//+------------------------------------------------------------------+
//|                                                  OptionsRoll.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
   DWAP          // Daily Weighted Average Price
  };
struct sOption
 {
   string strSymbol;
   ENUM_SYMBOL_OPTION_RIGHT enRight;
   double dbK;
   double dbP;
   double dbC;
   ulong dtExpiration;
//   ulong dtLastDeal;
 };
//+------------------------------------------------------------------+
//| Expert input values                                              |
//+------------------------------------------------------------------+
sinput CalcMode inpCalcMode = Median;   // Modo de Cálculo:
sinput double inpX=0.0;                 // Prêmio Atual:
sinput double inpXc=0.0;                // Prêmio caso o atual esteja Zero:
sinput bool inpB=false;                 // Permitir opções com menor B:
sinput bool inpDifX=false;              // Permitir opções com menores X:
sinput bool inpShowZeroE=false;         // Permitir opções com zero de E: 
sinput bool inpLossK=false;             // Permitir opções com perda de K:   
sinput string inpBlackList="";          // Ignorar as opções:
const double inpDI=10.58;                // Referência (% a.a.):
const double inpRPortfolio=23.92;       // Retorno da Carteira (% a.a.):

//+------------------------------------------------------------------+
//| Globals                                                          |
//+------------------------------------------------------------------+
sOption arrBruteOptions[];//Usado como basse para carregar o arrOptions ( localmente em EA() ) já ordenado
//const string _Symbol=_Symbol;
const int inpSecondPlane=5;           // Frequencia carregamento das opções (s):
string strComment="";
//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit()
  {
//--- create timer
   ChartSetColorBars(clrLime);
   EventSetTimer(1);
   
//---
   return(INIT_SUCCEEDED);
  }
//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
  {
//--- destroy timer
   ObjectsDeleteAll(0,"OptionRoll");
   ChartSetInteger(0,CHART_COLOR_BACKGROUND,clrBlack);
   ChartSetColorBars(clrLime);
   EventKillTimer();
   Comment("");
  }
//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick()
  {
//---
   
