Options ticker (EventType::OptionTicker): the venue's mark, implied volatilities and greeks for one option instrument. More...

#include <fastmm/core/messages.hpp>

Public Attributes
EventHeader	hdr

Price	mark_price
	64

Price	underlying_price
	72

Price	index_price
	80

double	mark_iv
	88

double	bid_iv
	96

double	ask_iv
	104

double	delta
	112

double	gamma
	120

double	vega
	128

double	theta
	136

double	rho
	144

double	interest_rate
	152 annualised decimal

std::uint8_t	pad_ [32]
	160

Detailed Description

Options ticker (EventType::OptionTicker): the venue's mark, implied volatilities and greeks for one option instrument.

mark_price is in the instrument's price unit (the base coin for Deribit inverse options); underlying_price (the forward the venue prices the option on) and index_price are in the underlying's quote currency. Implied vols are annualised decimals (0.312 = 31.2 %). Greeks are copied as the venue reports them (Deribit: Black-76 delta, gamma per quote unit, vega and rho per 1 vol / rate point, theta per day, in the quote currency; see core/options/black76.hpp). NaN marks a field the venue did not send.

Member Data Documentation

◆ hdr

EventHeader fastmm::OptionTickerMsg::hdr

◆ mark_price

Price fastmm::OptionTickerMsg::mark_price

64

◆ underlying_price

Price fastmm::OptionTickerMsg::underlying_price

72

◆ index_price

Price fastmm::OptionTickerMsg::index_price

80

◆ mark_iv

double fastmm::OptionTickerMsg::mark_iv

88

◆ bid_iv

double fastmm::OptionTickerMsg::bid_iv

96

◆ ask_iv

double fastmm::OptionTickerMsg::ask_iv

104

◆ delta

double fastmm::OptionTickerMsg::delta

112

◆ gamma

double fastmm::OptionTickerMsg::gamma

120

◆ vega

double fastmm::OptionTickerMsg::vega

128

◆ theta

double fastmm::OptionTickerMsg::theta

136

◆ rho

double fastmm::OptionTickerMsg::rho

144

◆ interest_rate

double fastmm::OptionTickerMsg::interest_rate

152 annualised decimal

◆ pad_

std::uint8_t fastmm::OptionTickerMsg::pad_[32]

160

Public Attributes