Enum StrikeRange 

#[non_exhaustive]
pub enum StrikeRange {
    Fixed(Vec<Price>),
    AtmRelative {
        strikes_above: usize,
        strikes_below: usize,
    },
    AtmPercent {
        pct: f64,
    },
    Delta {
        target: f64,
        tolerance: f64,
    },
}

Defines which strikes to include in an option chain subscription.

Existing variants support direct construction. Downstream matches require a wildcard arm so new selection modes can be added without changing those matches. Use Self::resolve for model-level selection, or reject unsupported modes explicitly when implementing a custom selector.

An exhaustive match outside this crate does not compile:

use nautilus_model::data::StrikeRange;

fn is_fixed(range: &StrikeRange) -> bool {
    match range {
        StrikeRange::Fixed(_) => true,
        StrikeRange::AtmRelative { .. } => false,
        StrikeRange::AtmPercent { .. } => false,
        StrikeRange::Delta { .. } => false,
    }
}

Variants (Non-exhaustive)

Non-exhaustive enums could have additional variants added in future. Therefore, when matching against variants of non-exhaustive enums, an extra wildcard arm must be added to account for any future variants.

Fixed(Vec<Price>)

Subscribe to a fixed set of strike prices.

AtmRelative

Subscribe to strikes relative to ATM: N strikes above and N below.

Fields

strikes_above: usize

strikes_below: usize

AtmPercent

Subscribe to strikes within a percentage band around ATM price.

Fields

pct: f64

Delta

Subscribe to strikes whose absolute option delta is near target.

Delta resolution needs Greeks, so the option chain aggregator performs it. The model-level StrikeRange::resolve has no Greeks and falls back to an ATM-relative window of DEFAULT_DELTA_FALLBACK_STRIKES strikes either side of ATM until Greeks are available.

Fields

target: f64

tolerance: f64

Implementations

impl StrikeRange

pub fn resolve( &self, atm_price: Option<Price>, all_strikes: &[Price], ) -> Vec<Price>

Resolves the filtered set of strikes from all available strikes.

• Fixed: returns the fixed strikes directly (intersected with available).
• AtmRelative: finds the closest strike to ATM, takes N above and N below.
• AtmPercent: filters strikes within a percentage band around ATM.
• Delta: has no Greeks at this level, so it falls back to an ATM-relative window of DEFAULT_DELTA_FALLBACK_STRIKES strikes either side of ATM. The option chain aggregator resolves Delta from Greeks instead.

If atm_price is None for ATM-based variants, returns an empty vec (subscriptions are deferred until ATM is known).

Trait Implementations

impl Clone for StrikeRange

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for StrikeRange

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for StrikeRange

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for StrikeRange

fn eq(&self, other: &Self) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl Serialize for StrikeRange

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for StrikeRange