'Protobuf files change'

src/systemathics/apis/services/daily/v1/daily_market_data.proto

@@ -0,0 +1,136 @@
+// Copyright (c) 2021 Systemathics
+// 
+// Permission is hereby granted, free of charge, to any person obtaining a copy
+// of this software and associated documentation files (the "Software"), to deal
+// in the Software without restriction, including without limitation the rights
+// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the Software is
+// furnished to do so, subject to the following conditions:
+// 
+// The above copyright notice and this permission notice shall be included in all
+// copies or substantial portions of the Software.
+// 
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+// SOFTWARE.
+
+// This service provides access to an daily marketdata market data service,
+// enabling users to retrieve historical market data for various financial instruments.
+// MarketData represents a comprehensive aggregation of all pertinent market information, 
+// encompassing various data points such as bar data, best limit data, Greeks, and more.
+syntax = "proto3";
+
+
+import "google/api/annotations.proto";
+import "google/type/date.proto";
+
+import "systemathics/apis/type/shared/v1/identifier.proto";
+import "systemathics/apis/type/shared/v1/date_interval.proto";
+
+package systemathics.apis.services.daily.v1;
+
+// Called to request daily MarketData data. 
+service DailyMarketDataService
+{
+  // Gets daily historical marketdata
+  rpc DailyMarketData(DailyMarketDataRequest) returns (DailyMarketDataResponse)
+  {
+	  option (google.api.http) = {
+			get: "/v1/daily/marketdata"
+	  };
+  }
+}
+
+// The required input to request the DailyMarketDataService
+message DailyMarketDataRequest
+{
+	// [Mandatory] The instrument identifier: a ticker and exchange 
+	systemathics.apis.type.shared.v1.Identifier identifier = 1;
+
+	// [Optional] The date interval used to define the look-back period.
+	// If empty, then all the available data is retrieved.
+	systemathics.apis.type.shared.v1.DateInterval date_interval = 2;
+}
+
+// Represents a daily marketdata response.
+message DailyMarketDataResponse
+{
+	// The daily marketdata : an array of DailyMarketData objects
+	repeated DailyMarketData data = 1;
+}
+
+// Contains the daily marketdatas information.
+message DailyMarketData 
+{
+	// Date of the marketdata
+	google.type.Date date = 1;
+
+	// Open price of the sampling period
+	double open = 2;
+
+	// Highest price of the sampling period
+	double high = 3;
+
+	// Lowest price of the sampling period
+	double low = 4;
+
+	// Close price of the sampling period
+	double close = 5;
+
+	// Total traded volume of the sampling period
+	double volume = 6;
+
+	// The best bid price of the sampling period
+	double BidPrice = 7;
+
+	// The best bid size of the sampling period
+	double BidSize = 8;
+
+	// The best ask price of the sampling period
+	double AskPrice = 9;
+
+	// The best ask size of the sampling period
+	double AskSize = 10;
+
+	// Measures the sensitivity of an option's theoretical value to a change in the price of the underlying asset.
+	//<br>It indicates the expected change in the option price for a one-point change in the underlying asset. 
+	//<br>For example, if an option has a delta of 0.7, it suggests that the option's price will increase by $0.70 for every $1 increase in the underlying asset.
+	double delta = 11;
+
+	// Measeure sthe rate of change in the delta for each one-point increase in the underlying asset.
+	//<br>It measures how much the delta of an option will change as the price of the underlying asset changes. 
+	//<br>Gamma is particularly important for assessing how delta might change as the underlying asset's price fluctuates.
+	double gamma = 12;
+
+	// A measure of the time decay on an option, the amount that an option willl lose each day due to the passage of time.
+	//<br>It represents the change in the option price for a one-day decrease in the time to expiration. 
+	//<br>Theta is often referred to as time decay. As the expiration date approaches, the time value of an option tends to decrease, and theta quantifies that decay.
+	double theta = 13;
+
+	// Measures the sensitivity of the price of an option to changes in implied volatility. 
+	//<br>Implied volatility reflects the market's expectations for future price fluctuations. 
+	//<br>Vega indicates how much the option price is expected to change for a one-percentage-point change in implied volatility.
+	double vega = 14;
+
+	// The rate at which the price of a derivative changes relative to a change in the risk-free rate of interest. 
+	//<br>It represents the change in the option price for a one-percentage-point change in interest rates. 
+	//<br>Rho is more relevant for options with longer time to expiration.
+	double rho = 15;
+
+	// ImpliedVolatility value of the sampling period
+	double implied_volatility = 16;
+
+	// OpenInterest value of the sampling period
+	double open_interest = 17;
+
+	// Underlying value of the sampling period
+	double underlying = 18;
+
+	// The data quality scoring : from 0 (bad) to 100 (good)
+	double score = 19;
+}
+

src/systemathics/apis/services/intraday/v1/intraday_bars.proto

@@ -18,16 +18,20 @@
 // OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
 // SOFTWARE.
 
