The public surface of SabrTrader.Pipeline.Levels — gamma / options-levels feeds, snapshots, strike profiles, settings schema and the ambient registry. Ships in SabrTrader.Pipeline.Contracts (bundled by SabrTrader.Sdk).

Values & enums

public readonly record struct GammaLevel(
    GammaLevelType Type, double Price, int Rank, string? Label, string? VendorTag);

public sealed class GammaLevelSnapshot
{
    public required string Symbol { get; init; }
    public required string ProviderKey { get; init; }
    public required DateOnly SessionDate { get; init; }
    public required DateTimeOffset AsOfUtc { get; init; }
    public required IReadOnlyList<GammaLevel> Levels { get; init; }
    public GammaScalars? Scalars { get; init; }
    public double? UnderlyingPrice { get; init; }
}

public enum GammaLevelType
{
    CallResistance = 0, PutSupport = 1, HVL = 2,
    ZeroDteCallResistance = 3, ZeroDtePutSupport = 4, GexLevel = 5,
    ExpectedMoveHigh = 6, ExpectedMoveLow = 7, BlindSpot = 8,
    SwingLevel = 9, GammaScalpLevel = 10, VendorSpecific = 11,
}

public enum GammaRegime { Unknown = 0, Positive = 1, Negative = 2 }

public sealed class GammaScalars
{
    public double? Iv { get; init; }
    public double? IvRank { get; init; }
    public double? NetDex { get; init; }
    public double? NetGex { get; init; }
    public double? PutCallRatioOi { get; init; }
    public GammaRegime Regime { get; init; }
}

Feed & registry

public interface ILevelsFeed
{
    string ProviderKey { get; }
    string DisplayName { get; }
    LevelsCapabilities Capabilities { get; }
    int HistoryDays { get; }
    event Action<string>? SnapshotChanged;
    Task ConnectAsync(CancellationToken cancellationToken);
    Task DisconnectAsync();
    void Track(string symbol);
    GammaLevelSnapshot? GetSnapshot(string symbol);
    GammaLevelSnapshot? GetSnapshot(string symbol, DateOnly sessionDate);
    string? MapInstrument(string instrumentId);
}

public interface ILevelsRegistry
{
    IReadOnlyList<ILevelsFeed> Feeds { get; }
    event Action? FeedsChanged;
    ILevelsFeed? ResolveFeed(string instrumentId);
}

public static class LevelsAmbient
{
    public static ILevelsRegistry Registry { get; }
    public static void SetRegistry(ILevelsRegistry? registry);
    public static IDisposable Use(ILevelsRegistry registry);
}

[Flags]
public enum LevelsCapabilities
{
    None = 0, NamedLevels = 1, FuturesNative = 2, Intraday = 4, History = 8, StrikeProfile = 16,
    ExpirySelection = 32,
}

public sealed class NullLevelsRegistry : ILevelsRegistry
{
    public static NullLevelsRegistry Instance { get; }
    public IReadOnlyList<ILevelsFeed> Feeds { get; }
    public event Action? FeedsChanged;
    public ILevelsFeed? ResolveFeed(string instrumentId);
}

public static class LevelsSymbolMapping
{
    public static bool IsFuturesContract(string instrumentId);
    public static string? NormalizeToRoot(string instrumentId);
}

Building a levels venue

A levels vendor is a venue plugin like any other: VenueCategory.Levels on its manifest, VenueCapabilities.Levels declared, and one ILevelsFeed published as a session port. Because that shape is identical for every vendor, the SDK ships the session — LevelsVenueSession — so a levels plugin is a descriptor plus a feed and nothing else.

public sealed class LevelsVenueSession : IVenueSession
{
    public LevelsVenueSession(
        string displayName,
        Func<ILevelsFeed> feedFactory,          // called once per connect attempt
        IVenueNoticeSink? notices = null);

    public IDataProvider? Data => null;         // a levels venue serves no charts
    public ITradingProvider? Trading => null;   // …and routes no orders

    public T? GetPort<T>() where T : class;     // resolves ILevelsFeed while Connected
}

public IVenueSession CreateSession(VenueSessionContext context)
    => new LevelsVenueSession(
        displayName: "My Levels",
        feedFactory: () => new MyLevelsFeed(context.Settings["ApiKey"], context.Notices.Log),
        notices: context.Notices);

Strike profiles

public interface ILevelsStrikeProfile
{
    StrikeProfileSnapshot? GetStrikeProfile(string symbol);
}

public sealed class StrikeProfileSnapshot
{
    public required string Symbol { get; init; }
    public required string ProviderKey { get; init; }
    public required DateTimeOffset AsOfUtc { get; init; }
    public required IReadOnlyList<StrikeExposure> Strikes { get; init; }
    public double? UnderlyingPrice { get; init; }
}

public readonly record struct StrikeExposure(double Strike, double NetGex, double CallGex, double PutGex);

Expiration selection

public interface ILevelsExpirySelection
{
    IReadOnlyList<DateOnly> GetAvailableExpiries(string symbol);
    IDisposable Track(string symbol, ExpirySelection selection);
    GammaLevelSnapshot? GetSnapshot(string symbol, ExpirySelection selection);
    StrikeProfileSnapshot? GetStrikeProfile(string symbol, ExpirySelection selection);
}

public enum ExpirySelectionKind
{
    VendorDefault = 0, AllExpiries, Nearest, WithinDays, MonthlyOpex, OnDate,
}

public readonly record struct ExpirySelection
{
    public ExpirySelectionKind Kind { get; }
    public int Days { get; }        // WithinDays
    public DateOnly Date { get; }   // OnDate

    public static ExpirySelection VendorDefault { get; }
    public static ExpirySelection AllExpiries { get; }
    public static ExpirySelection Nearest { get; }
    public static ExpirySelection ZeroDte { get; }        // WithinDays(0)
    public static ExpirySelection MonthlyOpex { get; }
    public static ExpirySelection WithinDays(int days);
    public static ExpirySelection On(DateOnly date);

    public IReadOnlyList<DateOnly> Resolve(IReadOnlyCollection<DateOnly> available, DateOnly session);
    public string ToToken();
    public static bool TryParse(string? token, out ExpirySelection selection);
}