com.dxfeed.event.option

Class Series

java.lang.Object

com.dxfeed.event.market.MarketEvent

com.dxfeed.event.option.Series

All Implemented Interfaces:

EventType<String>, IndexedEvent<String>, Serializable

public class Series
extends MarketEvent
implements IndexedEvent<String>

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.

Series is an IndexedEvent with multiple instances of event available for each underlying symbol. Each series event instance corresponds to an OptionSeries of the corresponding underlying. The correspondence between a series event instance and an OptionSeries is established via expiration property. If case where there are multiple series at the same expiration day id, then series events are are ordered by their index in the same order as the corresponding OptionSeries are ordered by their attributes.

Properties

Series event has the following properties:

• eventSymbol - symbol of this event;
• eventFlags - transactional event flags;
• index - unique per-symbol index of this series;
• time - time of this series;
• sequence - sequence of this series;
• expiration - day id of expiration;
• volatility - implied volatility index for this series based on VIX methodology;
• callVolume - call options traded volume for a day;
• putVolume - put options traded volume for a day;
• optionVolume - options traded volume for a day;
• putCallRatio - ratio of put options traded volume to call options traded volume for a day;
• forwardPrice - implied forward price for this option series;
• dividend - implied simple dividend return of the corresponding option series;
• interest - implied simple interest return of the corresponding option series.

See the model section for a mathematical background on the values in this event.

Event flags, transactions and snapshots

Series data source provides a consistent view of the set of known series. The corresponding information is carried in eventFlags property. The logic behind this property is detailed in IndexedEvent class documentation. Multiple event sources for the same symbol are not supported for series, thus source property is always DEFAULT.

IndexedEventModel class handles all the snapshot and transaction logic and conveniently represents a list current of events. It relies on the code of AbstractIndexedEventModel to handle this logic. Use the source code of AbstractIndexedEventModel for clarification on transactions and snapshot logic.

Implementation details

This event is implemented on top of QDS records Series.

See Also:

Serialized Form

Field Summary

Fields

Modifier and Type	Field and Description
static int	MAX_SEQUENCE Maximum allowed sequence value.

Fields inherited from interface com.dxfeed.event.IndexedEvent

REMOVE_EVENT, SNAPSHOT_BEGIN, SNAPSHOT_END, SNAPSHOT_MODE, SNAPSHOT_SNIP, TX_PENDING

Constructor Summary

Constructors

Constructor and Description
Series() Creates new series event with default values.
Series(String eventSymbol) Creates new series event with the specified event symbol.

Method Summary

Modifier and Type	Method and Description
double	getCallVolume() Returns call options traded volume for a day.
double	getDividend() Returns implied simple dividend return of the corresponding option series.
int	getEventFlags() Returns transactional event flags.
int	getExpiration() Returns day id of expiration.
double	getForwardPrice() Returns implied forward price for this option series.
long	getIndex() Returns unique per-symbol index of this series.
double	getInterest() Returns implied simple interest return of the corresponding option series.
double	getOptionVolume() Returns options traded volume for a day.
double	getPutCallRatio() Returns ratio of put options traded volume to call options traded volume for a day.
double	getPutVolume() Returns put options traded volume for a day.
int	getSequence() Returns sequence number of this series to distinguish series that have the same time.
IndexedEventSource	getSource() Returns a source for this event.
long	getTime() Returns time of this series.
long	getTimeSequence() Returns time and sequence of this series packaged into single long value.
double	getVolatility() Returns implied volatility index for this series based on VIX methodology.
void	setCallVolume(double callVolume) Changes call options traded volume for a day.
void	setDividend(double dividend) Changes implied simple dividend return of the corresponding option series.
void	setEventFlags(int eventFlags) Changes transactional event flags.
void	setExpiration(int expiration) Changes day id of expiration.
void	setForwardPrice(double forwardPrice) Changes implied forward price for this option series.
void	setIndex(long index) Changes unique per-symbol index of this series.
void	setInterest(double interest) Changes implied simple interest return of the corresponding option series.
void	setPutCallRatio(double putCallRatio) Changes ratio of put options traded volume to call options traded volume for a day.
void	setPutVolume(double putVolume) Changes put options traded volume for a day.
void	setSequence(int sequence) Changes getSequence() sequence number} of this series.
void	setTime(long time) Changes time of this series.
void	setTimeSequence(long timeSequence) Changes time and sequence of this series.
void	setVolatility(double volatility) Changes implied volatility index for this series based on VIX methodology.
String	toString() Returns string representation of this series event.

Methods inherited from class com.dxfeed.event.market.MarketEvent

getEventSymbol, getEventTime, setEventSymbol, setEventTime

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.dxfeed.event.EventType

getEventSymbol, getEventTime, setEventSymbol, setEventTime

Field Detail

MAX_SEQUENCE

public static final int MAX_SEQUENCE

Maximum allowed sequence value.

See Also:

setSequence(int), Constant Field Values

Constructor Detail

Series

public Series()

Creates new series event with default values.

Series

public Series(String eventSymbol)

Creates new series event with the specified event symbol.

Parameters:

eventSymbol - event symbol.

