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Validate option series contract fields #2
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5063f3f
Validate option series contract fields
JustinMShea 71d24db
Potential fix for pull request finding
JustinMShea c958233
Test POSIX option series dates
JustinMShea 839211f
Potential fix for expiry stored consistently
JustinMShea a8d97a3
Fix POSIX option expiration tests
JustinMShea 5d2e752
Potential fix for pull request finding
JustinMShea 36bce15
Potential fix for pull request finding
JustinMShea c6b1325
Convert POSIXlt immediatly
JustinMShea 95293d0
cleaner conversion of POSIXlt
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,205 @@ | ||
| # Internal validation helpers for option series instruments. | ||
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| .option_series_date <- function(x, argument, allow_multiple = FALSE) { | ||
| if (is.null(x)) return(NULL) | ||
|
|
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| if (inherits(x, "POSIXlt")) { | ||
| x <- as.POSIXct(x) | ||
| } | ||
|
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| if (!allow_multiple && length(x) != 1L) { | ||
| stop("'", argument, "' must be a single date", call. = FALSE) | ||
| } | ||
| if (length(x) < 1L || anyNA(x)) { | ||
| stop("'", argument, "' must not contain missing values", call. = FALSE) | ||
| } | ||
| parse_one <- function(value) { | ||
| if (inherits(value, "Date")) { | ||
| return(value) | ||
| } | ||
|
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||
| if (inherits(value, "POSIXt")) { | ||
| tz <- attr(value, "tzone") | ||
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| if (is.null(tz) || length(tz) == 0L || | ||
| is.na(tz[[1L]]) || !nzchar(tz[[1L]])) { | ||
| tz <- "UTC" | ||
| } else { | ||
| tz <- tz[[1L]] | ||
| } | ||
|
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| return(as.Date(value, tz = tz)) | ||
| } | ||
|
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| value <- as.character(value) | ||
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| parsed <- tryCatch( | ||
| if (grepl("^[0-9]{8}$", value)) { | ||
| as.Date(value, format = "%Y%m%d") | ||
| } else { | ||
| suppressWarnings(as.Date(value)) | ||
| }, | ||
| error = function(e) as.Date(NA) | ||
| ) | ||
|
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| if (is.na(parsed)) { | ||
| stop("'", argument, "' must be coercible to Date", call. = FALSE) | ||
| } | ||
| parsed | ||
| } | ||
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| as.Date(vapply(as.list(x), parse_one, as.Date("1970-01-01")), | ||
| origin = "1970-01-01") | ||
| } | ||
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| .normalize_option_callput <- function(callput, allow_default = TRUE) { | ||
| if (allow_default && length(callput) == 2L && | ||
| identical(tolower(callput), c("call", "put"))) { | ||
| return(NULL) | ||
| } | ||
| if (length(callput) != 1L || is.na(callput)) { | ||
| stop("'callput' must be a single value: 'call', 'put', 'C', or 'P'", | ||
| call. = FALSE) | ||
| } | ||
|
Copilot marked this conversation as resolved.
