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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,126 @@ | ||
| // | ||
| // TheoPrice.swift | ||
| // DXFeedFramework | ||
| // | ||
| // Created by Aleksey Kosylo on 06.10.23. | ||
| // | ||
|
|
||
| import Foundation | ||
|
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| /// Theo price is a snapshot of the theoretical option price computation that is | ||
| /// periodically performed by http://www.devexperts.com/en/products/price.html | ||
| /// | ||
| /// model-free computation. | ||
| /// It represents the most recent information that is available about the corresponding | ||
| /// values at any given moment of time. | ||
| /// The values include first and second order derivative of the price curve by price, so that | ||
| /// the real-time theoretical option price can be estimated on real-time changes of the underlying | ||
| /// price in the vicinity. | ||
| /// | ||
| /// [For more details see](https://docs.dxfeed.com/dxfeed/api/com/dxfeed/event/option/TheoPrice.html) | ||
| public class TheoPrice: MarketEvent, ITimeSeriesEvent, ILastingEvent, CustomStringConvertible { | ||
| public var type: EventCode = .theoPrice | ||
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| public var eventSymbol: String | ||
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| public var eventTime: Int64 = 0 | ||
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| public var eventSource: IndexedEventSource = .defaultSource | ||
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| public var eventFlags: Int32 = 0 | ||
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| public var index: Long = 0 | ||
|
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| /* | ||
| * EventFlags property has several significant bits that are packed into an integer in the following way: | ||
| * 31..7 6 5 4 3 2 1 0 | ||
| * +---------+----+----+----+----+----+----+----+ | ||
| * | | SM | | SS | SE | SB | RE | TX | | ||
| * +---------+----+----+----+----+----+----+----+ | ||
| */ | ||
|
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| /// Gets or sets theoretical option price. | ||
| public var price: Double = .nan | ||
| /// Gets or sets underlying price at the time of theo price computation. | ||
| public var underlyingPrice: Double = .nan | ||
| /// Gets or sets delta of the theoretical price. | ||
| /// Delta is the first derivative of an option price by an underlying price. | ||
| public var delta: Double = .nan | ||
| /// Gets or sets gamma of the theoretical price. | ||
| /// Gamma is the second derivative of an option price by an underlying price. | ||
| public var gamma: Double = .nan | ||
| /// Gets or sets implied simple dividend return of the corresponding option series. | ||
| public var dividend: Double = .nan | ||
| /// Gets or sets implied simple interest return of the corresponding option series. | ||
| public var interest: Double = .nan | ||
|
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| public init(_ eventSymbol: String) { | ||
| self.eventSymbol = eventSymbol | ||
| } | ||
|
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| public var description: String { | ||
| """ | ||
| DXFG_THEO_PRICE_T \ | ||
| eventSymbol: \(eventSymbol) \ | ||
| eventTime: \(eventTime) \ | ||
| eventFlags: \(eventFlags), \ | ||
| index: \(index), \ | ||
| price: \(price), \ | ||
| underlyingPrice: \(underlyingPrice), \ | ||
| delta: \(delta), \ | ||
| gamma: \(gamma), \ | ||
| dividend: \(dividend), \ | ||
| interest: \(interest) | ||
| """ | ||
| } | ||
| } | ||
|
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| extension TheoPrice { | ||
| /// 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 var time: Long { | ||
| get { | ||
| ((index >> 32) * 1000) + ((index >> 22) & 0x3ff) | ||
| } | ||
| set { | ||
| index = Long(TimeUtil.getSecondsFromTime(newValue) << 32) | | ||
| (Long(TimeUtil.getMillisFromTime(newValue)) << 22) | | ||
| Int64(getSequence()) | ||
| } | ||
| } | ||
| /// Gets sequence number of this quote 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 ``MarketEventConst/maxSequence``. | ||
| public func getSequence() -> Int { | ||
| return Int(index) & Int(MarketEventConst.maxSequence) | ||
| } | ||
