Module: MarketData::Validations

Includes:
Errors
Included in:
Indexes, Markets, Options, Quotes
Defined in:
lib/market_data/validations.rb

Constant Summary collapse

VALID_DAILY_RESOLUTION = 
['daily', 'D', '1D', '2D', '3D', '4D', '5D']
VALID_RESOLUTIONS = 
[
  *VALID_DAILY_RESOLUTION,
  'weekly', 'W', '1W', '2W', '3W', '4W', '5W',
  'monthly', 'M', '1M', '2M', '3M', '4M', '5M',
  'yearly', 'Y', '1Y', '2Y', '3Y', '4Y', '5Y',
]

Instance Method Summary collapse

Methods included from Errors

#handle_error

Instance Method Details

#options_for_expirations ⇒ Object 



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# File 'lib/market_data/validations.rb', line 15

def options_for_expirations
  {strike: nil, date: nil}
end

#options_for_option_chains ⇒ Object 



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# File 'lib/market_data/validations.rb', line 29

def options_for_option_chains
  {
    date: nil,
    expiration: nil, dte: nil, from: nil, to: nil, month: nil, year: nil, weekly: nil, monthly: nil, quarterly: nil,
    strike: nil, delta: nil, strike_limit: nil, range: nil,
    min_bid: nil, max_bid: nil, min_ask: nil, max_ask: nil, max_bid_ask_spread: nil, max_bid_ask_spread_pct: nil, min_open_interest: nil, min_volume: nil,
    non_standard: nil, side: nil, am: nil, pm: nil
  }
end

#options_for_option_quote ⇒ Object 



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# File 'lib/market_data/validations.rb', line 39

def options_for_option_quote
  {
    date: nil, to: nil, from: nil
  }
end

#options_for_strikes ⇒ Object 



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# File 'lib/market_data/validations.rb', line 23

def options_for_strikes
  {
    date: nil, expiration: nil
  }
end

#required_for_lookup ⇒ Object 



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# File 'lib/market_data/validations.rb', line 19

def required_for_lookup
  {symbol: nil, expiration: nil, strike: nil, side: nil}
end

#time_valid?(t) ⇒ Boolean

Returns:

  • (Boolean) 


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# File 'lib/market_data/validations.rb', line 270

def time_valid?(t)
  if t.kind_of?(String)
    begin
      DateTime.iso8601(t)
      return true
    rescue
      return false
    end
  end
  if t.kind_of?(Integer)
    return t > 0
  end
  false
end

#validate_bulk_candles_input!(resolution: nil, symbols: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 77

def validate_bulk_candles_input!(resolution: nil, symbols: nil)
  s, r = validate_resolution(resolution, VALID_DAILY_RESOLUTION)
  if s == :invalid
    raise BadParameterError.new(r)
  end
  if !symbols.kind_of?(Array) || symbols.size < 2
    raise BadParameterError.new("symbols must be list with at least 2 symbols")
  end

  r.merge({symbols: symbols.join(",")})
end

#validate_bulk_quotes_input!(symbols: nil, snapshot: nil, extended: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 60

def validate_bulk_quotes_input!(symbols: nil, snapshot: nil, extended: nil)
  result = {extended: false}
  if snapshot
    result.merge!({snapshot: true})
  else
    if !symbols.kind_of?(Array) || symbols.size < 2
      raise BadParameterError.new("symbols must be list with at least 2 symbols")
    end
    result.merge!({symbols: symbols.join(",")})
  end
  if extended
    result.merge!({extended: true})
  end
  
  result
end

#validate_candles_input!(resolution: nil, from: nil, to: nil, countback: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 89

def validate_candles_input!(resolution: nil, from: nil, to: nil, countback: nil)
  state, response = validate_from_to_countback_strategy(from: from, to: to, countback: countback)
  if state == :invalid
    raise BadParameterError.new(response)
  end

  state, res = validate_resolution(resolution)
  if state == :invalid
    raise BadParameterError.new(res)
  end

  response.merge(res)
end

#validate_earnings_input!(from: nil, to: nil, countback: nil, date: nil, report: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 103

