Full context and 1st class greeks

Intrinio.Realtime/Composite/DataCache.cs

@@ -19,6 +19,8 @@ internal class DataCache : IDataCache
     public OnSecuritySupplementalDatumUpdated? SecuritySupplementalDatumUpdatedCallback { get; set; }
     public OnOptionsContractSupplementalDatumUpdated? OptionsContractSupplementalDatumUpdatedCallback { get; set; }
 
+    public OnOptionsContractGreekDataUpdated? OptionsContractGreekDataUpdatedCallback { get; set; }
+
     public OnEquitiesTradeUpdated? EquitiesTradeUpdatedCallback { get; set; }
     public OnEquitiesQuoteUpdated? EquitiesQuoteUpdatedCallback { get; set; }
     public OnEquitiesTradeCandleStickUpdated? EquitiesTradeCandleStickUpdatedCallback { get; set; }
@@ -115,10 +117,37 @@ public bool SetOptionSupplementalDatum(string tickerSymbol, string contract, str
         }
 
         return false;
-
     }
 
     #endregion //Supplementary Data
+
+    #region Greeks
+
+    public Greek? GetOptionsContractGreekData(string tickerSymbol, string contract, string key)
+    {
+        return _securities.TryGetValue(tickerSymbol, out ISecurityData securityData)
+            ? securityData.GetOptionsContractGreekData(contract, key)
+            : null;
+    }
+
+    public bool SetOptionGreekData(string tickerSymbol, string contract, string key, Greek? data, GreekDataUpdate update)
+    {
+        if (!String.IsNullOrWhiteSpace(tickerSymbol))
+        {
+            ISecurityData securityData;
+
+            if (!_securities.TryGetValue(tickerSymbol, out securityData))
+            {
+                SecurityData newDatum = new SecurityData(tickerSymbol, null, null, null, null, null, null);
+                securityData = _securities.AddOrUpdate(tickerSymbol, newDatum, (key, oldValue) => oldValue == null ? newDatum : oldValue);
+            }
+            return ((SecurityData)securityData).SetOptionsContractGreekData(contract, key, data, OptionsContractGreekDataUpdatedCallback, this, update);
+        }
+
+        return false;
+    }
+
+    #endregion //Greeks
 
     #region Sub-caches
 

Intrinio.Realtime/Composite/Delegates.cs

@@ -3,19 +3,28 @@ namespace Intrinio.Realtime.Composite;
 public delegate void OnSupplementalDatumUpdated(string key, double? datum, IDataCache dataCache);
 public delegate void OnSecuritySupplementalDatumUpdated(string key, double? datum, ISecurityData securityData, IDataCache dataCache);
 public delegate void OnOptionsContractSupplementalDatumUpdated(string key, double? datum, IOptionsContractData optionsContractData, ISecurityData securityData, IDataCache dataCache);
+public delegate void OnOptionsContractGreekDataUpdated(string key, Greek? datum, IOptionsContractData optionsContractData, ISecurityData securityData, IDataCache dataCache);
 
-public delegate void OnEquitiesTradeUpdated(ISecurityData securityData, IDataCache dataCache);
-public delegate void OnEquitiesQuoteUpdated(ISecurityData SecurityData, IDataCache DataCache);
-public delegate void OnEquitiesTradeCandleStickUpdated(ISecurityData securityData, IDataCache dataCache);
-public delegate void OnEquitiesQuoteCandleStickUpdated(ISecurityData SecurityData, IDataCache DataCache);
+public delegate void OnEquitiesTradeUpdated(ISecurityData securityData, IDataCache dataCache, Equities.Trade? trade);
+public delegate void OnEquitiesQuoteUpdated(ISecurityData SecurityData, IDataCache DataCache, Equities.Quote? quote);
+public delegate void OnEquitiesTradeCandleStickUpdated(ISecurityData securityData, IDataCache dataCache, Equities.TradeCandleStick? tradeCandleStick);
+public delegate void OnEquitiesQuoteCandleStickUpdated(ISecurityData SecurityData, IDataCache DataCache, Equities.QuoteCandleStick? quoteCandleStick);
 
-public delegate void OnOptionsTradeUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
-public delegate void OnOptionsQuoteUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
-public delegate void OnOptionsRefreshUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
-public delegate void OnOptionsUnusualActivityUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
-public delegate void OnOptionsTradeCandleStickUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
-public delegate void OnOptionsQuoteCandleStickUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
+public delegate void OnOptionsTradeUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData, Options.Trade? trade);
+public delegate void OnOptionsQuoteUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData, Options.Quote? quote);
+public delegate void OnOptionsRefreshUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData, Options.Refresh? refresh);
+public delegate void OnOptionsUnusualActivityUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData, Options.UnusualActivity? unusualActivity);
+public delegate void OnOptionsTradeCandleStickUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData, Options.TradeCandleStick? tradeCandleStick);
+public delegate void OnOptionsQuoteCandleStickUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData, Options.QuoteCandleStick? quoteCandleStick);
 
