com.dxfeed.event.option

Class TheoPrice

java.lang.Object

com.dxfeed.event.market.MarketEvent

com.dxfeed.event.option.TheoPrice

All Implemented Interfaces:

EventType<String>, IndexedEvent<String>, LastingEvent<String>, TimeSeriesEvent<String>, Serializable

public class TheoPrice
extends MarketEvent
implements TimeSeriesEvent<String>, LastingEvent<String>

Theo price is a snapshot of the theoretical option price computation that is periodically performed by dxPrice model-free computation. It represents the most recent information that is available about the corresponding values at any given moment of time. The values include first and second order derivative of the price curve by price, so that the real-time theoretical option price can be estimated on real-time changes of the underlying price in the vicinity.

Properties

TheoPrice event has the following properties:

• eventSymbol - symbol of this event;
• eventFlags - transactional event flags;
• index - unique per-symbol index of this event;
• time - timestamp of this event in milliseconds;
• sequence - sequence number of this event to distinguish events that have the same time;
• price - theoretical price;
• underlyingPrice - underlying price at the time of theo price computation;
• delta - delta of the theoretical price;
• gamma - gamma of the theoretical price;
• dividend - implied simple dividend return of the corresponding option series;
• interest - implied simple interest return of the corresponding option series.

Event flags, transactions and snapshots

Some TheoPrice sources provide a consistent view of the set of known TheoPrice. 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 TheoPrice, thus source property is always DEFAULT.

TimeSeriesEventModel class handles all the snapshot and transaction logic and conveniently represents a list current of time-series events order by their time. It relies on the code of AbstractIndexedEventModel to handle this logic. Use the source code of AbstractIndexedEventModel for clarification on transactions and snapshot logic.

Publishing TheoPrice

Publishing of TheoPrice events follows the general rules explained in TimeSeriesEvent class documentation.

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

Implementation details

This event is implemented on top of QDS records TheoPrice.

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
TheoPrice() Creates new theo price event with default values.
TheoPrice(String eventSymbol) Creates new theo price event with the specified event symbol.

Method Summary

Modifier and Type	Method and Description
double	getDelta() Returns delta of the theoretical price.
double	getDividend() Returns implied simple dividend return of the corresponding option series.
int	getEventFlags() Returns transactional event flags.
double	getGamma() Returns gamma of the theoretical price.
long	getIndex() Returns unique per-symbol index of this event.
double	getInterest() Returns implied simple interest return of the corresponding option series.
double	getPrice() Returns theoretical option price.
int	getSequence() Returns sequence number of this event to distinguish events that have the same time.
IndexedEventSource	getSource() Returns a source identifier for this event, which is always DEFAULT for time-series events.
long	getTime() Returns timestamp of the event in milliseconds.
double	getUnderlyingPrice() Returns underlying price at the time of theo price computation.
void	setDelta(double delta) Changes delta of the theoretical price.
void	setDividend(double dividend) Changes implied simple dividend return of the corresponding option series.
void	setEventFlags(int eventFlags) Changes transactional event flags.
void	setGamma(double gamma) Changes gamma of the theoretical price.
void	setIndex(long index) Changes unique per-symbol index of this event.
void	setInterest(double interest) Changes implied simple interest return of the corresponding option series.
void	setPrice(double price) Changes theoretical option price.
void	setSequence(int sequence) Changes getSequence() sequence number} of this event.
void	setTime(long time) Changes timestamp of the event in milliseconds.
void	setUnderlyingPrice(double underlyingPrice) Changes underlying price at the time of theo price computation.
String	toString()

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.TimeSeriesEvent

getEventId

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

TheoPrice

public TheoPrice()

Creates new theo price event with default values.

TheoPrice

public TheoPrice(String eventSymbol)

Creates new theo price event with the specified event symbol.

Parameters:

eventSymbol - event symbol.

Method Detail

getSource

public IndexedEventSource getSource()

Returns a source identifier for this event, which is always DEFAULT for time-series events.

Specified by:

getSource in interface IndexedEvent<String>

Specified by:

getSource in interface TimeSeriesEvent<String>

Returns:

a source identifier for this event, which is always DEFAULT for time-series events.

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 event. The index is composed of time and sequence. Changing either time or sequence changes event index.

Specified by:

getIndex in interface IndexedEvent<String>

Specified by:

getIndex in interface TimeSeriesEvent<String>

Returns:

unique index of this event.

setIndex

public void setIndex(long index)

Changes unique per-symbol index of this event. The index is composed of time and sequence and invocation of this method changes time and sequence. Do not use this method directly. Change time and/or sequence.

Specified by:

setIndex in interface IndexedEvent<String>

Parameters:

index - the event index.

See Also:

getIndex()

getTime

public long getTime()

Returns timestamp of the event in milliseconds.

Specified by:

getTime in interface TimeSeriesEvent<String>

Returns:

timestamp of the event in milliseconds

See Also:

System.currentTimeMillis()

setTime

public void setTime(long time)

Changes timestamp of the event in milliseconds.

Parameters:

time - timestamp of the event in milliseconds.

See Also:

getTime()

getSequence

public int getSequence()

Returns 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 MAX_SEQUENCE.

setSequence

public void setSequence(int sequence)

Changes getSequence() sequence number} of this event.

Parameters:

sequence - the sequence.

Throws:

IllegalArgumentException - if sequence is below zero or above MAX_SEQUENCE.

See Also:

getSequence()

getPrice

public double getPrice()

Returns theoretical option price.

Returns:

theoretical option price.

setPrice

public void setPrice(double price)

Changes theoretical option price.

Parameters:

price - theoretical option price.

getUnderlyingPrice

public double getUnderlyingPrice()

Returns underlying price at the time of theo price computation.

Returns:

underlying price at the time of theo price computation.

setUnderlyingPrice

public void setUnderlyingPrice(double underlyingPrice)

Changes underlying price at the time of theo price computation.

Parameters:

underlyingPrice - underlying price at the time of theo price computation.

getDelta

public double getDelta()

Returns delta of the theoretical price. Delta is the first derivative of the theoretical price by the underlying price.

Returns:

delta of the theoretical price.

setDelta

public void setDelta(double delta)

Changes delta of the theoretical price.

Parameters:

delta - delta of the theoretical price.

getGamma

public double getGamma()

Returns gamma of the theoretical price. Gamma is the second derivative of the theoretical price by the underlying price.

Returns:

gamma of the theoretical price.

setGamma

public void setGamma(double gamma)

Changes gamma of the theoretical price.

Parameters:

gamma - gamma of the theoretical price.

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.

toString

public String toString()

Overrides:

toString in class Object