def validate_earnings_input!(from: nil, to: nil, countback: nil, date: nil, report: nil)
  if !date.nil?
    return {date: date}
  end
  if !report.nil?
    return {report: report}
  end
  
  state, response = validate_from_to_countback_strategy(from: from, to: to, countback: countback)
  if state == :invalid
    raise BadParameterError.new(response)
  end

  return response
end

#validate_expiration_filters!(expiration: nil, dte: nil, from: nil, to: nil, month: nil, year: nil, weekly: nil, monthly: nil, quarterly: nil) ⇒ Object

Raises:



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# File 'lib/market_data/validations.rb', line 285

def validate_expiration_filters!(
  expiration: nil, dte: nil, from: nil, to: nil, month: nil, year: nil, weekly: nil, monthly: nil, quarterly: nil
)
  result = {}

  if !expiration.nil?
    raise BadParameterError.new("invalid date for `expiration`: #{expiration}") if expiration != "all" && !time_valid?(expiration)
    result.merge!({expiration: expiration})
  end

  # dte is exclusive with from & to
  if [dte, to, from].count(nil) == 0
    raise BadParameterError.new("either `dte` or (`from` and `to`) must be present")
  end

  if !dte.nil?
    raise BadParameterError.new("invalid value for `dte`: should be an integer") if !dte.kind_of? Integer
    result.merge!({dte: dte})
  end

  to_from_present = [from, to].count(nil)
  if to_from_present == 1
    raise BadParameterError.new("either none or both `from` and `to` must be included")
  end
  if to_from_present == 0
    raise BadParameterError.new("invalid date `from`: #{from}") if !time_valid?(from)
    raise BadParameterError.new("invalid date `to`: #{to}") if !time_valid?(to)
    result.merge!({from: from, to: to})
  end

  if !month.nil?
    if !month.kind_of?(Integer) || month > 12 || month < 1
      raise BadParameterError.new("`month` must be a number between 1 and 12 both inclusive") 
    end
    result.merge!({month: month})
  end

  if !year.nil?
    if !year.kind_of?(Integer) || year < 1920
      raise BadParameterError.new("`year` must be a number greater or equal than 1920") 
    end
    result.merge!({year: year})
  end

  timely_present = [weekly, monthly, quarterly].reject { |x| x.nil? }
  
  # check boolean-ness
  all_boolean = timely_present.all? { |x| x.kind_of?(FalseClass) || x.kind_of?(TrueClass)}
  raise BadParameterError.new("`weekly`, `monthly` and `quarterly` must be either true or false or nil") if !all_boolean
  
  # check all are the same
  all_true = timely_present.all? { |x| x.kind_of?(TrueClass)}
  all_false = timely_present.all? { |x| x.kind_of?(FalseClass)}
  raise BadParameterError.new("if two or more of `weekly`, `monthly` and `quarterly` are supplied, they must all have the same value") if !all_true && !all_false
  result.merge!({weekly: weekly}) if !weekly.nil?
  result.merge!({monthly: monthly}) if !monthly.nil?
  result.merge!({quarterly: quarterly}) if !quarterly.nil?

  result
end

#validate_expirations_input!(symbol: nil, strike: nil, date: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 158

def validate_expirations_input!(symbol: nil, strike: nil, date: nil)
  result = {}
  if !symbol.kind_of? String
    raise BadParameterError.new("symbol must be a string: found #{symbol}")
  end
  if symbol.empty?
    raise BadParameterError.new("symbol must be present: found empty string")
  end

  if !date.nil? && !time_valid?(date)
    raise BadParameterError.new("date is not valid")
  end
  result.merge!({date: date}) unless date.nil?
  
  if !strike.nil? && !strike.kind_of?(Numeric)
    raise BadParameterError.new("strike must be number, found: #{strike}")
  end
  result.merge!({strike: strike}) unless strike.nil?