  }
//+------------------------------------------------------------------+
//| Timer function                                                   |
//+------------------------------------------------------------------+
void OnTimer()
  {
//---
   if(SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)>0.0)
    {
     if((MathMod((double)TimeLocal(),inpSecondPlane)==0.0))LoadBruteOptions();
     double dbE=0.0;
     double dbYe=0.0;
     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));
      if(arrBruteOptions[i].enRight==SYMBOL_OPTION_RIGHT_CALL) dbE=MathMax(0,arrBruteOptions[i].dbC-MathMax(0,(SymbolPrice(OptionBasis(_Symbol),inpCalcMode)-arrBruteOptions[i].dbK)));
      if(arrBruteOptions[i].enRight==SYMBOL_OPTION_RIGHT_PUT)  dbE=MathMax(0,arrBruteOptions[i].dbP-MathMax(0,(arrBruteOptions[i].dbK-SymbolPrice(OptionBasis(_Symbol),inpCalcMode))));
      dbYe=dbE/arrBruteOptions[i].dbK*100;
      vSort[i,0]=(arrBruteOptions[i].dtExpiration*1000000)+(arrBruteOptions[i].enRight*100000)+StringToInteger(DoubleToString(dbYe*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].dbK=arrBruteOptions[s].dbK;
      arrOptions[i].dbC=arrBruteOptions[s].dbC;
      arrOptions[i].dbP=arrBruteOptions[s].dbP;
     }
     ObjectCreate(0,"OptionRoll_PriceLine",OBJ_HLINE,0,0,SymbolPrice(_Symbol,inpCalcMode));
     ObjectSetInteger(0,"OptionRoll_PriceLine",OBJPROP_STYLE,STYLE_DOT);
     ObjectSetInteger(0,"OptionRoll_PriceLine",OBJPROP_COLOR,clrGold);
     /*
       strComment=(inpX>0.0?StringFormat("S=%.2f, B=%.4f %s, X=%.2f, Bx=%.2f\n",
       SymbolPrice(OptionBasis(_Symbol),inpCalcMode),
       (SymbolInfoInteger(_Symbol,SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_CALL?SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)+inpX:SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)-inpX),
       StringSubstr(TimeToString(SymbolInfoInteger(_Symbol,SYMBOL_EXPIRATION_TIME),TIME_DATE),8,2)+"/"+StringSubstr(TimeToString(SymbolInfoInteger(_Symbol,SYMBOL_EXPIRATION_TIME),TIME_DATE),5,2), //(arrOptions[i].dtExpiration-TimeLocal())/60/60/24,
       (SymbolPrice(_Symbol,inpCalcMode)==0.0?inpXc:SymbolPrice(_Symbol,inpCalcMode)), 
       (SymbolInfoInteger(_Symbol,SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_CALL?SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)+(SymbolPrice(_Symbol,inpCalcMode)==0.0?inpXc:SymbolPrice(_Symbol,inpCalcMode)):SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)-(SymbolPrice(_Symbol,inpCalcMode)==0.0?inpXc:SymbolPrice(_Symbol,inpCalcMode)))
       ):"");
     */
     SymbolSelect(OptionBasis(_Symbol),true);
     strComment=StringFormat("%s=%.2f, B=%.4f %s, X=%.2f, Bx=%.2f, Xopm=%.2f, Bopm=%.2f\n",
       OptionBasis(_Symbol),
       SymbolPrice(OptionBasis(_Symbol),inpCalcMode),
       (SymbolInfoInteger(_Symbol,SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_CALL?SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)+inpX:SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)-inpX),
       StringSubstr(TimeToString(SymbolInfoInteger(_Symbol,SYMBOL_EXPIRATION_TIME),TIME_DATE),8,2)+"/"+StringSubstr(TimeToString(SymbolInfoInteger(_Symbol,SYMBOL_EXPIRATION_TIME),TIME_DATE),5,2), //(arrOptions[i].dtExpiration-TimeLocal())/60/60/24,
       (SymbolPrice(_Symbol,inpCalcMode)==0.0?inpXc:SymbolPrice(_Symbol,inpCalcMode)), 
       (SymbolInfoInteger(_Symbol,SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_CALL?SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)+(SymbolPrice(_Symbol,inpCalcMode)==0.0?inpXc:SymbolPrice(_Symbol,inpCalcMode)):SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)-(SymbolPrice(_Symbol,inpCalcMode)==0.0?inpXc:SymbolPrice(_Symbol,inpCalcMode)))
       );
     if(ChartGetInteger(0,CHART_IS_MAXIMIZED))
      {
       strComment+="\n";
       ChartSetInteger(0,CHART_COLOR_BACKGROUND,clrBlack);
       ChartSetColorBars(clrLime);
      }
     double _B0=(SymbolInfoInteger(_Symbol,SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_CALL?SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)+(inpX>0.0?inpX:SymbolPrice(_Symbol,inpCalcMode)):SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)-(inpX>0.0?inpX:SymbolPrice(_Symbol,inpCalcMode)));
     double _X0=(SymbolPrice(_Symbol,inpCalcMode)==0.0?inpXc:SymbolPrice(_Symbol,inpCalcMode));
     double _B=0.0;
     double _X=0.0;
     double _I=0.0;
     double _E=0.0;
     double dbReturn=0.0;
     string strFormatMaximized="%-8s %4.2f  %3.2f  (E=%3.2f%%)  %4.2f %s : %.4f %.2f%%\n";
     if(SymbolInfoInteger(_Symbol,SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_CALL)
