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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,265 @@ | ||
| // | ||
| // OptionSale.swift | ||
| // DXFeedFramework | ||
| // | ||
| // Created by Aleksey Kosylo on 13.10.23. | ||
| // | ||
|
|
||
| import Foundation | ||
|
|
||
| /// Option Sale event represents a trade or another market event with the price | ||
| /// (for example, market open/close price, etc.) for each option symbol listed under the specified Underlying. | ||
| /// | ||
| /// Option Sales are intended to provide information about option trades **in a continuous time slice** with | ||
| /// the additional metrics, like Option Volatility, Option Delta, and Underlying Price. | ||
| /// | ||
| /// Option Sale events have unique ``index`` | ||
| /// which can be used for later correction/cancellation processing. | ||
| /// | ||
| /// [For more details see](https://docs.dxfeed.com/dxfeed/api/com/dxfeed/event/market/OptionSale.html) | ||
| public class OptionSale: MarketEvent, IIndexedEvent { | ||
| public var type: EventCode = .optionSale | ||
|
|
||
| public var eventSource: IndexedEventSource = .defaultSource | ||
|
|
||
| public var eventFlags: Int32 = 0 | ||
|
|
||
| public var index: Long = 0 | ||
|
|
||
| public var eventSymbol: String | ||
|
|
||
| public var eventTime: Int64 = 0 | ||
|
|
||
| /* | ||
| * 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 | | ||
| * +--------+----+----+----+----+----+----+----+ | ||
| */ | ||
|
|
||
| /// 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 ``setSequence(_:)`` | ||
| public var timeSequence: Int64 = 0 | ||
| /// Gets or sets microseconds and nanoseconds time part of event. | ||
| public var timeNanoPart: Int32 = 0 | ||
| /// Gets or sets exchange code of this option sale event. | ||
| public var exchangeCode: Int16 = 0 | ||
| /// Gets or sets price of this option sale event. | ||
| public var price: Double = .nan | ||
| /// Gets or sets size this option sale event as floating number with fractions. | ||
| public var size: Double = .nan | ||
| /// Gets or sets the current bid price on the market when this option sale event had occurred. | ||
| public var bidPrice: Double = .nan | ||
| /// Gets or sets the current ask price on the market when this option sale event had occurred. | ||
| public var askPrice: Double = .nan | ||
| /// Gets or sets sale conditions provided for this event by data feed. | ||
| /// | ||
| /// This field format is specific for every particular data feed. | ||
| public var exchangeSaleConditions: String = "" | ||
| /// Gets or sets implementation-specific flags. | ||
| /// | ||
| /// **Do not use this method directly.** | ||
| public var flags: Int32 = 0 | ||
| /// Gets or sets underlying price at the time of this option sale event. | ||
| public var underlyingPrice: Double = .nan | ||
| /// Gets or sets Black-Scholes implied volatility of the option at the time of this option sale event. | ||
| public var volatility: Double = .nan | ||
| /// Gets or sets option delta at the time of this option sale event. | ||
| /// Delta is the first derivative of an option price by an underlying price. | ||
| public var delta: Double = .nan | ||
| /// Gets or sets option symbol of this event. | ||
| public var optionSymbol: String = "" | ||
|
|
||
| public init(_ eventSymbol: String) { | ||
| self.eventSymbol = eventSymbol | ||
| } | ||
| } | ||
|
|
||
| extension OptionSale { | ||
| /// 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 or sets time of the last trade in nanoseconds. | ||
| /// Time is measured in nanoseconds between the current time and midnight, January 1, 1970 UTC. | ||
| public var timeNanos: Long { | ||
| get { | ||
| TimeNanosUtil.getNanosFromMillisAndNanoPart(time, timeNanoPart) | ||
| } | ||
| set { | ||
| time = TimeNanosUtil.getNanoPartFromNanos(newValue) | ||
| timeNanoPart = Int32(TimeNanosUtil.getNanoPartFromNanos(newValue)) | ||
| } | ||
| } | ||
|
|
||
| /// Gets sequence number of the last trade to distinguish trades 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 the last trade to distinguish trades 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 = (timeSequence & Long(~MarketEventConst.maxSequence)) | Int64(sequence) | ||
| } | ||
|
|
||
| /// Gets TradeThroughExempt flag of this option sale event. | ||
| public func getTradeThroughExempt() -> Character { | ||
| Character(BitUtil.getBits(flags: Int(flags), | ||
| mask: TimeAndSale.tteMask, | ||
| shift: TimeAndSale.tteShift)) | ||
| } | ||
| /// Sets TradeThroughExempt flag of this option sale event. | ||
| /// | ||
| /// - Throws: ``ArgumentException/exception(_:)`` | ||
