OptionConvert/OptionConvert.mq5

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                                OptionConvert.mq5 |
//|                                   Copyright 2022, Allan Serotini |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#define SWAP(A, B) { A += B; B = A - B; A -= B; }
#define SORT(a,b,c) {if(a > b) SWAP(a,b) if(a > c) SWAP(a,c) if (b>c) SWAP(b,c) }
//+------------------------------------------------------------------+
//| Estruturas                                                       |
//+------------------------------------------------------------------+
enum CalcMode
 {
  VWAP,//Session Average Weighted
  Last,//Last deal quote
  AskBidWatch,//Watch(Ask+Bid)/2
  Median//Mediana
 };
struct sOption
 {
   string strSymbol;
   ENUM_SYMBOL_OPTION_RIGHT enRight;
   double dbK;
   double dbP;
   double dbC;
   ulong dtExpiration;
   ulong dtLastDeal;
 };
//+------------------------------------------------------------------+
//| Entradas                                                         |
//+------------------------------------------------------------------+
sinput group "Globais";
sinput CalcMode inpCalcMode=Median;// Modo de C<EFBFBD>lculo:
sinput datetime inpMaxExpiration=D'2022.12.31 23:00:00';//M<EFBFBD>xima expira<EFBFBD><EFBFBD>o:
sinput int inpSecondPlane=5;//Atualiza<EFBFBD><EFBFBD>es em segundo plano (s):
sinput string inpSymbolConvert="BOVA11";//Converter posi<EFBFBD><EFBFBD>o para o S<EFBFBD>mbolo:
sinput string inpSymbolToConvert="";
//+------------------------------------------------------------------+
//| Globais                                                          |
//+------------------------------------------------------------------+
string strStatus="";
string strComment="";
sOption arrBruteOptions[];//Usado como basse para carregar o arrOptions ( localmente em EA() ) j<EFBFBD> ordenado
//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit()
  {
//--- create timer
   LoadBruteOptions();
   EventSetTimer(1);
   
//---
   return(INIT_SUCCEEDED);
  }
//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
  {
//--- destroy timer
   EventKillTimer();
   Comment("");
   
  }
//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick()
  {
//---
   
  }
//+------------------------------------------------------------------+
//| Timer function                                                   |
//+------------------------------------------------------------------+
void OnTimer()
  {
//---
    EA();
  }
//+------------------------------------------------------------------+
//| Fun<EFBFBD><EFBFBD>o Principal                                                 |
//+------------------------------------------------------------------+
void EA()
 {
  if(SymbolInfoInteger(_Symbol,SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_PUT)
   {
   
  if((MathMod((double)TimeLocal(),inpSecondPlane)==0.0))LoadBruteOptions();
  ulong vSort[][2];
  ZeroMemory(vSort);
  ArrayResize(vSort,ArraySize(arrBruteOptions));
  for(int i=0;i<ArraySize(arrBruteOptions);i++)
   {
    vSort[i,0]=(arrBruteOptions[i].dtExpiration*1000000)+(arrBruteOptions[i].enRight*100000)+StringToInteger(DoubleToString(arrBruteOptions[i].dbK*1000,0));
    vSort[i,1]=i;
   }
  ArraySort(vSort);
  int s=0;
  sOption arrOptions[];
  ArrayResize(arrOptions,ArraySize(arrBruteOptions));
  for(int i=0;i<ArraySize(arrOptions);i++)
   {
    s=(int)vSort[i,1];
    arrOptions[i].enRight=arrBruteOptions[s].enRight;
    arrOptions[i].strSymbol=arrBruteOptions[s].strSymbol;
    arrOptions[i].dtExpiration=arrBruteOptions[s].dtExpiration;
    arrOptions[i].dtLastDeal=arrBruteOptions[s].dtLastDeal;
    arrOptions[i].dbK=arrBruteOptions[s].dbK;
    arrOptions[i].dbC=arrBruteOptions[s].dbC;
    arrOptions[i].dbP=arrBruteOptions[s].dbP;
   }

  strComment="Symbol        Q          K            X               B                Q.K                Q.X                Q.B               Caixa            Break            Saldo                K/S\n";
  
