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Adding delta information to positions in ApiDemo (java)

Jos van de Werken
 

¿ªÔÆÌåÓý

Hello all,

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I¡¯m trying to add delta¡¯s to my positions in a adjusted ApiDemo example, and I¡¯m encountering some issues. I hope somebody can help me.

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I¡¯ve added a ¡°FishTailContractData¡± (FishTail is the name of my strategy) object to the existing PositionRow, a working copy of the ApiDemo program.

This object can receive tickdata and remember the last ask, bid, markprice, but also delta, theta etc. of a contract.

When the data has changed I would like to update the position panel using the FishTailContractDataHandler to invoke a screen-update and/or portefeuille-delta-calucations.

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My problem:

When I receive a position from TWS I also get a Contract-object with the position. It contains everything including description() and conid() etc. etc.

(approach1)

When I pass this contract in the constructor of a new FishTailContractData object, I¡¯m will not receive any ticks from TWS.

(approach2)

When I use this contract in a contract-details-request, and use the returned ConrtractDetails.contract() from TWS, then I will receive ticks.

However after the ¡°->¡± I cannot ¡°see¡± my current row, so I cannot connect the right row to the right ticks in the right FishTailContractData object.

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I¡¯m relatively new to java. I¡¯ve a general knowledge of object oriented programming, but sometimes it¡¯s hard to understand where an instance of an object is.

Nevertheless I¡¯ve some automated option trading programs running on a daily basis in java, so I think everything can be learned! But now I¡¯m hoping for some help¡­ ?

?

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public class FishTailContractData extends TopMktDataAdapter implements IOptHandler {

?????? Contract contract;

?????? double minPrice;

?????? double maxPrice;

?????? double ask;

?????? double bid;

?????? double last;

?????? double open;

?????? double close;

?????? double markPrice;

?????? double high;

?????? double low;

?????? double tickSize;

?????? int position;

??????

?????? double impliedVol;

?????? double delta;

?????? double optPrice;

?????? double gamma;

?????? double vega;

?????? double theta;

?????? double undPrice;

??????

?????? double deltaDollar=0;

??????

?????? FishTailContractDataHandler fishTailContractDataHandler;

??????

?????? boolean dataRequested=false;???

??????

?????? FishTailContractData(Contract newContract, FishTailContractDataHandler handler) {??????

???????????? contract = newContract;??

???????????? fishTailContractDataHandler = handler;

?????? }

??????

?????? void setTickSize(double newTickSize) {

???????????? tickSize = newTickSize;????????

?????? }

??????

?????? void subscribeMarketData() {

????????????

?????? ?????ApiDemo.INSTANCE.controller().reqTopMktData(contract, "221", false, false, this);

?????? ???? ApiDemo.INSTANCE.controller().reqOptionMktData(contract, "", false /* snapshot */, false /* regulatory snapshot */, this);

?????? ????

?????? ?????dataRequested=true;

?????? ????

?????? ?????System.out.printf("Data subscribed: %s / %s %s\n", contract.description(), this, contract.conid() );

?????? }

?????? void unSubscribeMarketData() {

?????? ???? ApiDemo.INSTANCE.controller().cancelTopMktData(this);

?????? ???? ApiDemo.INSTANCE.controller().cancelOptionMktData(this);

?????? ???? dataRequested=false;

?????? }?????

??????

?????? @Override public void tickPrice( TickType tickType, double price, TickAttrib attribs) {

???????????? switch( tickType) {????????????

??????????????????? case BID:

??????????????????? case DELAYED_BID:?????????????????????

????????????????????????? bid = price;????????????????????

????????????????????????? break;

??????????????????? case ASK:

??????????????????? case DELAYED_ASK:?????????????????????

????????????????????????? ask = price;????????????????????

????????????????????????? break;

??????????????????? case LAST:

??????????????????? case DELAYED_LAST:

????????????????????????? last = price;

????????????????????????? break;

??????????????????? case CLOSE:

??????????????????? case DELAYED_CLOSE:

????????????????????????? close = price;

????????????????????????? break;

??????????????????? case OPEN:

??????????????????? case DELAYED_OPEN:

????????????????????????? open = price;

????????????????????????? break;???????????????????

??????????????????? case MARK_PRICE:??????????

????????????????????????? markPrice = price;

????????????????????????? if (last==0) last=markPrice;

????????????????????????? break;

??????????????????? case HIGH:

????????????????????????? high = price;

????????????????????????? break;??????????????????????????

??????????????????? case LOW:

????????????????????????? low = price;

????????????????????????? break;?????????????

??????????????????? default:????????????????????????

????????????????????????? break;

???????????? }

???????????? tickReceived();

???????????? System.out.printf("Tick (%s) received for %s (%s): %.02f\n", tickType, contract.description(), contract.conid(), last);

?????? }

??????

