/// <summary>
/// Add an option contract. This method would not normally be
/// invoked by a user application. Rather,
/// MamdaOptionChainListener would be most likely to call this
/// method.
/// </summary>
/// <param name="contractSymbol">The option instrument symbol.</param>
/// <param name="contract">The Mamda option contract representation.</param>
public void addContract(
string contractSymbol,
MamdaOptionContract contract)
{
DateTime expireDate = contract.getExpireDate();
double strikePrice = contract.getStrikePrice();
string exchange = contract.getExchange();
MamdaOptionContract.PutOrCall putCall = contract.getPutCall();
mOptions.put(contractSymbol, contract);
if (putCall == MamdaOptionContract.PutOrCall.Call)
{
mCallOptions.add(contract);
}
else
{
mPutOptions.add(contract);
}
// Add the contract to the expiration-by-strike set.
MamdaOptionExpirationStrikes expireStrikes = (MamdaOptionExpirationStrikes)mExpirationSet.valueOf(expireDate);
if (expireStrikes == null)
{
expireStrikes = new MamdaOptionExpirationStrikes();
mExpirationSet.put(expireDate, expireStrikes);
}
MamdaOptionStrikeSet strikeSet = (MamdaOptionStrikeSet)expireStrikes.valueOf(strikePrice);
if (strikeSet == null)
{
strikeSet = new MamdaOptionStrikeSet(expireDate, strikePrice);
expireStrikes.put(strikePrice, strikeSet);
}
MamdaOptionContractSet contractSet = (putCall == MamdaOptionContract.PutOrCall.Call) ?
strikeSet.getCallSet() : strikeSet.getPutSet();
if (MamdaOptionExchangeUtils.isBbo(exchange))
{
contractSet.setBboContract(contract);
}
else if (MamdaOptionExchangeUtils.isWombatBbo(exchange))
{
contractSet.setWombatBboContract(contract);
}
else
{
contractSet.setExchangeContract(exchange, contract);
mExchanges.add(exchange);
}
mStrikePrices.add(strikePrice);
}
private MamdaOptionContract findContract(
MamdaSubscription subscription,
MamaMsg msg)
{
/*
* NOTE: fields which are enums can be pubished as integers if feedhandler
* uses mama-publish-enums-as-ints. It may also be possible for a feed to
* publish the numerical value as a string. All enumerated fields must be handled
* by getting the value based on the field type.
*/
// Look up the strike price and expiration date
string contractSymbol = null;
if (!msg.tryString(MamdaOptionFields.CONTRACT_SYMBOL, ref contractSymbol))
{
throw new MamdaDataException("cannot find contract symbol");
}
string fullSymbol = contractSymbol;
MamdaOptionContract contract = mChain.getContract(fullSymbol);
if (contract == null)
{
string expireDateStr = String.Empty;
double strikePrice = 0.0;
string putCall = String.Empty;
uint openInterest = 0;
msg.tryString(MamdaOptionFields.EXPIRATION_DATE, ref expireDateStr);
msg.tryF64(MamdaOptionFields.STRIKE_PRICE, ref strikePrice);
if (msg.tryField(MamdaOptionFields.PUT_CALL, ref tmpfield_))
{
putCall = getFieldAsString(tmpfield_);
}
int symbolLen = fullSymbol.Length;
string symbol = null;
string exchange = null;
int dotIndex = fullSymbol.LastIndexOf('.');
if (dotIndex > 0)
{
// Have exchange in symbol.
exchange = fullSymbol.Substring(dotIndex + 1);
symbol = fullSymbol.Substring(0, dotIndex);
}
else
{
exchange = "";
symbol = fullSymbol;
}
DateTime expireDate = DateTime.MinValue;
try
{
expireDate = mDateFormat.Parse(expireDateStr);
}
catch (FormatException e)
{
throw new MamdaDataException(
String.Format("cannot parse expiration date: {0}", expireDateStr));
}
MamdaOptionContract.PutOrCall putCallchar = extractPutCall(msg, fullSymbol);
contract = new MamdaOptionContract(
symbol,
exchange,
expireDate,
strikePrice,
putCallchar);
MamdaOptionContract.ExerciseStyle exerciseStyleChar = extractExerciseStyle(msg, fullSymbol);
contract.setExerciseStyle(exerciseStyleChar);
if (msg.tryU32(MamdaOptionFields.OPEN_INTEREST, ref openInterest))
{
contract.setOpenInterest((long)openInterest);
}
mChain.addContract(fullSymbol, contract);
mLastActionContract = contract;
mLastActionContractFieldState = MamdaFieldState.MODIFIED;
mLastAction = MamdaOptionAction.Add;
mLastActionFieldState = MamdaFieldState.MODIFIED;
foreach (MamdaOptionChainHandler handler in mHandlers)
{
handler.onOptionContractCreate(subscription, this, msg, contract, mChain);
}
}
return(contract);
}
private MamdaOptionContract.PutOrCall extractPutCall(
MamaMsg msg,
string fullSymbol)
{
MamdaOptionContract.PutOrCall putCall = MamdaOptionContract.PutOrCall.Unknown;
int putCallInt = 0;
if (!msg.tryField(MamdaOptionFields.PUT_CALL, ref tmpfield_))
{
Console.WriteLine("findContract:CANNOT find put/call in msg:" + fullSymbol + putCall);
}
else
{
switch (tmpfield_.getType())
{
case mamaFieldType.MAMA_FIELD_TYPE_I8:
case mamaFieldType.MAMA_FIELD_TYPE_U8:
case mamaFieldType.MAMA_FIELD_TYPE_I16:
case mamaFieldType.MAMA_FIELD_TYPE_U16:
putCallInt = tmpfield_.getU16();
switch (putCallInt)
{
case 1:
putCall = MamdaOptionContract.PutOrCall.Put;
break;
case 2:
putCall = MamdaOptionContract.PutOrCall.Call;
break;
case 99:
putCall = MamdaOptionContract.PutOrCall.Unknown;
break;
default:
putCall = MamdaOptionContract.PutOrCall.Unknown;
Console.WriteLine("Unhandled value for wPutCall." + putCallInt);
break;
}
break;
case mamaFieldType.MAMA_FIELD_TYPE_STRING:
string putCallStr = tmpfield_.getString();
switch (putCallStr[0])
{
case '1':
case 'P':
putCall = MamdaOptionContract.PutOrCall.Put;
break;
case '2':
case 'C':
putCall = MamdaOptionContract.PutOrCall.Call;
break;
default:
putCall = MamdaOptionContract.PutOrCall.Unknown;
if ((putCallStr == "99") && (putCallStr == "Z"))
{
Console.WriteLine("Unhandled value for wPutCall." + putCallStr);
}
break;
}
break;
default:
putCall = MamdaOptionContract.PutOrCall.Unknown;
Console.WriteLine("Unhandled type for wPutCall. Expected string or integer but returned: " + tmpfield_.getType());
break;
}
}
return(putCall);
}
