Series event is a snapshot of computed values that are available for all option series for a given underlying symbol based on the option prices on the market. More...

#include <Series.hpp>

Inheritance diagram for Series:

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

using	Unique = std::unique_ptr<Series>
	The alias to a type of unique pointer to the Series 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 IndexedEvent
using	Ptr = std::shared_ptr<IndexedEvent>
	The alias to a type of shared pointer to the IndexedEvent object.

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

	Series () noexcept=default
	Creates new series event with default values.

	Series (std::string eventSymbol) noexcept
	Creates new series event with the specified event symbol.

Series &	withEventSymbol (const std::string &eventSymbol) noexcept
	Changes event's symbol and returns the current series.

Series &	withEventTime (std::int64_t eventTime) noexcept
	Changes event's creation time and returns the current series.

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.

Series &	withEventFlags (std::int32_t eventFlags) noexcept
	Changes transactional event flags and returns the current series.

Series &	withEventFlags (const EventFlagsMask &eventFlags) noexcept
	Changes transactional event flags and returns the current series.

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.

Series &	withIndex (std::int64_t index) noexcept
	Changes unique per-symbol index of this series and returns it.

std::int64_t	getTimeSequence () const noexcept
	Returns time and sequence of this event packaged into single long value.

void	setTimeSequence (std::int64_t timeSequence) noexcept
	Changes time and sequence of this event.

std::int64_t	getTime () const noexcept
	Returns time of this series event.

void	setTime (std::int64_t time) noexcept
	Changes time of this series event.

Series &	withTime (std::int64_t time) noexcept
	Changes time of this series and returns it.

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

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

Series &	withSequence (std::int32_t sequence) noexcept
	Changes sequence number of this series.

std::int32_t	getExpiration () const noexcept
	Returns day id of expiration.

void	setExpiration (std::int32_t expiration) noexcept
	Changes day id of expiration.

double	getVolatility () const noexcept
	Returns implied volatility index for this series based on VIX methodology.

void	setVolatility (double volatility) noexcept
	Changes implied volatility index for this series 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.

double	getForwardPrice () const noexcept
	Returns implied forward price for this option series.

void	setForwardPrice (double forwardPrice) noexcept
	Changes implied forward price for this option series.

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 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.

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::SERIES
	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

Series event is a snapshot of computed values that are available for all option series for a given 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.

Series is an IndexedEvent with multiple instances of event available for each underlying symbol. Each series event instance corresponds to an OptionSeries of the corresponding underlying. The correspondence between a series event instance and an OptionSeries is established via expiration property. If case where there are multiple series at the same expiration day id, then series events are are ordered by their index in the same order as the corresponding OptionSeries are ordered by their attributes.

Event flags, transactions and snapshots

Series data source provides a consistent view of the set of known series. 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 series, thus source property is always DEFAULT.

IndexedEventModel class handles all the snapshot and transaction logic and conveniently represents a list current of events.

Implementation details

This event is implemented on top of QDS records Series.

Constructor & Destructor Documentation

◆ Series()

Series::Series ( std::string eventSymbol )

inlineexplicitnoexcept

Creates new series event with the specified event symbol.

Parameters

eventSymbol The event symbol.

Member Function Documentation

◆ freeGraal()

void Series::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< Series > Series::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

◆ getCallVolume()

double Series::getCallVolume ( ) const

inlinenoexcept

Returns call options traded volume for a day.

Returns: call options traded volume for a day.

◆ getDividend()

double Series::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 Series::getEventFlags ( ) const

inlineoverridevirtualnoexcept

Returns transactional event flags.

See EventFlag "Event Flags" section.

Returns: The transactional event flags.

Implements IndexedEvent.

◆ getEventFlagsMask()

EventFlagsMask Series::getEventFlagsMask ( ) const

inlineoverridevirtualnoexcept

Returns transactional event flags.

See EventFlag "Event Flags" section.

Returns: The transactional event flags' mask.

Implements IndexedEvent.

