Reorganization of the objects available to match the TW API?

[perigvennetier]

After looking through the code, I am curious about the classification for the various objects and what the intent of some of them are.

I see the following:

• Security()
• Underlying(Security)
• Option(Security)
• OptionChain(object)
• Order(Security)

What was the intent behind the Underlying() class overall?

Looking at the data from the TW API, I see the following "instrument-type" reported:

• Equity: These are stocks and ETFs
• Index: These are major indexes like SPX or VIX
• Future: Futures like /ES
• Cryptocurrency: Crypto pairs like BTC/USD
• Warrant
• Unknown: These seems to be used for interest rates like 2Y:SME that seems to come from the new 'Small Exchange' they have)
• Equity Options
• Future Options

Should we consider follow the same structure so it is a bit easier to keep track of what is what?

[perigvennetier]

It would make sense to structure like this:

Top Class:

• Security()

Base Classes:

• Equity(Security)
• Index(Equity)
• Future(Security)
• Cryptocurrency(Security)
• Warrant(Security)
• Unknown(Security)

Sub-Class:

• OptionChain()
• Option()

Sub-Sub-Class:

• OptionChainEquity(OptionChain)
• OptionChainFuture(OptionChain)
• OptionEquity(Option)
• OptionFuture(Option)

I also created this class:

• Greeks()

There could also be other sub-classes for some more granularity:

• Stock(Equity)
• ETF(Equity) >> Could have additional information like expense ratio and list of holdings
• MutualFund(Equity) >> Would Mutual Fund and ETF be in the same "Fund(Equity)" class?
• Expiration() >> Would hold all the strikes for a specific expiration date for an option chain

What do you think?