Table of Contents

Class DeltaHedgeStrategy

Namespace
StockSharp.Algo.Strategies.Derivatives
Assembly
StockSharp.Algo.dll

The options delta hedging strategy.

public class DeltaHedgeStrategy : HedgeStrategy, IPersistable, INotifyPropertyChangedEx, INotifyPropertyChanged, IMarketRuleContainer, ILogReceiver, ILogSource, IDisposable, ICloneable<Strategy>, ICloneable, IMarketDataProvider, ISubscriptionProvider, ISecurityProvider, ISecurityMessageProvider, ITransactionProvider, IPositionProvider, IPortfolioProvider, IScheduledTask
Inheritance
DeltaHedgeStrategy
Implements
IPersistable
INotifyPropertyChangedEx
ICloneable<Strategy>
Inherited Members
Extension Methods

Constructors

DeltaHedgeStrategy(BasketBlackScholes)

Initializes a new instance of the DeltaHedgeStrategy.

public DeltaHedgeStrategy(BasketBlackScholes blackScholes)

Parameters

blackScholes BasketBlackScholes

BasketBlackScholes.

DeltaHedgeStrategy(IExchangeInfoProvider)

Initializes a new instance of the DeltaHedgeStrategy.

public DeltaHedgeStrategy(IExchangeInfoProvider exchangeInfoProvider)

Parameters

exchangeInfoProvider IExchangeInfoProvider

Exchanges and trading boards provider.

Properties

PositionOffset

Shift in position for underlying asset, allowing not to hedge part of the options position.

[Display(ResourceType = typeof(LocalizedStrings), Name = "PositionOffset", Description = "PositionOffsetDesc", GroupName = "Hedging", Order = 0)]
public decimal PositionOffset { get; set; }

Property Value

decimal

Methods

GetReHedgeOrders()

To get a list of orders rehedging the option position.

protected override IEnumerable<Order> GetReHedgeOrders()

Returns

IEnumerable<Order>

Rehedging orders.

GetReHedgeOrders(DateTimeOffset)

To get a list of orders rehedging the option position.

protected override IEnumerable<Order> GetReHedgeOrders(DateTimeOffset currentTime)

Parameters

currentTime DateTimeOffset

Current time.

Returns

IEnumerable<Order>

Rehedging orders.