Volatility trading

For the option quoting the special VolatilityQuotingStrategy strategy is realized, which provides the volume quoting by the specified range of volatility.

Quoting by volatility

1. The S# installation package includes the example SampleOptionQuoting, which quotes selected strike by the specified range of volatility.

2. Creating a connection to the OpenECry and export starting:

   private void InitConnector()
   {
    // subscribe on connection successfully event
    Connector.Connected += () =>
    {
    	// update gui labels
    	this.GuiAsync(() => ChangeConnectStatus(true));
    };
    // subscribe on disconnection event
    Connector.Disconnected += () =>
    {
    	// update gui labels
    	this.GuiAsync(() => ChangeConnectStatus(false));
    };
    // subscribe on connection error event
    Connector.ConnectionError += error => this.GuiAsync(() =>
    {
    	// update gui labels
    	ChangeConnectStatus(false);
    	MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
    });
    // fill underlying asset's list
    Connector.NewSecurity += security =>
    {
    	if (security.Type == SecurityTypes.Future)
    		_assets.Add(security);
    };
    Connector.SecurityChanged += security =>
    {
    	if (_model.UnderlyingAsset == security || _model.UnderlyingAsset.Id == security.UnderlyingSecurityId)
    		_isDirty = true;
    };
    // subscribing on tick prices and updating asset price
    Connector.NewTrade += trade =>
    {
    	if (_model.UnderlyingAsset == trade.Security || _model.UnderlyingAsset.Id == trade.Security.UnderlyingSecurityId)
    		_isDirty = true;
    };
    Connector.NewPosition += position => this.GuiAsync(() =>
    {
    	var asset = SelectedAsset;
    	if (asset == null)
    		return;
    	var assetPos = position.Security == asset;
    	var newPos = position.Security.UnderlyingSecurityId == asset.Id;
    	if (!assetPos && !newPos)
    		return;
    	if (assetPos)
    		PosChart.AssetPosition = position;
    	if (newPos)
    		PosChart.Positions.Add(position);
    	RefreshChart();
    });
    Connector.PositionChanged += position => this.GuiAsync(() =>
    {
    	if ((PosChart.AssetPosition != null && PosChart.AssetPosition == position) || PosChart.Positions.Cache.Contains(position))
    		RefreshChart();
    });
    try
    {
    	if (File.Exists(_settingsFile))
    		Connector.Load(new JsonSerializer<SettingsStorage>().Deserialize(_settingsFile));
    }
    catch
    {
    }
   }
   private void ConnectClick(object sender, RoutedEventArgs e)
   {
    if (!_isConnected)
    {
    	ConnectBtn.IsEnabled = false;
    	_model.Clear();
    	_model.MarketDataProvider = Connector;
    	ClearSmiles();
    	PosChart.Positions.Clear();
    	PosChart.AssetPosition = null;
    	PosChart.Refresh(1, 1, default(DateTimeOffset), default(DateTimeOffset));
    	Portfolio.Portfolios = new PortfolioDataSource(Connector);
    	PosChart.MarketDataProvider = Connector;
    	PosChart.SecurityProvider = Connector;
    	Connector.Connect();
    }
    else
    	Connector.Disconnect();
   }            		
   
   

3. Set up the VolatilityQuotingStrategy strategy (filling the range of volatility, as well as the creation of the order, wherethrough the required volume and quoting direction are specified):

   private void StartClick(object sender, RoutedEventArgs e)
   {
    var option = SelectedOption;
    // create DOM window
    var wnd = new QuotesWindow { Title = option.Name };
    wnd.Init(option);
    // create delta hedge strategy
    var hedge = new DeltaHedgeStrategy
    {
    	Security = option.GetUnderlyingAsset(Connector),
    	Portfolio = Portfolio.SelectedPortfolio,
    	Connector = Connector,
    };
    // create option quoting for 20 contracts
    var quoting = new VolatilityQuotingStrategy(Sides.Buy, 20,
    		new Range<decimal>(ImpliedVolatilityMin.Value ?? 0, ImpliedVolatilityMax.Value ?? 100))
    {
    	// working size is 1 contract
    	Volume = 1,
    	Security = option,
    	Portfolio = Portfolio.SelectedPortfolio,
    	Connector = Connector,
    };
    // link quoting and hending
    hedge.ChildStrategies.Add(quoting);
    // start henging
    hedge.Start();
    wnd.Closed += (s1, e1) =>
    {
    	// force close all strategies while the DOM was closed
    	hedge.Stop();
    };
    // show DOM
    wnd.Show();
   }
   

4. The quoting start:

   hedge.Start();
   

5. For a visual presentation of the volatility the example shows how you can convert the standard order book with quotations to the order book of volatility through the use of the DerivativesHelper.ImpliedVolatility(StockSharp.Messages.IOrderBookMessage depth, StockSharp.BusinessEntities.ISecurityProvider securityProvider, StockSharp.BusinessEntities.IMarketDataProvider dataProvider, StockSharp.Algo.Storages.IExchangeInfoProvider exchangeInfoProvider, System.DateTimeOffset currentTime, System.Decimal riskFree, System.Decimal dividend ) method:

   private void OnQuotesChanged()
   {
       DepthCtrl.UpdateDepth(_depth.ImpliedVolatility(Connector, Connector, Connector.CurrentTime));
   }
   

   

6. The quoting ending and the strategy stop:

   hedge.Stop();
   

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