market_data/schemas.py

from __future__ import annotations

from dataclasses import asdict, dataclass
from typing import Any


@dataclass
class UnderlyingQuote:
    symbol: str
    current_price: float | None
    open: float | None
    high: float | None
    low: float | None
    volume: int | None
    timestamp: str
    data_type: str
    short_name: str = ""

    def to_dict(self) -> dict[str, Any]:
        return asdict(self)


@dataclass
class OptionContract:
    contract_symbol: str
    option_type: str
    expiration: str
    strike: float
    bid: float | None
    ask: float | None
    mid: float | None
    last_price: float | None
    volume: int | None
    open_interest: int | None
    implied_volatility: float | None
    in_the_money: bool
    days_to_expiration: int
    liquidity_warnings: list[str]

    def to_dict(self) -> dict[str, Any]:
        return asdict(self)


@dataclass
class OptionChain:
    symbol: str
    expiration: str
    underlying_price: float | None
    calls: list[OptionContract]
    puts: list[OptionContract]

    def to_dict(self) -> dict[str, Any]:
        return {
            "symbol": self.symbol,
            "expiration": self.expiration,
            "underlying_price": self.underlying_price,
            "calls": [contract.to_dict() for contract in self.calls],
            "puts": [contract.to_dict() for contract in self.puts],
        }


@dataclass
class VolSnapshot:
    symbol: str
    current_price: float | None
    realized_volatility: dict[str, float | None]
    atm_iv_by_expiration: dict[str, float | None]
    iv_rv_spread_by_expiration: dict[str, float | None]
    term_structure_slope: float | None
    skew_by_expiration: dict[str, float | None]

    def to_dict(self) -> dict[str, Any]:
        return asdict(self)