indicators.hpp

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#pragma once
 
 
#include <algorithm>
#include <array>
#include <optional>
#include <string_view>
#include <utility>
 
namespace itch {
namespace indicators {
 
template <typename KeyType, std::size_t Size>
class FrozenMap {
   public:
    using value_type = std::pair<KeyType, std::string_view>;
 
    constexpr explicit FrozenMap(std::array<value_type, Size> entries) noexcept
        : m_entries {entries} {
        std::ranges::sort(m_entries, {}, &value_type::first);
    }
 
    [[nodiscard]] constexpr auto find(const KeyType& key
    ) const noexcept -> std::optional<std::string_view> {
        const auto iter = std::ranges::lower_bound(m_entries, key, {}, &value_type::first);
        if (iter != m_entries.end() && iter->first == key) {
            return iter->second;
        }
        return std::nullopt;
    }
 
    [[nodiscard]] constexpr auto at_or(const KeyType& key, std::string_view fallback) const noexcept
        -> std::string_view {
        return find(key).value_or(fallback);
    }
 
   private:
    std::array<value_type, Size> m_entries;
};
 
template <typename KeyType, std::size_t Size>
FrozenMap(std::array<std::pair<KeyType, std::string_view>, Size>) -> FrozenMap<KeyType, Size>;
 
inline constexpr FrozenMap SYSTEM_EVENT_CODES {std::to_array<std::pair<char, std::string_view>>({
    {'O', "Start of Messages"},
    {'S', "Start of System hours"},
    {'Q', "Start of Market hours"},
    {'M', "End of Market hours"},
    {'E', "End of System hours"},
    {'C', "End of Messages"},
})};
 
inline constexpr FrozenMap MARKET_CATEGORY {std::to_array<std::pair<char, std::string_view>>({
    {'N', "NYSE"},
    {'A', "AMEX"},
    {'P', "Arca"},
    {'Q', "NASDAQ Global Select"},
    {'G', "NASDAQ Global Market"},
    {'S', "NASDAQ Capital Market"},
    {'Z', "BATS"},
    {'V', "Investors Exchange"},
    {' ', "Not available"},
})};
 
inline constexpr FrozenMap FINANCIAL_STATUS_INDICATOR {
    std::to_array<std::pair<char, std::string_view>>({
        {'D', "Deficient"},
        {'E', "Delinquent"},
        {'Q', "Bankrupt"},
        {'S', "Suspended"},
        {'G', "Deficient and Bankrupt"},
        {'H', "Deficient and Delinquent"},
        {'J', "Delinquent and Bankrupt"},
        {'K', "Deficient, Delinquent and Bankrupt"},
        {'C', "Creations and/or Redemptions Suspended for Exchange Traded Product"},
        {'N', "Normal (Default): Issuer is NOT Deficient, Delinquent, or Bankrupt"},
        {' ', "Not available. Firms should refer to SIAC feeds for code if needed"},
    })
};
 
inline constexpr FrozenMap ISSUE_CLASSIFICATION_VALUES {
    std::to_array<std::pair<char, std::string_view>>({
        {'A', "American Depositary Share"},
        {'B', "Bond"},
        {'C', "Common Stock"},
        {'F', "Depository Receipt"},
        {'I', "144A"},
        {'L', "Limited Partnership"},
        {'N', "Notes"},
        {'O', "Ordinary Share"},
        {'P', "Preferred Stock"},
        {'Q', "Other Securities"},
        {'R', "Right"},
        {'S', "Shares of Beneficial Interest"},
        {'T', "Convertible Debenture"},
        {'U', "Unit"},
        {'V', "Units/Beneficial Interest"},
        {'W', "Warrant"},
    })
};
 
inline constexpr FrozenMap ISSUE_SUB_TYPE_VALUES {
    std::to_array<std::pair<std::string_view, std::string_view>>({
        {"A", "Preferred Trust Securities"},
        {"AI", "Alpha Index ETNs"},
        {"B", "Index Based Derivative"},
        {"C", "Common Shares"},
        {"CB", "Commodity Based Trust Shares"},
        {"CF", "Commodity Futures Trust Shares"},
        {"CL", "Commodity-Linked Securities"},
        {"CM", "Commodity Index Trust Shares"},
        {"CO", "Collateralized Mortgage Obligation"},
        {"CT", "Currency Trust Shares"},
        {"CU", "Commodity-Currency-Linked Securities"},
        {"CW", "Currency Warrants"},
        {"D", "Global Depositary Shares"},
        {"E", "ETF-Portfolio Depositary Receipt"},
        {"EG", "Equity Gold Shares"},
        {"EI", "ETN-Equity Index-Linked Securities"},
        {"EM", "NextShares Exchange Traded Managed Fund*"},
        {"EN", "Exchange Traded Notes"},
        {"EU", "Equity Units"},
        {"F", "HOLDRS"},
        {"FI", "ETN-Fixed Income-Linked Securities"},
        {"FL", "ETN-Futures-Linked Securities"},
        {"G", "Global Shares"},
        {"I", "ETF-Index Fund Shares"},
        {"IR", "Interest Rate"},
        {"IW", "Index Warrant"},
        {"IX", "Index-Linked Exchangeable Notes"},
        {"J", "Corporate Backed Trust Security"},
        {"L", "Contingent Litigation Right"},
        {"LL", "Limited Liability Company (LLC)"},
        {"M", "Equity-Based Derivative"},
        {"MF", "Managed Fund Shares"},
        {"ML", "ETN-Multi-Factor Index-Linked Securities"},
        {"MT", "Managed Trust Securities"},
        {"N", "NY Registry Shares"},
        {"O", "Open Ended Mutual Fund"},
        {"P", "Privately Held Security"},
        {"PP", "Poison Pill"},
        {"PU", "Partnership Units"},
        {"Q", "Closed-End Funds"},
        {"R", "Reg-S"},
        {"RC", "Commodity-Redeemable Commodity-Linked Securities"},
        {"RF", "ETN-Redeemable Futures-Linked Securities"},
        {"RT", "REIT"},
        {"RU", "Commodity-Redeemable Currency-Linked Securities"},
        {"S", "SEED"},
        {"SC", "Spot Rate Closing"},
        {"SI", "Spot Rate Intraday"},
        {"T", "Tracking Stock"},
        {"TC", "Trust Certificates"},
        {"TU", "Trust Units"},
        {"U", "Portal"},
        {"V", "Contingent Value Right"},
        {"W", "Trust Issued Receipts"},
        {"WC", "World Currency Option"},
        {"X", "Trust"},
        {"Y", "Other"},
        {"Z", "Not Applicable"},
    })
};
 
