376 lines
16 KiB
MQL5
376 lines
16 KiB
MQL5
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//+------------------------------------------------------------------+
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//| GexData.mqh |
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//| MMQ — Muhammad Minhas Qamar |
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//| www.mql5.com/en/articles/23410 |
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//+------------------------------------------------------------------+
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#property copyright "MMQ — Muhammad Minhas Qamar"
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#property link "https://www.mql5.com/en/articles/23410"
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#property version "1.00"
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#ifndef GEX_GEXDATA_MQH
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#define GEX_GEXDATA_MQH
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#include <GEX/BlackScholes.mqh>
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//+------------------------------------------------------------------+
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//| One raw option quote, before it is aggregated into the profile. |
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//| It carries everything the gamma math needs: the strike, the |
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//| right, the time to expiry, and the open interest that scales a |
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//| contract's gamma into a real dealer exposure. The iv field is |
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//| filled by the provider (inverted from the price, or read from |
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//| the server) because gamma is a function of volatility. |
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//+------------------------------------------------------------------+
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struct OptionQuote
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{
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ENUM_OPT_RIGHT right;
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double strike;
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datetime expiry;
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double price; // market mid price
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double spot; // underlying price
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double rate; // risk-free rate
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double open_interest; // contracts outstanding at this strike
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double iv; // filled in by the provider (-1 if invalid)
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};
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//+------------------------------------------------------------------+
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//| The gamma-exposure profile for a single expiry. It reduces a |
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//| flat option chain to one number per strike: the net dealer gamma |
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//| exposure (GEX) at that strike, positive where dealers are long |
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//| gamma and negative where they are short. From that profile it |
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//| derives the three levels traders actually read: the call wall |
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//| (largest positive GEX), the put wall (largest negative GEX), and |
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//| the zero-gamma "flip" price where total exposure crosses zero. |
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//+------------------------------------------------------------------+
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class CGexProfile
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{
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private:
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double m_strikes[]; // sorted unique strikes for the chosen expiry
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double m_gex[]; // signed dealer GEX per strike (aligned to m_strikes)
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OptionQuote m_quotes[]; // the quotes that survived onto the chosen expiry
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double m_spot;
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double m_multiplier; // contract size (100 for US equity options)
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datetime m_expiry; // the single expiry this profile represents
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double m_netGex; // sum of m_gex, the headline regime number
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double m_gexMin, m_gexMax; // most-negative / most-positive per-strike GEX
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double m_callWall; // strike of the largest positive GEX
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double m_putWall; // strike of the most-negative GEX
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double m_flip; // zero-gamma price (<0 if none found)
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public:
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CGexProfile(void) : m_spot(0), m_multiplier(100.0), m_expiry(0),
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m_netGex(0), m_gexMin(0), m_gexMax(0),
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m_callWall(0), m_putWall(0), m_flip(-1.0) {}
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//--- accessors the renderer reads
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int NStrikes(void) const { return(ArraySize(m_strikes)); }
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double Strike(const int i) const { return(m_strikes[i]); }
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double Gex(const int i) const { return(m_gex[i]); }
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double Spot(void) const { return(m_spot); }
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datetime Expiry(void) const { return(m_expiry); }
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double NetGex(void) const { return(m_netGex); }
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double GexMin(void) const { return(m_gexMin); }
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double GexMax(void) const { return(m_gexMax); }
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double CallWall(void) const { return(m_callWall); }
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double PutWall(void) const { return(m_putWall); }
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double Flip(void) const { return(m_flip); }
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void Multiplier(const double m) { m_multiplier = (m > 0.0) ? m : 100.0; }
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//--- build the profile; target is the expiry to use, or 0 for "nearest future"
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bool Build(OptionQuote "es[], const datetime target = 0);