+/// <summary>
+/// The function used to update the Supplemental value in the cache.
+/// </summary>
 public delegate double? SupplementalDatumUpdate(string key, double? oldValue, double? newValue);
 
+/// <summary>
+/// The function used to update the Greek value in the cache.
+/// </summary>
+public delegate Greek? GreekDataUpdate(string key, Greek? oldValue, Greek? newValue);
+
 public delegate void CalculateNewGreek(IOptionsContractData optionsContractData, ISecurityData securityData, IDataCache dataCache);

Intrinio.Realtime/Composite/Greek.cs

@@ -1,6 +1,8 @@
+using System.Diagnostics.CodeAnalysis;
+
 namespace Intrinio.Realtime.Composite;
 
-public ref struct Greek
+public struct Greek
 {
     public readonly double ImpliedVolatility;
     public readonly double Delta;
@@ -18,4 +20,19 @@ public Greek(double impliedVolatility, double delta, double gamma, double theta,
         Vega = vega;
         IsValid = isValid;
     }
+
+    public override bool Equals([NotNullWhen(true)] object? obj)
+    {
+        return obj != null && obj is Greek ? Equals((Greek)obj) : false;
+    }
+
+    public bool Equals(Greek obj)
+    {
+        return ImpliedVolatility == obj.ImpliedVolatility
+               && Delta == obj.Delta
+               && Gamma == obj.Gamma
+               && Theta == obj.Theta
+               && Vega == obj.Vega
+               && IsValid == obj.IsValid;
+    }
 };

Intrinio.Realtime/Composite/GreekClient.cs

@@ -17,16 +17,12 @@ public class GreekClient : Intrinio.Realtime.Equities.ISocketPlugIn, Intrinio.Re
 {
     #region Data Members
     private readonly IDataCache _cache;
-    public const string BlackScholesImpliedVolatilityKeyName = "IntrinioBlackScholesImpliedVolatility";
-    public const string BlackScholesDeltaKeyName = "IntrinioBlackScholesDelta";
-    public const string BlackScholesGammaKeyName = "IntrinioBlackScholesGamma";
-    public const string BlackScholesThetaKeyName = "IntrinioBlackScholesTheta";
-    public const string BlackScholesVegaKeyName = "IntrinioBlackScholesVega";
     public const string DividendYieldKeyName = "DividendYield";
     public const string RiskFreeInterestRateKeyName = "RiskFreeInterestRate";
     public const string BlackScholesKeyName = "IntrinioBlackScholes";
     private readonly ConcurrentDictionary<string, CalculateNewGreek> _calcLookup;
-    private readonly SupplementalDatumUpdate _updateFunc = (string key, double? oldValue, double? newValue) => { return newValue; };
+    private readonly GreekDataUpdate _updateFunc = (string key, Greek? oldValue, Greek? newValue) => { return newValue; };
+    private readonly SupplementalDatumUpdate _updateFuncNumber = (string key, double? oldValue, double? newValue) => { return newValue; };
     private Timer? _dividendFetchTimer;
     private Timer? _riskFreeInterestRateFetchTimer;
     private readonly Intrinio.SDK.Client.ApiClient _apiClient;
@@ -50,9 +46,9 @@ public int ApiCallSpacerMilliseconds
     private bool _dividendYieldWorking = false;
     private readonly bool _selfCache;
 
-    public OnOptionsContractSupplementalDatumUpdated? OnGreekValueUpdated
+    public OnOptionsContractGreekDataUpdated? OnGreekValueUpdated
     {
-        set { _cache.OptionsContractSupplementalDatumUpdatedCallback += value; }
+        set { _cache.OptionsContractGreekDataUpdatedCallback += value; }
     }
     #endregion //Data Members
 
