Theo price is a snapshot of the theoretical option price computation that is periodically performed by dxPrice model-free computation. More...

#include <TheoPrice.hpp>

Inheritance diagram for TheoPrice:

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

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

void	assign (std::shared_ptr< EventType > event) override
	Replaces the contents of the event.

	TheoPrice () noexcept=default
	Creates new theoprice event with default values.

	TheoPrice (std::string eventSymbol) noexcept
	Creates new theoprice event with the specified event symbol.

const IndexedEventSource &	getSource () const &noexcept override
	Returns the source of this event.

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	getPrice () const noexcept
	Returns theoretical option price.

void	setPrice (double price) noexcept
	Changes theoretical option price.

double	getUnderlyingPrice () const noexcept
	Returns underlying price at the time of theo price computation.

void	setUnderlyingPrice (double underlyingPrice) noexcept
	Changes underlying price at the time of theo price computation.

double	getDelta () const noexcept
	Returns delta of the theoretical price.

void	setDelta (double delta) noexcept
	Changes delta of the theoretical price.

double	getGamma () const noexcept
	Returns gamma of the theoretical price.

void	setGamma (double gamma) noexcept
	Changes gamma of the theoretical price.

double	getDividend () const noexcept
	Returns implied simple dividend return of the corresponding option series.

void	setDividend (double dividend) noexcept
	Changes implied simple dividend return of the corresponding option series.

double	getInterest () const noexcept
	Returns implied simple interest return of the corresponding option series.

void	setInterest (double interest) noexcept
	Changes implied simple interest return of the corresponding option series.

std::string	toString () const 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 EventTypeWithSymbol< std::string >
Public Member Functions inherited from EventType
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
const IndexedEventSource &	getSource () const &noexcept override
	Returns the source identifier for this event, which is always DEFAULT for time-series events.

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

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

Public Member Functions inherited from IndexedEvent

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::THEO_PRICE
	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.

Static Protected Member Functions inherited from MarketEvent

Detailed Description

Theo price is a snapshot of the theoretical option price computation that is periodically performed by dxPrice model-free computation.

It represents the most recent information that is available about the corresponding values at any given moment of time. The values include first and second order derivative of the price curve by price, so that the real-time theoretical option price can be estimated on real-time changes of the underlying price in the vicinity.

Event flags, transactions and snapshots

Some TheoPrice sources provide a consistent view of the set of known TheoPrice. 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 TheoPrice, 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 TheoPrice

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

Implementation details

This event is implemented on top of QDS records TheoPrice.

Constructor & Destructor Documentation

◆ TheoPrice()

TheoPrice::TheoPrice ( std::string eventSymbol )

inlineexplicitnoexcept

Creates new theoprice event with the specified event symbol.

Parameters

eventSymbol The event symbol.

Member Function Documentation

◆ assign()

void TheoPrice::assign ( std::shared_ptr< EventType > event )

overridevirtual

Replaces the contents of the event.

Parameters

event the event to use as source.

Reimplemented from MarketEvent.

◆ freeGraal()

void TheoPrice::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.

Exceptions

InvalidArgumentException

◆ fromGraal()

std::shared_ptr< TheoPrice > TheoPrice::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

InvalidArgumentException

◆ getDelta()

double TheoPrice::getDelta ( ) const

inlinenoexcept

Returns delta of the theoretical price.

Delta is the first derivative of the theoretical price by the underlying price.

Returns: delta of the theoretical price.

◆ getDividend()

double TheoPrice::getDividend ( ) const

inlinenoexcept

Returns implied simple dividend return of the corresponding option series.

Returns: implied simple dividend return of the corresponding option series.

◆ getEventFlags()

std::int32_t TheoPrice::getEventFlags ( ) const

inlineoverridevirtualnoexcept

Returns transactional event flags.

See EventFlag "Event Flags" section.

Returns: The transactional event flags.

Implements IndexedEvent.

◆ getEventFlagsMask()

EventFlagsMask TheoPrice::getEventFlagsMask ( ) const

inlineoverridevirtualnoexcept

Returns transactional event flags.

See EventFlag "Event Flags" section.

Returns: The transactional event flags' mask.

Implements IndexedEvent.