◆ getExpiration()

std::int32_t Series::getExpiration ( ) const

inlinenoexcept

Returns day id of expiration.

Example: day_util::#getDayIdByYearMonthDay() "dxfcpp::day_util::getDayIdByYearMonthDay"(20090117).

Returns: day id of expiration.

◆ getForwardPrice()

double Series::getForwardPrice ( ) const

inlinenoexcept

Returns implied forward price for this option series.

Returns: implied forward price for this option series.

◆ getIndex()

std::int64_t Series::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 Series::getInterest ( ) const

inlinenoexcept

Returns implied simple interest return of the corresponding option series.

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

◆ getOptionVolume()

double Series::getOptionVolume ( ) const

inlinenoexcept

Returns options traded volume for a day.

Returns: options traded volume for a day.

◆ getPutCallRatio()

double Series::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 Series::getPutVolume ( ) const

inlinenoexcept

Returns put options traded volume for a day.

Returns: put options traded volume for a day.

◆ getSequence()

std::int32_t Series::getSequence ( ) const

inlinenoexcept

Returns sequence number of this series event to distinguish trades 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: sequence of this series event.

References MAX_SEQUENCE.

Referenced by setTime().

◆ getSource()

const IndexedEventSource & Series::getSource ( ) const &

inlineoverridevirtualnoexcept

Returns the source of this event.

Returns: The source of this event.

Implements IndexedEvent.

References IndexedEventSource::DEFAULT.

◆ getTime()

std::int64_t Series::getTime ( ) const

inlinenoexcept

Returns time of this series event.

Time is measured in milliseconds between the current time and midnight, January 1, 1970 UTC.

Returns: time of this series event.

◆ getTimeSequence()

std::int64_t Series::getTimeSequence ( ) const

inlinenoexcept

Returns time and sequence of this event packaged into single long value.

Returns: time and sequence of this event.

◆ getVolatility()

double Series::getVolatility ( ) const

inlinenoexcept

Returns implied volatility index for this series based on VIX methodology.

Returns: implied volatility index for this series based on VIX methodology.

◆ setCallVolume()

void Series::setCallVolume ( double callVolume )

inlinenoexcept

Changes call options traded volume for a day.

Parameters

callVolume call options traded volume for a day.

◆ setDividend()

void Series::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 Series::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().

Referenced by withEventFlags().

◆ setEventFlags() [2/2]

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

inlineoverridevirtualnoexcept

Changes transactional event flags.

See EventFlag "Event Flags" section.

Parameters

eventFlags transactional event flags.

Implements IndexedEvent.

Referenced by withEventFlags().

◆ setExpiration()

void Series::setExpiration ( std::int32_t expiration )

inlinenoexcept

Changes day id of expiration.

Parameters

expiration day id of expiration.

◆ setForwardPrice()

void Series::setForwardPrice ( double forwardPrice )

inlinenoexcept

Changes implied forward price for this option series.

Parameters

forwardPrice implied forward price for this option series.

◆ setIndex()

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

inlineoverridevirtual

Changes unique per-symbol index of this event.

Parameters

index the event index.

See also: Series::getIndex()

Implements IndexedEvent.

Referenced by withIndex().

◆ setInterest()

void Series::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.

◆ setPutCallRatio()

void Series::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 Series::setPutVolume ( double putVolume )

inlinenoexcept

Changes put options traded volume for a day.

Parameters

putVolume put options traded volume for a day.

◆ setSequence()

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

inline

Changes sequence number of this series event.

Parameters

sequence the sequence.

See also: Series::getSequence()

References MAX_SEQUENCE.

Referenced by withSequence().

◆ setTime()

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

inlinenoexcept

Changes time of this series event.

Time is measured in milliseconds between the current time and midnight, January 1, 1970 UTC.

Parameters

time	time of this series event.

References getSequence().

Referenced by withTime().

◆ setTimeSequence()

void Series::setTimeSequence ( std::int64_t timeSequence )

inlinenoexcept

Changes time and sequence of this event.