| public func setTradeThroughExempt(_ char: Character) throws { | ||
| try StringUtil.checkChar(char: char, mask: TimeAndSale.tteMask, name: "tradeThroughExempt") | ||
| if let value = char.unicodeScalars.first?.value { | ||
| flags = Int32(BitUtil.setBits(flags: Int(flags), | ||
| mask: TimeAndSale.tteMask, | ||
| shift: TimeAndSale.tteShift, | ||
| bits: Int(value))) | ||
| } | ||
| } | ||
|
|
||
| /// Gets or sets aggressor side of this option sale event. | ||
| public var aggressorSide: Side { | ||
| get { | ||
| Side.valueOf(Int(BitUtil.getBits(flags: Int(flags), | ||
| mask: TimeAndSale.sideMask, | ||
| shift: TimeAndSale.sideShift))) | ||
| } | ||
| set { | ||
| flags = Int32(BitUtil.setBits(flags: Int(flags), | ||
| mask: TimeAndSale.sideMask, | ||
| shift: TimeAndSale.sideShift, | ||
| bits: newValue.rawValue)) | ||
| } | ||
| } | ||
|
|
||
| /// Gets or sets a value indicating whether this event represents a spread leg. | ||
| public var isSpreadLeg: Bool { | ||
| get { | ||
| (flags & Int32(TimeAndSale.spreadLeg)) != 0 | ||
| } | ||
| set { | ||
| flags = newValue ? (flags | Int32(TimeAndSale.spreadLeg)) : (flags & ~Int32(TimeAndSale.spreadLeg)) | ||
| } | ||
| } | ||
|
|
||
| /// Gets or sets a value indicating whether this event represents an extended trading hours sale. | ||
| public var isExtendedTradingHours: Bool { | ||
| get { | ||
| (flags & Int32(TimeAndSale.eth)) != 0 | ||
| } | ||
| set { | ||
| flags = newValue ? (flags | Int32(TimeAndSale.eth)) : (flags & ~Int32(TimeAndSale.eth)) | ||
| } | ||
| } | ||
|
|
||
| /// Gets or sets a value indicating whether this event represents a valid intraday tick. | ||
| /// | ||
| /// Note, that a correction for a previously distributed valid tick represents a new valid tick itself, | ||
| /// but a cancellation of a previous valid tick does not. | ||
| public var isValidTick: Bool { | ||
| get { | ||
| (flags & Int32(TimeAndSale.validTick)) != 0 | ||
| } | ||
| set { | ||
| flags = newValue ? (flags | Int32(TimeAndSale.validTick)) : flags & ~Int32(TimeAndSale.validTick) | ||
| } | ||
| } | ||
|
|
||
| /// Gets or sets type of this option sale event. | ||
| public var optionSaleType: TimeAndSaleType { | ||
| get { | ||
| TimeAndSaleType.valueOf(BitUtil.getBits(flags: Int(flags), | ||
| mask: TimeAndSale.typeMask, | ||
| shift: TimeAndSale.typeShift)) | ||
| } | ||
| set { | ||
| flags = Int32(BitUtil.setBits(flags: Int(flags), | ||
| mask: TimeAndSale.typeMask, | ||
| shift: TimeAndSale.typeShift, | ||
| bits: newValue.rawValue)) | ||
| } | ||
| } | ||
|
|
||
| /// Gets a value indicating whether this is a new event (not cancellation or correction). | ||
| /// | ||
| /// It is true for newly created option sale event. | ||
| public var isNew: Bool { | ||
| optionSaleType == .new | ||
| } | ||
|
|
||
| /// Gets a value indicating whether this is a correction of a previous event. | ||
| /// | ||
| /// It is false for newly created option sale event. | ||
| /// true if this is a correction of a previous event. | ||
| public var isCorrection: Bool { | ||
| optionSaleType == .correction | ||
| } | ||
|
|
||
| /// Gets a value indicating whether this is a cancellation of a previous event. | ||
| /// | ||
| /// It is false for newly created option sale event. | ||
| /// true if this is a cancellation of a previous event. | ||
| public var isCancel: Bool { | ||
| optionSaleType == .cancel | ||
| } | ||
|
|
||
| /// Returns string representation of this time and sale event. | ||
| public func toString() -> String { | ||
| return """ | ||
| OptionSale{\(eventSymbol), \ | ||
| eventTime=\(TimeUtil.toLocalDateString(millis: eventTime)), \ | ||
| eventFlags=0x\(String(format: "%02X", eventFlags)), \ | ||
| index=0x\(String(format: "%02X", index)), \ | ||
| time=\(TimeUtil.toLocalDateString(millis: time)), \ | ||
| timeNanoPart=\(timeNanoPart), \ | ||
| sequence=\(getSequence()), \ | ||
| exchange=\(StringUtil.encodeChar(char: exchangeCode)), \ | ||
| price=\(price), \ | ||
| size=\(size), \ | ||
| bid=\(bidPrice), \ | ||
| ask=\(askPrice), \ | ||
| ESC='\(exchangeSaleConditions ?? "null")', \ | ||
| TTE=\(StringUtil.encodeChar(char: Int16(getTradeThroughExempt().unicodeScalars.first?.value ?? 0))), \ | ||
| side=\(aggressorSide), \ | ||
| spread=\(isSpreadLeg), \ | ||
| ETH=\(isExtendedTradingHours), \ | ||
| validTick=\(isValidTick), \ | ||
| type=\(optionSaleType), \ | ||
| underlyingPrice=\(underlyingPrice), \ | ||
| volatility=\(volatility), \ | ||
| delta=\(delta), \ | ||
| optionSymbol='\(optionSymbol)'\ | ||
| } | ||
| """ | ||
| } | ||
| } |
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