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Fixes related to option chain request serialization
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@NVentimiglia
NVentimiglia committed May 30, 2021
1 parent e8275cf commit 9f27244
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Showing 4 changed files with 245 additions and 105 deletions.
10 changes: 10 additions & 0 deletions TDAmeritrade/Models/TDMiscModels.cs
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Original file line number Diff line number Diff line change
@@ -0,0 +1,10 @@
using System;

namespace TDAmeritrade
{
[Serializable]
public enum MarketTypes
{
BOND, EQUITY, ETF, FOREX, FUTURE, FUTURE_OPTION, INDEX, INDICAT, MUTUAL_FUND, OPTION, UNKNOWN
}
}
246 changes: 158 additions & 88 deletions TDAmeritrade/Models/TDOptionChainModels.cs
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Original file line number Diff line number Diff line change
@@ -1,4 +1,5 @@
using Newtonsoft.Json;
using Newtonsoft.Json.Linq;
using System;
using System.Collections.Generic;

Expand Down Expand Up @@ -74,7 +75,6 @@ public enum TDOptionChainRanges
SNK,
}


[Serializable]
public class TDOptionChainRequest
{
Expand All @@ -85,28 +85,28 @@ public class TDOptionChainRequest
/// <summary>
/// The number of strikes to return above and below the at-the-money price.
/// </summary>
public int strikeCount { get; set; }
public int? strikeCount { get; set; }
/// <summary>
/// Passing a value returns a Strategy Chain
/// </summary>
public TDOptionChainStrategy strategy { get; set; }
/// <summary>
/// Type of contracts to return in the chai
/// </summary>
public TDOptionChainTypes contractType { get; set; }
public TDOptionChainTypes? contractType { get; set; }
/// <summary>
/// Only return expirations after this date
/// </summary>
public double fromDate { get; set; }
public DateTime? fromDate { get; set; }
/// <summary>
/// Only return expirations before this date
/// </summary>
public double toDate { get; set; }
public DateTime? toDate { get; set; }

/// <summary>
/// Strike interval for spread strategy chains
/// </summary>
public double interval {get;set; }
public double? interval {get;set; }
/// <summary>
/// Provide a strike price to return options only at that strike price.
/// </summary>
Expand All @@ -130,11 +130,11 @@ public class TDOptionChainRequest
/// <summary>
/// Days to expiration to use in calculations. Applies only to ANALYTICAL strategy chains
/// </summary>
public int daysToExpiration { get; set; }
public int? daysToExpiration { get; set; }
/// <summary>
/// Return only options expiring in the specified month
/// </summary>
public string expMonth { get; set; } = "ALL";
public string expMonth { get; set; }
/// <summary>
/// Include quotes for options in the option chain. Can be TRUE or FALSE. Default is FALSE.
/// </summary>
Expand All @@ -143,34 +143,6 @@ public class TDOptionChainRequest
/// Type of contracts to return
/// </summary>
public TDOptionChainOptionTypes optionType { get; set; }


[JsonIgnore]
public DateTime FromDate
{
get
{
return TDHelpers.FromUnixTimeSeconds(fromDate);
}
set
{
fromDate = TDHelpers.ToUnixTimeSeconds(value);
}
}


[JsonIgnore]
public DateTime ToDate
{
get
{
return TDHelpers.FromUnixTimeSeconds(toDate);
}
set
{
toDate = TDHelpers.ToUnixTimeSeconds(value);
}
}
}

[Serializable]
Expand All @@ -187,93 +159,191 @@ public class TDOptionChain
public int interestRate { get; set; }
public int underlyingPrice { get; set; }
public int volatility { get; set; }
public string callExpDateMap { get; set; }
public string putExpDateMap { get; set; }

public List<TDOptionMap> callExpDateMap { get; set; }
public List<TDOptionMap> putExpDateMap { get; set; }
}

public class TDOptionChainConverter : JsonConverter
{
public override bool CanConvert(Type objectType)
{
return objectType == typeof(TDOptionChain);
}
public override void WriteJson(JsonWriter writer, object value, JsonSerializer serializer)
{
throw new NotImplementedException();
}

