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include\thales\data\market_data.hpp

• 3 Complexity
• 1 Complexity / M
• 0 Duplication
• 7 Churn
• 123 Lines
• 95 Lines of Code
• 3 Methods
• 31.67 LOC / Method

// SPDX-License-Identifier: MIT

#pragma once

#include <string>
#include <vector>

namespace thales {
namespace data {

/**
 * @struct MarketData
 * @brief Represents market data for a financial instrument.
 */
struct MarketData {
    virtual ~MarketData() = default;
    std::string symbol;     // Symbol of the instrument (24-32 bytes)
    std::string timestamp;  // Timestamp of the data (24-32 bytes)
    double price;           // Last trade price (8 bytes)
    double open;            // Opening price (8 bytes)
    double high;            // Highest price (8 bytes)
    double low;             // Lowest price (8 bytes)
    double close;           // Closing price (8 bytes)
    double volume;          // Trading volume (8 bytes)
    double bid;             // Best bid price (8 bytes)
    double ask;             // Best ask price (8 bytes)
    double bid_size;        // Best bid size (8 bytes)
    double ask_size;        // Best ask size (8 bytes)

    // Constructor
    MarketData(const std::string &sym = "", const std::string &ts = "",
               double p = 0.0, double o = 0.0, double h = 0.0, double l = 0.0,
               double c = 0.0, double v = 0.0, double b = 0.0, double a = 0.0,
               double bs = 0.0, double as = 0.0)
        : symbol(sym),
          timestamp(ts),
          price(p),
          open(o),
          high(h),
          low(l),
          close(c),
          volume(v),
          bid(b),
          ask(a),
          bid_size(bs),
          ask_size(as) {}
};

/**
 * @struct OptionData
 * @brief Represents market data for an options contract.
 */
struct OptionData : public MarketData {
    virtual ~OptionData() override = default;
    std::string
        underlying_symbol;  // Symbol of the underlying asset (24-32 bytes)
    std::string expiration_date;  // Expiration date of the option (24-32 bytes)
    double strike_price;          // Strike price of the option (8 bytes)
    double implied_volatility;    // Implied volatility (8 bytes)
    double delta;                 // Delta greek (8 bytes)
    double gamma;                 // Gamma greek (8 bytes)
    double theta;                 // Theta greek (8 bytes)
    double vega;                  // Vega greek (8 bytes)
    double rho;                   // Rho greek (8 bytes)
    double open_interest;         // Open interest (8 bytes)
    bool is_call;  // Whether the option is a call (true) or put (false) (1
                   // byte)

    // Constructor
    OptionData(const std::string &sym = "", const std::string &ts = "",
               double p = 0.0, double o = 0.0, double h = 0.0, double l = 0.0,
               double c = 0.0, double v = 0.0, double b = 0.0, double a = 0.0,
               double bs = 0.0, double as = 0.0,
               const std::string &underlying = "",
               const std::string &exp_date = "", double strike = 0.0,
               bool call = true, double iv = 0.0, double d = 0.0,
               double g = 0.0, double t = 0.0, double vg = 0.0, double r = 0.0,
               double oi = 0.0)
        : MarketData(sym, ts, p, o, h, l, c, v, b, a, bs, as),
          underlying_symbol(underlying),
          expiration_date(exp_date),
          strike_price(strike),
          implied_volatility(iv),
          delta(d),
          gamma(g),
          theta(t),
          vega(vg),
          rho(r),
          open_interest(oi),
          is_call(call) {}
};

/**
 * @struct Bar
 * @brief Represents a time-based bar (OHLCV) for a financial instrument.
 */
struct Bar {
    std::string symbol;     // Symbol of the instrument (24-32 bytes)
    std::string timestamp;  // Timestamp of the bar (24-32 bytes)
    std::string interval;   // Bar interval (e.g., "1min", "1hour", "1day")
                            // (24-32 bytes)
    double open;            // Opening price (8 bytes)
    double high;            // Highest price (8 bytes)
    double low;             // Lowest price (8 bytes)
    double close;           // Closing price (8 bytes)
    double volume;          // Trading volume (8 bytes)

    // Constructor
    Bar(const std::string &sym = "", const std::string &ts = "",
        const std::string &intv = "", double o = 0.0, double h = 0.0,
        double l = 0.0, double c = 0.0, double v = 0.0)
        : symbol(sym),
          timestamp(ts),
          interval(intv),
          open(o),
          high(h),
          low(l),
          close(c),
          volume(v) {}
};

}  // namespace data
}  // namespace thales