/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.core.value;
/**
* A set of common names used to refer to market data values.
*/
public interface MarketDataRequirementNames {
// All market data field names must be prefixed with "Market_" to distinguish them as market data fields in the
// global namespace of field names. The field name that follows should be in Pascal case.
/**
* Sent in the OpenGamma normalization schema for all asset types. Used to provide whatever value best represents the
* instrument.
*/
String MARKET_VALUE = "Market_Value";
/**
* Sent in the OpenGamma normalization schema for all options for which it is available from the underlying market
* data API.
*/
String IMPLIED_VOLATILITY = "Market_ImpliedVolatility";
/**
* Sent in the OpenGamma normalization schema for all asset types for which available (e.g., equities).
*/
String VOLUME = "Market_Volume";
/**
* Last trade value
*/
String LAST = "Market_Last";
/**
* The date and time associated with {@link MarketDataRequirementNames#LAST}.
*/
String LAST_DATE_TIME = "Market_LastDateTime";
/**
* Settlement value. This is used when one wants most recent close available in both Live and Historical
* Live - value of last trading day's settlement
* Historical - value of specified day's settlement
*/
String SETTLE_PRICE = "Market_SettlementPrice";
/**
* (bid + ask) / 2
*/
String MID = "Market_Mid";
/**
* Highest bid
*/
String BID = "Market_Bid";
/**
* The date and time associated with {@link MarketDataRequirementNames#BID}.
*/
String BID_DATE_TIME = "Market_BidDateTime";
/**
* Lowest ask
*/
String ASK = "Market_Ask";
/**
* The date and time associated with {@link MarketDataRequirementNames#ASK}.
*/
String ASK_DATE_TIME = "Market_AskDateTime";
/**
* Best estimate of implied volatility, might be same as mid implied vol
*/
String BEST_IMPLIED_VOLATILITY = "Market_OptImpliedVolatilityBest";
/**
* Implied vol if you want to sell options
*/
String BID_IMPLIED_VOLATILITY = "Market_OptImpliedVolatilityBid";
/**
* Implied vol if you want to buy options
*/
String ASK_IMPLIED_VOLATILITY = "Market_OptImpliedVolatilityAsk";
/**
* Implied vol based on the last trade
*/
String LAST_IMPLIED_VOLATILITY = "Market_OptImpliedVolatilityLast";
/**
* An average of bid and ask implied vol
*/
String MID_IMPLIED_VOLATILITY = "Market_OptImpliedVolatilityMid";
/**
* An average of yield and the convention (?)
*/
String YIELD_CONVENTION_MID = "Market_YieldConventionMid";
/**
* An average of yield and yield to maturity
*/
String YIELD_YIELD_TO_MATURITY_MID = "Market_YieldYieldToMaturityMid";
/**
* Market dirty price (MID)
*/
String DIRTY_PRICE_MID = "Market_DirtyPriceMid";
/**
* Market estimated annual dividend yield
*/
String DIVIDEND_YIELD = "Market_DividendYield";
/**
* Market estimated annual dividend
*/
String ANNUAL_DIVIDEND = "Market_AnnualDividend";
/**
* Market next dividend date
*/
String NEXT_DIVIDEND_DATE = "Market_NextDividendDate";
/**
* Estimated frequency of dividend payments, as the number of payments per year
*/
String DIVIDEND_FREQUENCY = "Market_DividendFrequency";
/**
* Market estimated cost of carry, as continuous annual yield (interest - income)
*/
String COST_OF_CARRY = "Market_CostOfCarry";
/**
* High value. Sometimes sent as part of a candle or EOD message.
*/
String HIGH = "Market_High";
/**
* Low value. Sometimes sent as part of a candle or EOD message.
*/
String LOW = "Market_Low";
/**
* Previous day's closing bid price.
*/
String CLOSING_BID = "Market_ClosingBid";
/**
* The date associated with {@link MarketDataRequirementNames#CLOSING_BID}.
*/
String CLOSING_BID_DATE = "Market_ClosingBidDate";
/**
* Previous day's closing ask price.
*/
String CLOSING_ASK = "Market_ClosingAsk";
/**
* The date associated with {@link MarketDataRequirementNames#CLOSING_ASK}.
*/
String CLOSING_ASK_DATE = "Market_ClosingAskDate";
/**
* Last closing trade price, may be from mulitple days ago
*/
String CLOSE = "Market_Close";
/**
* The date associated with {@link MarketDataRequirementNames#CLOSE}.
*/
String CLOSE_DATE = "Market_CloseDate";
/**
* A special name used to request all available market data for an instrument.
*/
String ALL = "Market_All";
}