation.None; // SmileTransformation.LogSimmetrise;
InteractiveSeries simmSmile;
InteractiveSeries simmSmileChart = null;
// [2017-10-04] PROD-5352 - Портфельная улыбка
// Initialize 'PortfolioSmile' item
m_portfolioSmileH.Context = context;
m_portfolioSmileH.VariableId = "22B553D5-EBA0-4B55-8353-2DBF4C1322AC";
m_portfolioSmileH.FrozenSmileID = "FrozenSmile";
m_portfolioSmileH.GenerateTails = true;
m_portfolioSmileH.GlobalSmileID = "GlobalSmile0";
m_portfolioSmileH.SetIvByHands = PortfolioSmileSetIvByHands;