Builder class for a set of option chains grouped by product or underlying symbol. More...

#include <OptionChainsBuilder.hpp>

Public Member Functions
	OptionChainsBuilder ()=default
	Creates new option chains builder.

void	setProduct (const std::string &product)
	Changes product for futures and options on futures (underlying asset name).

void	setUnderlying (const std::string &underlying)
	Changes primary underlying symbol for options.

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

void	setLastTrade (std::int32_t lastTrade)
	Changes day id of last trading day.

void	setMultiplier (double multiplier)
	Changes market value multiplier.

void	setSPC (double spc)
	Changes shares per contract for options.

void	setAdditionalUnderlyings (const std::string &additionalUnderlyings)
	Changes additional underlyings for options, including additional cash.

void	setMMY (const std::string &mmy)
	Changes maturity month-year as provided for corresponding FIX tag (200).

void	setOptionType (const std::string &optionType)
	Changes type of option.

void	setExpirationStyle (const std::string &expirationStyle)
	Changes the expiration cycle style, such as "Weeklys", "Quarterlys".

void	setSettlementStyle (const std::string &settlementStyle)
	Changes settlement price determination style, such as "Open", "Close".

void	setCFI (const std::string &cfi)
	Changes Classification of Financial Instruments code.

void	setStrike (double strike)
	Changes strike price for options.

void	addOption (std::shared_ptr< T > option)
	Adds an option instrument to this builder.

const std::unordered_map< std::string, OptionChain< T > > &	getChains ()
	Returns a view of chains created by this builder.

Static Public Member Functions
template<typename Collection, typename Element = std::decay_t<decltype(std::begin(Collection()))>, typename Profile = std::decay_t<decltype(*Element())>>
static OptionChainsBuilder< InstrumentProfile >	build (const Collection &instruments)
	Builds options chains for all options from the given collections of instrument profiles.

Detailed Description

template<class T>
class OptionChainsBuilder< T >

Builder class for a set of option chains grouped by product or underlying symbol.

Threads and clocks

This class is NOT thread-safe and cannot be used from multiple threads without external synchronization.

Template Parameters

T	The type of option instrument instances.

Member Function Documentation

◆ addOption()

template<class T>

void OptionChainsBuilder< T >::addOption ( std::shared_ptr< T > option )

inline

Adds an option instrument to this builder.

Option is added to chains for the currently set product and/or underlying to the series that corresponding to all other currently set attributes. This method is safe in the sense that is ignores illegal state of the builder. It only adds an option when all the following conditions are met:

CFI code is set and starts with either "OC" for call or "OP" for put;
expiration is set and is not zero;
strike is set and is not NaN nor Inf;
product or underlying symbol are set;

All the attributes remain set as before after the call to this method, but chains are updated correspondingly.

Parameters

option The option to add.

◆ build()

template<class T>

template<typename Collection, typename Element = std::decay_t<decltype(std::begin(Collection()))>, typename Profile = std::decay_t<decltype(*Element())>>

static OptionChainsBuilder< InstrumentProfile > OptionChainsBuilder< T >::build ( const Collection & instruments )

inlinestatic

Builds options chains for all options from the given collections of instrument profiles.

Template Parameters

Collection The collection type.

Parameters

instruments The collection of instrument profiles.

Returns: The builder with all the options from instruments collection.

◆ getChains()

template<class T>

const std::unordered_map< std::string, OptionChain< T > > & OptionChainsBuilder< T >::getChains ( )

inline

Returns a view of chains created by this builder.

It updates as new options are added with addOption method.

Returns: The view of chains created by this builder.

◆ setAdditionalUnderlyings()

template<class T>

void OptionChainsBuilder< T >::setAdditionalUnderlyings ( const std::string & additionalUnderlyings )

inline

Changes additional underlyings for options, including additional cash.

It shall use following format:

    <VALUE> ::= <empty> | <LIST>
    <LIST> ::= <AU> | <AU> <semicolon> <space> <LIST>
    <AU> ::= <UNDERLYING> <space> <SPC>
the list shall be sorted by <UNDERLYING>.

Example: "SE 50", "FIS 53; US$ 45.46".

Parameters

additionalUnderlyings The additional underlyings for options, including additional cash.

