/usr/include/mamda/MamdaOptionChainView.h is in libmamda-dev 2.2.2.1-10.
This file is owned by root:root, with mode 0o644.
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*
* OpenMAMA: The open middleware agnostic messaging API
* Copyright (C) 2011 NYSE Technologies, Inc.
*
* This library is free software; you can redistribute it and/or
* modify it under the terms of the GNU Lesser General Public
* License as published by the Free Software Foundation; either
* version 2.1 of the License, or (at your option) any later version.
*
* This library is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
* Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* License along with this library; if not, write to the Free Software
* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
* 02110-1301 USA
*/
#ifndef MamdaOptionChainViewH
#define MamdaOptionChainViewH
#include <mamda/MamdaOptionalConfig.h>
#include <mamda/MamdaOptionAtTheMoneyCompareType.h>
#include <mamda/MamdaOptionChainHandler.h>
#include <mamda/MamdaOptionExpirationDateSet.h>
namespace Wombat
{
/**
* A class that represents a "view" of a subset of an option chain.
* The view can be restricted to a percentage or number of strike
* prices around "the money" as well as to a maximum number of days
* into the future. The view will be adjusted to include strike
* prices within the range as the underlying price moves. This means
* that the range of strike prices will change over time. In order to
* avoid a "jitter" in the range of strike prices when the underlying
* price hovers right on the edge of a range boundary, the class also
* provides a "jitter margin" as some percentage of the underlying
* price (default is 0.5%).
*/
class MAMDAOPTExpDLL MamdaOptionChainView : public MamdaOptionChainHandler
{
public:
/**
* Create a view on the given option chain. Multiple views are
* supported on any given option chain.
*
* @param chain The <code>MamdaOptionChain</code> on which to provide
* a view.
*/
MamdaOptionChainView (MamdaOptionChain& chain);
/**
* Destructor.
*/
virtual ~MamdaOptionChainView ();
/**
* Return the symbol for the option chain.
*
* @return The symbol for the option chain.
*/
const char* getSymbol () const;
/**
* Set how the underlying price ("at the money") is determined.
*
* @param atTheMoneyType The comparator enumeration to determine how at
* the money is determined.
*
* @see MamdaOptionAtTheMoneyCompareType
*/
void setAtTheMoneyType (MamdaOptionAtTheMoneyCompareType atTheMoneyType);
/**
* Set the range of strike prices to be included in the view by
* percentage variation from the underlying price. The range of
* strike prices in the view will vary as the underlying varies.
* The "jitter margin" avoids switching between ranges too often.
*
* @param percentMargin Percentage variation the strike price has from the
* underlying.
*/
void setStrikeRangePercent (double percentMargin);
/**
* Set the number of strike prices to be included in the view.
* The "jitter margin" avoids switching between ranges too often.
*
* @param number The number of strikes to include in the view.
*/
void setStrikeRangeNumber (int number);
/**
* Set the range of expiration dates to be included in the view by
* the maximum number of days until expiration. Note: a non-zero
* range overrides a specific number of expirations set by
* setNumberOfExpirations().
*
* @param expirationDays The maximum number of days until expiration.
*/
void setExpirationRangeDays (int expirationDays);
/**
* Set the number of expiration dates to be included in the view.
* Note: a non-zero range (set by setExpirationRangeDays())
* overrides a specific number of expirations.
*
* @param numExpirations The number of expiration dates to include in the
* view.
*/
void setNumberOfExpirations (int numExpirations);
/**
* Set a "jitter margin" to avoid having the range jump between
* different strike prices when the underlying price hovers right
* on the edge of a range boundary. The underlying is allowed to
* fluctuate within the jitter margin without the range being
* reset. When the underlying moves beyond the jitter margin,
* the range is reset.
*
* @param percentMargin Percentage from the range boundary the underlying
* price can fluctuate without resetting the range.
*/
void setJitterMargin (double percentMargin);
/**
* Return whether an option contract falls within this view's
* parameters.
*
* @param contract The contract which is being checked for visibility by
* the current view.
*/
bool isVisible (const MamdaOptionContract& contract) const;
/**
* Return the option expiration date set, which contains the
* subset of strike prices for the view, and the contracts within
* the strike price.
*
* @return The expiration date set for the option.
*/
const MamdaOptionExpirationDateSet& getExpireDateSet() const;
/**
* Handler option chain recaps and initial values.
*
* @param subscription The subscription which received the update.
* @param listener The listener instance which invoked this callback.
* @param msg The msg which resulted in the callback being
* invoked.
* @param chain The complete option chain.
*/
void onOptionChainRecap (
MamdaSubscription* subscription,
MamdaOptionChainListener& listener,
const MamaMsg& msg,
MamdaOptionChain& chain);
/**
* Handler for option chain structural updates.
*
* @param subscription The subscription which received the update.
* @param listener The listener instance which invoked this
* callback.
* @param msg The msg which resulted in the callback being
* invoked.
* @param contract The newly created option contract.
* @param chain The complete option chain.
*/
void onOptionContractCreate (
MamdaSubscription* subscription,
MamdaOptionChainListener& listener,
const MamaMsg& msg,
MamdaOptionContract& contract,
MamdaOptionChain& chain);
/**
* Handler for option chain structural updates.
*
* @param subscription The subscription which received the update.
* @param listener The listener which invoked this callback.
* @param msg The msg which resulted in the callback being
* invoked.
* @param event Access to the series update event details.
* @param chain The complete option chain.
*/
void onOptionSeriesUpdate (
MamdaSubscription* subscription,
MamdaOptionChainListener& listener,
const MamaMsg& msg,
const MamdaOptionSeriesUpdate& event,
MamdaOptionChain& chain);
/**
* Handler for gaps.
*
* @param subscription The subscription which received the update.
* @param listener The listener which invoked this callback.
* @param msg The msg which resulted in the callback being
* invoked.
* @param chain The complete option chain.
*/
void onOptionChainGap (
MamdaSubscription* subscription,
MamdaOptionChainListener& listener,
const MamaMsg& msg,
MamdaOptionChain& chain);
private:
struct MamdaOptionChainViewImpl;
MamdaOptionChainViewImpl& mImpl;
};
} // namespace
#endif // MamdaOptionChainViewH
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