Do not use this method directly. Change time and/or sequence.

Parameters

timeSequence the time and sequence.

See also: getTimeSequence()

◆ setVolatility()

void Series::setVolatility ( double volatility )

inlinenoexcept

Changes implied volatility index for this series based on VIX methodology.

Parameters

volatility implied volatility index for this series based on VIX methodology.

◆ toGraal()

void * Series::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 Series::toString ( ) const

overridevirtualnoexcept

Returns a string representation of the current object.

Returns: a string representation

Reimplemented from EventType.

◆ withEventFlags() [1/2]

Series & Series::withEventFlags ( const EventFlagsMask & eventFlags )

inlinenoexcept

Changes transactional event flags and returns the current series.

See EventFlag "Event Flags" section.

Parameters

eventFlags transactional event flags' mask.

Returns: The current series.

References setEventFlags().

◆ withEventFlags() [2/2]

Series & Series::withEventFlags ( std::int32_t eventFlags )

inlinenoexcept

Changes transactional event flags and returns the current series.

See EventFlag "Event Flags" section.

Parameters

eventFlags transactional event flags.

Returns: The current series.

References setEventFlags().

◆ withEventSymbol()

Series & Series::withEventSymbol ( const std::string & eventSymbol )

inlinenoexcept

Changes event's symbol and returns the current series.

Parameters

eventSymbol The symbol of this event.

Returns: The current series.

References MarketEvent::setEventSymbol().

◆ withEventTime()

Series & Series::withEventTime ( std::int64_t eventTime )

inlinenoexcept

Changes event's creation time and returns the current series.

Parameters

eventTime the difference, measured in milliseconds, between the event creation time and midnight, January 1, 1970 UTC.

Returns: The current series.

References MarketEvent::setEventTime().

◆ withIndex()

Series & Series::withIndex ( std::int64_t index )

inlinenoexcept

Changes unique per-symbol index of this series and returns it.

Parameters

index unique per-symbol index of this series.

Returns: The current series.

References setIndex().

◆ withSequence()

Series & Series::withSequence ( std::int32_t sequence )

inlinenoexcept

Changes sequence number of this series.

Returns the current order.

Parameters

sequence the sequence.

Returns: The current series.

See also: Series::getSequence()

References setSequence().

◆ withTime()

Series & Series::withTime ( std::int64_t time )

inlinenoexcept

Changes time of this series and returns it.

Time is measured in milliseconds between the current time and midnight, January 1, 1970 UTC.

Parameters

time	time of this series.

Returns: The current series.

References setTime().

Member Data Documentation

◆ MAX_SEQUENCE

std::uint32_t Series::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

Implementation details

Constructor & Destructor Documentation

◆ Series()

Member Function Documentation

◆ freeGraal()

◆ fromGraal()

◆ getCallVolume()

◆ getDividend()

◆ getEventFlags()

◆ getEventFlagsMask()

◆ getExpiration()

◆ getForwardPrice()

◆ getIndex()

◆ getInterest()

◆ getOptionVolume()

◆ getPutCallRatio()

◆ getPutVolume()

◆ getSequence()

◆ getSource()

◆ getTime()

◆ getTimeSequence()

◆ getVolatility()

◆ setCallVolume()

◆ setDividend()

◆ setEventFlags() [1/2]

◆ setEventFlags() [2/2]

◆ setExpiration()

◆ setForwardPrice()

◆ setIndex()

◆ setInterest()

◆ setPutCallRatio()

◆ setPutVolume()

◆ setSequence()

◆ setTime()

◆ setTimeSequence()

◆ setVolatility()

◆ toGraal()

◆ toString()

◆ withEventFlags() [1/2]

◆ withEventFlags() [2/2]

◆ withEventSymbol()

◆ withEventTime()

◆ withIndex()

◆ withSequence()

◆ withTime()

Member Data Documentation

◆ MAX_SEQUENCE