@@ -65,7 +61,7 @@ public OnOptionsContractSupplementalDatumUpdated? OnGreekValueUpdated
     /// <param name="onGreekValueUpdated"></param>
     /// <param name="apiKey"></param>
     /// <param name="cache"></param>
-    public GreekClient(GreekUpdateFrequency greekUpdateFrequency, OnOptionsContractSupplementalDatumUpdated onGreekValueUpdated, string apiKey, IDataCache? cache = null)
+    public GreekClient(GreekUpdateFrequency greekUpdateFrequency, OnOptionsContractGreekDataUpdated onGreekValueUpdated, string apiKey, IDataCache? cache = null)
     {
         _apiCallSpacerMilliseconds = 1100;
         _dividendYieldUpdatePeriodHours = 4;
@@ -279,7 +275,7 @@ private void FetchInitialCompanyDividends(int daysAgo)
                     {
                         if (!String.IsNullOrWhiteSpace(companyDailyMetric.Company.Ticker) && companyDailyMetric.DividendYield.HasValue)
                         {
-                            _cache.SetSecuritySupplementalDatum(companyDailyMetric.Company.Ticker, DividendYieldKeyName, Convert.ToDouble(companyDailyMetric.DividendYield ?? 0m), _updateFunc);
+                            _cache.SetSecuritySupplementalDatum(companyDailyMetric.Company.Ticker, DividendYieldKeyName, Convert.ToDouble(companyDailyMetric.DividendYield ?? 0m), _updateFuncNumber);
                             _seenTickers[String.Intern(companyDailyMetric.Company.Ticker)] = DateTime.UtcNow;
                         }
                     }
@@ -305,13 +301,13 @@ private void RefreshDividendYield(string ticker)
             string securityId = _securityApi.GetSecurityByIdAsync($"{ticker}:US").Result.Id;
             Thread.Sleep(_apiCallSpacerMilliseconds); //don't try to get rate limited.
             decimal? result = _securityApi.GetSecurityDataPointNumberAsync(securityId, dividendYieldTag).Result;
-            _cache.SetSecuritySupplementalDatum(ticker, DividendYieldKeyName, Convert.ToDouble(result ?? 0m), _updateFunc);
+            _cache.SetSecuritySupplementalDatum(ticker, DividendYieldKeyName, Convert.ToDouble(result ?? 0m), _updateFuncNumber);
             _seenTickers[ticker] = DateTime.UtcNow;
             Thread.Sleep(_apiCallSpacerMilliseconds); //don't try to get rate limited.
         }
         catch (Exception e)
         {
-            _cache.SetSecuritySupplementalDatum(ticker, DividendYieldKeyName, 0.0D, _updateFunc);
+            _cache.SetSecuritySupplementalDatum(ticker, DividendYieldKeyName, 0.0D, _updateFuncNumber);
             _seenTickers[ticker] = DateTime.UtcNow;
             Thread.Sleep(_apiCallSpacerMilliseconds); //don't try to get rate limited.
         }
@@ -358,7 +354,7 @@ private void FetchRiskFreeInterestRate(object? _)
                 Decimal? results = _indexApi.GetEconomicIndexDataPointNumber("$DTB3", "level");
                 if (results.HasValue)
                 {
-                    _cache.SetSupplementaryDatum(RiskFreeInterestRateKeyName, Convert.ToDouble(results.Value) / 100.0D, _updateFunc);
+                    _cache.SetSupplementaryDatum(RiskFreeInterestRateKeyName, Convert.ToDouble(results.Value) / 100.0D, _updateFuncNumber);
                     success = true;
                 }
 
@@ -395,13 +391,35 @@ public void UpdateGreeks(ISecurityData securityData, IDataCache dataCache)
         foreach (KeyValuePair<string,IOptionsContractData> keyValuePair in securityData.AllOptionsContractData)
             UpdateGreeks(keyValuePair.Value, dataCache, securityData);
     }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public void UpdateGreeks(ISecurityData securityData, IDataCache dataCache, Equities.Trade? trade)
+    {
+        UpdateGreeks(securityData, dataCache);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public void UpdateGreeks(ISecurityData securityData, IDataCache dataCache, Equities.Quote? quote)
+    {
+        UpdateGreeks(securityData, dataCache);
+    }
 
     [MethodImpl(MethodImplOptions.AggressiveInlining)]
     private void UpdateGreeks(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData)
     {
         foreach (CalculateNewGreek calculateNewGreek in _calcLookup.Values)
             calculateNewGreek(optionsContractData, securityData, dataCache);
-    } 
+    }
+
+    private void UpdateGreeks(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData, Options.Trade? trade)
+    {
+        UpdateGreeks(optionsContractData, dataCache, securityData);
+    }
+
+    private void UpdateGreeks(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData, Options.Quote? quote)
+    {
+        UpdateGreeks(optionsContractData, dataCache, securityData);
+    }
 
     private void BlackScholesCalc(IOptionsContractData optionsContractData, ISecurityData securityData, IDataCache dataCache)
     {
@@ -416,13 +434,7 @@ private void BlackScholesCalc(IOptionsContractData optionsContractData, ISecurit
         Greek result = BlackScholesGreekCalculator.Calculate(riskFreeInterestRate.Value, dividendYield.Value, equitiesTrade.Value.Price, optionsQuote.Value);
 