?????? void tickReceived() {

???????????? if (fishTailContractDataHandler != null)

???????????? ?????? fishTailContractDataHandler.fishTailContractDataReceived();

?????? }

??????

?????? double getPrice() {??????

???????????? if (markPrice!=0) return roundToTickSize(markPrice);

???????????? if (last!=0) return roundToTickSize(last);

???????????? if ((ask!=0) && (bid!=0)) return roundToTickSize((bid+ask)/2);

???????????? if (bid!=0) return roundToTickSize(bid);

???????????? if (ask!=0) return roundToTickSize(ask);

???????????? if (close!=0) return roundToTickSize(close);

???????????? return 0;

?????? }

??????

?????? public double roundToTickSize(double price) {

???????????? if (tickSize==0) {

??????????????????? return Math.round((price * (1/0.01))) * 0.01;

???????????? } else {

??????????????????? return Math.round((price * (1/tickSize))) * tickSize;

???????????? }??????????????????

?????? }

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?????? @Override

?????? public void tickOptionComputation(TickType tickType, double impliedVolNew, double deltaNew, double optPriceNew,

??????????????????? double pvDividendNew, double gammaNew, double vegaNew, double thetaNew, double undPriceNew) {

????????????

???????????? if (delta>1000) return; //zie soms echte bagger binnenkomen???

????????????

???????????? impliedVol = impliedVolNew;

???????????? delta= deltaNew;

???????????? optPrice = optPriceNew;

???????????? gamma= gammaNew;

???????????? vega = vegaNew;

???????????? theta = thetaNew;

???????????? undPrice = undPriceNew;

???????????? System.out.printf("Option data tick received for %s (%s)? *? Delta %.03f Theta %.03f? *? TickType %s\n", contract.description(), contract.conid(), delta, theta, tickType);?????????

?????? }

??????

?????? public void publicCalcGreeks() {??????

???????????? deltaDollar = delta * position * ( contract.secType()==SecType.OPT ? 100 : 1); //to do: change 100 in multiplier

?????? }

??????

?????? public interface FishTailContractDataHandler {

???????????? void fishTailContractDataReceived();????????

?????? }

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}

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I use C++ so my answer more gving a hand to avoiding you to stay blind.

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Why is your class "static" ?

It maybe that your class structure does feed another object than the one you look for. I dislike new/static together

IHMO I would have remove the static attribute and handle the error will create at compile/run start, generating dynamically your object with new (which tailored for that)

Just a thought
 

Adding FishTailContractData to the existing PositionRow will not do the trick.

Replace PositionRow by??FishTailContractData in the callback for positionMulti.

It could look like this :

?row?=?new?FishTailContractData(m_model,?contract);

?m_map.put(key,?row);

?m_list.add(row);

ApiDemo.INSTANCE.controller().reqContractDetails(contract,??list?->

{

?????contract.exchange(list.get(0).contract().exchange());

?????row.subscribeMarketData();

});

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You may need m_model in?FishTailContractData?to fire data changes is you want to use the table model.
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Best,
Herman.
Jos van de Werken
 

¿ªÔÆÌåÓý

Thanks Herman!

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Your answer helped me a lot: now it works!

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The main thing was that the returned ¡°contract¡± in

@Override

public void positionMulti(String account, String modelCode, Contract contract, double pos, double avgCost) {

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had no exchange.

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I expected ¡°conid¡± was filled and I expected that was enough for receiving ticks.

(could I have known this?)

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Now I update the contract in my FishTailContractData class just before requesting tick. Just adding ¡°contract.exchange(¡°SMART¡±) seemed to work too. That is faster, but I¡¯m not sure whether that would be reliable in all situations.

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void subscribeMarketData() {??????????

?????? ???? //!! Exchange will be filled !!!! in list.get(0).contract(), absent in original contract from PositionRow

?????? ???? ApiDemo.INSTANCE.controller().reqContractDetails( contract, list -> {? ??????? ????

?????? ????? ?ApiDemo.INSTANCE.controller().reqTopMktData(list.get(0).contract(), "221", false, false, this);

?????? ??? ? ?ApiDemo.INSTANCE.controller().reqOptionMktData(list.get(0).contract(), "", false /* snapshot */, false /* regulatory snapshot */, this);????

?????? ?????});???????????

?????? ?????//ApiDemo.INSTANCE.controller().reqTopMktData(contract, "221", false, false, this);

?????? ???? //ApiDemo.INSTANCE.controller().reqOptionMktData(contract, "", false /* snapshot */, false /* regulatory snapshot */, this);?? ????

?????? ?????dataRequested=true;

?????? }

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Thanks again Herman
 

Jos,
It looks as if the exchange (FTA) for open positions is only missing for options, I tested with an option for the AEX index (ticker EOE).
RDSA - a stock on the dutch exchange (AEB) - did have the exchange set.
IMO this is a problem, the workaround with the reqContractDetails is ugly and time consuming, maybe others can jump in and explain why the exchange is missing.
Best,
Herman.

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