Salvataggio dati e creazione di piccolo database

[Ismael]

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 )

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