Underlying event is a snapshot of computed values that are available for an option underlying symbol based on the option prices on the market. More...

#include <Underlying.hpp>

Inheritance diagram for Underlying:

Public Types
using	Ptr = std::shared_ptr<Underlying>
	The alias to a type of shared pointer to the Underlying object.

using	Unique = std::unique_ptr<Underlying>
	The alias to a type of unique pointer to the Underlying object.

Public Types inherited from MarketEvent
using	Ptr = std::shared_ptr<MarketEvent>
	The alias to a type of shared pointer to the MarketEvent object.

Public Types inherited from EventTypeWithSymbol< std::string >
using	Ptr
	The alias to a type of shared pointer to the EventTypeWithSymbol's child object.

Public Types inherited from EventType
using	Ptr = std::shared_ptr<EventType>
	The alias to a type of shared pointer to the EventType object.

Public Types inherited from SharedEntity
using	Ptr = std::shared_ptr<SharedEntity>
	The alias to a type of shared pointer to the SharedEntity object.

Public Types inherited from TimeSeriesEvent
using	Ptr = std::shared_ptr<TimeSeriesEvent>
	The alias to a type of shared pointer to the TimeSeriesEvent object.

Public Types inherited from IndexedEvent
using	Ptr = std::shared_ptr<IndexedEvent>
	The alias to a type of shared pointer to the IndexedEvent object.

Public Types inherited from LastingEvent
using	Ptr = std::shared_ptr<LastingEvent>
	The alias to a type of shared pointer to the LastingEvent object.

Public Member Functions
void *	toGraal () const override
	Allocates memory for the dxFeed Graal SDK structure (recursively if necessary).

	Underlying () noexcept=default
	Creates new underlying event with default values.

	Underlying (std::string eventSymbol) noexcept
	Creates new underlying event with the specified event symbol.

const IndexedEventSource &	getSource () const &noexcept override
	Returns the source identifier for this event, which is always DEFAULT for time-series events.

std::int32_t	getEventFlags () const noexcept override
	Returns transactional event flags.

EventFlagsMask	getEventFlagsMask () const noexcept override
	Returns transactional event flags.

void	setEventFlags (std::int32_t eventFlags) noexcept override
	Changes transactional event flags.

void	setEventFlags (const EventFlagsMask &eventFlags) noexcept override
	Changes transactional event flags.

std::int64_t	getIndex () const noexcept override
	Returns unique per-symbol index of this event.

void	setIndex (std::int64_t index) override
	Changes unique per-symbol index of this event.

std::int64_t	getTime () const noexcept override
	Returns timestamp of the event in milliseconds.

void	setTime (std::int64_t time) noexcept
	Changes timestamp of the event in milliseconds.

std::int32_t	getSequence () const noexcept
	Returns the sequence number of this event to distinguish events that have the same time.

void	setSequence (std::int32_t sequence)
	Changes sequence number of this event.

double	getVolatility () const noexcept
	Returns 30-day implied volatility for this underlying based on VIX methodology.

void	setVolatility (double volatility) noexcept
	Changes 30-day implied volatility for this underlying based on VIX methodology.

double	getFrontVolatility () const noexcept
	Returns front month implied volatility for this underlying based on VIX methodology.

void	setFrontVolatility (double frontVolatility) noexcept
	Changes front month implied volatility for this underlying based on VIX methodology.

double	getBackVolatility () const noexcept
	Returns back month implied volatility for this underlying based on VIX methodology.

void	setBackVolatility (double backVolatility) noexcept
	Changes back month implied volatility for this underlying based on VIX methodology.

double	getCallVolume () const noexcept
	Returns call options traded volume for a day.

void	setCallVolume (double callVolume) noexcept
	Changes call options traded volume for a day.

double	getPutVolume () const noexcept
	Returns put options traded volume for a day.

void	setPutVolume (double putVolume) noexcept
	Changes put options traded volume for a day.

double	getOptionVolume () const noexcept
	Returns options traded volume for a day.

double	getPutCallRatio () const noexcept
	Returns ratio of put options traded volume to call options traded volume for a day.

void	setPutCallRatio (double putCallRatio) noexcept
	Changes ratio of put options traded volume to call options traded volume for a day.

std::string	toString () const noexcept override
	Returns a string representation of the current object.