public override object ReadJson(JsonReader reader, Type objectType, object existingValue, JsonSerializer serializer)
{
var doc = JObject.Load(reader);
var model = new TDOptionChain();
model.symbol = doc["symbol"].Value<string>();
model.status = doc["status"].Value<string>();
model.underlying = doc["underlying"].ToObject<TDUnderlying>();
model.strategy = doc["strategy"].Value<string>();
model.interval = doc["interval"].Value<int>();
model.isDelayed = doc["isDelayed"].Value<bool>();
model.isIndex = doc["isIndex"].Value<bool>();
model.daysToExpiration = doc["daysToExpiration"].Value<int>();
model.interestRate = doc["interestRate"].Value<int>();
model.underlyingPrice = doc["underlyingPrice"].Value<int>();
model.volatility = doc["volatility"].Value<int>();
model.callExpDateMap = GetMap(doc["callExpDateMap"].ToObject<JObject>());
model.putExpDateMap = GetMap(doc["putExpDateMap"].ToObject<JObject>());
return model;
}

public List<TDOptionMap> GetMap(JObject doc)
{
var map = new List<TDOptionMap>();

foreach (var expiry in doc.Properties())
{
var exp = new TDOptionMap();
map.Add(exp);
exp.expires = DateTime.Parse(expiry.Name.Split(":")[0]);
exp.options = new List<TDOption>();

var set = expiry.Value.ToObject<JObject>();
foreach (var contract in set.Properties())
{
var stike = double.Parse(contract.Name);
var tuples = contract.Value.First.ToObject<JObject>();
var option = new TDOption();
option.strike = stike;
exp.options.Add(option);

option.putCall = tuples["putCall"].Value<string>();
option.symbol = tuples["symbol"].Value<string>();
option.description = tuples["description"].Value<string>();
option.exchangeName = tuples["exchangeName"].Value<string>();
option.bidPrice = tuples["bid"].Value<double>();
option.askPrice = tuples["ask"].Value<double>();
option.lastPrice = tuples["last"].Value<double>();
option.markPrice = tuples["mark"].Value<double>();
option.bidSize = tuples["bidSize"].Value<int>();
option.askSize = tuples["askSize"].Value<int>();
option.lastSize = tuples["lastSize"].Value<int>();
option.highPrice = tuples["highPrice"].Value<double>();
option.lowPrice = tuples["lowPrice"].Value<double>();
option.openPrice = tuples["openPrice"].Value<double>();
option.closePrice = tuples["closePrice"].Value<double>();
option.totalVolume = tuples["totalVolume"].Value<int>();
option.quoteTimeInLong = tuples["quoteTimeInLong"].Value<long>();
option.tradeTimeInLong = tuples["tradeTimeInLong"].Value<long>();
option.netChange = tuples["netChange"].Value<double>();
option.volatility = tuples["volatility"].Value<double>();
option.delta = tuples["delta"].Value<double>();
option.gamma = tuples["gamma"].Value<double>();
option.theta = tuples["theta"].Value<double>();
option.vega = tuples["vega"].Value<double>();
option.rho = tuples["rho"].Value<double>();
option.timeValue = tuples["timeValue"].Value<double>();
option.openInterest = tuples["openInterest"].Value<int>();
option.isInTheMoney = tuples["inTheMoney"].Value<bool>();
option.theoreticalOptionValue = tuples["theoreticalOptionValue"].Value<double>();
option.theoreticalVolatility = tuples["theoreticalVolatility"].Value<double>();
option.strikePrice = tuples["strikePrice"].Value<double>();
option.expirationDate = tuples["expirationDate"].Value<string>();
option.multiplier = tuples["multiplier"].Value<double>();
option.settlementType = tuples["settlementType"].Value<string>();
option.deliverableNote = tuples["deliverableNote"].Value<string>();
option.percentChange = tuples["percentChange"].Value<double>();
option.markChange = tuples["markChange"].Value<double>();
option.markPercentChange = tuples["markPercentChange"].Value<double>();