-// Intraday bars are widely used to illustrate price movements for an instrument over a look back period. 
-// Commonly used in financial analysis and trading strategies as a technical indicator.
+// This service provides access to an intraday bars market data service,
+// enabling users to retrieve historical bar data for various financial instruments.
+// Intraday bars represent aggregated price and volume information over discrete time intervals,
+// such as minutes or hours. This service facilitates comprehensive intraday trading analysis
+// by offering granularity in market movements, allowing users to derive insights from the
+// open, high, low, and close prices within specified time periods.
 syntax = "proto3";
 
 
 import "google/api/annotations.proto";
 import "google/protobuf/timestamp.proto";
 
 import "systemathics/apis/type/shared/v1/identifier.proto";
-import "systemathics/apis/type/shared/v1/constraints.proto";
+import "systemathics/apis/type/shared/v1/date_interval.proto";
 import "systemathics/apis/type/shared/v1/sampling.proto";
 
 package systemathics.apis.services.intraday.v1;
@@ -55,7 +59,7 @@ message IntradayBarsRequest
 
 	// [Optional] The time constraints used to define the look-back period.
 	// If empty, then all the available data is retrieved.
-	systemathics.apis.type.shared.v1.Constraints constraints = 3;
+	systemathics.apis.type.shared.v1.DateInterval date_interval = 3;
 
 	// [Optional] The corporate action adjustment (dividends and splits).
 	// By default the value is set to false

src/systemathics/apis/services/intraday/v1/intraday_best_limit.proto

@@ -0,0 +1,92 @@
+// Copyright (c) 2021 Systemathics
+// 
+// Permission is hereby granted, free of charge, to any person obtaining a copy
+// of this software and associated documentation files (the "Software"), to deal
+// in the Software without restriction, including without limitation the rights
+// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the Software is
+// furnished to do so, subject to the following conditions:
+// 
+// The above copyright notice and this permission notice shall be included in all
+// copies or substantial portions of the Software.
+// 
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+// SOFTWARE.
+
+// Best limit data represent the highest bid and lowest ask prices in the market at any given time, providing valuable insights into the current state of supply and demand.
+syntax = "proto3";
+
+
+import "google/api/annotations.proto";
+import "google/protobuf/timestamp.proto";
+
+import "systemathics/apis/type/shared/v1/identifier.proto";
+import "systemathics/apis/type/shared/v1/date_interval.proto";
+import "systemathics/apis/type/shared/v1/sampling.proto";
+
+package systemathics.apis.services.intraday.v1;
+
+// This service serves as a gateway to an intraday Best Limit market data service, allowing users to access historical data on the best limit order levels for various financial instruments. 
+service IntradayBestLimitsService
+{
+  // Gets intraday historical data: date, bid and ask
+  rpc IntradayBestLimits(IntradayBestLimitsRequest) returns (IntradayBestLimitsResponse)
+  {
+	  	 option (google.api.http) = {
+			get: "/v1/intraday/bestlimits"
+		 };
+  }
+}
+
+// The required input to request the IntradayBestLimitsService.
+message IntradayBestLimitsRequest
+{
+	// [Mandatory] The instrument identifier: a ticker and exchange
+	systemathics.apis.type.shared.v1.Identifier identifier = 1;
+
+	// [Mandatory] The sampling interval
+	systemathics.apis.type.shared.v1.Sampling sampling = 2;
+
+	// [Optional] The time constraints used to define the look-back period.
+	// If empty, then all the available data is retrieved.
+	systemathics.apis.type.shared.v1.DateInterval date_interval = 3;
+
+	// [Optional] The corporate action adjustment (dividends and splits).
+	// By default the value is set to false
+	bool adjustment = 4;
+}
+
+// The intraday bestlimits response contains an array of intraday bestlimits.
+message IntradayBestLimitsResponse
+{
+	// The intraday bestlimits: an array of IntradayBestLimit objects
+	repeated IntradayBestLimit data = 1;
+}
+
+// Contains the intraday bar's data: date, bid, ask and score.
+message IntradayBestLimit 
+{
+	// Time stamp of the intraday bar : open time of the sampling interval
+	google.protobuf.Timestamp time_stamp = 1;
+
+	// The best bid price of the sampling period
+	double BidPrice = 2;
+
+	// The best bid size of the sampling period
+	double BidSize = 3;
+
+	// The best ask price of the sampling period
+	double AskPrice = 4;
+
+	// The best ask size of the sampling period
+	double AskSize = 5;
+
+	// The data quality scoring : from 0 (bad) to 100 (good)
+	double score = 6;
+}
+

