void GetTopicAndAddUpdate(string topicStr, TwsRtdServerMktDataRequest mktDataRequest, object value)
{
TwsRtdServerTopic topic = mktDataRequest.GetTopic(topicStr);
if (topic != null)
{
// set topic's new value
topic.TopicValue(value);
m_server.AddUpdatedTopicId(topic.TopicId()); // add topic to updatedTopicIds array
}
// save latest value
mktDataRequest.SetMktDataTickValue(topicStr, value);
}
void SetOptionComputationTopicsValues(int tickerId, int field, TwsRtdServerData.OptionComputationData value)
{
TwsRtdServerMktDataRequest mktDataRequest = m_connection.GetMktDataRequest(tickerId);
string tickTypeStr = TwsRtdServerData.GetTickTypeStrByTickId(field);
if (mktDataRequest != null && tickTypeStr != null)
{
mktDataRequest.SetMktDataTickValue(tickTypeStr, value); // add June 5
switch (tickTypeStr)
{
// assigning implied vol, delta, opt price, pv dividend, gamma, vega, theta and und price
case TwsRtdServerData.BID_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.BID_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.BID_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.BID_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.BID_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.BID_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.BID_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.BID_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.BID_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
case TwsRtdServerData.ASK_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.ASK_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
case TwsRtdServerData.LAST_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.LAST_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
case TwsRtdServerData.MODEL_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
case TwsRtdServerData.DELAYED_BID_OPTION_COMPUTATION: // add June 5
//GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_BID_OPTION_COMPUTATION, mktDataRequest, value);
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_BID_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_BID_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_BID_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_BID_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_BID_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_BID_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_BID_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_BID_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
case TwsRtdServerData.DELAYED_MODEL_OPTION_COMPUTATION:
//GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_MODEL_OPTION_COMPUTATION, mktDataRequest, value);
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_MODEL_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_MODEL_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_MODEL_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_MODEL_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_MODEL_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_MODEL_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_MODEL_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.DELAYED_MODEL_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
}
}
}