Options/MamdaOptionChainView.cs

/* $Id$
 *
 * 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
 */

using System;
using Wombat.Containers;

namespace Wombat
{
    public class MamdaOptionChainView : MamdaOptionChainHandler
    {
        public MamdaOptionChainView(MamdaOptionChain chain)
        {
            mChain = chain;
            resetRange();
        }

        public string getSymbol()
        {
            return mChain.getSymbol();
        }

        public void setAtTheMoneyType(MamdaOptionAtTheMoneyCompareType atTheMoneyType)
        {
            if (mAtTheMoneyType != atTheMoneyType)
            {
                mAtTheMoneyType = atTheMoneyType;
                resetRange();
            }
        }

        public void setStrikeRangePercent(double percentMargin)
        {
            if (mStrikeMargin != percentMargin)
            {
                mStrikeMargin = percentMargin;
                resetRange();
            }
        }

        public void setStrikeRangeNumber(int number)
        {
            if (mNumStrikes != number)
            {
                mNumStrikes = number;
                resetRange();
            }
        }

        public void setExpirationRangeDays(int expirationDays)
        {
            mExpirationDays = expirationDays;
            resetRange();
        }

        public void setNumberOfExpirations(int numExpirations)
        {
            mNumExpirations = numExpirations;
            resetRange();
        }

        public void setJitterMargin(double percentMargin)
        {
            mJitterMargin = percentMargin;
            resetRange();
        }

        public bool isVisible(MamdaOptionContract contract)
        {
            double strikePrice = contract.getStrikePrice();
            DateTime expireDate  = contract.getExpireDate();
            return ((mLowExpireDate <= expireDate) &&
                    (mHighExpireDate >= expireDate) &&
                    (mLowStrike <= strikePrice) &&
                    (strikePrice <= mHighStrike));
        }

        public Iterator expirationIterator()
        {
            return mExpirationDateSet.values().iterator();
        }

        public void onOptionChainRecap (
            MamdaSubscription         subscription,
            MamdaOptionChainListener  listener,
            MamaMsg                   msg,
            MamdaOptionChain          chain)
        {
            resetRange();
        }

        public void onOptionContractCreate (
            MamdaSubscription         subscription,
            MamdaOptionChainListener  listener,
            MamaMsg                   msg,
            MamdaOptionContract       contract,
            MamdaOptionChain          chain)
        {
            resetRange();
        }

        public void onOptionSeriesUpdate (
            MamdaSubscription         subscription,
            MamdaOptionChainListener  listener,
            MamaMsg                   msg,
            MamdaOptionSeriesUpdate   updateEvent,
            MamdaOptionChain          chain)
        {
            resetRange();
        }

        private void resetRange()
        {
            mExpirationDateSet = filterExpirations(mChain.getAllExpirations());
            filterStrikes(mExpirationDateSet);

            if ((mExpirationDateSet == null) || (mExpirationDateSet.size() == 0))
            {
                mLowExpireDate = DateTime.Today;
                mHighExpireDate = DateTime.Today.AddYears(1); // new Date(System.currentTimeMillis() + 366*24*60*60*1000);
            }
            else
            {
                mLowExpireDate = (DateTime)mExpirationDateSet.firstKey();
                mHighExpireDate = (DateTime)mExpirationDateSet.lastKey();
            }
        }

        private MamdaOptionExpirationDateSet filterExpirations(MamdaOptionExpirationDateSet initialSet)
        {
            if (mExpirationDays > 0)
            {
                // Find the subset of expirations between now and some
                // number of days into the future.
                System.Globalization.Calendar c = new System.Globalization.GregorianCalendar(System.Globalization.GregorianCalendarTypes.USEnglish);
                DateTime futureDate = c.AddDays(DateTime.Today, mExpirationDays);
                return initialSet.getExpirationsBefore(futureDate);
            }
            else if (mNumExpirations > 0)
            {
                // Explicit number of expiration dates.
                return initialSet.getExpirations(mNumExpirations);
            }
            else
            {
                // All expiration months.  We *copy* the initial set
                // because we may reduce the set to a particular range of
                // strike prices.
                return new MamdaOptionExpirationDateSet(initialSet);
            }
        }

        private void filterStrikes(MamdaOptionExpirationDateSet dateSet)
        {
            mLowStrike  = Double.MinValue;
            mHighStrike = Double.MaxValue;

