Gamma-Exposure-MQL5/Include/GEX/GexProviderNative.mqh

//+------------------------------------------------------------------+
//|                                            GexProviderNative.mqh |
//|                                      MMQ — Muhammad Minhas Qamar |
//|                                   www.mql5.com/en/articles/23410 |
//+------------------------------------------------------------------+
#property copyright "MMQ — Muhammad Minhas Qamar"
#property link      "https://www.mql5.com/en/articles/23410"
#property version   "1.00"

#ifndef GEX_GEXPROVIDERNATIVE_MQH
#define GEX_GEXPROVIDERNATIVE_MQH

#include <GEX/BlackScholes.mqh>
#include <GEX/GexData.mqh>

//+------------------------------------------------------------------+
//| Reads the broker's native MetaTrader 5 option symbols and        |
//| produces the same OptionQuote list the CSV provider does. The    |
//| one field GEX needs beyond the surface is open interest, which   |
//| the terminal exposes as SYMBOL_SESSION_INTEREST.                 |
//+------------------------------------------------------------------+
class CGexProviderNative
  {
public:
   //--- underlying: base symbol (e.g. "SP" / "GAZP"); rate: risk-free
   bool              Load(const string underlying, const double rate, OptionQuote &out[]);

private:
   bool              IsOption(const string sym) const;
  };

//+------------------------------------------------------------------+
//| A symbol is an option if the server reports an option right for  |
//| it. Brokers that do not support options return an error / zero   |
//| here, so this doubles as the "options available?" test.          |
//+------------------------------------------------------------------+
bool CGexProviderNative::IsOption(const string sym) const
  {
   long right = 0;
   if(!SymbolInfoInteger(sym, SYMBOL_OPTION_RIGHT, right))
      return(false);
//--- options carry a valid strike; use it as a second confirmation
   double strike = SymbolInfoDouble(sym, SYMBOL_OPTION_STRIKE);
   return(strike > 0.0);
  }

//+------------------------------------------------------------------+
//| Enumerate all symbols, collect the options on the requested      |
//| underlying, and build one OptionQuote per contract, reading the  |
//| open interest that turns a contract's gamma into a real dealer   |
//| exposure. Contracts whose open interest is zero contribute       |
//| nothing to the profile and are dropped by the aggregation later, |
//| so we keep them here only for completeness of the diagnostic.    |
//+------------------------------------------------------------------+
bool CGexProviderNative::Load(const string underlying, const double rate, OptionQuote &out[])
  {
   ArrayResize(out, 0);
   int total = SymbolsTotal(false);      // false = all symbols, not just Market Watch
   if(total <= 0)
     {
      Print("CGexProviderNative: no symbols available");
      return(false);
     }

   double spot = SymbolInfoDouble(underlying, SYMBOL_BID);
   if(spot <= 0.0)
      spot = SymbolInfoDouble(underlying, SYMBOL_LAST);

   datetime now = TimeCurrent();
   if(now == 0)
      now = TimeLocal();
   int found = 0, withServerIV = 0, withOI = 0;

   for(int i = 0; i < total; i++)
     {
      string sym = SymbolName(i, false);
      if(!IsOption(sym))
         continue;

      //--- match the underlying via SYMBOL_BASIS (the derivative's base asset)
      string basis = SymbolInfoString(sym, SYMBOL_BASIS);
      if(basis != underlying)
         continue;

      //--- make sure the symbol's quotes are available
      SymbolSelect(sym, true);

      OptionQuote q;
      long right = (long)SymbolInfoInteger(sym, SYMBOL_OPTION_RIGHT);
      q.right  = (right == SYMBOL_OPTION_RIGHT_PUT) ? OPT_PUT : OPT_CALL;
      q.strike = SymbolInfoDouble(sym, SYMBOL_OPTION_STRIKE);
      q.expiry = (datetime)SymbolInfoInteger(sym, SYMBOL_EXPIRATION_TIME);
      q.spot   = spot;
      q.rate   = rate;

      //--- open interest: the number of outstanding contracts at this strike
      //--- (SYMBOL_SESSION_INTEREST is a double property, not an integer one)
      q.open_interest = SymbolInfoDouble(sym, SYMBOL_SESSION_INTEREST);
      if(q.open_interest > 0.0)
         withOI++;

      //--- option mid price from the current bid/ask
      double bid = SymbolInfoDouble(sym, SYMBOL_BID);
      double ask = SymbolInfoDouble(sym, SYMBOL_ASK);
      q.price = (bid > 0.0 && ask > 0.0) ? 0.5 * (bid + ask) : SymbolInfoDouble(sym, SYMBOL_LAST);

      //--- prefer the server-computed implied volatility if present
      double serverVol = SymbolInfoDouble(sym, SYMBOL_PRICE_VOLATILITY);
      double T = (double)(q.expiry - now) / (365.0 * 24 * 3600);
      if(serverVol > 0.0)
        { q.iv = serverVol / 100.0; withServerIV++; }    // property is a percentage
      else
         q.iv = ImpliedVol(q.right, q.price, q.spot, q.strike, q.rate, 0.0, T);

      int s = ArraySize(out);
      ArrayResize(out, s + 1);
      out[s] = q;
      found++;
     }

   PrintFormat("CGexProviderNative: underlying=%s spot=%.4f  options found=%d  server IV on %d  with OI %d",
               underlying, spot, found, withServerIV, withOI);
   if(found == 0)
      Print("CGexProviderNative: no option symbols matched. This account/broker may not offer options, or the underlying name differs from SYMBOL_BASIS.");
   else
      if(withOI == 0)
         Print("CGexProviderNative: options matched but none carry open interest; GEX needs OI, so the profile will be empty. Use the CSV source to demonstrate the tool.");
   return(found > 0);
  }

#endif // GEX_GEXPROVIDERNATIVE_MQH
//+------------------------------------------------------------------+