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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,125 @@ | ||
| // | ||
| // Series.swift | ||
| // DXFeedFramework | ||
| // | ||
| // Created by Aleksey Kosylo on 12.10.23. | ||
| // | ||
|
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| import Foundation | ||
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| /// Series event is a snapshot of computed values that are available for all option series for | ||
| /// a given underlying symbol based on the option prices on the market. | ||
| /// | ||
| /// 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)[https://docs.dxfeed.com/dxfeed/api/com/dxfeed/event/option/Series.html] | ||
| public class Series: MarketEvent, IIndexedEvent { | ||
| public var type: EventCode = .series | ||
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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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| public var eventSymbol: String | ||
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| public var eventTime: Int64 = 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 time and sequence of this series packaged into single long value. | ||
| /// | ||
| /// This method is intended for efficient series time priority comparison. | ||
| /// **Do not use this method directly** | ||
| /// Change ``time`` and/or ``sequence`` | ||
| public private(set) var timeSequence: Long = 0 | ||
| /// Gets or sets day id of expiration. | ||
| public let expiration: Int32 = 0 | ||
| /// Gets or sets implied volatility index for this series based on VIX methodology. | ||
| public let volatility: Double = .nan | ||
| /// Gets or sets call options traded volume for a day. | ||
| public let callVolume: Double = .nan | ||
| /// Gets or sets put options traded volume for a day. | ||
| public let putVolume: Double = .nan | ||
| /// Gets or sets ratio of put options traded volume to call options traded volume for a day. | ||
| public let putCallRatio: Double = .nan | ||
| /// Gets or sets implied forward price for this option series. | ||
| public let forwardPrice: Double = .nan | ||
| /// Gets or sets implied simple dividend return of the corresponding option series. | ||
| public let dividend: Double = .nan | ||
| /// Gets or sets implied simple interest return of the corresponding option series. | ||
| public let interest: Double = .nan | ||
|
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| public init(_ eventSymbol: String) { | ||
| self.eventSymbol = eventSymbol | ||
| } | ||
| } | ||
|
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| extension Series { | ||
| /// 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 { | ||
| ((timeSequence >> 32) * 1000) + ((timeSequence >> 22) & 0x3ff) | ||
| } | ||
| set { | ||
| timeSequence = Long(TimeUtil.getSecondsFromTime(newValue) << 32) | | ||
| (Long(TimeUtil.getMillisFromTime(newValue)) << 22) | | ||
| Int64(getSequence()) | ||
| } | ||
| } | ||
| /// Gets 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 ``MarketEventConst/maxSequence``. | ||
| public func getSequence() -> Int { | ||
| return Int(timeSequence) & Int(MarketEventConst.maxSequence) | ||
| } | ||
| /// Sets sequence number of this event 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)" | ||
| ) | ||
| } | ||
| timeSequence = Long(timeSequence & ~Long(MarketEventConst.maxSequence)) | Long(sequence) | ||
| } | ||
|
|
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| /// Gets options traded volume for a day. | ||
| public func getOptionVolume() -> Double { | ||
| if putVolume.isNaN { | ||
| return callVolume | ||
| } | ||
| return callVolume.isNaN ? putVolume : putVolume + putVolume; | ||
| } | ||
|
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| public func toString() -> String { | ||
| return | ||
| """ | ||
| Series{\(eventSymbol), \ | ||
| eventTime=\(TimeUtil.toLocalDateString(millis: eventTime)), \ | ||
| eventFlags=0x\(String(format: "%02X", eventFlags)), \ | ||
| index=0x\(String(format: "%02X", index)), \ | ||
| time=\(TimeUtil.toLocalDateString(millis: time)), \ | ||
| sequence=\(self.getSequence()), \ | ||
| expiration=\(DayUtil.getYearMonthDayByDayId(Int(expiration))), \ | ||
| volatility=\(volatility), \ | ||
| callVolume=\(callVolume), \ | ||
| putVolume=\(putVolume), \ | ||
| putCallRatio=\(putCallRatio), \ | ||
| forwardPrice=\(forwardPrice), \ | ||
| dividend=\(dividend), \ | ||
| interest=\(interest) | ||
| """ | ||
| } | ||
| } |
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