Realtime Options Greeks

README.md

@@ -64,6 +64,10 @@ For a sample Java project see: [intrinio-realtime-java-sdk](https://github.com/i
 ## Options and Equities concurrently Example Usage
 * See [Composite Sample Websocket](https://github.com/intrinio/intrinio-realtime-java-sdk/blob/master/src/SampleApp/CompositeSampleApp.java) and [Sample Websocket](https://github.com/intrinio/intrinio-realtime-java-sdk/blob/master/src/SampleApp/SampleApp.java)
 
+## Realtime Greeks Example Usage
+* See [Greek Sample App](https://github.com/intrinio/intrinio-realtime-java-sdk/blob/master/src/SampleApp/GreekSampleApp.java) and [Sample Websocket](https://github.com/intrinio/intrinio-realtime-java-sdk/blob/master/src/SampleApp/SampleApp.java)
+* Uses `intrinio.realtime.composite.DataCache` + `GreekClient` with Black–Scholes calculation (mirrors the C# composite Greek client). Wire equities and options trades/quotes into the shared cache and `GreekClient` handlers; enable via `GreekSampleApp.run(args)` in `SampleApp.java`.
+
 ## Handling Events
 
 There are thousands of securities and millions of options contracts, each with their own feed of activity.  We highly encourage you to make your trade and quote handlers has short as possible and follow a queue pattern so your app can handle the volume of activity.

pom.xml

@@ -2,7 +2,7 @@
   <modelVersion>4.0.0</modelVersion>
   <groupId>com.intrinio</groupId>
   <artifactId>IntrinioRealtimeJavaSDK</artifactId>
-  <version>8.2.0</version>
+  <version>9.0.0</version>
   <packaging>jar</packaging>
   <name>IntrinioRealtimeJavaSDK</name>
   <build>