      {
       for(int i=ArraySize(arrOptions)-1;i>=0;i--)
        {
         _B=(arrOptions[i].enRight==SYMBOL_OPTION_RIGHT_CALL?arrOptions[i].dbK+arrOptions[i].dbC:arrOptions[i].dbK-arrOptions[i].dbP);
         _X=arrOptions[i].dbC;
         _I=MathMax(0,SymbolPrice(OptionBasis(_Symbol),inpCalcMode)-arrOptions[i].dbK);
         _E=MathMax(0,_X-_I);
         dbReturn=(arrOptions[i].dbK-SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)+arrOptions[i].dbC-_X0)
                                                           /
               (2/(1/(arrOptions[i].dbK+arrOptions[i].dbC)+1/(SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)+_X0)));
         if(
             (StringSubstr(arrOptions[i].strSymbol,4,1)==nextOptionSerie(StringSubstr(_Symbol,4,1)))
             &&((_B>=_B0)||(_B>=(SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)+SymbolPrice(_Symbol,inpCalcMode)))||inpB)
             &&((_X>=SymbolPrice(_Symbol,inpCalcMode))||inpDifX)
             &&((_E>0.0)||inpShowZeroE)
             &&((arrOptions[i].dbK>=SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE))||inpLossK)
             &&(StringFind(inpBlackList,arrOptions[i].strSymbol)<0)
           )
          {
             strComment+=StringFormat(strFormatMaximized,
              arrOptions[i].strSymbol,
              arrOptions[i].dbK, _X, 
              _E/_X*100,
              _B, 
              StringSubstr(TimeToString(arrOptions[i].dtExpiration,TIME_DATE),8,2)+"/"+StringSubstr(TimeToString(arrOptions[i].dtExpiration,TIME_DATE),5,2), //(arrOptions[i].dtExpiration-TimeLocal())/60/60/24,
              (arrOptions[i].dbK-SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE))+(arrOptions[i].dbC-_X0),
              //100*dbReturn
              ((100*dbReturn)/((arrOptions[i].dtExpiration-TimeLocal())/60/60/24))*30
             );
           if(!ChartGetInteger(0,CHART_IS_MAXIMIZED)) if((((100*dbReturn)/((arrOptions[i].dtExpiration-TimeLocal())/60/60/24))*30*12)>inpDI) ChartSetColorBars(clrCyan);
           if(!ChartGetInteger(0,CHART_IS_MAXIMIZED)) if((((100*dbReturn)/((arrOptions[i].dtExpiration-TimeLocal())/60/60/24))*30*12)>inpRPortfolio) ChartSetColorBars(clrDarkGoldenrod);
           if(!ChartGetInteger(0,CHART_IS_MAXIMIZED)) break;
          }
        }
      }
     if(SymbolInfoInteger(_Symbol,SYMBOL_OPTION_RIGHT)==SYMBOL_OPTION_RIGHT_PUT)
      {
       for(int i=ArraySize(arrOptions)-1;i>=0;i--)
        {
         _B=(arrOptions[i].enRight==SYMBOL_OPTION_RIGHT_CALL?arrOptions[i].dbK+arrOptions[i].dbC:arrOptions[i].dbK-arrOptions[i].dbP);
         _X=arrOptions[i].dbP;
         _I=MathMax(0,arrOptions[i].dbK-SymbolPrice(OptionBasis(_Symbol),inpCalcMode));
         _E=MathMax(0,_X-_I);
         dbReturn=(((SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)-arrOptions[i].dbK)+(arrOptions[i].dbP-_X0))/arrOptions[i].dbK);
         if(
             (StringSubstr(arrOptions[i].strSymbol,4,1)==nextOptionSerie(StringSubstr(_Symbol,4,1)))
             &&((_B<=_B0)||inpB)
             &&((_X>=(SymbolPrice(_Symbol,inpCalcMode)==0.0?inpXc:SymbolPrice(_Symbol,inpCalcMode)))||inpDifX)
             &&((_E>0.0)||inpShowZeroE)
             &&((arrOptions[i].dbK<=SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE))||inpLossK)
             &&(StringFind(inpBlackList,arrOptions[i].strSymbol)<0)
           )
          {
             strComment+=StringFormat(strFormatMaximized,
              arrOptions[i].strSymbol,
              arrOptions[i].dbK, _X, 
              _E/_X*100.0,
              _B, 
              StringSubstr(TimeToString(arrOptions[i].dtExpiration,TIME_DATE),8,2)+"/"+StringSubstr(TimeToString(arrOptions[i].dtExpiration,TIME_DATE),5,2), //(arrOptions[i].dtExpiration-TimeLocal())/60/60/24,
              (SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)-arrOptions[i].dbK)+(arrOptions[i].dbP-_X0),      //SymbolInfoDouble(_Symbol,SYMBOL_OPTION_STRIKE)-arrOptions[i].dbK,
              ((100*dbReturn)/((arrOptions[i].dtExpiration-TimeLocal())/60/60/24))*30
             );
           if(!ChartGetInteger(0,CHART_IS_MAXIMIZED)) if((((100*dbReturn)/((arrOptions[i].dtExpiration-TimeLocal())/60/60/24))*30*12)>inpDI) ChartSetColorBars(clrCyan);
           if(!ChartGetInteger(0,CHART_IS_MAXIMIZED)) if((((100*dbReturn)/((arrOptions[i].dtExpiration-TimeLocal())/60/60/24))*30*12)>inpRPortfolio) ChartSetColorBars(clrDarkGoldenrod);
           if(!ChartGetInteger(0,CHART_IS_MAXIMIZED)) break;
          }
        }
      }
      
