Options/CSymbol.mqh

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                                      CSymbol.mqh |
//|                                                    Arthur Albano |
//|                             https://www.mql5.com/en/articles/351 |
//+------------------------------------------------------------------+
#property copyright "Arthur Albano"
#property link      "https://www.mql5.com/en/articles/351"

#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) }

#include <Math\Alglib\alglib.mqh>
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
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)));
  };


enum ENUM_PRICE_MODE
  {
   PRICE_MODE_LAST = SYMBOL_LAST,
   PRICE_MODE_BID = SYMBOL_BID,
   PRICE_MODE_ASK = SYMBOL_ASK,
   PRICE_MODE_BIDASK,
   PRICE_MODE_MEDIAN
  };

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
class CSymbol : public CNDimensional_PFunc
  {
private:
   string            aSymbol;
   double            _S; //Underlying security price;
   double            _K; //Strike price
   double            _X; //Premium price
   double            _z; //+1 for calls, -1 for puts, 0 for assets
   double            _r; //return
   double            _B; //Break-even: B = K + z X
   double            _T; //time to expiration
   string            _BASIS; // Underlying Security
   virtual void      _OPM1(double &c[], double &K[], double &func, CObject &obj); // An Option Pricing Model, univariate (r)
   virtual void      _OPM2(double &c[], double &K[], double &func, CObject &obj); // An Option Pricing Model, bivariate (r and <EFBFBD>_1)
   virtual void      _OPM4(double &c[], double &K[], double &func, CObject &obj); // An Option Pricing Model, 4-variate (r, <EFBFBD>_1, <EFBFBD>_1 and (<EFBFBD>_0 + <EFBFBD>_0))

public:
   bool              SetSymbol(const string symbol_name);
   double            InfoDouble(const ENUM_SYMBOL_INFO_DOUBLE _ENUM_SYMBOL_INFO_DOUBLE);
   string            InfoString(const ENUM_SYMBOL_INFO_STRING _ENUM_SYMBOL_INFO_STRING);
   double            Price(const ENUM_PRICE_MODE _ENUM_PRICE_MODE);
   double            OPM();
  };

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void CSymbol::_OPM1(double &m[],double &K[],double &func, CObject &obj)
  {
   double c = 4.0*(_T)*pow(m[0]*_S,2.0);
   double d = K[0] - _S;
   func = (1.0/2.0)*sqrt(pow(d,2.0)+c) - _Z * d / 2.0;
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void CSymbol::_OPM2(double &m[],double &K[],double &func, CObject &obj)
  {
   double c = 4.0*(_T)*pow(m[0]*_S,2.0);
   double d = K[0] - m[1]*_S;
   func = (1.0/2.0)*sqrt(pow(d,2.0)+c) - _Z * d / 2.0;
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void CSymbol::_OPM4(double &m[],double &K[],double &func, CObject &obj)
  {
   double c = 4.0*(_T)*pow(m[0]*_S,2.0);
   double d = m[3] + m[2]*K[0] - m[1]*_S;
   func = (1.0/2.0)*sqrt(pow(d,2.0)+c) - _Z * d / 2.0;
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool CSymbol::SetSymbol(const string symbol_name)
  {
   if(!SymbolSelect(symbol_name,true))
      return(false);

   aSymbol = symbol_name;

   switch((int)SymbolInfoInteger(aSymbol,SYMBOL_OPTION_RIGHT))
     {
      case SYMBOL_OPTION_RIGHT_CALL:
         _z = +1.0;
         break;
      case SYMBOL_OPTION_RIGHT_PUT:
         _z = -1.0;
         break;
      default:
         _z = 0.0;
         _r = 0.0;
         _T = 0.0;
         break;
     };

   if(SymbolInfoString(aSymbol,SYMBOL_BASIS)!="")
      _BASIS = SymbolInfoString(aSymbol,SYMBOL_BASIS);

   return(true);
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
double CSymbol::InfoDouble(const ENUM_SYMBOL_INFO_DOUBLE _ENUM_SYMBOL_INFO_DOUBLE)
  {
   return(SymbolInfoDouble(aSymbol,_ENUM_SYMBOL_INFO_DOUBLE));
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
string CSymbol::InfoString(const ENUM_SYMBOL_INFO_STRING _ENUM_SYMBOL_INFO_STRING)
  {
   return(SymbolInfoString(aSymbol,_ENUM_SYMBOL_INFO_STRING));
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
double CSymbol::Price(const ENUM_PRICE_MODE _ENUM_PRICE_MODE)
  {
   if(_ENUM_PRICE_MODE==PRICE_MODE_LAST)
      return(SymbolInfoDouble(aSymbol,SYMBOL_LAST));
   if(_ENUM_PRICE_MODE==PRICE_MODE_BID)
      return(SymbolInfoDouble(aSymbol,SYMBOL_BID));
   if(_ENUM_PRICE_MODE==PRICE_MODE_ASK)
      return(SymbolInfoDouble(aSymbol,SYMBOL_ASK));
   if(_ENUM_PRICE_MODE==PRICE_MODE_BIDASK)
      return((SymbolInfoDouble(aSymbol,SYMBOL_ASK)+SymbolInfoDouble(aSymbol,SYMBOL_BID))/2.0);
   if(_ENUM_PRICE_MODE==PRICE_MODE_MEDIAN)
      return(TrueMedian(SymbolInfoDouble(aSymbol,SYMBOL_BID),SymbolInfoDouble(aSymbol,SYMBOL_ASK),SymbolInfoDouble(aSymbol,SYMBOL_LAST)));

   return(SymbolInfoDouble(aSymbol,SYMBOL_LAST));
  };
//+------------------------------------------------------------------+
double CSymbol::OPM()
  {
   CMatrixDouble           K;    //strikes (K)
   double                  y[];  //premiums (X0)
   double                  c[];  //overfitting coeffs
   double                  w[];  //weights (deals, for day close)
   CObject                 obj;
   CSymbol                 Model;
   CNDimensional_Rep       frep;

   CSymbol _CSymbol;
   _CSymbol.SetSymbol(aSymbol);
   SymbolSelect(_BASIS,true);

   for(int i=0; i<SymbolsTotal(false); i++)
     {
      if(
         (SymbolInfoDouble(SymbolName(i,false),SYMBOL_OPTION_STRIKE)>0.0)&&
         (SymbolInfoInteger(SymbolName(i,false),SYMBOL_EXPIRATION_TIME)==SymbolInfoInteger(aSymbol,SYMBOL_EXPIRATION_TIME))&&
         (SymbolInfoInteger(SymbolName(i,false),SYMBOL_OPTION_MODE)==SymbolInfoInteger(aSymbol,SYMBOL_OPTION_MODE))
      )
        {
         SymbolSelect(SymbolName(i,false),true);
        };
     };

   MqlTick _MqlTicks[];
   int iCopyTicks = 0;
   for(int i = 0; SymbolsTotal(true); i++)
     {
         CopyTicks(SymbolName(i,true),_MqlTicks,COPY_TICKS_ALL,86400*int(SymbolInfoInteger(_BASIS,SYMBOL_TIME)/86400));
     };

   return(0.0);

  };
//+------------------------------------------------------------------+