Greeks event is a snapshot of the option price, Black-Scholes volatility and greeks. More...

#include <Greeks.hpp>

Inheritance diagram for Greeks:

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

using	Unique = std::unique_ptr<Greeks>
	The alias to a type of unique pointer to the Greeks 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 = std::shared_ptr<EventTypeWithSymbol<std::string>>
	The alias to a type of shared pointer to the EventTypeWithSymbol's child object.

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.

	Greeks () noexcept=default
	Creates new greeks event with default values.

	Greeks (const StringLike &eventSymbol) noexcept
	Creates a new greeks 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 a unique per-symbol index of this event.

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

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

void	setTime (std::int64_t time) noexcept
	Changes the 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 option market price.

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

double	getVolatility () const noexcept
	Returns Black-Scholes implied volatility of the option.

void	setVolatility (double volatility) noexcept
	Changes Black-Scholes implied volatility of the option.

double	getDelta () const noexcept
	Return option delta.

void	setDelta (double delta) noexcept
	Changes option delta.

double	getGamma () const noexcept
	Returns option gamma.

void	setGamma (double gamma) noexcept
	Changes option gamma.

double	getTheta () const noexcept
	Returns option theta.

void	setTheta (double theta) noexcept
	Changes option theta.

double	getRho () const noexcept
	Returns option rho.

void	setRho (double rho) noexcept
	Changes option rho.

double	getVega () const noexcept
	Returns option vega.

void	setVega (double vega) noexcept
	Changes option vega.

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

Public Member Functions inherited from MarketEvent
void	assign (std::shared_ptr< EventType > event) override
	Replaces the contents of the event.

const std::string &	getEventSymbol () const &noexcept override
	Returns a symbol of this event.

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

void	setEventSymbol (const StringLike &eventSymbol) noexcept override
	Changes symbol of this event.

std::int64_t	getEventTime () const noexcept override
	Returns time when an 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 >
virtual void	setEventSymbol (const std::string &eventSymbol) noexcept=0
	Changes the event symbol that identifies this event type in subscription.

Public Member Functions inherited from SharedEntity
template<typename T>
bool	is () const noexcept
	Checks that the 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.

Static Public Member Functions
static Ptr	fromGraal (void *graalNative)
	Creates an object of the current type and fills it with data from 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::GREEKS
	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 (const StringLike &eventSymbol) noexcept
	Protected constructor for concrete implementation classes that initializes `eventSymbol` property.

Detailed Description

Greeks event is a snapshot of the option price, Black-Scholes volatility and greeks.

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 greeks sources provide a consistent view of the set of known greeks. 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 greeks, 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. It relies on the code of AbstractIndexedEventModel to handle this logic. Use the source code of AbstractIndexedEventModel for clarification on transactions and snapshot logic.

Publishing Greeks

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

Constructor & Destructor Documentation

◆ Greeks()

Greeks::Greeks ( const StringLike & eventSymbol )

inlineexplicitnoexcept

Creates a new greeks event with the specified event symbol.

Parameters

eventSymbol The event symbol.

References MarketEvent::MarketEvent().

Member Function Documentation

◆ assign()

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

overridevirtual

Replaces the contents of the event.

Parameters

event the event to use as a source.

Reimplemented from EventType.

References MarketEvent::assign().

◆ freeGraal()

void Greeks::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< Greeks > Greeks::fromGraal ( void * graalNative )

static

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

Parameters

graalNative The pointer to the dxFeed Graal SDK structure.

Returns: The object of the current type.

Exceptions

InvalidArgumentException

◆ getDelta()

double Greeks::getDelta ( ) const

inlinenoexcept

Return option delta.

Delta is the first derivative of an option price by an underlying price.

Returns: option delta.

◆ getEventFlags()

std::int32_t Greeks::getEventFlags ( ) const

inlineoverridevirtualnoexcept

Returns transactional event flags.

See EventFlag "Event Flags" section.

Returns: The transactional event flags.

Implements IndexedEvent.

◆ getEventFlagsMask()

EventFlagsMask Greeks::getEventFlagsMask ( ) const

inlineoverridevirtualnoexcept

Returns transactional event flags.

See EventFlag "Event Flags" section.

Returns: The transactional event flags' mask.

Implements IndexedEvent.

◆ getGamma()

double Greeks::getGamma ( ) const

inlinenoexcept

Returns option gamma.