| /// Sets sequence number of this quote to distinguish quotes 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 ``MarketEventConst/maxSequence``. | ||
| /// - Throws: ``ArgumentException/exception(_:)`` | ||
| public func setSequence(_ sequence: Int) throws { | ||
| if sequence < 0 || sequence > MarketEventConst.maxSequence { | ||
| throw ArgumentException.exception( | ||
| "Sequence(\(sequence) is < 0 or > MaxSequence(\(MarketEventConst.maxSequence)" | ||
| ) | ||
| } | ||
| index = Long(index & ~Long(MarketEventConst.maxSequence)) | Long(sequence) | ||
| } | ||
| /// Returns string representation of this order fields. | ||
| func toString() -> String { | ||
| return """ | ||
| TheoPrice{\(eventSymbol) \ | ||
| eventTime=\(TimeUtil.toLocalDateString(millis: eventTime)), \ | ||
| eventFlags=0x\(String(format: "%02X", eventFlags)), \ | ||
| time=\(TimeUtil.toLocalDateString(millis: time)), \ | ||
| sequence=\(self.getSequence()), \ | ||
| price=\(price) \ | ||
| underlyingPrice=\(underlyingPrice), \ | ||
| delta=\(delta), \ | ||
| gamma=\(gamma), \ | ||
| dividend=\(dividend), \ | ||
| interest=\(interest), \ | ||
| } | ||
| """ | ||
| } | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,26 @@ | ||
| // | ||
| // TheoPrice+Ext.swift | ||
| // DXFeedFramework | ||
| // | ||
| // Created by Aleksey Kosylo on 06.10.23. | ||
| // | ||
|
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| import Foundation | ||
| @_implementationOnly import graal_api | ||
|
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| extension TheoPrice { | ||
| convenience init(native: dxfg_theo_price_t) { | ||
| self.init(String(pointee: native.market_event.event_symbol)) | ||
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| self.eventTime = native.market_event.event_time | ||
| self.eventFlags = native.event_flags | ||
| self.index = native.index | ||
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| self.price = native.price | ||
| self.underlyingPrice = native.underlying_price | ||
| self.delta = native.delta | ||
| self.gamma = native.gamma | ||
| self.dividend = native.dividend | ||
| self.interest = native.interest | ||
| } | ||
| } |
44 changes: 44 additions & 0 deletions
44
DXFeedFramework/Native/Events/Markets/TheoPriceMapper.swift
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,44 @@ | ||
| // | ||
| // TheoPriceMapper.swift | ||
| // DXFeedFramework | ||
| // | ||
| // Created by Aleksey Kosylo on 06.10.23. | ||
| // | ||
|
|
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| import Foundation | ||
| @_implementationOnly import graal_api | ||
|
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| class TheoPriceMapper: Mapper { | ||
| let type = dxfg_theo_price_t.self | ||
|
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| func fromNative(native: UnsafeMutablePointer<dxfg_event_type_t>) -> MarketEvent? { | ||
| let event = native.withMemoryRebound(to: type, capacity: 1) { native in | ||
| return TheoPrice(native: native.pointee) | ||
| } | ||
| return event | ||
| } | ||
|
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| func toNative(event: MarketEvent) -> UnsafeMutablePointer<dxfg_event_type_t>? { | ||
| let pointer = UnsafeMutablePointer<dxfg_theo_price_t>.allocate(capacity: 1) | ||
| var pointee = pointer.pointee | ||
| pointee.market_event.event_symbol = event.eventSymbol.toCStringRef() | ||
| pointee.market_event.event_time = event.eventTime | ||
|
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| let theoPrice = event.theoPrice | ||
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| pointee.event_flags = theoPrice.eventFlags | ||
| pointee.index = theoPrice.index | ||
| pointee.price = theoPrice.price | ||
| pointee.underlying_price = theoPrice.underlyingPrice | ||
| pointee.delta = theoPrice.delta | ||
| pointee.gamma = theoPrice.gamma | ||
| pointee.dividend = theoPrice.dividend | ||
| pointee.interest = theoPrice.interest | ||
|
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| let eventType = pointer.withMemoryRebound(to: dxfg_event_type_t.self, capacity: 1) { pointer in | ||
| pointer.pointee.clazz = DXFG_EVENT_THEO_PRICE | ||
| return pointer | ||
| } | ||
| return eventType | ||
| } | ||
| } |
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