src/systemathics/apis/services/intraday/v1/intraday_greeks.proto

@@ -0,0 +1,102 @@
+// Copyright (c) 2021 Systemathics
+// 
+// Permission is hereby granted, free of charge, to any person obtaining a copy
+// of this software and associated documentation files (the "Software"), to deal
+// in the Software without restriction, including without limitation the rights
+// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the Software is
+// furnished to do so, subject to the following conditions:
+// 
+// The above copyright notice and this permission notice shall be included in all
+// copies or substantial portions of the Software.
+// 
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+// SOFTWARE.
+
+// The <i>Greeks</i> are a set of risk measures or sensitivities used in options trading to assess the various factors that can influence the price of an option.
+
+syntax = "proto3";
+
+
+import "google/api/annotations.proto";
+import "google/protobuf/timestamp.proto";
+
+import "systemathics/apis/type/shared/v1/identifier.proto";
+import "systemathics/apis/type/shared/v1/date_interval.proto";
+import "systemathics/apis/type/shared/v1/sampling.proto";
+
+package systemathics.apis.services.intraday.v1;
+
+// Called to request intraday greeks data. 
+service IntradayGreeksService
+{
+  // Gets intraday historical greeks data.
+  rpc IntradayGreeks(IntradayGreeksRequest) returns (IntradayGreeksResponse)
+  {
+	  	 option (google.api.http) = {
+			get: "/v1/intraday/greeks"
+		 };
+  }
+}
+
+// The required input to request the IntradayGreeksService.
+message IntradayGreeksRequest
+{
+	// [Mandatory] The instrument identifier: a ticker and exchange
+	systemathics.apis.type.shared.v1.Identifier identifier = 1;
+
+	// [Mandatory] The sampling interval
+	systemathics.apis.type.shared.v1.Sampling sampling = 2;
+
+	// [Optional] The time constraints used to define the look-back period.
+	// If empty, then all the available data is retrieved.
+	systemathics.apis.type.shared.v1.DateInterval date_interval = 3;
+}
+
+// The intraday greeks response contains an array of intraday greeks.
+message IntradayGreeksResponse
+{
+	// The intraday greeks: an array of IntradayGreeks objects
+	repeated IntradayGreeks data = 1;
+}
+
+// Contains the intraday greeks data.
+message IntradayGreeks 
+{
+	// Time stamp of the intraday greeks
+	google.protobuf.Timestamp time_stamp = 1;
+
+	// Measures the sensitivity of an option's theoretical value to a change in the price of the underlying asset.
+	//<br>It indicates the expected change in the option price for a one-point change in the underlying asset. 
+	//<br>For example, if an option has a delta of 0.7, it suggests that the option's price will increase by $0.70 for every $1 increase in the underlying asset.
+	double delta = 2;
+
+	// Measeure sthe rate of change in the delta for each one-point increase in the underlying asset.
+	//<br>It measures how much the delta of an option will change as the price of the underlying asset changes. 
+	//<br>Gamma is particularly important for assessing how delta might change as the underlying asset's price fluctuates.
+	double gamma = 3;
+
+	// A measure of the time decay on an option, the amount that an option willl lose each day due to the passage of time.
+	//<br>It represents the change in the option price for a one-day decrease in the time to expiration. 
+	//<br>Theta is often referred to as time decay. As the expiration date approaches, the time value of an option tends to decrease, and theta quantifies that decay.
+	double theta = 4;
+
+	// Measures the sensitivity of the price of an option to changes in implied volatility. 
+	//<br>Implied volatility reflects the market's expectations for future price fluctuations. 
+	//<br>Vega indicates how much the option price is expected to change for a one-percentage-point change in implied volatility.
+	double vega = 5;
+
+	// The rate at which the price of a derivative changes relative to a change in the risk-free rate of interest. 
+	//<br>It represents the change in the option price for a one-percentage-point change in interest rates. 
+	//<br>Rho is more relevant for options with longer time to expiration.
+	double rho = 6;
+
+	// The data quality scoring : from 0 (bad) to 100 (good)
+	double score = 7;
+}
+