◆ getGamma()

double TheoPrice::getGamma ( ) const

inlinenoexcept

Returns gamma of the theoretical price.

Gamma is the second derivative of the theoretical price by the underlying price.

Returns: gamma of the theoretical price.

◆ getIndex()

std::int64_t TheoPrice::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.

Implements IndexedEvent.

◆ getInterest()

double TheoPrice::getInterest ( ) const

inlinenoexcept

Returns implied simple interest return of the corresponding option series.

Returns: implied simple interest return of the corresponding option series.

◆ getPrice()

double TheoPrice::getPrice ( ) const

inlinenoexcept

Returns theoretical option price.

Returns: theoretical option price.

◆ getSequence()

std::int32_t TheoPrice::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 & TheoPrice::getSource ( ) const &

inlineoverridevirtualnoexcept

Returns the source of this event.

Returns: The source of this event.

Implements IndexedEvent.

References IndexedEventSource::DEFAULT.

◆ getTime()

std::int64_t TheoPrice::getTime ( ) const

inlineoverridevirtualnoexcept

Returns timestamp of the event in milliseconds.

Returns: timestamp of the event in milliseconds

Implements TimeSeriesEvent.

◆ getUnderlyingPrice()

double TheoPrice::getUnderlyingPrice ( ) const

inlinenoexcept

Returns underlying price at the time of theo price computation.

Returns: underlying price at the time of theo price computation.

◆ setDelta()

void TheoPrice::setDelta ( double delta )

inlinenoexcept

Changes delta of the theoretical price.

Parameters

delta delta of the theoretical price.

◆ setDividend()

void TheoPrice::setDividend ( double dividend )

inlinenoexcept

Changes implied simple dividend return of the corresponding option series.

Parameters

dividend implied simple dividend return of the corresponding option series.

◆ setEventFlags() [1/2]

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

inlineoverridevirtualnoexcept

Changes transactional event flags.

See EventFlag "Event Flags" section.

Parameters

eventFlags transactional event flags.

Implements IndexedEvent.

◆ setGamma()

void TheoPrice::setGamma ( double gamma )

inlinenoexcept

Changes gamma of the theoretical price.

Parameters

gamma gamma of the theoretical price.

◆ setIndex()

void TheoPrice::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.

◆ setInterest()

void TheoPrice::setInterest ( double interest )

inlinenoexcept

Changes implied simple interest return of the corresponding option series.

Parameters

interest implied simple interest return of the corresponding option series.

◆ setPrice()

void TheoPrice::setPrice ( double price )

inlinenoexcept

Changes theoretical option price.

Parameters

price theoretical option price.

◆ setSequence()

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

inline

Changes sequence number of this event.

Parameters

sequence the sequence.

See also: getSequence()

Exceptions

InvalidArgumentException

References MAX_SEQUENCE.

◆ setTime()

void TheoPrice::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().

◆ setUnderlyingPrice()

void TheoPrice::setUnderlyingPrice ( double underlyingPrice )

inlinenoexcept

Changes underlying price at the time of theo price computation.

Parameters

underlyingPrice underlying price at the time of theo price computation.

◆ toGraal()

void * TheoPrice::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 TheoPrice::toString ( ) const

overridevirtual

Returns a string representation of the current object.

Returns: a string representation

Reimplemented from EventType.

Member Data Documentation

◆ MAX_SEQUENCE

std::uint32_t TheoPrice::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 TheoPrice

Implementation details

Constructor & Destructor Documentation

◆ TheoPrice()

Member Function Documentation

◆ assign()

◆ freeGraal()

◆ fromGraal()

◆ getDelta()

◆ getDividend()

◆ getEventFlags()

◆ getEventFlagsMask()

◆ getGamma()

◆ getIndex()

◆ getInterest()

◆ getPrice()

◆ getSequence()

◆ getSource()

◆ getTime()

◆ getUnderlyingPrice()

◆ setDelta()

◆ setDividend()

◆ setEventFlags() [1/2]

◆ setEventFlags() [2/2]

◆ setGamma()

◆ setIndex()

◆ setInterest()

◆ setPrice()

◆ setSequence()

◆ setTime()

◆ setUnderlyingPrice()

◆ toGraal()

◆ toString()

Member Data Documentation

◆ MAX_SEQUENCE