         if (result.IsValid)
-        {
-            dataCache.SetOptionSupplementalDatum(securityData.TickerSymbol, optionsContractData.Contract, BlackScholesImpliedVolatilityKeyName, result.ImpliedVolatility, _updateFunc);
-            dataCache.SetOptionSupplementalDatum(securityData.TickerSymbol, optionsContractData.Contract, BlackScholesDeltaKeyName, result.Delta, _updateFunc);
-            dataCache.SetOptionSupplementalDatum(securityData.TickerSymbol, optionsContractData.Contract, BlackScholesGammaKeyName, result.Gamma, _updateFunc);
-            dataCache.SetOptionSupplementalDatum(securityData.TickerSymbol, optionsContractData.Contract, BlackScholesThetaKeyName, result.Theta, _updateFunc);
-            dataCache.SetOptionSupplementalDatum(securityData.TickerSymbol, optionsContractData.Contract, BlackScholesVegaKeyName, result.Vega, _updateFunc);
-        }
+            dataCache.SetOptionGreekData(securityData.TickerSymbol, optionsContractData.Contract, BlackScholesKeyName, result, _updateFunc);
     }
 
     #endregion //Private Methods

Intrinio.Realtime/Composite/IDataCache.cs

@@ -70,6 +70,30 @@ public interface IDataCache : Intrinio.Realtime.Equities.ISocketPlugIn, Intrinio
 
     #endregion //Supplementary Data
 
+    #region Greek Data
+
+    /// <summary>
+    /// Get a supplemental data point stored in a specific option contract's cache.
+    /// </summary>
+    /// <param name="tickerSymbol"></param>
+    /// <param name="contract"></param>
+    /// <param name="key"></param>
+    /// <returns></returns>
+    Greek? GetOptionsContractGreekData(string tickerSymbol, string contract, string key);
+
+    /// <summary>
+    /// Set a supplemental data point stored in a specific option contract's cache.
+    /// </summary>
+    /// <param name="tickerSymbol"></param>
+    /// <param name="contract"></param>
+    /// <param name="key"></param>
+    /// <param name="data"></param>
+    /// <param name="update">The function used to update the Greek value in the cache.</param>
+    /// <returns></returns>
+    bool SetOptionGreekData(string tickerSymbol, string contract, string key, Greek? data, GreekDataUpdate update);
+
+    #endregion //Supplementary Data
+
     #region Sub-caches
     /// <summary>
     /// Get the cache for a specific security
@@ -342,5 +366,7 @@ public interface IDataCache : Intrinio.Realtime.Equities.ISocketPlugIn, Intrinio
     /// </summary>
     OnOptionsQuoteCandleStickUpdated? OptionsQuoteCandleStickUpdatedCallback { get; set; }
 
+    OnOptionsContractGreekDataUpdated? OptionsContractGreekDataUpdatedCallback { get; set; }
+
     #endregion //Delegates
 }

Intrinio.Realtime/Composite/IOptionsContractData.cs

@@ -36,4 +36,9 @@ public interface IOptionsContractData {
     internal bool SetSupplementaryDatum(string key, double? datum, SupplementalDatumUpdate update);
     internal bool SetSupplementaryDatum(string key, double? datum, OnOptionsContractSupplementalDatumUpdated? onOptionsContractSupplementalDatumUpdated, ISecurityData securityData, IDataCache dataCache, SupplementalDatumUpdate update);
     IReadOnlyDictionary<string, double?> AllSupplementaryData { get; }
+
+    Greek? GetGreekData(string key);
+    internal bool SetGreekData(string key, Greek? datum, GreekDataUpdate update);
+    internal bool SetGreekData(string key, Greek? datum, OnOptionsContractGreekDataUpdated? onOptionsContractGreekDataUpdated, ISecurityData securityData, IDataCache dataCache, GreekDataUpdate update);
+    IReadOnlyDictionary<string, Greek?> AllGreekData { get; }
 }

Intrinio.Realtime/Composite/ISecurityData.cs

@@ -80,4 +80,9 @@ public interface ISecurityData {
 
     internal bool SetOptionsContractSupplementalDatum(string contract, string key, double? datum, SupplementalDatumUpdate update);
     internal bool SetOptionsContractSupplementalDatum(string contract, string key, double? datum, OnOptionsContractSupplementalDatumUpdated? onOptionsContractSupplementalDatumUpdated, IDataCache dataCache, SupplementalDatumUpdate update);
+
+    Greek? GetOptionsContractGreekData(string contract, string key);
+
+    internal bool SetOptionsContractGreekData(string contract, string key, Greek? data, GreekDataUpdate update);
+    internal bool SetOptionsContractGreekData(string contract, string key, Greek? data, OnOptionsContractGreekDataUpdated? onOptionsContractGreekDataUpdated, IDataCache dataCache, GreekDataUpdate update);
 }