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
-
IPersistableINotifyPropertyChangedExICloneable<Strategy>
- Inherited Members
- Extension Methods
Constructors
DeltaHedgeStrategy(BasketBlackScholes)
Initializes a new instance of the DeltaHedgeStrategy.
public DeltaHedgeStrategy(BasketBlackScholes blackScholes)
Parameters
blackScholes
BasketBlackScholes
DeltaHedgeStrategy(IExchangeInfoProvider)
Initializes a new instance of the DeltaHedgeStrategy.
public DeltaHedgeStrategy(IExchangeInfoProvider exchangeInfoProvider)
Parameters
exchangeInfoProvider
IExchangeInfoProviderExchanges 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
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
DateTimeOffsetCurrent time.
Returns
- IEnumerable<Order>
Rehedging orders.