Wombat::MamdaOptionChainView

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 underyling price (default is 0.5%).

Inherits from Wombat.MamdaOptionChainHandler

Public Functions

Public Functions Documentation

function MamdaOptionChainView

MamdaOptionChainView(
    MamdaOptionChain chain
)

Create a view on the given option chain. Multiple views are supported on any given option chain.

Parameters:

• chain

function getSymbol

string getSymbol()

Return the symbol for the option chain.

Return:

function setAtTheMoneyType

void setAtTheMoneyType(
    MamdaOptionAtTheMoneyCompareType atTheMoneyType
)

Set how the underlying price (“at the money”) is determined MamdaOptionAtTheMoneyCompareType

Parameters:

• atTheMoneyType

function setStrikeRangePercent

void setStrikeRangePercent(
    double percentMargin
)

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.

Parameters:

• percentMargin

function setStrikeRangeNumber

void setStrikeRangeNumber(
    int number
)

Set the number of strike prices to be included in the view. The “jitter margin” avoids switching between ranges too often.

Parameters:

• number

function setExpirationRangeDays

void setExpirationRangeDays(
    int expirationDays
)

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().

Parameters:

• expirationDays

function setNumberOfExpirations

void setNumberOfExpirations(
    int numExpirations
)

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.

Parameters:

• numExpirations

function setJitterMargin

void setJitterMargin(
    double percentMargin
)

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.

Parameters:

• percentMargin

function isVisible

bool isVisible(
    MamdaOptionContract contract
)

Return whether an option contract falls within this view’s parameters.

Parameters:

• contract

Return:

function expirationIterator

Iterator expirationIterator()

Return an Iterator over the set of expiration dates within the view. Each Iterator represents a MamdaOptionExpirationStrikes object.

Return:

function onOptionChainRecap

void onOptionChainRecap(
    MamdaSubscription subscription,
    MamdaOptionChainListener listener,
    MamaMsg msg,
    MamdaOptionChain chain
)

Handler option chain recaps and initial values.

Parameters:

• subscription
• listener
• msg
• chain

Reimplements: Wombat::MamdaOptionChainHandler::onOptionChainRecap

function onOptionContractCreate

void onOptionContractCreate(
    MamdaSubscription subscription,
    MamdaOptionChainListener listener,
    MamaMsg msg,
    MamdaOptionContract contract,
    MamdaOptionChain chain
)

Handler for option chain structural updates.

Parameters:

• subscription
• listener
• msg
• contract
• chain

Reimplements: Wombat::MamdaOptionChainHandler::onOptionContractCreate

function onOptionSeriesUpdate

void onOptionSeriesUpdate(
    MamdaSubscription subscription,
    MamdaOptionChainListener listener,
    MamaMsg msg,
    MamdaOptionSeriesUpdate updateEvent,
    MamdaOptionChain chain
)

Handler for option chain structural updates.

Parameters:

• subscription
• listener
• msg
• updateEvent
• chain

Reimplements: Wombat::MamdaOptionChainHandler::onOptionSeriesUpdate

Updated on 2023-03-31 at 15:30:16 +0100