Public Member Functions inherited from MarketEvent
const std::string &	getEventSymbol () const &noexcept override
	Returns symbol of this event.

const std::optional< std::string > &	getEventSymbolOpt () const &noexcept override
	Returns symbol of this event.

void	setEventSymbol (const std::string &eventSymbol) noexcept override
	Changes symbol of this event.

std::int64_t	getEventTime () const noexcept override
	Returns time when event was created or zero when time is not available.

void	setEventTime (std::int64_t eventTime) noexcept override
	Changes event creation time.

Public Member Functions inherited from SharedEntity
template<typename T >
bool	is () const noexcept
	Checks that pointer to the current type could be converted to type T* In other words: whether type T belongs to the type hierarchy in which the current type resides.

template<typename T >
std::shared_ptr< T >	sharedAs () noexcept
	Returns a pointer to the current object wrapped in a smart pointer to type T.

template<typename T >
std::shared_ptr< T >	sharedAs () const noexcept
	Returns a pointer to the current object wrapped in a smart pointer to type T.

Public Member Functions inherited from Entity
virtual	~Entity () noexcept=default
	The default virtual d-tor.

Public Member Functions inherited from TimeSeriesEvent
virtual std::int64_t	getEventId () const noexcept
	Returns unique per-symbol index of this event.

Static Public Member Functions
static Ptr	fromGraal (void *graalNative)
	Creates an object of the current type and fills it with data from the the dxFeed Graal SDK structure.

static void	freeGraal (void *graalNative)
	Releases the memory occupied by the dxFeed Graal SDK structure (recursively if necessary).

Static Public Attributes
static const EventTypeEnum &	TYPE = EventTypeEnum::UNDERLYING
	Type identifier and additional information about the current event class.

static constexpr std::uint32_t	MAX_SEQUENCE = (1U << 22U) - 1U
	Maximum allowed sequence value.

Static Public Attributes inherited from IndexedEvent
static const EventFlag	TX_PENDING = EventFlag::TX_PENDING
	`0x01` - A bitmask to get transaction pending indicator from the value of eventFlags property.

static const EventFlag	REMOVE_EVENT = EventFlag::REMOVE_EVENT
	`0x02` - A bitmask to get removal indicator from the value of eventFlags property.

static const EventFlag	SNAPSHOT_BEGIN = EventFlag::SNAPSHOT_BEGIN
	`0x04` - A bitmask to get snapshot begin indicator from the value of eventFlags property.

static const EventFlag	SNAPSHOT_END = EventFlag::SNAPSHOT_END
	`0x08` - A bitmask to get snapshot end indicator from the value of eventFlags property.

static const EventFlag	SNAPSHOT_SNIP = EventFlag::SNAPSHOT_SNIP
	`0x10` - A bitmask to get snapshot snip indicator from the value of eventFlags property.

static const EventFlag	SNAPSHOT_MODE = EventFlag::SNAPSHOT_MODE
	`0x40` - A bitmask to set snapshot mode indicator into the value of eventFlags property.

Additional Inherited Members
Protected Member Functions inherited from MarketEvent
	MarketEvent (std::string eventSymbol) noexcept
	Protected constructor for concrete implementation classes that initializes `eventSymbol` property.

Detailed Description

Underlying event is a snapshot of computed values that are available for an option underlying symbol based on the option prices on the market.

It represents the most recent information that is available about the corresponding values on the market at any given moment of time.

Event flags, transactions and snapshots

Some Underlying sources provide a consistent view of the set of known Underlying events. The corresponding information is carried in eventFlags property. The logic behind this property is detailed in IndexedEvent class documentation. Multiple event sources for the same symbol are not supported for Underlying, thus source property is always DEFAULT.

TimeSeriesEventModel class handles all the snapshot and transaction logic and conveniently represents a list current of time-series events order by their time.

Publishing Underlying

Publishing of Underlying events follows the general rules explained in TimeSeriesEvent class documentation.

Implementation details

This event is implemented on top of QDS record Underlying.

Constructor & Destructor Documentation

◆ Underlying()

Underlying::Underlying ( std::string eventSymbol )

inlineexplicitnoexcept

Creates new underlying event with the specified event symbol.

Parameters

eventSymbol The event symbol.