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private:
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datetime PickExpiry(OptionQuote "es[], const datetime target) const;
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double DealerGammaAtSpot(const double S) const;
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double SolveFlip(void) const;
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int IndexOf(const double &arr[], const double v) const;
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};
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//+------------------------------------------------------------------+
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//| Choose which expiry to profile. A GEX map is always a single |
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//| expiry (near-dated positioning is what pins index price), so we |
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//| either honour the caller's requested expiry or, when none is |
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//| given, take the nearest one still in the future. Expired |
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//| contracts never win here. |
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//+------------------------------------------------------------------+
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datetime CGexProfile::PickExpiry(OptionQuote "es[], const datetime target) const
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{
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datetime now = TimeCurrent();
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if(now == 0)
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now = TimeLocal();
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datetime best = 0;
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double bestDist = 1e18;
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int n = ArraySize(quotes);
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for(int i = 0; i < n; i++)
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{
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datetime e = quotes[i].expiry;
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if(e <= now)
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continue; // never profile an expired contract
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//--- distance is "closeness to the requested expiry", or "closeness to now"
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double dist = (target > 0) ? MathAbs((double)(e - target)) : (double)(e - now);
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if(dist < bestDist)
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{
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bestDist = dist;
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best = e;
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}
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}
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return(best);
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}
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//+------------------------------------------------------------------+
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//| Build the single-expiry profile. Pick the expiry, keep only the |
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//| quotes on it, collect the sorted unique strikes, then sum the |
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//| signed dealer GEX at each strike. The dealer-sign convention is |
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//| the standard one: dealers are assumed short calls and long puts |
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//| against the customer, so a call's gamma adds to exposure and a |
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//| put's subtracts. Per contract the exposure is |
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//| gamma * OI * multiplier * spot^2 * 0.01 |
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//| i.e. dollar gamma per 1% move in the underlying. |
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//+------------------------------------------------------------------+
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bool CGexProfile::Build(OptionQuote "es[], const datetime target)
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{
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int n = ArraySize(quotes);
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if(n == 0)
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return(false);
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m_spot = quotes[0].spot;
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m_expiry = PickExpiry(quotes, target);
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if(m_expiry == 0)
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{
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Print("CGexProfile: no future expiry to profile");
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return(false);
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}
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//--- keep only this expiry's usable quotes (valid IV, positive OI)
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ArrayResize(m_quotes, 0);
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ArrayResize(m_strikes, 0);
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for(int i = 0; i < n; i++)
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{
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if(quotes[i].expiry != m_expiry)
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continue;
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if(quotes[i].iv <= 0.0 || quotes[i].open_interest <= 0.0)
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continue; // no gamma or no size means no exposure
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int s = ArraySize(m_quotes);
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ArrayResize(m_quotes, s + 1);
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m_quotes[s] = quotes[i];
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if(IndexOf(m_strikes, quotes[i].strike) < 0)
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{ int k = ArraySize(m_strikes); ArrayResize(m_strikes, k + 1); m_strikes[k] = quotes[i].strike; }
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}
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ArraySort(m_strikes);
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int nk = ArraySize(m_strikes);
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if(nk < 2)
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{
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Print("CGexProfile: fewer than 2 usable strikes on the chosen expiry");
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return(false);
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}
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//--- sum signed dealer GEX per strike, evaluated at the live spot
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datetime now = TimeCurrent();
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if(now == 0)
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now = TimeLocal();
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ArrayResize(m_gex, nk);