}
}
return map;
}

}


[Serializable]
public class TDOptionDeliverablesList
public class TDOptionMap
{
public string symbol { get; set; }
public string assetType { get; set; }
public string deliverableUnits { get; set; }
public string currencyType { get; set; }
public DateTime expires { get; set; }

public List<TDOption> options { get; set; }
}



[Serializable]
public class TDOption
{
public string putCall { get; set; }
public string symbol { get; set; }
public string description { get; set; }
public string exchangeName { get; set; }
public int bidPrice { get; set; }
public int askPrice { get; set; }
public int lastPrice { get; set; }
public int markPrice { get; set; }
public double strike { get; set; }
public double bidPrice { get; set; }
public double askPrice { get; set; }
public double lastPrice { get; set; }
public double markPrice { get; set; }
public int bidSize { get; set; }
public int askSize { get; set; }
public int lastSize { get; set; }
public int highPrice { get; set; }
public int lowPrice { get; set; }
public int openPrice { get; set; }
public int closePrice { get; set; }
public double highPrice { get; set; }
public double lowPrice { get; set; }
public double openPrice { get; set; }
public double closePrice { get; set; }
public int totalVolume { get; set; }
public int quoteTimeInLong { get; set; }
public int tradeTimeInLong { get; set; }
public int netChange { get; set; }
public int volatility { get; set; }
public int delta { get; set; }
public int gamma { get; set; }
public int theta { get; set; }
public int vega { get; set; }
public int rho { get; set; }
public int timeValue { get; set; }
public long quoteTimeInLong { get; set; }
public long tradeTimeInLong { get; set; }

public double netChange { get; set; }
public double volatility { get; set; }
public double delta { get; set; }
public double gamma { get; set; }
public double theta { get; set; }
public double vega { get; set; }
public double rho { get; set; }
public double timeValue { get; set; }
public int openInterest { get; set; }
public bool isInTheMoney { get; set; }
public int theoreticalOptionValue { get; set; }
public int theoreticalVolatility { get; set; }
public bool isMini { get; set; }
public bool isNonStandard { get; set; }
public List<TDOptionDeliverablesList> optionDeliverablesList { get; set; }
public int strikePrice { get; set; }
public double theoreticalOptionValue { get; set; }
public double theoreticalVolatility { get; set; }
public double strikePrice { get; set; }
public string expirationDate { get; set; }
public string expirationType { get; set; }
public int multiplier { get; set; }
public double multiplier { get; set; }
public string settlementType { get; set; }
public string deliverableNote { get; set; }
public bool isIndexOption { get; set; }
public int percentChange { get; set; }
public int markChange { get; set; }
public int markPercentChange { get; set; }
public double percentChange { get; set; }
public double markChange { get; set; }
public double markPercentChange { get; set; }
}

[Serializable]
public class TDUnderlying
{
public int ask { get; set; }
public double ask { get; set; }
public int askSize { get; set; }
public int bid { get; set; }
public double bid { get; set; }
public int bidSize { get; set; }
public int change { get; set; }
public int close { get; set; }
public double change { get; set; }
public double close { get; set; }
public bool delayed { get; set; }
public string description { get; set; }
public string exchangeName { get; set; }
public int fiftyTwoWeekHigh { get; set; }
public int fiftyTwoWeekLow { get; set; }
public int highPrice { get; set; }
public int last { get; set; }
public int lowPrice { get; set; }
public int mark { get; set; }
public int markChange { get; set; }
public int markPercentChange { get; set; }
public int openPrice { get; set; }
public int percentChange { get; set; }
public int quoteTime { get; set; }
public double fiftyTwoWeekHigh { get; set; }
public double fiftyTwoWeekLow { get; set; }
public double highPrice { get; set; }
public double last { get; set; }
public double lowPrice { get; set; }
public double mark { get; set; }
public double markChange { get; set; }
public double markPercentChange { get; set; }
public double openPrice { get; set; }
public double percentChange { get; set; }
public double quoteTime { get; set; }
public string symbol { get; set; }
public int totalVolume { get; set; }
public int tradeTime { get; set; }
public double tradeTime { get; set; }
}


Expand Down
14 changes: 11 additions & 3 deletions TDAmeritrade/Models/TDPriceHistoryModels.cs
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Original file line number Diff line number Diff line change
@@ -1,12 +1,10 @@
using Newtonsoft.Json;
using System;
using System.Collections.Generic;
using System.Linq;

namespace TDAmeritrade
{
[Serializable]
public struct TDPriceCandle
public struct TDPriceCandle : IBitModel
{
public double close { get; set; }
public double datetime { get; set; }
Expand All @@ -27,6 +25,16 @@ public DateTime DateTime
datetime = TDHelpers.ToUnixTimeSeconds(value);
}
}

public void Parse(BitSerializer stream)
{
datetime = stream.Parse(datetime);
open = stream.Parse(open);
low = stream.Parse(low);
high = stream.Parse(high);
close = stream.Parse(close);
volume = stream.Parse(volume);
}
}


Expand Down
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