Member Function Documentation

◆ freeGraal()

void Underlying::freeGraal ( void * graalNative )

static

Releases the memory occupied by the dxFeed Graal SDK structure (recursively if necessary).

Parameters

graalNative The pointer to the dxFeed Graal SDK structure.

◆ fromGraal()

std::shared_ptr< Underlying > Underlying::fromGraal ( void * graalNative )

static

Creates an object of the current type and fills it with data from the the dxFeed Graal SDK structure.

Parameters

graalNative The pointer to the dxFeed Graal SDK structure.

Returns: The object of current type.

Exceptions

std::invalid_argument

◆ getBackVolatility()

double Underlying::getBackVolatility ( ) const

inlinenoexcept

Returns back month implied volatility for this underlying based on VIX methodology.

Returns: back month implied volatility for this underlying based on VIX methodology.

◆ getCallVolume()

double Underlying::getCallVolume ( ) const

inlinenoexcept

Returns call options traded volume for a day.

Returns: call options traded volume for a day.

◆ getEventFlags()

std::int32_t Underlying::getEventFlags ( ) const

inlineoverridevirtualnoexcept

Returns transactional event flags.

See EventFlag "Event Flags" section.

Returns: The transactional event flags.

Implements IndexedEvent.

◆ getEventFlagsMask()

EventFlagsMask Underlying::getEventFlagsMask ( ) const

inlineoverridevirtualnoexcept

Returns transactional event flags.

See EventFlag "Event Flags" section.

Returns: The transactional event flags' mask.

Implements IndexedEvent.

◆ getFrontVolatility()

double Underlying::getFrontVolatility ( ) const

inlinenoexcept

Returns front month implied volatility for this underlying based on VIX methodology.

Returns: front month implied volatility for this underlying based on VIX methodology.

◆ getIndex()

std::int64_t Underlying::getIndex ( ) const

inlineoverridevirtualnoexcept

Returns unique per-symbol index of this event.

The index is composed of time and sequence. Changing either time or sequence changes event index.

Returns: unique index of this event.

Reimplemented from TimeSeriesEvent.

◆ getOptionVolume()

double Underlying::getOptionVolume ( ) const

inlinenoexcept

Returns options traded volume for a day.

Returns: options traded volume for a day.

◆ getPutCallRatio()

double Underlying::getPutCallRatio ( ) const

inlinenoexcept

Returns ratio of put options traded volume to call options traded volume for a day.

Returns: ratio of put options traded volume to call options traded volume for a day.

◆ getPutVolume()

double Underlying::getPutVolume ( ) const

inlinenoexcept

Returns put options traded volume for a day.

Returns: put options traded volume for a day.

◆ getSequence()

std::int32_t Underlying::getSequence ( ) const

inlinenoexcept

Returns the sequence number of this event to distinguish events that have the same time.

This sequence number does not have to be unique and does not need to be sequential. Sequence can range from 0 to MAX_SEQUENCE.

Returns: The sequence number of this event

References MAX_SEQUENCE.

Referenced by setTime().

◆ getSource()

const IndexedEventSource & Underlying::getSource ( ) const &

inlineoverridevirtualnoexcept

Returns the source identifier for this event, which is always DEFAULT for time-series events.

Returns: The source identifier for this event, which is always DEFAULT for time-series events.

Reimplemented from TimeSeriesEvent.

References IndexedEventSource::DEFAULT.

◆ getTime()

std::int64_t Underlying::getTime ( ) const

inlineoverridevirtualnoexcept

Returns timestamp of the event in milliseconds.

Returns: timestamp of the event in milliseconds

Implements TimeSeriesEvent.

◆ getVolatility()

double Underlying::getVolatility ( ) const

inlinenoexcept

Returns 30-day implied volatility for this underlying based on VIX methodology.

Returns: 30-day implied volatility for this underlying based on VIX methodology.

◆ setBackVolatility()

void Underlying::setBackVolatility ( double backVolatility )

inlinenoexcept

Changes back month implied volatility for this underlying based on VIX methodology.

Parameters

backVolatility back month implied volatility for this underlying based on VIX methodology.

◆ setCallVolume()

void Underlying::setCallVolume ( double callVolume )

inlinenoexcept

Changes call options traded volume for a day.

Parameters

callVolume call options traded volume for a day.