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ArrayInitialize(m_gex, 0.0);
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int nq = ArraySize(m_quotes);
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for(int i = 0; i < nq; i++)
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{
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double T = (double)(m_quotes[i].expiry - now) / (365.0 * 24 * 3600);
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if(T <= 0.0)
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continue;
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double g = BSGamma(m_spot, m_quotes[i].strike, m_quotes[i].rate, 0.0, m_quotes[i].iv, T);
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double contractGex = g * m_quotes[i].open_interest * m_multiplier * m_spot * m_spot * 0.01;
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double signed_ = (m_quotes[i].right == OPT_CALL) ? contractGex : -contractGex;
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int k = IndexOf(m_strikes, m_quotes[i].strike);
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if(k >= 0)
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m_gex[k] += signed_;
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}
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//--- derive the headline numbers and the walls from the per-strike profile
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m_netGex = 0.0;
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m_gexMin = 1e18;
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m_gexMax = -1e18;
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m_callWall = m_strikes[0];
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m_putWall = m_strikes[0];
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double maxPos = -1e18, maxNeg = 1e18;
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for(int k = 0; k < nk; k++)
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{
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m_netGex += m_gex[k];
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if(m_gex[k] < m_gexMin)
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m_gexMin = m_gex[k];
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if(m_gex[k] > m_gexMax)
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m_gexMax = m_gex[k];
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if(m_gex[k] > maxPos)
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{ maxPos = m_gex[k]; m_callWall = m_strikes[k]; }
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if(m_gex[k] < maxNeg)
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{ maxNeg = m_gex[k]; m_putWall = m_strikes[k]; }
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}
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//--- the zero-gamma flip: the spot at which total dealer gamma is zero
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m_flip = SolveFlip();
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PrintFormat("CGexProfile: expiry=%s strikes=%d netGEX=%.3g flip=%.2f callWall=%.2f putWall=%.2f",
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TimeToString(m_expiry, TIME_DATE), nk, m_netGex, m_flip, m_callWall, m_putWall);
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Total signed dealer gamma if the underlying were trading at S. |
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//| This is the same aggregation as Build, but with every contract's |
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//| gamma re-evaluated at the hypothetical spot S (each keeps its |
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//| own implied volatility). Sweeping S through this function traces |
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//| the exposure curve whose zero crossing is the flip level. We |
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//| return raw dealer gamma (not the spot^2-scaled dollar figure), |
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//| because only its sign and zero crossing matter here. |
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//+------------------------------------------------------------------+
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double CGexProfile::DealerGammaAtSpot(const double S) const
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{
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datetime now = TimeCurrent();
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if(now == 0)
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now = TimeLocal();
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double total = 0.0;
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int nq = ArraySize(m_quotes);
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for(int i = 0; i < nq; i++)
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{
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double T = (double)(m_quotes[i].expiry - now) / (365.0 * 24 * 3600);
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if(T <= 0.0)
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continue;
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double g = BSGamma(S, m_quotes[i].strike, m_quotes[i].rate, 0.0, m_quotes[i].iv, T);
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double contrib = g * m_quotes[i].open_interest * m_multiplier;
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total += (m_quotes[i].right == OPT_CALL) ? contrib : -contrib;
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}
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return(total);
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}
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//+------------------------------------------------------------------+
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//| Find the zero-gamma flip by scanning dealer gamma across a price |
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//| band around spot and interpolating the first sign change. The |
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//| band spans the strikes we hold, widened a little so a flip just |
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//| outside the quoted strikes is still caught. If dealer gamma |
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//| never changes sign across the band there is no flip (a wholly |
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//| long- or short-gamma book), and we return a negative sentinel. |
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//+------------------------------------------------------------------+
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double CGexProfile::SolveFlip(void) const
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{
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int nk = ArraySize(m_strikes);
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if(nk < 2)
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return(-1.0);
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double lo = m_strikes[0];
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double hi = m_strikes[nk - 1];
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double pad = 0.15 * (hi - lo); // widen the band by 15% each way
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lo -= pad;