src/SampleApp/GreekSampleApp.java

@@ -0,0 +1,251 @@
+package SampleApp;
+
+import intrinio.realtime.composite.DataCache;
+import intrinio.realtime.composite.DataCacheFactory;
+import intrinio.realtime.composite.Greek;
+import intrinio.realtime.composite.GreekClient;
+import intrinio.realtime.composite.GreekUpdateFrequency;
+import intrinio.realtime.composite.OptionsContractData;
+import intrinio.realtime.composite.SecurityData;
+
+import java.time.LocalDateTime;
+import java.time.format.DateTimeFormatter;
+import java.util.EnumSet;
+import java.util.Map;
+import java.util.Timer;
+import java.util.TimerTask;
+import java.util.concurrent.ConcurrentHashMap;
+import java.util.concurrent.atomic.AtomicBoolean;
+import java.util.concurrent.atomic.AtomicLong;
+
+/**
+ * Sample application that mirrors the C# {@code GreekSampleApp}:
+ * streams equities and options into a shared {@link DataCache}, runs {@link GreekClient}
+ * for Black–Scholes Greeks, and periodically logs socket / Greek statistics.
+ * <p>
+ * Configure credentials and symbols via {@code intrinio/config.json} (loaded by the
+ * equities and options {@code Config.load()} helpers), or construct configs inline.
+ * </p>
+ */
+public class GreekSampleApp {
+
+    private static Timer timer;
+    private static GreekClient greekClient;
+    private static DataCache dataCache;
+    private static final ConcurrentHashMap<String, String> seenGreekTickers = new ConcurrentHashMap<>();
+
+    private static intrinio.realtime.options.Client optionsClient;
+    private static intrinio.realtime.options.Config optionsConfig;
+    private static final AtomicLong optionsTradeEventCount = new AtomicLong(0L);
+    private static final AtomicLong optionsQuoteEventCount = new AtomicLong(0L);
+    private static final AtomicLong greekUpdatedEventCount = new AtomicLong(0L);
+
+    private static intrinio.realtime.equities.Client equitiesClient;
+    private static intrinio.realtime.equities.Config equitiesConfig;
+    private static final AtomicLong equitiesTradeEventCount = new AtomicLong(0L);
+    private static final AtomicLong equitiesQuoteEventCount = new AtomicLong(0L);
+    private static final AtomicBoolean stopped = new AtomicBoolean(false);
+
+    private static void onOptionsQuote(intrinio.realtime.options.Quote quote) {
+        optionsQuoteEventCount.incrementAndGet();
+    }
+
+    private static void onOptionsTrade(intrinio.realtime.options.Trade trade) {
+        optionsTradeEventCount.incrementAndGet();
+    }
+
+    private static void onEquitiesQuote(intrinio.realtime.equities.Quote quote) {
+        equitiesQuoteEventCount.incrementAndGet();
+    }
+
+    private static void onEquitiesTrade(intrinio.realtime.equities.Trade trade) {
+        equitiesTradeEventCount.incrementAndGet();
+    }
+
+    /**
+     * Invoked by {@link GreekClient} / the data cache when a contract's Greek value is updated.
+     */
+    private static void onGreek(String key,
+                                Greek datum,
+                                OptionsContractData optionsContractData,
+                                SecurityData securityData,
+                                DataCache cache) {
+        greekUpdatedEventCount.incrementAndGet();
+        // Log("Greek: " + optionsContractData.getContract() + "\t\t" + key + "\t\t" + (datum != null ? datum.toString() : ""));
+        if (securityData != null && optionsContractData != null) {
+            seenGreekTickers.putIfAbsent(securityData.getTickerSymbol(), optionsContractData.getContract());
+        }
+    }
+
+    private static void timerCallback() {
+        try {
+            if (optionsClient != null) {
+                Log("Options Socket Stats - " + optionsClient.getStats()
+                        + ", App trades: " + optionsTradeEventCount.get()
+                        + ", App quotes: " + optionsQuoteEventCount.get());
+            }
+            if (equitiesClient != null) {
+                Log("Equities Socket Stats - " + equitiesClient.getStats()
+                        + ", App trades: " + equitiesTradeEventCount.get()
+                        + ", App quotes: " + equitiesQuoteEventCount.get());
+            }
+
+            Log("Greek updates: " + greekUpdatedEventCount.get());
+            Log("Data Cache Security Count: " + dataCache.getAllSecurityData().size());
+
+            long dividendYieldCount = 0L;
+            for (Map.Entry<String, SecurityData> entry : dataCache.getAllSecurityData().entrySet()) {
+                if (entry.getValue() != null
+                        && entry.getValue().getSupplementaryDatum(GreekClient.DIVIDEND_YIELD_KEY_NAME) != null) {
+                    dividendYieldCount++;
+                }
+            }
+            Log("Dividend Yield Count: " + dividendYieldCount);
+            Log("Unique Securities with Greeks Count: " + seenGreekTickers.size());
+        } catch (Exception e) {
+            Log("Error in timer callback: " + e.getMessage());
+        }
+    }
+
+    private static void shutdown() {
+        Log("Stopping sample app");
+        try {
+            if (timer != null) {
+                timer.cancel();
+            }
+        } catch (Exception ignored) {
+        }
+        try {
+            if (optionsClient != null) {
+                optionsClient.leave();
+                optionsClient.stop();
