com.dxfeed.ipf.tools
Class OCCParser

java.lang.Object
  extended by com.dxfeed.ipf.InstrumentProfileReader
      extended by com.dxfeed.ipf.tools.OCCParser

public class OCCParser
extends InstrumentProfileReader

Parses OCC FIXML file containing definitions of options and returns a list of InstrumentProfile.

OCC file does not contain information about primary underlying in case of multiple delivery. In such cases parser uses a heuristic to determine which underlying should be primary. It finds underlying with maximum shares per contract (SPC) value. If several underlyings have same SPC then the smallest one (alphabetically) is chosen. Cash underlying is ignored and could not be chosen as primary unless it is the sole underlying of an option.

Used exchanges according to OCC documentation, usage shown as of May 2008:

 -MIC-   -ACRONYM-
 HEGX    HEGX
 ICEL    IFX
 XASE    AMEX    used
 XBOX    BOX     used
 XCBF    CFE
 XCBO    CBOE    used
 XCBT    CBOT
 XCME    CME
 XEUS    EOX
 XISX    ISE     used
 XNDQ    NSDQ    used
 XNQL    NQLX
 XOCH    ONE
 XPBT    PBOT
 XPHO    PHLX    used
 XPSE    PSE     used
 


Nested Class Summary
 
Nested classes/interfaces inherited from class com.dxfeed.ipf.InstrumentProfileReader
InstrumentProfileReader.UncloseableInputStream
 
Constructor Summary
OCCParser()
           
OCCParser(long bizdate)
           
OCCParser(long bizdate, boolean osi)
           
 
Method Summary
 java.util.List<InstrumentProfile> read(java.io.InputStream in)
          Reads and returns instrument profiles from specified stream.
 
Methods inherited from class com.dxfeed.ipf.InstrumentProfileReader
read, readFromFile
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

OCCParser

public OCCParser()

OCCParser

public OCCParser(long bizdate)

OCCParser

public OCCParser(long bizdate,
                 boolean osi)
Method Detail

read

public java.util.List<InstrumentProfile> read(java.io.InputStream in)
                                       throws java.io.IOException
Reads and returns instrument profiles from specified stream.

Overrides:
read in class InstrumentProfileReader
Throws:
java.io.IOException - If an I/O error occurs