Опционы в Альфа-Директ

const string _securityFields = "paper_no, ANSI_name, mat_date, status, p_code, place_code, curr_code, go_buy, go_sell, board_code, open_pos_qty, open_price, close_price, sell, sell_qty, buy, buy_qty, min_deal, max_deal, lot_size, volatility, theor_price";

private void OnProcessSecurities(string data)
{
var result = AlfaUtils.Filter(data, _securitySubscribers);

foreach (var p in result)
{
var pair = p;

ProcessEvents(() =>
{
foreach (var d in pair.Value)
{
var details = d;

if (details[1].IsEmpty())
{
continue;
}

var id = details[4] + "@" + details[5];

GetSecurity(id, name =>
{
this.AddInfoLog("Security create : {0}", name);

var security = EntityFactory.CreateSecurity(id);
security.ExtensionInfo = new Dictionary<object, object>();

security.Name = details[1];
security.ShortName = details[1];
security.ExpiryDate = DateTime.Parse(details[2]);
security.Code = details[4];
security.State = AlfaUtils.SecurityStateFromAlfa(details[3]);

// TODO: this must be done the in the AD task.
var exCode = Wrapper.GetExchangeCode(details[5]);

security.Exchange = AlfaUtils.ExchangeCodeToExchange(exCode);
security.MarginBuy = details[7].To<decimal>();
security.MarginSell = details[8].To<decimal>();
security.MinLotSize = details[19].To<int>();

security.SetPaperNo(details[0].To<int>());
security.SetCurrency(details[6]);
security.SetPlaceCode(details[5]);


security.Volatility = details[20].To<decimal>();
security.TheorPrice = details[21].To<decimal>();


decimal priceStep, priceStepCost;

// TODO: this must be done the in the AD task.
Wrapper.GetPriceStepInfo(security, out priceStep, out priceStepCost);

security.MinStepSize = priceStep;

if (priceStepCost == 0)
{
security.MinStepPrice = priceStep;
//this.AddWarningLog("Стоимость шага цены равна нулю для {0}.", security.Name);
}
else
{
security.MinStepPrice = priceStepCost;
}

security.Type = AlfaUtils.BoardCodeToSecurityType(details[9]);


if(security.Type == SecurityTypes.Option)
{
var sec = security.Code.GetOptionInfo();

security.OptionType = sec.OptionType;
security.Strike = sec.Strike;
security.UnderlyingSecurityId = sec.UnderlyingSecurityId;
}


AddNativeSecurityId(security, details[0].To<int>());

return security;
}, security =>
{
this.AddInfoLog("Security update {0}.", security.Id);

using (security.BeginUpdate())
{
security.BestAsk = new Quote
{
Price = details[13].To<decimal>(),
Volume = details[14].To<decimal>(),
Security = security,
OrderDirection = OrderDirections.Sell
};

security.BestBid = new Quote
{
Price = details[15].To<decimal>(),
Volume = details[16].To<decimal>(),
Security = security,
OrderDirection = OrderDirections.Buy
};

security.LowPrice = details[17].To<decimal>();
security.HighPrice = details[18].To<decimal>();
security.SetOpenInteres(details[10].To<long>());
security.OpenPrice = details[11].To<decimal>();
security.ClosePrice = details[12].To<decimal>();


security.Volatility = details[20].To<decimal>();
security.TheorPrice = details[21].To<decimal>();


// TODO: Add missing fields
}

return true;
});
}
});
}
}

using System;
using System.Collections;
using System.Collections.Generic;
using System.Text.RegularExpressions;

using StockSharp.Algo.Derivatives;
using StockSharp.BusinessEntities;

using Ecng.Common;

/// <summary>
/// Расширение класса string для получения дополнительной информации по опционам
/// </summary>
public static class StringExtensions
{
    private static string GetFutures(string cod, int month, int year)
    {
        Dictionary<string, string> UnderlyingSecurity = new Dictionary<string, string>
        {
            { "GZ", "GAZP"   },
            { "RI", "RTSI"   },
            { "GM", "GMKR"   },
            { "Si", "Si"     },
            { "SR", "SBER"   },
            { "VB", "VTBR"   },
            { "RS", "RTSSTD" },
            { "UR", "UR"     },
            { "SV", "SILV"   },
            { "PT", "PLT"    },
            { "PD", "PLD"    },
            { "Eu", "Eu"     },
            { "ED", "ED"     },
            { "BR", "BR"     },
            { "AU", "AUDU"   },
        };

        if(month > 12) month -= 12;

        if(month <= 3)
          month = 3;
        else if(month <= 6)
          month = 6;
        else if(month <= 9)
          month = 9;
        else if(month <= 12)
          month = 12;

        try {
          return UnderlyingSecurity[cod] + "-" + month + "." + (year + 10) + "@FORTS";
        } catch {
          return null;
        }
    }

    /// <summary>
    /// Получить дополнительные поля по опционам: Страйк, Тип опциона, Базовый актив
    /// </summary>
    public static Security GetOptionInfo(this string security)
    {
        const string call = "ABCDEFGHIJKL";
        //const string put  = "MNOPQRSTUVWX";

        Regex regex = new Regex(@"^([A-z]{2})(\d+)([A-z])([A-z])(\d)\Z", RegexOptions.Compiled | RegexOptions.IgnoreCase);

        MatchCollection matches = regex.Matches(security);

        if(matches.Count == 1)
        {
            GroupCollection groups = matches[0].Groups;

            return new Security
                       {
                         Strike = groups[2].Value.To<decimal>(),
                         OptionType = (call.Contains(groups[4].Value.ToUpper()) ? OptionTypes.Call : OptionTypes.Put),
                         UnderlyingSecurityId = GetFutures(groups[1].Value.ToUpper(),
                                                            (int)Convert.ToChar(groups[4].Value.ToUpper()) - 64,
                                                            groups[5].Value.To<int>())
                       };
        }

        return null;
    }
}