Package com.wombat.mamda.options

Class MamdaOptionChainView

  • All Implemented Interfaces:
    MamdaOptionChainHandler
    public class MamdaOptionChainView
extends java.lang.Object
implements MamdaOptionChainHandler
    A class that represents a "view" of a subset of an option chain. The view can be restricted to a percentage or number of strike prices around "the money" as well as to a maximum number of days into the future. The view will be adjusted to include strike prices within the range as the underlying price moves. This means that the range of strike prices will change over time. In order to avoid a "jitter" in the range of strike prices when the underlying price hovers right on the edge of a range boundary, the class also provides a "jitter margin" as some percentage of the underlying price (default is 0.5%).

    • Constructor Detail

      • MamdaOptionChainView

        public MamdaOptionChainView​(MamdaOptionChain chain)
        Create a view on the given option chain. Multiple views are supported on any given option chain.

    • Method Detail

      • getSymbol

        public java.lang.String getSymbol()
        Return the symbol for the option chain.

      • setAtTheMoneyType

        public void setAtTheMoneyType​(short atTheMoneyType)
        Set how the underlying price ("at the money") is determined (@see MamdaOptionAtTheMoneyCompareType).

      • setStrikeRangePercent

        public void setStrikeRangePercent​(double percentMargin)
        Set the range of strike prices to be included in the view by percentage variation from the underlying price. The range of strike prices in the view will vary as the underlying varies. The "jitter margin" avoids switching between ranges too often.

      • setStrikeRangeNumber

        public void setStrikeRangeNumber​(int number)
        Set the number of strike prices to be included in the view. The "jitter margin" avoids switching between ranges too often.

      • setExpirationRangeDays

        public void setExpirationRangeDays​(int expirationDays)
        Set the range of expiration dates to be included in the view by the maximum number of days until expiration. Note: a non-zero range overrides a specific number of expirations set by setNumberOfExpirations().

      • setNumberOfExpirations

        public void setNumberOfExpirations​(int numExpirations)
        Set the number of expiration dates to be included in the view. Note: a non-zero range (set by setExpirationRangeDays()) overrides a specific number of expirations.

      • setJitterMargin

        public void setJitterMargin​(double percentMargin)
        Set a "jitter margin" to avoid having the range jump between different strike prices when the underlying price hovers right on the edge of a range boundary. The underlying is allowed to fluctuate within the jitter margin without the range being reset. When the underlying moves beyond the jitter margin, the range is reset.

      • isVisible

        public boolean isVisible​(MamdaOptionContract contract)
        Return whether an option contract falls within this view's parameters.

      • expirationIterator

        public java.util.Iterator expirationIterator()
        Return an Iterator over the set of expiration dates within the view. Each Iterator represents a MamdaOptionExpirationStrikes object.

      • onOptionChainRecap

        public void onOptionChainRecap​(MamdaSubscription subscription,
                               MamdaOptionChainListener listener,
                               com.wombat.mama.MamaMsg msg,
                               MamdaOptionChain chain)
        Handler option chain recaps and initial values.
        Specified by:
        onOptionChainRecap in interface MamdaOptionChainHandler
        Parameters:
        subscription - The subscription which received the udpate.
        listener - The listener which invoked the callback.
        msg - The MamaMsg that triggered this invocation.
        chain - The full option chain.