  return result
end

#validate_from_to_countback_strategy(from: nil, to: nil, countback: nil) ⇒ Object

private methods



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# File 'lib/market_data/validations.rb', line 250

def validate_from_to_countback_strategy(
  from: nil, to: nil, countback: nil
)
  if !from.nil? && !to.nil?
    return :valid, {from: from, to: to}
  end
  if !to.nil? && !countback.nil? && from.nil?
    return :valid, {to: to, countback: countback}
  end
  
  return :invalid, "supply either :from and :to, or :to and :countback"
end

#validate_index_candles_input!(resolution: nil, from: nil, to: nil, countback: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 154

def validate_index_candles_input!(resolution: nil, from: nil, to: nil, countback: nil)
  validate_candles_input!(resolution: resolution, from: from, to: to, countback: countback)
end

#validate_index_quote_input!(w52: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 147

def validate_index_quote_input!(w52: nil)
  if w52.nil? || !w52
    return {}
  end
  {"52week" => w52}
end

#validate_lookup_input!(symbol: nil, expiration: nil, strike: nil, side: nil) ⇒ Object

Raises:



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# File 'lib/market_data/validations.rb', line 180

def validate_lookup_input!(symbol: nil, expiration: nil, strike: nil, side: nil)
  raise BadParameterError.new("symbol must be present. Found :#{symbol}") if symbol.nil? || symbol.empty?
  raise BadParameterError.new("expiration must be present. Found :#{expiration}") if expiration.nil? || expiration.empty?
  raise BadParameterError.new("strike must be present. Found :#{symbol}") if strike.nil?
  if side.nil? || ![Constants::SIDE_CALL, Constants::SIDE_PUT].include?(side)
    raise BadParameterError.new("side must be either '#{Constants::SIDE_PUT}' or '#{Constants::SIDE_CALL}'. Found: '#{symbol}'")
  end
  return {symbol: symbol, expiration: expiration, strike: strike, side: side}
end

#validate_market_status_input!(country: nil, date: nil, from: nil, to: nil, countback: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 119

def validate_market_status_input!(country: nil, date: nil, from: nil, to: nil, countback: nil)
  result = {}

  if [country, date, from, to, countback].all? { |x| x.nil? }
    return result
  end

  if !country.nil?
    result.merge!({country: country})  
  end
  
  if !date.nil?
    # date has higher priority than from-to-countback
    return result.merge({date: date})
  end

  if [from, to, countback].all? { |x| x.nil? }
    return result
  else
    state, response = validate_from_to_countback_strategy(from: from, to: to, countback: countback)
    if state == :invalid
      raise BadParameterError.new(response)
    end

    return result.merge(response)
  end
end

#validate_option_chain_input!(symbol: nil, date: nil, expiration: nil, dte: nil, from: nil, to: nil, month: nil, year: nil, weekly: nil, monthly: nil, quarterly: nil, strike: nil, delta: nil, strike_limit: nil, range: nil, min_bid: nil, max_bid: nil, min_ask: nil, max_ask: nil, max_bid_ask_spread: nil, max_bid_ask_spread_pct: nil, min_open_interest: nil, min_volume: nil, non_standard: nil, side: nil, am: nil, pm: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 209

def validate_option_chain_input!(
  symbol: nil, date: nil, 
  expiration: nil, dte: nil, from: nil, to: nil, month: nil, year: nil, weekly: nil, monthly: nil, quarterly: nil,
  strike: nil, delta: nil, strike_limit: nil, range: nil,
  min_bid: nil, max_bid: nil, min_ask: nil, max_ask: nil, max_bid_ask_spread: nil, max_bid_ask_spread_pct: nil, min_open_interest: nil, min_volume: nil,
  non_standard: nil, side: nil, am: nil, pm: nil
)
  result = {}
  
  if symbol.nil? || !symbol.kind_of?(String) || symbol.empty?
    raise BadParameterError.new("symbol must be present. Found: #{symbol}")
  end
  
  if !date.nil?
    raise BadParameterError.new("invalid date for `date`: #{date}") if !time_valid?(date)
    result.merge!({date: date})
  end
  