            // First calculate the high/low strikes
            SortedSet strikeSet = mChain.getStrikesWithinPercent(mStrikeMargin, mAtTheMoneyType);

            if ((strikeSet == null) || (strikeSet.size() == 0))
            {
                strikeSet = mChain.getStrikesWithinRangeSize(mNumStrikes, mAtTheMoneyType);
            }

            if ((strikeSet == null) || (strikeSet.size() == 0))
            {
                return;
            }

            mLowStrike  = (double)strikeSet.first();
            mHighStrike = (double)strikeSet.last();

            Iterator expireIter = dateSet.values().iterator();
            while (expireIter.hasNext())
            {
                // Filter the strike prices for one expiration date
                MamdaOptionExpirationStrikes expireStrikes = (MamdaOptionExpirationStrikes)expireIter.next();
                expireStrikes.trimStrikes(strikeSet);
            }
        }

        private bool strikeInRange(double strikePrice)
        {
            // To be completed.
            return true;
        }

        private bool expirationInRange(string expirationDate)
        {
            // To be completed.
            return true;
        }

        private class UnderlyingQuoteHandler : MamdaQuoteHandler
        {
            public void onQuoteRecap(
                MamdaSubscription   sub,
                MamdaQuoteListener  listener,
                MamaMsg             msg,
                MamdaQuoteRecap     recap)
            {
            }

            public void onQuoteUpdate (
                MamdaSubscription   sub,
                MamdaQuoteListener  listener,
                MamaMsg             msg,
                MamdaQuoteUpdate    updateEvent,
                MamdaQuoteRecap     recap)
            {
            }

            public void onQuoteGap (
                MamdaSubscription   sub,
                MamdaQuoteListener  listener,
                MamaMsg             msg,
                MamdaQuoteGap       gapEvent,
                MamdaQuoteRecap     recap)
            {
            }

            public void onQuoteClosing (
                MamdaSubscription   sub,
                MamdaQuoteListener  listener,
                MamaMsg             msg,
                MamdaQuoteClosing   closingEvent,
                MamdaQuoteRecap     recap)
            {
            }
        }

        private class UnderlyingTradeHandler : MamdaTradeHandler
        {
            public void onTradeRecap(
                MamdaSubscription   sub,
                MamdaTradeListener  listener,
                MamaMsg             msg,
                MamdaTradeRecap     recap)
            {
            }

            public void onTradeReport (
                MamdaSubscription   sub,
                MamdaTradeListener  listener,
                MamaMsg             msg,
                MamdaTradeReport    trade,
                MamdaTradeRecap     recap)
            {
            }

            public void onTradeGap (
                MamdaSubscription   sub,
                MamdaTradeListener  listener,
                MamaMsg             msg,
                MamdaTradeGap       gapEvent,
                MamdaTradeRecap     recap)
            {
            }

            public void onTradeCancelOrError (
                MamdaSubscription        sub,
                MamdaTradeListener       listener,
                MamaMsg                  msg,
                MamdaTradeCancelOrError  cancelEvent,
                MamdaTradeRecap          recap)
            {
            }

            public void onTradeCorrection (
                MamdaSubscription        sub,
                MamdaTradeListener       listener,
                MamaMsg                  msg,
                MamdaTradeCorrection     correctionEvent,
                MamdaTradeRecap          recap)
            {
            }

            public void onTradeClosing (
                MamdaSubscription        sub,
                MamdaTradeListener       listener,
                MamaMsg                  msg,
                MamdaTradeClosing        closingEvent,
                MamdaTradeRecap          recap)
            {
            }
        }

        private readonly MamdaOptionChain           mChain;

        private const double DEFAULT_JITTER_MARGIN = 0.5; /* percent */

        private MamdaOptionAtTheMoneyCompareType mAtTheMoneyType = MamdaOptionAtTheMoneyCompareType.MID_QUOTE;
        private double    mStrikeMargin     = 0.0;
        private int       mNumStrikes       = 0;
        private int       mExpirationDays   = 0;
        private int       mNumExpirations   = 0;
        private double    mJitterMargin     = DEFAULT_JITTER_MARGIN;

        private MamdaOptionExpirationDateSet  mExpirationDateSet = null;
        private DateTime                      mLowExpireDate     = DateTime.MinValue;
        private DateTime                      mHighExpireDate    = DateTime.MinValue;
        private double                        mLowStrike         = 0.0;
        private double                        mHighStrike        = 0.0;

        // The following "underlying" handlers are used if/when we need to
        // check the strike range.  Which, if either, are active depends
        // on the value of mAtTheMoneyType.
        private readonly UnderlyingQuoteHandler mQuoteHandler = new UnderlyingQuoteHandler();
        private readonly UnderlyingTradeHandler mTradeHandler = new UnderlyingTradeHandler();
    }
}