com.dxfeed.event.option

Class Underlying

java.lang.Object

com.dxfeed.event.market.MarketEvent

com.dxfeed.event.option.Underlying

All Implemented Interfaces:

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

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

Underlying event is a snapshot of computed values that are available for an option 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.

Properties

Underlying 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;
• volatility - 30-day implied volatility for this underlying based on VIX methodology;
• frontVolatility - front month implied volatility for this underlying based on VIX methodology;
• backVolatility - 3back month implied volatility for this underlying 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.

Event flags, transactions and snapshots

Some Underlying sources provide a consistent view of the set of known Underlying events. 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 Underlying, 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 Underlying

Publishing of Underlying 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 record Underlying.

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
Underlying() Creates new underlying event with default values.
Underlying(String eventSymbol) Creates new underlying event with the specified event symbol.

Method Summary

Modifier and Type	Method and Description
protected String	baseFieldsToString()
double	getBackVolatility() Returns back month implied volatility for this underlying based on VIX methodology.
double	getCallVolume() Returns call options traded volume for a day.
int	getEventFlags() Returns transactional event flags.
double	getFrontVolatility() Returns front month implied volatility for this underlying based on VIX methodology.
long	getIndex() Returns unique per-symbol index of this event.
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 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	getVolatility() Returns 30-day implied volatility for this underlying based on VIX methodology.
void	setBackVolatility(double backVolatility) Changes back month implied volatility for this underlying based on VIX methodology.
void	setCallVolume(double callVolume) Changes call options traded volume for a day.
void	setEventFlags(int eventFlags) Changes transactional event flags.
void	setFrontVolatility(double frontVolatility) Changes front month implied volatility for this underlying based on VIX methodology.
void	setIndex(long index) Changes unique per-symbol index of this event.
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 event.
void	setTime(long time) Changes timestamp of the event in milliseconds.
void	setVolatility(double volatility) Changes 30-day implied volatility for this underlying based on VIX methodology.
String	toString() Returns string representation of this underlying 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.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

Underlying

public Underlying()

Creates new underlying event with default values.

Underlying

public Underlying(String eventSymbol)

Creates new underlying 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()

getVolatility

public double getVolatility()

Returns 30-day implied volatility for this underlying based on VIX methodology.

Returns:

30-day implied volatility for this underlying based on VIX methodology.

setVolatility

public void setVolatility(double volatility)

Changes 30-day implied volatility for this underlying based on VIX methodology.

Parameters:

volatility - 30-day implied volatility for this underlying based on VIX methodology.

getFrontVolatility

public double getFrontVolatility()

Returns front month implied volatility for this underlying based on VIX methodology.

Returns:

front month implied volatility for this underlying based on VIX methodology.

setFrontVolatility

public void setFrontVolatility(double frontVolatility)

Changes front month implied volatility for this underlying based on VIX methodology.

Parameters:

frontVolatility - front month implied volatility for this underlying based on VIX methodology.

getBackVolatility

public double getBackVolatility()

Returns back month implied volatility for this underlying based on VIX methodology.

Returns:

back month implied volatility for this underlying based on VIX methodology.

setBackVolatility

public void setBackVolatility(double backVolatility)

Changes back month implied volatility for this underlying based on VIX methodology.

Parameters:

backVolatility - back month implied volatility for this underlying based on VIX methodology.

getCallVolume

public double getCallVolume()

Returns call options traded volume for a day.

Returns:

call options traded volume for a day.

setCallVolume

public void setCallVolume(double callVolume)

Changes call options traded volume for a day.

Parameters:

callVolume - 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.

setPutVolume

public void setPutVolume(double putVolume)

Changes put options traded volume for a day.

Parameters:

putVolume - 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.

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 underlying event.

Overrides:

toString in class Object

Returns:

string representation of this underlying event.

baseFieldsToString

protected String baseFieldsToString()