Struct OptionChainAggregator 

pub struct OptionChainAggregator { /* private fields */ }

Per-series aggregator that accumulates quotes and greeks between snapshots.

Owns mutable accumulator buffers and produces immutable OptionChainSlice snapshots on each timer tick.

Implementations

impl OptionChainAggregator

pub fn new( series_id: OptionSeriesId, strike_range: StrikeRange, atm_tracker: AtmTracker, instruments: HashMap<InstrumentId, (Price, OptionKind)>, ) -> Self

Creates a new aggregator for the given series.

instruments contains ALL instruments for the series. The initial active_ids subset is resolved from the strike range and the current ATM price (if available). When no ATM price is set for ATM-based ranges, all instruments are active.

pub fn atm_tracker_mut(&mut self) -> &mut AtmTracker

Returns a mutable reference to the ATM tracker.

pub fn instrument_ids(&self) -> Vec<InstrumentId>

Returns the currently active instrument IDs.

pub fn active_ids(&self) -> &HashSet<InstrumentId>

Returns a reference to the active instrument ID set.

pub fn series_id(&self) -> OptionSeriesId

Returns the series ID.

pub fn is_expired(&self, now_ns: UnixNanos) -> bool

Returns true if the given timestamp is at or past the series expiration.

pub fn instruments(&self) -> &HashMap<InstrumentId, (Price, OptionKind)>

Returns a reference to the full instrument set.

pub fn all_instrument_ids(&self) -> Vec<InstrumentId>

Returns all instrument IDs in the full set.

pub fn is_catalog_empty(&self) -> bool

Returns true if the instrument catalog is empty.

pub fn remove_instrument(&mut self, instrument_id: &InstrumentId) -> bool

Permanently removes an instrument from the catalog.

Removes from instruments, active_ids, pending_greeks, and cleans buffer entries (only if no other instrument shares the same strike+kind). Returns true if the instrument was found and removed.

pub fn atm_tracker(&self) -> &AtmTracker

Returns a reference to the ATM tracker.

pub fn recompute_active_set(&mut self) -> Vec<InstrumentId>

Recomputes the active instrument set from the current ATM price.

Returns the new active instrument IDs. Used during bootstrap when the first ATM price arrives after deferred subscription setup.

pub fn add_instrument( &mut self, instrument_id: InstrumentId, strike: Price, kind: OptionKind, ) -> bool

Adds a newly discovered instrument to the series.

Returns true if the instrument was newly inserted. Returns false if it was already known (no-op). When the new instrument’s strike falls within the current active range, it is immediately added to active_ids.

pub fn update_quote(&mut self, quote: &QuoteTick)

Handles an incoming quote tick by updating the accumulator buffers.

pub fn update_greeks(&mut self, greeks: &OptionGreeks)

Handles incoming greeks by updating the accumulator buffers.

If no quote has arrived yet for this instrument (no buffer entry), the greeks are stored in pending_greeks and will be attached when the first quote arrives.

pub fn snapshot(&self, ts_init: UnixNanos) -> OptionChainSlice

Creates a point-in-time snapshot from accumulated buffers, applying strike filtering.

Buffers are preserved (keep-latest semantics) so instruments that didn’t quote since the last tick are still included in subsequent snapshots.

Panics

Panics if strike prices cannot be compared (NaN values).

pub fn is_buffer_empty(&self) -> bool

Returns true if both buffers are empty.

pub fn check_rebalance(&self, now_ns: UnixNanos) -> Option<RebalanceAction>

Checks whether the instrument set should be rebalanced around the current ATM.

Returns None when no rebalancing is needed (fixed ranges, no ATM price, ATM strike unchanged, hysteresis not exceeded, or cooldown not elapsed). Returns Some(RebalanceAction) with instrument add/remove lists when the closest ATM strike shifts past the hysteresis threshold.

pub fn apply_rebalance(&mut self, action: &RebalanceAction, now_ns: UnixNanos)

Applies a rebalance action: updates the active ID set, cleans stale buffers, and records the rebalance timestamp.

Trait Implementations

impl Debug for OptionChainAggregator

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.