Skip to content

Refine greeks functions in Rust #2496

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
cjdsellers merged 1 commit into from
Apr 6, 2025
Merged

Refine greeks functions in Rust #2496

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
49 changes: 15 additions & 34 deletions crates/common/src/greeks.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -90,6 +90,7 @@ impl GreeksCalculator {
let publish_greeks = publish_greeks.unwrap_or(false);
let ts_event = ts_event.unwrap_or_default();
let percent_greeks = percent_greeks.unwrap_or(false);

let cache = self.cache.borrow();
let instrument = cache.instrument(&instrument_id);
let instrument = match instrument {
Expand All @@ -106,7 +107,6 @@ impl GreeksCalculator {
.price(&underlying_instrument_id, PriceType::Last)
.unwrap_or_default()
.as_f64();

let (delta, _) = self.modify_greeks(
multiplier.as_f64(),
0.0,
Expand All @@ -117,7 +117,6 @@ impl GreeksCalculator {
index_instrument_id,
beta_weights.as_ref(),
);

let mut greeks_data =
GreeksData::from_delta(instrument_id, delta, multiplier.as_f64(), ts_event);

Expand All @@ -130,7 +129,7 @@ impl GreeksCalculator {
}

let mut greeks_data = None;
let underlying = instrument.underlying().unwrap_or_default();
let underlying = instrument.underlying().unwrap();
let underlying_str = format!("{}.{}", underlying, instrument_id.venue);
let underlying_instrument_id = InstrumentId::from(underlying_str.as_str());

Expand All @@ -147,8 +146,8 @@ impl GreeksCalculator {
} else {
self.clock.borrow().timestamp_ns()
};
let utc_now = utc_now_ns.to_datetime_utc();

let utc_now = utc_now_ns.to_datetime_utc();
let expiry_utc = instrument
.expiration_ns()
.map(|ns| ns.to_datetime_utc())
Expand All @@ -159,9 +158,7 @@ impl GreeksCalculator {
.parse::<i32>()
.unwrap_or(0);
let expiry_in_years = (expiry_utc - utc_now).num_days().min(1) as f64 / 365.25;

let currency = instrument.quote_currency().code.to_string();

let interest_rate = match cache.yield_curve(&currency) {
Some(yield_curve) => yield_curve(expiry_in_years),
None => flat_interest_rate,
Expand All @@ -181,7 +178,6 @@ impl GreeksCalculator {
let multiplier = instrument.multiplier();
let is_call = instrument.option_kind().unwrap_or(OptionKind::Call) == OptionKind::Call;
let strike = instrument.strike_price().unwrap_or_default().as_f64();

let option_mid_price = cache
.price(&instrument_id, PriceType::Mid)
.unwrap_or_default()
Expand Down Expand Up @@ -211,7 +207,6 @@ impl GreeksCalculator {
index_instrument_id,
beta_weights.as_ref(),
);

greeks_data = Some(GreeksData::new(
utc_now_ns,
utc_now_ns,
Expand Down Expand Up @@ -272,7 +267,6 @@ impl GreeksCalculator {
shocked_time_to_expiry,
greeks_data.multiplier,
);

let (delta, gamma) = self.modify_greeks(
greeks.delta,
greeks.gamma,
Expand All @@ -283,7 +277,6 @@ impl GreeksCalculator {
index_instrument_id,
beta_weights.as_ref(),
);

greeks_data = GreeksData::new(
greeks_data.ts_event,
greeks_data.ts_event,
Expand Down Expand Up @@ -483,20 +476,7 @@ impl GreeksCalculator {
index_instrument_id,
beta_weights.clone(),
)?;

// Apply quantity to the greeks
let position_greeks = PortfolioGreeks::new(
instrument_greeks.ts_init,
instrument_greeks.ts_event,
instrument_greeks.pnl * quantity,
instrument_greeks.price * quantity,
instrument_greeks.delta * quantity,
instrument_greeks.gamma * quantity,
instrument_greeks.vega * quantity,
instrument_greeks.theta * quantity,
);

portfolio_greeks = portfolio_greeks + position_greeks;
portfolio_greeks = portfolio_greeks + (quantity * &instrument_greeks).into();
}

Ok(portfolio_greeks)
Expand All @@ -509,14 +489,6 @@ impl GreeksCalculator {
where
F: Fn(GreeksData) + 'static + Send + Sync,
{
let cache_ref = self.cache.clone();
let default_handler =
msgbus::handler::TypedMessageHandler::with_any(move |greeks: &dyn std::any::Any| {
if let Some(greeks_data) = greeks.downcast_ref::<GreeksData>() {
let mut cache = cache_ref.borrow_mut();
cache.add_greeks(greeks_data.clone()).unwrap_or_default();
}
});
let topic_str = format!("data.GreeksData.instrument_id={}*", underlying);
let topic = Ustr::from(topic_str.as_str());

Expand All @@ -530,13 +502,22 @@ impl GreeksCalculator {
);
msgbus::subscribe(
topic.as_str(),
crate::msgbus::handler::ShareableMessageHandler(Rc::new(handler)),
msgbus::handler::ShareableMessageHandler(Rc::new(handler)),
None,
);
} else {
let cache_ref = self.cache.clone();
let default_handler = msgbus::handler::TypedMessageHandler::with_any(
move |greeks: &dyn std::any::Any| {
if let Some(greeks_data) = greeks.downcast_ref::<GreeksData>() {
let mut cache = cache_ref.borrow_mut();
cache.add_greeks(greeks_data.clone()).unwrap_or_default();
}
},
);
msgbus::subscribe(
topic.as_str(),
crate::msgbus::handler::ShareableMessageHandler(Rc::new(default_handler)),
msgbus::handler::ShareableMessageHandler(Rc::new(default_handler)),
None,
);
}
Expand Down
15 changes: 15 additions & 0 deletions crates/model/src/data/greeks.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -399,6 +399,21 @@ impl Add for PortfolioGreeks {
}
}

impl From<GreeksData> for PortfolioGreeks {
fn from(greeks: GreeksData) -> Self {
Self {
ts_init: greeks.ts_init,
ts_event: greeks.ts_event,
pnl: greeks.pnl,
price: greeks.price,
delta: greeks.delta,
gamma: greeks.gamma,
vega: greeks.vega,
theta: greeks.theta,
}
}
}

impl GetTsInit for PortfolioGreeks {
fn ts_init(&self) -> UnixNanos {
self.ts_init
Expand Down
Loading