Ciao a tutti, posto una versione aggiornata di uno script che ho già postato. Salva ask,bid,numero di ticks dei 5 strike più atm. E\' impostato per eurostoxx50 ma basta modificare lo step tra gli strike per adattarlo ad altri sottostanti.
Si potrebbe fare un piccolo database su una cartella di dropbox se qualcuno è interessato (e sempre che il capo sia d\'accordo
)
Si potrebbe fare un piccolo database su una cartella di dropbox se qualcuno è interessato (e sempre che il capo sia d\'accordo
)Codice:
uses classes
uses SysUtils
dim f as textfile
dim callss as tsecurity
dim mainunderlying as tunderlying
dim bidsc as tprice = [0,0,0,0,0]
dim asksc as tprice = [0,0,0,0,0]
dim bidsp as tprice = [0,0,0,0,0]
dim asksp as tprice = [0,0,0,0,0]
dim correzioneatm,i as double
dim ATMf as Tstringlist
dim ATM,Filename,strtosave,ATMtit as string
dim calls as toption = [0,0,0,0,0]
dim puts as toption = [0,0,0,0,0]
dim underisin,anno, mese, giorno,nextexpma ,strike, Tuonome
dim varbidtickc as double = [0,0,0,0,0]
dim varasktickc as double = [0,0,0,0,0]
dim varbidtickp as double = [0,0,0,0,0]
dim varasktickp as double = [0,0,0,0,0]
mainUnderlying = CurrentStrategy.GetMainUnderlying()
underisin = mainunderlying.isin
DecodeDate(Now(), anno, mese, giorno)
\'scrivi il tuo nome
tuonome = "Apo"
\'scegli il mese di scadenza
mese = 2
if mese<10 then
nextexpma = "0"+cstr(mese) + "-" + cstr(anno)
else
nextexpma = cstr(mese) + "-" + cstr(anno)
end if
\'crea il nome del file giornaliero
Filename = "C:\Users\user\Dropbox\" + cstr(giorno) + cstr(mese) + cstr(anno) + "askbidticks" + tuonome + ".txt"
\'prende l\'atm da un file txt oppure si può impostare scrivendo ATM = 3000
ATMf = new TStringList()
ATMf.LoadFromFile("C:\Users\user\Dropbox\ATM.TXT")
ATM=Cint(ATMf.text)
ATMf.free
correzioneatm = (ATM - int(mainunderlying.Last/25)*25)/25
\'assegnazione di una variabile array ad ogni opzione
for i = 0 to 4
strike = cstr(cstr(ATM) + (i-2)*25)
calls[i] = CurrentStrategy.getbyName("C @ "+strike+" "+nextexpma)
puts[i] = CurrentStrategy.GetByName("P @ "+strike+" "+nextexpma)
next
for i=-2 to 2 step 1
bidsc[i+2]=calls[i+2].bidObject
asksc[i+2]=calls[i+2].askobject
varbidtickc[i+2]=bidsc[i+2].tickcounter
varasktickc[i+2]=asksc[i+2].tickcounter
bidsp[i+2]=puts[i+2].bidObject
asksp[i+2]=puts[i+2].askobject
varbidtickp[i+2]=bidsp[i+2].tickcounter
varasktickp[i+2]=asksp[i+2].tickcounter
next
strtosave= cstr(mainUnderlying.Last)&" "&
cstr(calls[0].ask)&" "&cstr(varasktickc[0])&" "&cstr(calls[0].bid)&" "&cstr(varbidtickc[0])&" "&
cstr(puts[0].ask)&" "&cstr(varasktickp[0])&" "&cstr(puts[0].bid)&" "&cstr(varbidtickp[0])&" "&
cstr(calls[1].ask)&" "&cstr(varasktickc[1])&" "&cstr(calls[1].bid)&" "&cstr(varbidtickc[1])&" "&
cstr(puts[1].ask)&" "&cstr(varasktickp[1])&" "&cstr(puts[1].bid)&" "&cstr(varbidtickp[1])&" "&
cstr(calls[2].ask)&" "&cstr(varasktickc[2])&" "&cstr(calls[2].bid)&" "&cstr(varbidtickc[2])&" "&
cstr(puts[2].ask)&" "&cstr(varasktickp[2])&" "&cstr(puts[2].bid)&" "&cstr(varbidtickp[2])&" "&
cstr(calls[3].ask)&" "&cstr(varasktickc[3])&" "&cstr(calls[3].bid)&" "&cstr(varbidtickc[3])&" "&
cstr(puts[3].ask)&" "&cstr(varasktickp[3])&" "&cstr(puts[3].bid)&" "&cstr(varbidtickp[3])&" "&
cstr(calls[4].ask)&" "&cstr(varasktickc[4])&" "&cstr(calls[4].bid)&" "&cstr(varbidtickc[4])&" "&
cstr(puts[4].ask)&" "&cstr(varasktickp[4])&" "&cstr(puts[4].bid)&" "&cstr(varbidtickp[4])
if SysUtils.FileExists(FileName)then
AssignFile(f, Filename)
Append(f)
Writeln(f, strtosave)
CloseFile(f)
else
strtosave = mainUnderlying.name & " " & DateToStr(date()) &" "& "ATM:"&ATM
AssignFile(f, Filename)
Rewrite(f)
Writeln(f, strtosave)
CloseFile(f)
\'inserimento nella strategia delle 5 + 5 opzioni più atm
for i=-5 to 5 step 1
CurrentStrategy.AddParametricOption(underisin,CALL,correzioneatm-i,5)
CurrentStrategy.AddParametricOption(underisin,PUT,correzioneatm-i,5)
next
SetPersistentVar(ATMtit,ATM)
end if
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