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hi += pad;
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if(lo <= 0.0)
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lo = 0.01 * m_strikes[0];
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int steps = 400;
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double dx = (hi - lo) / steps;
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double prevS = lo;
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double prevG = DealerGammaAtSpot(lo);
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for(int i = 1; i <= steps; i++)
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{
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double s = lo + i * dx;
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double g = DealerGammaAtSpot(s);
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if((prevG <= 0.0 && g > 0.0) || (prevG >= 0.0 && g < 0.0))
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{
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//--- linear interpolation of the crossing between prevS and s
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double denom = (g - prevG);
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if(MathAbs(denom) < 1e-30)
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return(0.5 * (prevS + s));
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return(prevS - prevG * (s - prevS) / denom);
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}
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prevS = s;
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prevG = g;
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}
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return(-1.0); // no sign change: no flip in this band
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}
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//+------------------------------------------------------------------+
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//| Linear search for a strike in the array. Uses a small tolerance |
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//| so float round-trips still match. |
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//+------------------------------------------------------------------+
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int CGexProfile::IndexOf(const double &arr[], const double v) const
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{
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int n = ArraySize(arr);
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for(int i = 0; i < n; i++)
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if(MathAbs(arr[i] - v) < 1e-6)
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return(i);
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return(-1);
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}
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//+------------------------------------------------------------------+
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//| CSV provider. Reads a chain file from MQL5\Files with columns: |
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//| right,strike,expiry,mid,spot,rate,oi |
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//| where right is C/P and expiry is YYYY.MM.DD. Computes the |
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//| implied volatility for each row via Black-Scholes inversion so |
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//| the gamma aggregation downstream has a sigma to work with. |
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//+------------------------------------------------------------------+
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class CGexProviderCSV
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{
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public:
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bool Load(const string filename, OptionQuote &out[]);
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};
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//+------------------------------------------------------------------+
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//| Parse the CSV chain into a flat quote list, inverting each row's |
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//| price to an implied volatility as it is read. |
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//+------------------------------------------------------------------+
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bool CGexProviderCSV::Load(const string filename, OptionQuote &out[])
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{
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int h = FileOpen(filename, FILE_READ | FILE_CSV | FILE_ANSI, ',');
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if(h == INVALID_HANDLE)
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{
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PrintFormat("CGexProviderCSV: cannot open %s (err %d)", filename, GetLastError());
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return(false);
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}
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ArrayResize(out, 0);
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bool header = true;
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while(!FileIsEnding(h))
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{
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string sRight = FileReadString(h);
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if(FileIsLineEnding(h) && StringLen(sRight) == 0)
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continue;
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string sStrike = FileReadString(h);
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string sExpiry = FileReadString(h);
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|
|
string sMid = FileReadString(h);
|
||
|
|
string sSpot = FileReadString(h);
|
||
|
|
string sRate = FileReadString(h);
|
||
|
|
string sOi = FileReadString(h);
|
||
|
|
if(header)
|
||
|
|
{
|
||
|
|
header = false; // skip the column titles
|
||
|
|
continue;
|
||
|
|
}
|
||
|
|
if(StringLen(sStrike) == 0)
|
||
|
|
continue;
|
||
|
|
|
||
|
|
OptionQuote q;
|
||
|
|
string rr = sRight;
|
||
|
|
StringToUpper(rr);
|
||
|
|
q.right = (StringFind(rr, "P") >= 0) ? OPT_PUT : OPT_CALL;
|
||
|
|
q.strike = StringToDouble(sStrike);
|
||
|
|
q.expiry = StringToTime(sExpiry);
|
||
|
|
q.price = StringToDouble(sMid);
|
||
|
|
q.spot = StringToDouble(sSpot);
|
||
|
|
q.rate = StringToDouble(sRate);
|
||
|
|
q.open_interest = StringToDouble(sOi);
|
||
|
|
|
||
|
|
datetime now = TimeCurrent();
|
||
|
|
if(now == 0)
|
||
|
|
now = TimeLocal();
|
||
|
|
double T = (double)(q.expiry - now) / (365.0 * 24 * 3600);
|
||
|
|
q.iv = ImpliedVol(q.right, q.price, q.spot, q.strike, q.rate, 0.0, T);
|
||
|
|
|
||
|
|
int s = ArraySize(out);
|
||
|
|
ArrayResize(out, s + 1);
|
||
|
|
out[s] = q;
|
||
|
|
}
|
||
|
|
FileClose(h);
|
||
|
|
PrintFormat("CGexProviderCSV: loaded %d rows from %s", ArraySize(out), filename);
|
||
|
|
return(ArraySize(out) > 0);
|
||
|
|
}
|
||
|
|
|
||
|
|
#endif // GEX_GEXDATA_MQH
|
||
|
|
//+------------------------------------------------------------------+
|