  # handle expiration filters
  e_filters = {expiration: expiration, dte: dte, from: from, to: to, month: month, year: year, weekly: weekly, monthly: monthly, quarterly: quarterly}
  expiration_filters_validated_query = validate_expiration_filters!(**e_filters)
  result.merge!(expiration_filters_validated_query)

  # handle strike filters
  s_filters = {strike: strike, delta: delta, strike_limit: strike_limit, range: range}
  strike_filters_validated_query = validate_option_chain_strike_filters!(**s_filters)
  result.merge!(strike_filters_validated_query)

  # handle liquidity filters
  l_filters = {min_bid: min_bid, max_bid: max_bid, min_ask: min_ask, max_ask: max_ask, max_bid_ask_spread: max_bid_ask_spread,
    max_bid_ask_spread_pct: max_bid_ask_spread_pct, min_open_interest: min_open_interest, min_volume: min_volume}
  liquidity_filters_validated_query = validate_option_chain_liquidity_filters!(**l_filters)
  result.merge!(liquidity_filters_validated_query)

  # handle other filters
  o_filters = {non_standard: non_standard, side: side, am: am, pm: pm}
  other_filters_validated_query = validate_option_chain_other_filters!(**o_filters)
  result.merge!(other_filters_validated_query)
end

#validate_option_chain_liquidity_filters!(min_bid: nil, max_bid: nil, min_ask: nil, max_ask: nil, max_bid_ask_spread: nil, max_bid_ask_spread_pct: nil, min_open_interest: nil, min_volume: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 375

def validate_option_chain_liquidity_filters!(
  min_bid: nil, max_bid: nil, min_ask: nil, max_ask: nil, max_bid_ask_spread: nil,
  max_bid_ask_spread_pct: nil, min_open_interest: nil, min_volume: nil
)
  result = {}
  if !min_bid.nil?
    raise BadParameterError.new("`min_bid` must be a number") if !min_bid.kind_of?(Numeric)
    result.merge!({minBid: min_bid})
  end
  if !max_bid.nil?
    raise BadParameterError.new("`max_bid` must be a number") if !max_bid.kind_of?(Numeric)
    result.merge!({maxBid: max_bid})
  end
  if !min_ask.nil?
    raise BadParameterError.new("`min_ask` must be a number") if !min_ask.kind_of?(Numeric)
    result.merge!({minAsk: min_ask})
  end
  if !max_ask.nil?
    raise BadParameterError.new("`max_ask` must be a number") if !max_ask.kind_of?(Numeric)
    result.merge!({maxAsk: max_ask})
  end
  if !max_bid_ask_spread.nil?
    raise BadParameterError.new("`max_bid_ask_spread` must be a number") if !max_bid_ask_spread.kind_of?(Numeric)
    result.merge!({maxBidAskSpread: max_bid_ask_spread})
  end
  if !max_bid_ask_spread_pct.nil?
    raise BadParameterError.new("`max_bid_ask_spread_pct` must be a number") if !max_bid_ask_spread_pct.kind_of?(Numeric)
    result.merge!({maxBidAskSpreadPct: max_bid_ask_spread_pct})
  end
  if !min_open_interest.nil?
    raise BadParameterError.new("`min_open_interest` must be a number") if !min_open_interest.kind_of?(Numeric)
    result.merge!({minOpenInterest: min_open_interest})
  end
  if !min_volume.nil?
    raise BadParameterError.new("`min_volume` must be a number") if !min_volume.kind_of?(Numeric)
    result.merge!({minVolume: min_volume})
  end
  result
end