Gamma is the second derivative of an option price by an underlying price.

Returns: option gamma.

◆ getIndex()

std::int64_t Greeks::getIndex ( ) const

inlineoverridevirtualnoexcept

Returns a unique per-symbol index of this event.

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

Returns: unique index of this event.

Implements IndexedEvent.

◆ getPrice()

double Greeks::getPrice ( ) const

inlinenoexcept

Returns option market price.

Returns: option market price.

◆ getRho()

double Greeks::getRho ( ) const

inlinenoexcept

Returns option rho.

Rho is the first derivative of an option price by percentage interest rate.

Returns: option rho.

◆ getSequence()

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

inlineoverridevirtualnoexcept

Returns the source of this event.

Returns: The source of this event.

Implements IndexedEvent.

References IndexedEventSource::DEFAULT.

◆ getTheta()

double Greeks::getTheta ( ) const

inlinenoexcept

Returns option theta.

Theta is the first derivative of an option price by a number of days to expiration.

Returns: option theta.

◆ getTime()

std::int64_t Greeks::getTime ( ) const

inlineoverridevirtualnoexcept

Returns the timestamp of the event in milliseconds.

Returns: timestamp of the event in milliseconds

Implements TimeSeriesEvent.

◆ getVega()

double Greeks::getVega ( ) const

inlinenoexcept

Returns option vega.

Vega is the first derivative of an option price by percentage volatility.

Returns: option vega.

◆ getVolatility()

double Greeks::getVolatility ( ) const

inlinenoexcept

Returns Black-Scholes implied volatility of the option.

Returns: Black-Scholes implied volatility of the option.

◆ setDelta()

void Greeks::setDelta ( double delta )

inlinenoexcept

Changes option delta.

Parameters

delta option delta.

◆ setEventFlags() [1/2]

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

inlineoverridevirtualnoexcept

Changes transactional event flags.

See EventFlag "Event Flags" section.

Parameters

eventFlags transactional event flags.

Implements IndexedEvent.

◆ setGamma()

void Greeks::setGamma ( double gamma )

inlinenoexcept

Changes option gamma.

Parameters

gamma option gamma.

◆ setIndex()

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

inlineoverridevirtual

Changes the 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.

◆ setPrice()

void Greeks::setPrice ( double price )

inlinenoexcept

Changes option market price.

Parameters

price option market price.

◆ setRho()

void Greeks::setRho ( double rho )

inlinenoexcept

Changes option rho.

Parameters

rho	option rho.

◆ setSequence()

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

Changes sequence number of this event.

Parameters

sequence the sequence.

See also: getSequence()

Exceptions

InvalidArgumentException

References MAX_SEQUENCE.

◆ setTheta()

void Greeks::setTheta ( double theta )

inlinenoexcept

Changes option theta.

Parameters

theta option theta.

◆ setTime()

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

inlinenoexcept

Changes the timestamp of the event in milliseconds.

Parameters

time	timestamp of the event in milliseconds.

See also: getTime()

References getSequence().

◆ setVega()

void Greeks::setVega ( double vega )

inlinenoexcept

Changes option vega.

Parameters

vega	option vega.

◆ setVolatility()

void Greeks::setVolatility ( double volatility )

inlinenoexcept

Changes Black-Scholes implied volatility of the option.

Parameters

volatility Black-Scholes implied volatility of the option.

◆ toGraal()

void * Greeks::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 Greeks::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 Greeks::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 Greeks

Constructor & Destructor Documentation

◆ Greeks()

Member Function Documentation

◆ assign()

◆ freeGraal()

◆ fromGraal()

◆ getDelta()

◆ getEventFlags()

◆ getEventFlagsMask()

◆ getGamma()

◆ getIndex()

◆ getPrice()

◆ getRho()

◆ getSequence()

◆ getSource()

◆ getTheta()

◆ getTime()

◆ getVega()

◆ getVolatility()

◆ setDelta()

◆ setEventFlags() [1/2]

◆ setEventFlags() [2/2]

◆ setGamma()

◆ setIndex()

◆ setPrice()

◆ setRho()

◆ setSequence()

◆ setTheta()

◆ setTime()

◆ setVega()

◆ setVolatility()

◆ toGraal()

◆ toString()

Member Data Documentation

◆ MAX_SEQUENCE