波动率交易

对于期权报价，实施了一种特殊的VolatilityQuotingStrategy策略，该策略在指定的波动率范围内提供成交量报价。

按波动率报价

1. S# 安装包包括示例 SampleOptionQuoting，该示例在指定的波动率范围内对选定的执行价进行报价。

2. 正在创建到 OpenECry 的连接并开始导出：

   private void InitConnector()
   {
    // 订阅连接成功事件
    Connector.Connected += () =>
    {
    	// 更新界面标签
    	this.GuiAsync(() => ChangeConnectStatus(true));
    };
    // 订阅断开连接事件
    Connector.Disconnected += () =>
    {
    	// 更新界面标签
    	this.GuiAsync(() => ChangeConnectStatus(false));
    };
    // 订阅连接错误事件
    Connector.ConnectionError += error => this.GuiAsync(() =>
    {
    	// 更新界面标签
    	ChangeConnectStatus(false);
    	MessageBox.Show(this, error.ToString(), LocalizedStrings.ErrorConnection);
    });
    // 填充标的资产列表
    Connector.SecurityReceived += (sub, security) =>
    {
    	if (security.Type == SecurityTypes.Future)
    		_assets.Add(security);
    };
    Connector.Level1Received += (sub, security) =>
    {
    	if (_model.UnderlyingAsset == security || _model.UnderlyingAsset.Id == security.UnderlyingSecurityId)
    		_isDirty = true;
    };
    // 订阅 tick 价格并更新资产价格
    Connector.TickTradeReceived += (sub, 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. 设置VolatilityQuotingStrategy 策略（填写波动率范围，以及创建订单，通过该订单指定所需的数量和报价方向）：

   private void StartClick(object sender, RoutedEventArgs e)
   {
    var option = SelectedOption;
    // 创建 DOM 窗口
    var wnd = new QuotesWindow { Title = option.Name };
    wnd.Init(option);
    // 创建 delta 对冲策略
    var hedge = new DeltaHedgeStrategy
    {
    	Security = option.GetUnderlyingAsset(Connector),
    	Portfolio = Portfolio.SelectedPortfolio,
    	Connector = Connector,
    };
    // 为 20 份合约创建期权报价
    var quoting = new VolatilityQuotingStrategy(Sides.Buy, 20,
    		new Range<decimal>(ImpliedVolatilityMin.Value ?? 0, ImpliedVolatilityMax.Value ?? 100))
    {
    	// 工作数量为 1 份合约
    	Volume = 1,
    	Security = option,
    	Portfolio = Portfolio.SelectedPortfolio,
    	Connector = Connector,
    };
        // 关联报价和对冲
    hedge.ChildStrategies.Add(quoting);
        // 启动对冲
    hedge.Start();
    wnd.Closed += (s1, e1) =>
    {
    	// DOM 关闭时强制关闭所有策略
    	hedge.Stop();
    };
    // 显示 DOM
    wnd.Show();
   }
   

4. 开始报价：

   hedge.Start();
   

5. 为了直观展示波动性，示例展示了如何通过使用 DerivativesHelper.ImpliedVolatility(StockSharp.Messages.IOrderBookMessage 深度, StockSharp.BusinessEntities.ISecurityProvider 交易品种提供者, StockSharp.BusinessEntities.IMarketDataProvider 数据提供者, StockSharp.BusinessEntities.IExchangeInfoProvider 交易所信息提供者, System.DateTimeOffset 当前时间, System.Decimal 无风险利率, System.Decimal 股息**) **方法将标准报价订单簿转换为波动性订单簿：

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

   

6. 结束报价并停止策略：

   hedge.Stop();
   

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