+            }
+        } catch (Exception ignored) {
+        }
+        try {
+            if (equitiesClient != null) {
+                equitiesClient.leave();
+                equitiesClient.stop();
+            }
+        } catch (Exception ignored) {
+        }
+        try {
+            if (greekClient != null) {
+                greekClient.stop();
+            }
+        } catch (Exception ignored) {
+        }
+        stopped.set(true);
+    }
+
+    private static void Log(String message) {
+        DateTimeFormatter dtf = DateTimeFormatter.ofPattern("yyyy-MM-dd HH:mm:ss");
+        System.out.println(dtf.format(LocalDateTime.now()) + " " + message);
+    }
+
+    /**
+     * Entry point used by {@link SampleApp}.
+     *
+     * @param args unused
+     */
+    public static void run(String[] args) {
+        Log("Starting Greek sample app");
+
+        dataCache = DataCacheFactory.create();
+
+        EnumSet<GreekUpdateFrequency> updateFrequency = EnumSet.of(
+                GreekUpdateFrequency.EVERY_DIVIDEND_YIELD_UPDATE,
+                GreekUpdateFrequency.EVERY_RISK_FREE_INTEREST_RATE_UPDATE,
+                GreekUpdateFrequency.EVERY_OPTIONS_TRADE_UPDATE,
+                GreekUpdateFrequency.EVERY_EQUITY_TRADE_UPDATE);
+
+        // You can either automatically load config.json by doing nothing, or you can specify your own config and pass it in.
+        // optionsConfig = new intrinio.realtime.options.Config("API_KEY_HERE", intrinio.realtime.options.Provider.OPRA, null, new String[]{}, 8, false);
+        optionsConfig = intrinio.realtime.options.Config.load();
+        if (optionsConfig == null) {
+            Log("Failed to load options config from intrinio/config.json");
+            return;
+        }
+
+        greekClient = new GreekClient(updateFrequency, GreekSampleApp::onGreek, optionsConfig.getOptionsApiKey(), dataCache);
+        greekClient.addBlackScholes(optionsConfig.getOptionsProvider());
+        // greekClient.tryAddOrUpdateGreekCalculation("MyGreekCalculation", MyCalculateNewGreekDelegate);
+        // Hint: Use dataCache.setOptionSupplementalDatum inside your delegate to save values.
+        greekClient.start();
+
+        optionsClient = new intrinio.realtime.options.Client(optionsConfig);
+        // Fan-out: app counters, data cache (drives Greek callbacks), and GreekClient ticker tracking
+        optionsClient.setOnTrade(trade -> {
+            onOptionsTrade(trade);
+            dataCache.setOptionsTrade(trade);
+            greekClient.onOptionsTrade(trade);
+        });
+        optionsClient.setOnQuote(quote -> {
+            onOptionsQuote(quote);
+            dataCache.setOptionsQuote(quote);
+            greekClient.onOptionsQuote(quote);
+        });
+
+        try {
+            optionsClient.start();
+            optionsClient.join();
+            // optionsClient.joinLobby(); // Firehose
+            // optionsClient.join(new String[] { "AAPL", "GOOG", "MSFT" }); // Specify symbols at runtime
+        } catch (Exception e) {
+            Log("Error starting options client: " + e.getMessage());
+            e.printStackTrace();
+            return;
+        }
+
+        // equitiesConfig = new intrinio.realtime.equities.Config("API_KEY_HERE", intrinio.realtime.equities.Provider.NASDAQ_BASIC, null, new String[]{}, false, 4, false);
+        equitiesConfig = intrinio.realtime.equities.Config.load();
+        if (equitiesConfig == null) {
+            Log("Failed to load equities config from intrinio/config.json");
+            return;
+        }
+
+        equitiesClient = new intrinio.realtime.equities.Client(
+                trade -> {
+                    onEquitiesTrade(trade);
+                    dataCache.setEquityTrade(trade);
+                    greekClient.onEquityTrade(trade);
+                },
+                quote -> {
+                    onEquitiesQuote(quote);
+                    dataCache.setEquityQuote(quote);
+                    greekClient.onEquityQuote(quote);
+                },
+                equitiesConfig);
+
+        try {
+            equitiesClient.start();
+            equitiesClient.join();
+            // equitiesClient.joinLobby(); // Firehose
+            // equitiesClient.join(new String[] { "AAPL", "GOOG", "MSFT" }); // Specify symbols at runtime
+        } catch (Exception e) {
+            Log("Error starting equities client: " + e.getMessage());
+            e.printStackTrace();
+            return;
+        }
+
+        Runtime.getRuntime().addShutdownHook(new Thread(GreekSampleApp::shutdown));
+
+        timer = new Timer("GreekSampleApp-stats", true);
+        timer.scheduleAtFixedRate(new TimerTask() {
+            @Override
+            public void run() {
+                timerCallback();
+            }
+        }, 60_000L, 60_000L);
+
+        // Keep the main thread alive until shutdown
+        while (!stopped.get()) {
+            try {
+                Thread.sleep(1000L);
+            } catch (InterruptedException e) {
+                Thread.currentThread().interrupt();
+                break;
+            }
+        }
+    }
+}

src/SampleApp/SampleApp.java

@@ -6,5 +6,6 @@ public static void main(String[] args)
 		EquitiesSampleApp.run(args);
 		//OptionsSampleApp.run(args);
 		//CompositeSampleApp.run(args);
+		//GreekSampleApp.run(args);
 	}
 }