inline constexpr FrozenMap TRADING_ACTION_REASON_CODES {
    std::to_array<std::pair<std::string_view, std::string_view>>({
        {"T1", "Halt News Pending"},
        {"T2", "Halt News Disseminated"},
        {"T3", "News and Resumption Times"},
        {"T5", "Single Security Trading Pause In Effect"},
        {"T6", "Regulatory Halt - Extraordinary Market Activity"},
        {"T7", "Single Security Trading Pause / Quotation Only Period"},
        {"T8", "Halt ETF"},
        {"T12", "Trading Halted; For Information Requested by Listing Market"},
        {"H4", "Halt Non-Compliance"},
        {"H9", "Halt Filings Not Current"},
        {"H10", "Halt SEC Trading Suspension"},
        {"H11", "Halt Regulatory Concern"},
        {"O1", "Operations Halt; Contact Market Operations"},
        {"LUDP", "Volatility Trading Pause"},
        {"LUDS", "Volatility Trading Pause - Straddle Condition"},
        {"MWC0", "Market Wide Circuit Breaker Halt - Carry over from previous day"},
        {"MWC1", "Market Wide Circuit Breaker Halt - Level 1"},
        {"MWC2", "Market Wide Circuit Breaker Halt - Level 2"},
        {"MWC3", "Market Wide Circuit Breaker Halt - Level 3"},
        {"MWCQ", "Market Wide Circuit Breaker Resumption"},
        {"IPO1", "IPO Issue Not Yet Trading"},
        {"IPOQ", "IPO Security Released for Quotation (Nasdaq Securities Only)"},
        {"IPOE", "IPO Security - Positioning Window Extension (Nasdaq Securities Only)"},
        {"M1", "Corporate Action"},
        {"M2", "Quotation Not Available"},
        {"R1", "New Issue Available"},
        {"R2", "Issue Available"},
        {"R4", "Qualifications Issues Reviewed/Resolved; Quotations/Trading to Resume"},
        {"R9", "Filing Requirements Satisfied/Resolved; Quotations/Trading To Resume"},
        {"C3", "Issuer News Not Forthcoming; Quotations/Trading To Resume"},
        {"C4", "Qualifications Halt Ended; Maintenance Requirements Met; Resume"},
        {"C9", "Qualifications Halt Concluded; Filings Met; Quotes/Trades To Resume"},
        {"C11", "Trade Halt Concluded By Other Regulatory Authority; Quotes/Trades Resume"},
        {" ", "Reason Not Available"},
    })
};
 
inline constexpr FrozenMap TRADING_STATES {std::to_array<std::pair<char, std::string_view>>({
    {'H', "Halted across all U.S. equity markets / SROs"},
    {'P', "Paused across all U.S. equity markets / SROs"},
    {'Q', "Quotation only period for cross-SRO halt or pause"},
    {'T', "Trading on NASDAQ"},
})};
 
inline constexpr FrozenMap MARKET_MAKER_MODE {std::to_array<std::pair<char, std::string_view>>({
    {'N', "Normal"},
    {'P', "Passive"},
    {'S', "Syndicate"},
    {'R', "Pre-syndicate"},
    {'L', "Penalty"},
})};
 
inline constexpr FrozenMap MARKET_PARTICIPANT_STATE {
    std::to_array<std::pair<char, std::string_view>>({
        {'A', "Active"},
        {'E', "Excused"},
        {'W', "Withdrawn"},
        {'S', "Suspended"},
        {'D', "Deleted"},
    })
};
 
inline constexpr FrozenMap PRICE_VARIATION_INDICATOR {
    std::to_array<std::pair<char, std::string_view>>({
        {'L', "Less than 1%"},
        {'1', "1 to 1.99%"},
        {'2', "2 to 2.99%"},
        {'3', "3 to 3.99%"},
        {'4', "4 to 4.99%"},
        {'5', "5 to 5.99%"},
        {'6', "6 to 6.99%"},
        {'7', "7 to 7.99%"},
        {'8', "8 to 8.99%"},
        {'9', "9 to 9.99%"},
        {'A', "10 to 19.99%"},
        {'B', "20 to 29.99%"},
        {'C', "30% or greater"},
        {' ', "Cannot be calculated"},
    })
};
 
}  // namespace indicators
 
}  // namespace itch