Method Detail

getSource

public IndexedEventSource getSource()

Returns a source for this event. This method always returns DEFAULT.

Specified by:

getSource in interface IndexedEvent<String>

Returns:

a source for this event.

getEventFlags

public int getEventFlags()

Returns transactional event flags. See "Event Flags" section.

Specified by:

getEventFlags in interface IndexedEvent<String>

Returns:

transactional event flags.

setEventFlags

public void setEventFlags(int eventFlags)

Changes transactional event flags. See "Event Flags" section.

Specified by:

setEventFlags in interface IndexedEvent<String>

Parameters:

eventFlags - transactional event flags.

getIndex

public long getIndex()

Returns unique per-symbol index of this series.

Specified by:

getIndex in interface IndexedEvent<String>

Returns:

unique per-symbol index of this series.

setIndex

public void setIndex(long index)

Changes unique per-symbol index of this series.

Specified by:

setIndex in interface IndexedEvent<String>

Parameters:

index - unique per-symbol index of this series.

getTimeSequence

public long getTimeSequence()

Returns time and sequence of this series packaged into single long value. This method is intended for efficient series time priority comparison.

Returns:

time and sequence of this series.

setTimeSequence

public void setTimeSequence(long timeSequence)

Changes time and sequence of this series. Do not use this method directly. Change time and/or sequence.

Parameters:

timeSequence - the time and sequence.

See Also:

getTimeSequence()

getTime

public long getTime()

Returns time of this series. Time is measured in milliseconds between the current time and midnight, January 1, 1970 UTC.

Returns:

time of this series.

setTime

public void setTime(long time)

Changes time of this series. Time is measured in milliseconds between the current time and midnight, January 1, 1970 UTC.

Parameters:

time - time of this series.

getSequence

public int getSequence()

Returns sequence number of this series to distinguish series 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 MAX_SEQUENCE.

Returns:

sequence of this series.

setSequence

public void setSequence(int sequence)

Changes getSequence() sequence number} of this series.

Parameters:

sequence - the sequence.

Throws:

IllegalArgumentException - if sequence is below zero or above MAX_SEQUENCE.

See Also:

getSequence()

getExpiration

public int getExpiration()

Returns day id of expiration. Example: DayUtil.getDayIdByYearMonthDay(20090117).

Returns:

day id of expiration.

setExpiration

public void setExpiration(int expiration)

Changes day id of expiration.

Parameters:

expiration - day id of expiration.

getVolatility

public double getVolatility()

Returns implied volatility index for this series based on VIX methodology.

Returns:

implied volatility index for this series based on VIX methodology.

setVolatility

public void setVolatility(double volatility)

Changes implied volatility index for this series based on VIX methodology.

Parameters:

volatility - implied volatility index for this series based on VIX methodology.

getCallVolume

public double getCallVolume()

Returns call options traded volume for a day.

Returns:

call options traded volume for a day.

getPutVolume

public double getPutVolume()

Returns put options traded volume for a day.

Returns:

put options traded volume for a day.

getOptionVolume

public double getOptionVolume()

Returns options traded volume for a day.

Returns:

options traded volume for a day.

getPutCallRatio

public double getPutCallRatio()

Returns ratio of put options traded volume to call options traded volume for a day.

Returns:

ratio of put options traded volume to call options traded volume for a day.

getForwardPrice

public double getForwardPrice()

Returns implied forward price for this option series.

Returns:

implied forward price for this option series.

setForwardPrice

public void setForwardPrice(double forwardPrice)

Changes implied forward price for this option series.

Parameters:

forwardPrice - implied forward price for this option series.

getDividend

public double getDividend()

Returns implied simple dividend return of the corresponding option series. See the model section for an explanation this simple dividend return \( Q(\tau) \).

Returns:

implied simple dividend return of the corresponding option series.

setDividend

public void setDividend(double dividend)

Changes implied simple dividend return of the corresponding option series. See the model section for an explanation this simple dividend return \( Q(\tau) \).

Parameters:

dividend - implied simple dividend return of the corresponding option series.

getInterest

public double getInterest()

Returns implied simple interest return of the corresponding option series. See the model section for an explanation this simple interest return \( R(\tau) \).

Returns:

implied simple interest return of the corresponding option series.

setInterest

public void setInterest(double interest)

Changes implied simple interest return of the corresponding option series. See the model section for an explanation this simple interest return \( R(\tau) \).

Parameters:

interest - implied simple interest return of the corresponding option series.

setCallVolume

public void setCallVolume(double callVolume)

Changes call options traded volume for a day.

Parameters:

callVolume - call options traded volume for a day.

setPutVolume

public void setPutVolume(double putVolume)

Changes put options traded volume for a day.

Parameters:

putVolume - put options traded volume for a day.

setPutCallRatio

public void setPutCallRatio(double putCallRatio)

Changes ratio of put options traded volume to call options traded volume for a day.

Parameters:

putCallRatio - ratio of put options traded volume to call options traded volume for a day.

toString

public String toString()

Returns string representation of this series event.

Overrides:

toString in class Object

Returns:

string representation of this series event.