◆ setEventFlags() [1/2]

void Underlying::setEventFlags ( const EventFlagsMask & eventFlags )

inlineoverridevirtualnoexcept

Changes transactional event flags.

See EventFlag "Event Flags" section.

Parameters

eventFlags transactional event flags' mask.

Implements IndexedEvent.

References EventFlagsMask::getMask().

◆ setEventFlags() [2/2]

void Underlying::setEventFlags ( std::int32_t eventFlags )

inlineoverridevirtualnoexcept

Changes transactional event flags.

See EventFlag "Event Flags" section.

Parameters

eventFlags transactional event flags.

Implements IndexedEvent.

◆ setFrontVolatility()

void Underlying::setFrontVolatility ( double frontVolatility )

inlinenoexcept

Changes front month implied volatility for this underlying based on VIX methodology.

Parameters

frontVolatility front month implied volatility for this underlying based on VIX methodology.

◆ setIndex()

void Underlying::setIndex ( std::int64_t index )

inlineoverridevirtual

Changes unique per-symbol index of this event.

The index is composed of time and sequence and invocation of this method changes time and sequence. Do not use this method directly. Change time and/or sequence.

Parameters

index the event index.

See also: getIndex()

Implements IndexedEvent.

◆ setPutCallRatio()

void Underlying::setPutCallRatio ( double putCallRatio )

inlinenoexcept

Changes ratio of put options traded volume to call options traded volume for a day.

Parameters

putCallRatio ratio of put options traded volume to call options traded volume for a day.

◆ setPutVolume()

void Underlying::setPutVolume ( double putVolume )

inlinenoexcept

Changes put options traded volume for a day.

Parameters

putVolume put options traded volume for a day.

◆ setSequence()

void Underlying::setSequence ( std::int32_t sequence )

inline

Changes sequence number of this event.

Parameters

sequence the sequence.

See also: getSequence()

References MAX_SEQUENCE.

◆ setTime()

void Underlying::setTime ( std::int64_t time )

inlinenoexcept

Changes timestamp of the event in milliseconds.

Parameters

time	timestamp of the event in milliseconds.

See also: getTime()

References getSequence().

◆ setVolatility()

void Underlying::setVolatility ( double volatility )

inlinenoexcept

Changes 30-day implied volatility for this underlying based on VIX methodology.

Parameters

volatility 30-day implied volatility for this underlying based on VIX methodology.

◆ toGraal()

void * Underlying::toGraal ( ) const

overridevirtual

Allocates memory for the dxFeed Graal SDK structure (recursively if necessary).

Fills the dxFeed Graal SDK structure's fields by the data of the current entity (recursively if necessary). Returns the pointer to the filled structure.

Returns: The pointer to the filled dxFeed Graal SDK structure

Implements EventType.

◆ toString()

std::string Underlying::toString ( ) const

overridevirtualnoexcept

Returns a string representation of the current object.

Returns: a string representation

Reimplemented from EventType.

Member Data Documentation

◆ MAX_SEQUENCE

std::uint32_t Underlying::MAX_SEQUENCE = (1U << 22U) - 1U

staticconstexpr

Maximum allowed sequence value.

See also: setSequence()

Referenced by getSequence(), and setSequence().

Public Types

Public Member Functions

Static Public Member Functions

Static Public Attributes

Additional Inherited Members

Detailed Description

Event flags, transactions and snapshots

Publishing Underlying

Implementation details

Constructor & Destructor Documentation

◆ Underlying()

Member Function Documentation

◆ freeGraal()

◆ fromGraal()

◆ getBackVolatility()

◆ getCallVolume()

◆ getEventFlags()

◆ getEventFlagsMask()

◆ getFrontVolatility()

◆ getIndex()

◆ getOptionVolume()

◆ getPutCallRatio()

◆ getPutVolume()

◆ getSequence()

◆ getSource()

◆ getTime()

◆ getVolatility()

◆ setBackVolatility()

◆ setCallVolume()

◆ setEventFlags() [1/2]

◆ setEventFlags() [2/2]

◆ setFrontVolatility()

◆ setIndex()

◆ setPutCallRatio()

◆ setPutVolume()

◆ setSequence()

◆ setTime()

◆ setVolatility()

◆ toGraal()

◆ toString()

Member Data Documentation

◆ MAX_SEQUENCE