  double dbEquivalentK=0.0;
  double dbQxK=0.0;
  double dbQxX=0.0;
  double dbQxB=0.0;
  ulong ulPositionTicket=0;
  for(int i=0;i<PositionsTotal();i++)
   {
    ulPositionTicket=PositionGetTicket(i);
    if(PositionGetSymbol(i)==_Symbol)
     {
      dbEquivalentK=SymbolPrice(inpSymbolConvert,inpCalcMode)*SymbolInfoDouble(PositionGetSymbol(i),SYMBOL_OPTION_STRIKE)/SymbolPrice(OptionBasis(_Symbol),inpCalcMode);
      dbQxK=SymbolInfoDouble(PositionGetSymbol(i),SYMBOL_OPTION_STRIKE)*PositionGetDouble(POSITION_VOLUME);
      //dbQxX=PositionGetDouble(POSITION_PRICE_OPEN)*PositionGetDouble(POSITION_VOLUME);
      dbQxX=SymbolPrice(PositionGetSymbol(i),inpCalcMode)*PositionGetDouble(POSITION_VOLUME);
      dbQxB=(SymbolInfoDouble(PositionGetSymbol(i),SYMBOL_OPTION_STRIKE)-SymbolPrice(PositionGetSymbol(i),inpCalcMode))*PositionGetDouble(POSITION_VOLUME);
      strComment+=StringFormat("%8s   %4.0f     %4.2f      %4.2f      %4.2f          %4.2f          %4.2f          %4.2f                                                                                %.4f (K=%.2f)",
       PositionGetSymbol(i),
       PositionGetDouble(POSITION_VOLUME),
       SymbolInfoDouble(PositionGetSymbol(i),SYMBOL_OPTION_STRIKE),
       //PositionGetDouble(POSITION_PRICE_OPEN),
       SymbolPrice(PositionGetSymbol(i),inpCalcMode),
       SymbolInfoDouble(PositionGetSymbol(i),SYMBOL_OPTION_STRIKE)-SymbolPrice(PositionGetSymbol(i),inpCalcMode),
       SymbolInfoDouble(PositionGetSymbol(i),SYMBOL_OPTION_STRIKE)*PositionGetDouble(POSITION_VOLUME),
       SymbolPrice(PositionGetSymbol(i),inpCalcMode)*PositionGetDouble(POSITION_VOLUME),
       dbQxB,
       SymbolInfoDouble(PositionGetSymbol(i),SYMBOL_OPTION_STRIKE)/SymbolPrice(OptionBasis(_Symbol),inpCalcMode),
       dbEquivalentK
      );
      break;
     }
   }
   double dbQ=0.0;
   double dbCaixa=0.0;
   double dbBreak=0.0;
   strComment+="\n";
   for(int i=0;i<ArraySize(arrOptions);i++)
    {
     dbQ=NormalizeDouble(dbQxK/arrOptions[i].dbK,0);
     dbCaixa=(dbQ*arrOptions[i].dbP)-dbQxX;
     dbBreak=dbQxB-(dbQ*(arrOptions[i].dbK-arrOptions[i].dbP));
     if(
        (SymbolInfoInteger(arrOptions[i].strSymbol,SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_PUT)
        &&( ((dbBreak)>0.0)||(dbCaixa>0.0) )
        //&&(arrOptions[i].dbK>=dbEquivalentK)
        //&&(arrOptions[i].dbP>0.0)
        &&((StringLen(inpSymbolToConvert)>0?inpSymbolToConvert==arrOptions[i].strSymbol:true))
        )
      {
       strComment+=StringFormat("%8s   %4.0f     %4.2f      %4.2f      %4.2f          %4.2f          %4.2f          %4.2f             %4.2f            %4.2f            %4.2f         %.4f\n",
        arrOptions[i].strSymbol,
        dbQ,
        arrOptions[i].dbK,
        arrOptions[i].dbP,
        arrOptions[i].dbK-arrOptions[i].dbP,
        dbQ*arrOptions[i].dbK,
        dbQ*arrOptions[i].dbP,
        dbQ*(arrOptions[i].dbK-arrOptions[i].dbP),
        dbCaixa,
        dbBreak,
        dbCaixa+dbBreak,
        arrOptions[i].dbK/SymbolPrice(OptionBasis(arrOptions[i].strSymbol),inpCalcMode)
       );
      }
    }
   Comment(strStatus+"\n"+strComment);