      
     Comment(strComment);
    }
   else 
    {
      // Ativos
      
    }
  }
  
//+------------------------------------------------------------------+
//| Symbol Price                                                     |
//+------------------------------------------------------------------+
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;
     }
   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 opção                                        |
//+------------------------------------------------------------------+
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;
 }
//+------------------------------------------------------------------+
//| Carrega a Matriz de Opções (Bruta)                               |
//+------------------------------------------------------------------+
void LoadBruteOptions()
 {
   string strISIN = SymbolInfoString(_Symbol, SYMBOL_ISIN);
   ArrayFree(arrBruteOptions);
   ZeroMemory(arrBruteOptions);
   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(_Symbol,SYMBOL_ISIN)))||((StringSubstr(SymbolInfoString(SymbolName(i,false),SYMBOL_ISIN),2,5)==StringSubstr(SymbolInfoString(_Symbol,SYMBOL_ISIN),2,5))))
       &&(SymbolInfoInteger(SymbolName(i,false),SYMBOL_EXPIRATION_TIME)<D'2024.12.31 23:00:00')
       &&(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);
       }
    }
 }
//+------------------------------------------------------------------+
//| Converte Código 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;
 } 
//+------------------------------------------------------------------+
//| Próxima séria da Opção                                           |
//+------------------------------------------------------------------+
string nextOptionSerie(const string strSerieSymbol)
 {
  string strReturn="";
  string strCall="ABCDEFGHIJKL";
  string strPut="MNOPQRSTUVWX";
  if(StringFind(strCall,strSerieSymbol,0)>=0) strReturn=StringSubstr(strCall,StringFind(strCall,strSerieSymbol,0)+1,1); if((StringFind(strCall,strSerieSymbol,0)+1)==StringLen(strCall)) strReturn="A";
  if(StringFind(strPut,strSerieSymbol,0)>=0) strReturn=StringSubstr(strPut,StringFind(strPut,strSerieSymbol,0)+1,1); if((StringFind(strPut,strSerieSymbol,0)+1)==StringLen(strPut)) strReturn="M";
  return strReturn;
 }
 
 void ChartSetColorBars(const color clrChange)
  {
    //ChartSetInteger(0,CHART_COLOR_BACKGROUND,clrChange);
    
    ChartSetInteger(0,CHART_COLOR_CHART_UP,clrChange);
    ChartSetInteger(0,CHART_COLOR_CHART_LINE,clrChange);
    ChartSetInteger(0,CHART_COLOR_CHART_DOWN,clrChange);
    
    
    return;
  }