◆ setCFI()

template<class T>

void OptionChainsBuilder< T >::setCFI ( const std::string & cfi )

inline

Changes Classification of Financial Instruments code.

It is a mandatory field as it is the only way to distinguish Call/Put option type, American/European exercise, Cash/Physical delivery. It shall use six-letter CFI code from ISO 10962 standard. It is allowed to use 'X' extensively and to omit trailing letters (assumed to be 'X'). See ISO 10962 on Wikipedia.

Example: "OC" for generic call, "OP" for generic put.

Parameters

cfi CFI code.

◆ setExpiration()

template<class T>

void OptionChainsBuilder< T >::setExpiration ( std::int32_t expiration )

inline

Changes day id of expiration.

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

Parameters

expiration The day id of expiration.

◆ setExpirationStyle()

template<class T>

void OptionChainsBuilder< T >::setExpirationStyle ( const std::string & expirationStyle )

inline

Changes the expiration cycle style, such as "Weeklys", "Quarterlys".

Parameters

expirationStyle The expiration cycle style.

◆ setLastTrade()

template<class T>

void OptionChainsBuilder< T >::setLastTrade ( std::int32_t lastTrade )

inline

Changes day id of last trading day.

Example: day_util::#getDayIdByYearMonthDay() "dxfcpp::day_util::getDayIdByYearMonthDay"(20090116).

Parameters

lastTrade The day id of last trading day.

◆ setMMY()

template<class T>

void OptionChainsBuilder< T >::setMMY ( const std::string & mmy )

inline

Changes maturity month-year as provided for corresponding FIX tag (200).

It can use several different formats depending on data source:

YYYYMM – if only year and month are specified
YYYYMMDD – if full date is specified
YYYYMMwN – if week number (within a month) is specified

Parameters

mmy	The maturity month-year as provided for corresponding FIX tag (200).

◆ setMultiplier()

template<class T>

void OptionChainsBuilder< T >::setMultiplier ( double multiplier )

inline

Changes market value multiplier.

Example: 100, 33.2.

Parameters

multiplier The market value multiplier.

◆ setOptionType()

template<class T>

void OptionChainsBuilder< T >::setOptionType ( const std::string & optionType )

inline

Changes type of option.

It shall use one of following values:

STAN = Standard Options
LEAP = Long-term Equity AnticiPation Securities
SDO = Special Dated Options
BINY = Binary Options
FLEX = FLexible EXchange Options
VSO = Variable Start Options
RNGE = Range

Parameters

optionType The type of option.

◆ setProduct()

template<class T>

void OptionChainsBuilder< T >::setProduct ( const std::string & product )

inline

Changes product for futures and options on futures (underlying asset name).

Example: "/YG".

Parameters

product The product for futures and options on futures (underlying asset name).

◆ setSettlementStyle()

template<class T>

void OptionChainsBuilder< T >::setSettlementStyle ( const std::string & settlementStyle )

inline

Changes settlement price determination style, such as "Open", "Close".

Parameters

settlementStyle The settlement price determination style.

◆ setSPC()

template<class T>

void OptionChainsBuilder< T >::setSPC ( double spc )

inline

Changes shares per contract for options.

Example: 1, 100.

Parameters

spc	The shares per contract for options.

◆ setStrike()

template<class T>

void OptionChainsBuilder< T >::setStrike ( double strike )

inline

Changes strike price for options.

Example: 80, 22.5.

Parameters

strike The strike price for options.

◆ setUnderlying()

template<class T>

void OptionChainsBuilder< T >::setUnderlying ( const std::string & underlying )

inline

Changes primary underlying symbol for options.

Example: "C", "/YGM9"

Parameters

underlying The primary underlying symbol for options.

Public Member Functions

Static Public Member Functions

Detailed Description

Threads and clocks

Member Function Documentation

◆ addOption()

◆ build()

◆ getChains()

◆ setAdditionalUnderlyings()

◆ setCFI()

◆ setExpiration()

◆ setExpirationStyle()

◆ setLastTrade()

◆ setMMY()

◆ setMultiplier()

◆ setOptionType()

◆ setProduct()

◆ setSettlementStyle()

◆ setSPC()

◆ setStrike()

◆ setUnderlying()