   }
  else
   {
    Comment("");
   }
   
 }
  
//+------------------------------------------------------------------+
//| Converte C<EFBFBD>digo ISIN para Symbol                                 |
//+------------------------------------------------------------------+
string ISINtoSymbol(const string strISIN)
 {
  string strSymbol=StringSubstr(strISIN,2,4);
  if(StringSubstr(strISIN,9,2)=="PR") strSymbol+="4";
  if(StringSubstr(strISIN,9,2)=="OR") strSymbol+="3";
  if(StringSubstr(strISIN,9,2)=="00") strSymbol+="9";
  return strSymbol;
 }
//+------------------------------------------------------------------+
//| Carrega a Matriz de Op<EFBFBD><EFBFBD>es (Bruta)                               |
//+------------------------------------------------------------------+
void LoadBruteOptions()
 {
   string strISIN = SymbolInfoString(inpSymbolConvert, SYMBOL_ISIN);
   ArrayFree(arrBruteOptions);
   ZeroMemory(arrBruteOptions);
   strStatus="Carregando op<00><00>es....\n";
   Comment(strStatus+strComment);
   for(int i=0;i<SymbolsTotal(false);i++)
    {
     if( 
       (SymbolInfoDouble(SymbolName(i,false),SYMBOL_OPTION_STRIKE)>0.0)
       &&((SymbolInfoInteger(SymbolName(i,false),SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_CALL)||(SymbolInfoInteger(SymbolName(i,false),SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_PUT))
       &&((StringSubstr(SymbolInfoString(SymbolName(i,false),SYMBOL_ISIN),2,5)==ISINtoSymbol(SymbolInfoString(inpSymbolConvert,SYMBOL_ISIN)))||((StringSubstr(SymbolInfoString(SymbolName(i,false),SYMBOL_ISIN),2,5)==StringSubstr(SymbolInfoString(inpSymbolConvert,SYMBOL_ISIN),2,5))))
       &&(SymbolInfoInteger(SymbolName(i,false),SYMBOL_EXPIRATION_TIME)<inpMaxExpiration)
       &&(SymbolInfoInteger(SymbolName(i,false),SYMBOL_EXPIRATION_TIME)>TimeLocal())
      )
       {
        SymbolSelect(SymbolName(i,false),true);
        ArrayResize(arrBruteOptions,ArraySize(arrBruteOptions)+1);
        arrBruteOptions[ArraySize(arrBruteOptions)-1].strSymbol=SymbolName(i,false);
        arrBruteOptions[ArraySize(arrBruteOptions)-1].enRight=(ENUM_SYMBOL_OPTION_RIGHT)SymbolInfoInteger(SymbolName(i,false),SYMBOL_OPTION_RIGHT);
        arrBruteOptions[ArraySize(arrBruteOptions)-1].dtExpiration=SymbolInfoInteger(SymbolName(i,false),SYMBOL_EXPIRATION_TIME);
        arrBruteOptions[ArraySize(arrBruteOptions)-1].dbK=SymbolInfoDouble(SymbolName(i,false),SYMBOL_OPTION_STRIKE);
        if(SymbolInfoInteger(SymbolName(i,false),SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_CALL) arrBruteOptions[ArraySize(arrBruteOptions)-1].dbC=SymbolPrice(SymbolName(i,false),inpCalcMode);
        if(SymbolInfoInteger(SymbolName(i,false),SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_PUT) arrBruteOptions[ArraySize(arrBruteOptions)-1].dbP=SymbolPrice(SymbolName(i,false),inpCalcMode);
        arrBruteOptions[ArraySize(arrBruteOptions)-1].dtLastDeal=SymbolInfoInteger(SymbolName(i,false),SYMBOL_TIME);
       }
    }
   strStatus="";
   Comment(strStatus+"\n"+strComment);
 }
//+------------------------------------------------------------------+
//| Ativo subjacente da op<EFBFBD><EFBFBD>o                                        |
//+------------------------------------------------------------------+
double SymbolPrice(const string SYMBOL, const CalcMode CALCMODE)
 {
  double result = 0.0;
  switch(CALCMODE)
   {
    case Last:
     return(SymbolInfoDouble(SYMBOL,SYMBOL_LAST));
     break;
    case VWAP:
     return(SymbolInfoDouble(SYMBOL,SYMBOL_SESSION_AW));
     break;
    case Median:
     return(TrueMedian(SymbolInfoDouble(SYMBOL,SYMBOL_BID),SymbolInfoDouble(SYMBOL,SYMBOL_ASK),SymbolInfoDouble(SYMBOL,SYMBOL_LAST)));
     break;
    case AskBidWatch:
     return(SymbolInfoDouble(SYMBOL,SYMBOL_ASK)+SymbolInfoDouble(SYMBOL,SYMBOL_BID))/2;
     break;
    }
  return(result);
 }
double TrueMedian(double first, double second,double third)
 {
  SORT(first,second,third);
  return((third<=0.0)?0.0:((second<=0.0)?third:((first<=0.0)?((third+second)/2.0):second)));
 } 
//+------------------------------------------------------------------+
//| Ativo subjacente da op<EFBFBD><EFBFBD>o                                        |
//+------------------------------------------------------------------+
string OptionBasis(const string strSymbol)
 {
  string strReturn=StringSubstr(SymbolInfoString(strSymbol,SYMBOL_ISIN),2,4);
  if(StringSubstr(SymbolInfoString(strSymbol, SYMBOL_ISIN), 6, 1)=="9")
   {
    strReturn+="11";
   }
  else
   {
    strReturn+=StringSubstr(SymbolInfoString(strSymbol,SYMBOL_ISIN),6,1);
   }
  return strReturn;
 }
//+------------------------------------------------------------------+