- Generated by
1.8.17
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Lean
$LEAN_TAG$
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Classes | |
| class | AbsoluteRiskOptionPositionCollectionEnumerator |
| Stub class providing an idea towards an optimal IOptionPositionCollectionEnumerator implementation that still needs to be implemented. More... | |
| class | ConstantOptionStrategyLegPredicateReferenceValue |
| Provides an implementation of IOptionStrategyLegPredicateReferenceValue that represents a constant value. More... | |
| class | ConstantOptionStrategyLegReferenceValue |
| Provides methods for easily creating instances of ConstantOptionStrategyLegPredicateReferenceValue<T> More... | |
| class | DefaultOptionPositionCollectionEnumerator |
| Provides a default implementation of the IOptionPositionCollectionEnumerator abstraction. More... | |
| class | DescendingByLegCountOptionStrategyDefinitionEnumerator |
| Provides an implementation of IOptionStrategyDefinitionEnumerator that enumerates definitions requiring more leg matches first. This ensures more complex definitions are evaluated before simpler definitions. More... | |
| class | FunctionalOptionPositionCollectionEnumerator |
| Provides a functional implementation of IOptionPositionCollectionEnumerator More... | |
| class | IdentityOptionStrategyDefinitionEnumerator |
| Provides a default implementation of IOptionStrategyDefinitionEnumerator that enumerates definitions according to the order that they were provided to OptionStrategyMatcherOptions More... | |
| interface | IOptionPositionCollectionEnumerator |
| Enumerates an OptionPositionCollection. The intent is to evaluate positions that may be more important sooner. Positions appearing earlier in the enumeration are evaluated before positions showing later. This effectively prioritizes individual positions. This should not be used filter filtering, but it could also be used to split a position, for example a position with 10 could be changed to two 5s and they don't need to be enumerated back to-back either. In this way you could prioritize the first 5 and then delay matching of the final 5. More... | |
| interface | IOptionStrategyDefinitionEnumerator |
| Enumerates OptionStrategyDefinition for the purposes of providing a bias towards definitions that are more favorable to be matched before matching less favorable definitions. More... | |
| interface | IOptionStrategyLegPredicateReferenceValue |
| When decoding leg predicates, we extract the value we're comparing against If we're comparing against another leg's value (such as legs[0].Strike), then we'll create a OptionStrategyLegPredicateReferenceValue. If we're comparing against a literal/constant value, then we'll create a ConstantOptionStrategyLegPredicateReferenceValue. These reference values are used to slice the OptionPositionCollection to only include positions matching the predicate. More... | |
| interface | IOptionStrategyMatchObjectiveFunction |
| Evaluates the provided match to assign an objective score. Higher scores are better. More... | |
| struct | OptionPosition |
| Defines a lightweight structure representing a position in an option contract or underlying. This type is heavily utilized by the options strategy matcher and is the parameter type of option strategy definition predicates. Underlying quantities should be represented in lot sizes, which is equal to the quantity of shares divided by the contract's multiplier and then rounded down towards zero (truncate) More... | |
| class | OptionPositionCollection |
| Provides indexing of option contracts More... | |
| class | OptionStrategyDefinition |
| Provides a definitional object for an OptionStrategy. This definition is used to 'match' option positions via OptionPositionCollection. The OptionStrategyMatcher utilizes a full collection of these definitional objects in order to match an algorithm's option position holdings to the set of strategies in an effort to reduce the total margin required for holding the positions. More... | |
| class | OptionStrategyDefinitionMatch |
| Defines a match of OptionPosition to a OptionStrategyDefinition More... | |
| class | OptionStrategyDefinitions |
| Provides a listing of pre-defined OptionStrategyDefinition These definitions are blueprints for OptionStrategy instances. Factory functions for those can be found at OptionStrategies More... | |
| class | OptionStrategyLegDefinition |
| Defines a single option leg in an option strategy. This definition supports direct match (does position X match the definition) and position collection filtering (filter collection to include matches) More... | |
| struct | OptionStrategyLegDefinitionMatch |
| Defines the item result type of OptionStrategyLegDefinition.Match, containing the number of times the leg definition matched the position (Multiplier) and applicable portion of the position. More... | |
| class | OptionStrategyLegPredicate |
| Defines a condition under which a particular OptionPosition can be combined with a preceding list of leg (also of type OptionPosition) to achieve a particular option strategy. More... | |
| class | OptionStrategyLegPredicateReferenceValue |
| Provides an implementation of IOptionStrategyLegPredicateReferenceValue that references an option leg from the list of already matched legs by index. The property referenced is defined by PredicateTargetValue More... | |
| class | OptionStrategyMatch |
| Defines a complete result from running the matcher on a collection of positions. The matching process will return one these matches for every potential combination of strategies conforming to the search settings and the positions provided. More... | |
| class | OptionStrategyMatcher |
| Matches OptionPositionCollection against a collection of OptionStrategyDefinition according to the OptionStrategyMatcherOptions provided. More... | |
| class | OptionStrategyMatcherOptions |
| Defines options that influence how the matcher operates. More... | |
| class | UnmatchedPositionCountOptionStrategyMatchObjectiveFunction |
| Provides an implementation of IOptionStrategyMatchObjectiveFunction that evaluates the number of unmatched positions, in number of contracts, giving precedence to solutions that have fewer unmatched contracts. More... | |
Enumerations | |
| enum | PredicateTargetValue { PredicateTargetValue.Right, PredicateTargetValue.Quantity, PredicateTargetValue.Strike, PredicateTargetValue.Expiration } |
| Specifies the type of value being compared against in a OptionStrategyLegPredicate. These values define the limits of what can be filtered and must match available slice methods in OptionPositionCollection More... | |
Specifies the type of value being compared against in a OptionStrategyLegPredicate. These values define the limits of what can be filtered and must match available slice methods in OptionPositionCollection
| Enumerator | |
|---|---|
| Right | Predicate matches on OptionPosition.Right (0) |
| Quantity | Predicate match on OptionPosition.Quantity (1) |
| Strike | Predicate matches on OptionPosition.Strike (2) |
| Expiration | Predicate matches on OptionPosition.Expiration (3) |
Definition at line 23 of file PredicateTargetValue.cs.
1.8.17