alpaca-option 0.24.9

Provider-neutral option semantics and math for the alpaca-rust workspace
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151

use alpaca_core::float;
use alpaca_time::expiration;

use crate::contract;
use crate::execution_quote;
use crate::types::{OptionContract, OptionQuote, OptionSnapshot};

fn canonical_contract(contract_input: &OptionContract) -> Option<OptionContract> {
    if let Some(parsed) = contract::parse_occ_symbol(&contract_input.occ_symbol) {
        return Some(parsed);
    }

    let occ_symbol = contract::build_occ_symbol(
        &contract_input.underlying_symbol,
        &contract_input.expiration_date,
        contract_input.strike,
        contract_input.option_right.as_str(),
    )?;
    contract::parse_occ_symbol(&occ_symbol)
}

pub trait SnapshotLike {
    fn canonical_contract(&self) -> Option<OptionContract>;
    fn as_of(&self) -> &str;
    fn bid(&self) -> Option<f64>;
    fn ask(&self) -> Option<f64>;
    fn mark(&self) -> Option<f64>;
    fn last(&self) -> Option<f64>;
    fn delta(&self) -> Option<f64>;
}

impl<T: SnapshotLike + ?Sized> SnapshotLike for &T {
    fn canonical_contract(&self) -> Option<OptionContract> {
        (*self).canonical_contract()
    }

    fn as_of(&self) -> &str {
        (*self).as_of()
    }

    fn bid(&self) -> Option<f64> {
        (*self).bid()
    }

    fn ask(&self) -> Option<f64> {
        (*self).ask()
    }

    fn mark(&self) -> Option<f64> {
        (*self).mark()
    }

    fn last(&self) -> Option<f64> {
        (*self).last()
    }

    fn delta(&self) -> Option<f64> {
        (*self).delta()
    }
}

impl SnapshotLike for OptionSnapshot {
    fn canonical_contract(&self) -> Option<OptionContract> {
        canonical_contract(&self.contract)
    }

    fn as_of(&self) -> &str {
        &self.as_of
    }

    fn bid(&self) -> Option<f64> {
        self.quote.bid
    }

    fn ask(&self) -> Option<f64> {
        self.quote.ask
    }

    fn mark(&self) -> Option<f64> {
        self.quote.mark
    }

    fn last(&self) -> Option<f64> {
        self.quote.last
    }

    fn delta(&self) -> Option<f64> {
        self.greeks.as_ref().map(|greeks| greeks.delta)
    }
}

fn normalized_quote(snapshot: &impl SnapshotLike) -> OptionQuote {
    execution_quote::quote(&OptionQuote {
        bid: snapshot.bid(),
        ask: snapshot.ask(),
        mark: snapshot.mark(),
        last: snapshot.last(),
    })
}

pub fn contract(snapshot: &impl SnapshotLike) -> Option<OptionContract> {
    snapshot.canonical_contract()
}

pub fn spread(snapshot: &impl SnapshotLike) -> f64 {
    let normalized = normalized_quote(snapshot);
    float::round(
        normalized.ask.unwrap_or(0.0) - normalized.bid.unwrap_or(0.0),
        12,
    )
}

pub fn spread_pct(snapshot: &impl SnapshotLike) -> f64 {
    let price = normalized_quote(snapshot).mark.unwrap_or(0.0);
    if price.abs() <= 1e-10 {
        return 0.0;
    }

    spread(snapshot) / price
}

pub fn is_valid(snapshot: &impl SnapshotLike) -> bool {
    contract(snapshot).is_some() && !snapshot.as_of().trim().is_empty()
}

pub fn liquidity(snapshot: &impl SnapshotLike) -> Option<bool> {
    let price = normalized_quote(snapshot).mark.unwrap_or(0.0);
    if price.abs() <= 1e-10 {
        return None;
    }

    let contract = contract(snapshot)?;
    let calendar_days =
        expiration::calendar_days(&contract.expiration_date, Some(snapshot.as_of())).ok()?;

    let large_etfs = ["SPY", "QQQ", "IWM", "SMH", "GLD"];
    let is_etf = large_etfs.contains(&contract.underlying_symbol.as_str());
    let base_tolerance = if is_etf { 0.06 } else { 0.10 };
    let dte_factor = (1.0 + (calendar_days as f64 / 30.0) * 0.40).min(3.5_f64);
    let abs_delta = snapshot.delta().map(|delta| delta.abs()).unwrap_or(0.0);
    let delta_factor = if abs_delta < 0.3 {
        2.5
    } else if abs_delta > 0.7 {
        1.3
    } else {
        1.0
    };
    let tolerance = (base_tolerance * dte_factor * delta_factor).min(0.40_f64);

    Some(spread_pct(snapshot) <= tolerance)
}