Aggregate.h

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/*
 * File:    Aggregate.h
 * Author:  raymond@burkholder.net
 * Project: TFOptions
 * Created on May 29, 2021, 20:09
 */

 // Testing / Proof of concept that GEX might be useful in some capacity
 // Relies on iqfeed trade-only message, reduces traffic, therefore more symbols available
 // the problem:  needs recent quotes to recalculate greeks at current pricing level
 //    might be ok, f<symbol> returns F, and P, responses, with P having the latest quote

 // TODO: attempt to understand option combinations transacted (if transactions are sparse)

#pragma once

#include <TFTimeSeries/DatedDatum.h>
#include <TFTimeSeries/TimeSeries.h>

#include <TFOptions/Option.h>
#include <TFOptions/GatherOptions.h>

#include "Chain.h"

namespace ou { // One Unified
namespace tf { // TradeFrame
namespace option { // options

class Aggregate {
public:

  using pWatch_t = ou::tf::Watch::pWatch_t;
  using pOption_t = ou::tf::option::Option::pOption_t;

  using fDate_t = std::function<void(boost::gregorian::date)>;

  Aggregate(
    pWatch_t pWatchUnderlying
  );

  void LoadChains( fGatherOptions_t&& ); // start in constructor?
  void FilterChains();
  void WalkChains( fDate_t&& ) const;
  void WalkChains( fOption_t&& ) const;
  void WalkChain( boost::gregorian::date, fOption_t&& ) const;

  // TODO:
  //   constructor needs engine add/remove
  //   will require registration to P message for current quote

  // NOTE: a start watch in Watch activates both quote & trade
  //    need to change that, or issue watch directly to the iqfeed provider

protected:
private:

  using volume_t = ou::tf::DatedDatum::volume_t;

  pWatch_t m_pWatchUnderlying;

  struct OptionWithStats: public ou::tf::option::chain::OptionName {
    // should volumes net out?  seems they will monotonically increase
    //   without input from open interest numbers.  does it matter?
    // gamma calculation, serialize buy/sell for inter-session updates
    volume_t sell; // total sell side options for gex calc
    volume_t buy;  // total buy side options for gex calc
    pOption_t pOption; // might as well keep the fully decorated option around as well
    OptionWithStats()
    : sell {}, buy {} {}
  };

  using chain_t = ou::tf::option::Chain<OptionWithStats>;
  using mapChains_t = std::map<boost::gregorian::date, chain_t>;
  using mapChains_iterator_t = mapChains_t::iterator;
  mapChains_t m_mapChains;

};

} // namespace option
} // namespace tf
} // namespace ou