#validate_option_chain_other_filters!(non_standard: nil, side: nil, am: nil, pm: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 415

def validate_option_chain_other_filters!(non_standard: nil, side: nil, am: nil, pm: nil)
  result = {}
  if !non_standard.nil?
    raise BadParameterError.new("`non_standard` can be either nil or a boolean") if ![FalseClass, TrueClass].include?(non_standard.class)
    result.merge!({nonstandard: non_standard}) if non_standard
    
  end
  if !side.nil?
    if ![Constants::SIDE_CALL.downcase, Constants::SIDE_PUT.downcase].include?(side)
      raise BadParameterError.new("`side` must be either '#{Constants::SIDE_PUT.downcase}' or '#{Constants::SIDE_CALL.downcase}'. Found: '#{side}'")
    end
    result.merge!({side: side})
  end
  if !am.nil?
    raise BadParameterError.new("`non_standard` can be either nil or a boolean") if ![FalseClass, TrueClass].include?(am.class)
    result.merge!({am: am})
  end
  if !pm.nil?
    raise BadParameterError.new("`non_standard` can be either nil or a boolean") if ![FalseClass, TrueClass].include?(pm.class)
    result.merge!({pm: pm})
  end
  result
end

#validate_option_chain_strike_filters!(strike: nil, delta: nil, strike_limit: nil, range: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 346

def validate_option_chain_strike_filters!(
  strike: nil, delta: nil, strike_limit: nil, range: nil
)
  result = {}
  if !strike.nil?
    raise BadParameterError.new("`strike` must be string") if !strike.kind_of?(String)
    result.merge!({strike: strike})
  end

  if !delta.nil?
    raise BadParameterError.new("`delta` must be string") if !delta.kind_of?(String)
    result.merge!({delta: delta})
  end

  if !strike_limit.nil?
    raise BadParameterError.new("`strike_limit` must be a number") if !strike_limit.kind_of?(Numeric)
    result.merge!({strikeLimit: strike_limit})
  end

  if !range.nil?
    if !Constants::RANGE_ALLOWED.include?(range)
      raise BadParameterError.new("`range` must be either nil or one of: `itm`,`otm`,`all`")
    else
      result.merge!({range: range})
    end
  end
  result
end

#validate_option_quote_input!(symbol: nil, date: nil, from: nil, to: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 439

def validate_option_quote_input!(symbol: nil, date: nil, from: nil, to: nil)
  result = {}
  if symbol.nil? || !symbol.kind_of?(String) || symbol.empty?
    raise BadParameterError.new("symbol must be present. Found: #{symbol}")
  end

  if !date.nil?
    raise BadParameterError.new("invalid date: #{date}") if !time_valid?(date)
    return result.merge!({date: date})
  end

  if [to, from].count(nil) == 1
    raise BadParameterError.new("either none or both `to` and `from` must be present")
  end

  if [to, from].count(nil) == 0
    raise BadParameterError.new("invalid `to`: #{to}") if !time_valid?(to)
    raise BadParameterError.new("invalid `from`: #{from}") if !time_valid?(from)
    result.merge!({from: from, to: to})
  end
  
  result
end

#validate_quotes_input!(symbol: nil, w52: nil, extended: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 45

def validate_quotes_input!(symbol: nil, w52: nil, extended: nil)
  result = {}

  if w52
    result.merge!({"52week" => true})
  end
  # MarketData API considers extended as true by default. Should be included
  # in the query when false
  if !extended
    result.merge!({extended: false})
  end
  
  result
end

#validate_resolution(resolution, allowed_values = VALID_RESOLUTIONS) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 263

def validate_resolution resolution, allowed_values = VALID_RESOLUTIONS
  if VALID_RESOLUTIONS.include? resolution
    return :valid, {resolution: resolution}
  end
  return :invalid, "invalid resolution: #{resolution}"
end

#validate_strikes_input!(symbol: nil, date: nil, expiration: nil) ⇒ Object 



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# File 'lib/market_data/validations.rb', line 190

def validate_strikes_input!(symbol: nil, date: nil, expiration: nil)
  if symbol.nil? || symbol.empty?
    raise BadParameterError.new("symbol must be present. Found: #{symbol}")
  end
  result = {symbol: symbol}

  if !date.nil?
    raise BadParameterError.new("invalid date: #{date}") if !time_valid?(date)
    return result.merge({date: date})
  end

  if !expiration.nil?
    raise BadParameterError.new("invalid date: #{expiration}") if !time_valid?(expiration)
    result.merge!({expiration: expiration})
  end

  result
end