Option.cpp

/************************************************************************
 * Copyright(c) 2013, One Unified. All rights reserved.                 *
 * email: info@oneunified.net                                           *
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 *  without even the implied warranty of                                *
 *  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.                *
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 * See the file LICENSE.txt for redistribution information.             *
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//#include "StdAfx.h"

#include <boost/lexical_cast.hpp>

#include <TFTrading/KeyTypes.h>

#include "Option.h"

namespace ou { // One Unified
namespace tf { // TradeFrame
namespace iqfeed { // IQFeed

const char rchCallMonth[] = { 'A', 'B', 'C', 'D', 'E', 'F', 'G', 'H', 'I', 'J', 'K', 'L' };
const char rchPutMonth[] =  { 'M', 'N', 'O', 'P', 'Q', 'R', 'S', 'T', 'U', 'V', 'W', 'X' };

// something similar in BuildSymbolName.cpp
void ComposeOptionName(
  std::string& sCall, std::string& sPut,
  const std::string& sUnderlying, ou::tf::OptionSide::EOptionSide option, ptime dtExpiry, double dblStrike ) {
  std::string sDay;
  boost::gregorian::date::day_type day = dtExpiry.date().day();
  sDay = ( ( 9 < day ) ? "" : "0" ) + boost::lexical_cast<std::string>( day );
  std::string sYear = boost::lexical_cast<std::string>( dtExpiry.date().year() );
  std::string sStrike = boost::lexical_cast<std::string>( dblStrike );
  sCall = sUnderlying + sYear.substr( 2, 2 ) + sDay + rchCallMonth[ dtExpiry.date().month() - 1 ] + sStrike;
  sPut  = sUnderlying + sYear.substr( 2, 2 ) + sDay + rchPutMonth[  dtExpiry.date().month() - 1 ] + sStrike;
}

// 2014/09/30 some similar code in IQFeed/IQFeedProvider.cpp
void SetAlternateName( const pInstrument_t& pInstrument ) {
  assert( ou::tf::InstrumentType::Option == pInstrument->GetInstrumentType() );
  boost::gregorian::date dateExpiry = pInstrument->GetExpiry();
  boost::gregorian::date::day_type day = dateExpiry.day() + 1;  // IQFeed dates are the saturday after expiry
  char chMonth;
  switch ( pInstrument->GetOptionSide() ) {
  case ou::tf::OptionSide::Call:
    chMonth = rchCallMonth[ dateExpiry.month() - 1 ];
    break;
  case ou::tf::OptionSide::Put:
    chMonth = rchPutMonth[ dateExpiry.month() - 1 ];
    break;
  default: throw std::runtime_error( "ou::tf::iqfeed::option::AddAlternateName: no option side specified" );
  }

  assert( 0 );  // 20151227 need to fix this, see IQFeedProvider.cpp file
    // main option instrument name should be our own, and the iqfeed name set as the alternate name
  // uncomment the following once fixed with standard and iqfeed specific names
  // BuildSymbolName.h is the standard way to build the names now
//  pInstrument->SetAlternateName( ou::tf::keytypes::EProviderIQF,
//      pInstrument->GetUnderlyingName()
//    + boost::lexical_cast<std::string>( dateExpiry.year() ).substr( 2, 2 )
//    + ( ( 9 < day ) ? "" : "0" ) + boost::lexical_cast<std::string>( day )
//    + chMonth
//    + boost::lexical_cast<std::string>( pInstrument->GetStrike() ) );
}

} // namespace iqfeed
} // namespace TradeFrame
} // namespace ou