tdbe 0.12.8

ThetaData Binary Encoding -- market data types, FIT/FIE codecs, Black-Scholes Greeks
Documentation

tdbe -- ThetaData Binary Encoding

Pure data-format crate for ThetaData market data. Zero networking dependencies.

tdbe owns all data types and codecs with zero networking dependencies. The thetadatadx client crate depends on tdbe for type definitions.

What it contains

Module Contents
types Price, SecType, DataType, StreamMsgType, and the generated tick structs (TradeTick, QuoteTick, EodTick, OhlcTick, ...)
codec FIT nibble decoder and FIE string encoder used by FPSS tick compression
greeks Full Black-Scholes calculator: 23 Greeks + IV bisection solver
flags Bit flags and condition codes for market data records
latency Wire-to-application latency computation (latency_ns)
error Encoding-layer error types

Quick start

[dependencies]
tdbe = "0.1"

use tdbe::{Price, TradeTick, EodTick};
use tdbe::greeks;

// Fixed-point price encoding
let p = Price::new(15025, 8); // 150.25
assert_eq!(p.to_f64(), 150.25);

// Compute all 23 Greeks offline. Returns `Result<GreeksResult, Error>`
// — `Error::Config` for an unrecognised `right`.
let result = greeks::all_greeks(
    450.0,        // spot
    455.0,        // strike
    0.05,         // risk-free rate
    0.015,        // dividend yield
    30.0 / 365.0, // time to expiry (years)
    8.50,         // option market price
    "C",          // right ("C"/"P" or "call"/"put", case-insensitive)
)?;
println!("IV: {:.4}, Delta: {:.4}", result.iv, result.delta);

Relationship to thetadatadx

thetadatadx depends on tdbe for all data types and codecs, then adds networking (gRPC historical via MDDS, real-time streaming via FPSS), authentication, and the unified ThetaDataDx client. If you only need types and offline Greeks, depend on tdbe alone.

License

Apache-2.0 -- see LICENSE.