Class Greeks

Namespace

DxFeed.Graal.Net.Events.Options

Assembly

DxFeed.Graal.Net.dll

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.
For more details see Javadoc.

[EventCode(EventCodeNative.Greeks)]
public class Greeks : MarketEvent, ITimeSeriesEvent, IIndexedEvent, ILastingEvent, IEventType

Inheritance

object

MarketEvent

Greeks

Implements

ITimeSeriesEvent

IIndexedEvent

ILastingEvent

IEventType

Inherited Members

MarketEvent.EventSymbol

MarketEvent.EventTime

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

Constructors

Greeks()

Initializes a new instance of the Greeks class.

public Greeks()

Greeks(string?)

Initializes a new instance of the Greeks class with the specified event symbol.

public Greeks(string? eventSymbol)

Parameters

eventSymbol string

The specified event symbol.

Fields

MaxSequence

Maximum allowed sequence value. Sequence

public const int MaxSequence = 4194303

Field Value

int

Properties

Delta

Gets or sets option delta. Delta is the first derivative of an option price by an underlying price.

public double Delta { get; set; }

Property Value

double

EventFlags

Gets or sets transactional event flags.

public int EventFlags { get; set; }

Property Value

int

EventSource

Gets a source identifier for this event, which is always DEFAULT for time-series events.

public IndexedEventSource EventSource { get; }

Property Value

IndexedEventSource

Gamma

Gets or sets option gamma. Gamma is the second derivative of an option price by an underlying price.

public double Gamma { get; set; }

Property Value

double

Index

Gets or sets unique per-symbol index of this event. The index is composed of Time and Sequence, invocation of this method changes time and sequence. Do not use this method directly. Change Time and/or Sequence.

public long Index { get; set; }

Property Value

long

Price

Gets or sets option market price.

public double Price { get; set; }

Property Value

double

Rho

Gets or sets option rho. Rho is the first derivative of an option price by percentage interest rate.

public double Rho { get; set; }

Property Value

double

Sequence

Gets or sets 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 MaxSequence.

public int Sequence { get; set; }

Property Value

int

Exceptions

ArgumentException

If sequence out of range.

Theta

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

public double Theta { get; set; }

Property Value

double

Time

Gets or sets timestamp of the event in milliseconds. Time is measured in milliseconds between the current time and midnight, January 1, 1970 UTC.

public long Time { get; set; }

Property Value

long

Vega

Gets or sets vega. Vega is the first derivative of an option price by percentage volatility.

public double Vega { get; set; }

Property Value

double

Volatility

Gets or sets Black-Scholes implied volatility of the option.

public double Volatility { get; set; }

Property Value

double

Methods

ToString()

Returns string representation of this greeks event.

public override string ToString()

Returns

string

The string representation.