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| normalized <- switch(tolower(as.character(callput)), | ||
| c = "call", | ||
| call = "call", | ||
| p = "put", | ||
| put = "put", | ||
| NULL) | ||
| if (is.null(normalized)) { | ||
| stop("'callput' must be one of 'call', 'put', 'C', or 'P'", | ||
| call. = FALSE) | ||
| } | ||
| normalized | ||
| } | ||
|
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| .validate_option_strike <- function(strike) { | ||
| if (is.null(strike)) return(NULL) | ||
| if (!is.numeric(strike) || length(strike) != 1L || | ||
| is.na(strike) || !is.finite(strike) || strike <= 0) { | ||
| stop("'strike' must be a single positive number", call. = FALSE) | ||
| } | ||
| strike | ||
| } | ||
|
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| .parse_option_suffix <- function(suffix_id) { | ||
| if (is.null(suffix_id) || length(suffix_id) != 1L || | ||
| is.na(suffix_id) || !nzchar(suffix_id)) { | ||
| stop("'suffix_id' must identify a single option contract", | ||
| call. = FALSE) | ||
| } | ||
|
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| parsed <- suppressWarnings( | ||
| try(parse_suffix(suffix_id, silent = TRUE), silent = TRUE) | ||
| ) | ||
| if (inherits(parsed, "try-error") || is.null(parsed) || | ||
| !all(c("outright", "option") %in% parsed$type) || | ||
| length(parsed$format) != 1L || is.na(parsed$format) || | ||
| !parsed$format %in% c("opt2", "opt4")) { | ||
| stop("'suffix_id' must identify an outright option contract", | ||
| call. = FALSE) | ||
| } | ||
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| day <- if (identical(parsed$format, "opt2")) { | ||
| substr(suffix_id, 5L, 6L) | ||
| } else { | ||
| substr(suffix_id, 7L, 8L) | ||
| } | ||
|
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||
| expiration_text <- sprintf( | ||
| "%04d-%02d-%02d", | ||
| parsed$year, | ||
| match(parsed$month, toupper(month.abb)), | ||
| as.integer(day) | ||
| ) | ||
| expiration <- tryCatch( | ||
| suppressWarnings(as.Date(expiration_text)), | ||
| error = function(e) as.Date(NA) | ||
| ) | ||
| if (is.na(expiration)) { | ||
| stop("'suffix_id' contains an invalid option expiration date", | ||
| call. = FALSE) | ||
| } | ||
|
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| parsed_callput <- switch(parsed$right, C = "call", P = "put", NULL) | ||
| if (is.null(parsed_callput) || !is.numeric(parsed$strike) || | ||
| length(parsed$strike) != 1L || is.na(parsed$strike) || | ||
| !is.finite(parsed$strike) || parsed$strike <= 0) { | ||
| stop("'suffix_id' contains invalid option contract fields", | ||
| call. = FALSE) | ||
| } | ||
|
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||
| list( | ||
| expiration = expiration, | ||
| callput = parsed_callput, | ||
| strike = parsed$strike, | ||
| parsed = parsed | ||
| ) | ||
| } | ||
|
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| .validate_option_series_fields <- function(suffix_id, expires = NULL, | ||
| first_traded = NULL, | ||
| callput = c("call", "put"), | ||
| strike = NULL) { | ||
| suffix <- .parse_option_suffix(suffix_id) | ||
|
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| explicit_expiration <- .option_series_date(expires, "expires") | ||
| expiration <- if (is.null(explicit_expiration)) { | ||
| suffix$expiration | ||
| } else { | ||
| if (!identical(explicit_expiration, suffix$expiration)) { | ||
| warning( | ||
| "suffix_id '", suffix_id, "' indicates expiration ", | ||
| format(suffix$expiration), ", but expires is ", | ||
| format(explicit_expiration), | ||
| call. = FALSE | ||
| ) | ||
| } | ||
| explicit_expiration | ||
| } | ||
|
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| traded <- .option_series_date(first_traded, "first_traded", | ||
| allow_multiple = TRUE) | ||
| if (!is.null(traded) && any(traded > expiration)) { | ||
| stop("'first_traded' must not be later than 'expires'", | ||
| call. = FALSE) | ||
| } | ||
|
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| explicit_callput <- .normalize_option_callput(callput) | ||
| resolved_callput <- if (is.null(explicit_callput)) { | ||
| suffix$callput | ||
| } else { | ||
| if (!identical(explicit_callput, suffix$callput)) { | ||
| warning( | ||
| "suffix_id '", suffix_id, "' indicates a ", | ||
| suffix$callput, ", but callput is '", explicit_callput, "'", | ||
| call. = FALSE | ||
| ) | ||
| } | ||
| explicit_callput | ||
| } | ||
|
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| explicit_strike <- .validate_option_strike(strike) | ||
| resolved_strike <- if (is.null(explicit_strike)) { | ||
| suffix$strike | ||
| } else { | ||
| if (!isTRUE(all.equal(explicit_strike, suffix$strike, | ||
| tolerance = sqrt(.Machine$double.eps)))) { | ||
| warning( | ||
| "suffix_id '", suffix_id, "' indicates strike ", | ||
| format(suffix$strike), ", but strike is ", | ||
| format(explicit_strike), | ||
| call. = FALSE | ||
| ) | ||
| } | ||
| explicit_strike | ||
| } | ||
|
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||
| list( | ||
| expires = format(expiration), | ||
| callput = resolved_callput, | ||
| strike = resolved_strike | ||
| ) | ||
|
Copilot marked this conversation as resolved.
|
||
| } | ||
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