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instrument.go
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instrument.go
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package trade
import (
"time"
)
type Instrument interface {
GetContractId() int64
GetSymbol() string
GetExchange() string
GetCurrency() string
ContractDataReq() *RequestContractData
MarketDataReq(tick RequestId) *RequestMarketData
}
// Stock
type Stock struct {
ContractId int64
Symbol string
Exchange string
Currency string
}
func (stock *Stock) GetContractId() int64 {
return stock.ContractId
}
func (stock *Stock) GetSymbol() string {
return stock.Symbol
}
func (stock *Stock) GetCurrency() string {
return stock.Currency
}
func (stock *Stock) GetExchange() string {
return stock.Exchange
}
func (stock *Stock) ContractDataReq() *RequestContractData {
return &RequestContractData{
Symbol: stock.Symbol,
SecurityType: "STK",
Exchange: stock.Exchange,
Currency: stock.Currency,
}
}
func (stock *Stock) MarketDataReq(tick RequestId) *RequestMarketData {
return &RequestMarketData{
Id: tick,
Symbol: stock.Symbol,
SecurityType: "STK",
Exchange: stock.Exchange,
Currency: stock.Currency,
}
}
// Option
type OptionType int
const (
PUT OptionType = iota
CALL
)
type Option struct {
ContractId int64
Symbol string
Exchange string
Currency string
Expiry time.Time
Strike float64
Type OptionType
}
func (option *Option) GetContractId() int64 {
return option.ContractId
}
func (option *Option) GetSymbol() string {
return option.Symbol
}
func (option *Option) GetCurrency() string {
return option.Currency
}
func (option *Option) GetExchange() string {
return option.Exchange
}
func (option *Option) ContractDataReq() *RequestContractData {
return &RequestContractData{
Symbol: option.Symbol,
SecurityType: "OPT",
Exchange: option.Exchange,
Currency: option.Currency,
}
}
func (option *Option) MarketDataReq(tick RequestId) *RequestMarketData {
return &RequestMarketData{
Id: tick,
ContractId: option.ContractId,
Symbol: option.Symbol,
SecurityType: "OPT",
Exchange: option.Exchange,
Currency: option.Currency,
}
}
// Butterfly
type Butterfly struct {
Higher Option
Neutral Option
Lower Option
}
func NewFly(spot Instrument, expiry time.Time, strike float64, wingspan int) *Butterfly {
span := float64(wingspan)
// Wing 1
lower := Option{
Symbol: spot.GetSymbol(),
Exchange: spot.GetExchange(),
Currency: spot.GetCurrency(),
Strike: strike - span,
Expiry: expiry,
}
// Body strike
neutral := Option{
Symbol: spot.GetSymbol(),
Exchange: spot.GetExchange(),
Currency: spot.GetCurrency(),
Strike: strike,
Expiry: expiry,
}
// Wing 2
higher := Option{
Symbol: spot.GetSymbol(),
Exchange: spot.GetExchange(),
Currency: spot.GetCurrency(),
Strike: strike + span,
Expiry: expiry,
}
return &Butterfly{
Neutral: neutral,
Lower: lower,
Higher: higher,
}
}
func (fly *Butterfly) MarketDataReq(tick RequestId) *RequestMarketData {
neutral := ComboLeg{
ContractId: fly.Neutral.ContractId,
Ratio: 2,
Action: "SELL",
Exchange: fly.Neutral.Exchange,
}
lower := ComboLeg{
ContractId: fly.Lower.ContractId,
Ratio: 1,
Action: "BUY",
Exchange: fly.Lower.Exchange,
}
higher := ComboLeg{
ContractId: fly.Higher.ContractId,
Ratio: 1,
Action: "BUY",
Exchange: fly.Higher.Exchange,
}
return &RequestMarketData{
Id: tick,
Symbol: fly.Neutral.Symbol,
SecurityType: "OPT",
Exchange: fly.Neutral.Exchange,
Currency: fly.Neutral.Currency,
ComboLegs: []ComboLeg{lower, neutral, higher},
}
}