Java tutorial
/** * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.strata.loader.csv; import static java.util.stream.Collectors.toList; import java.time.LocalDate; import java.util.Arrays; import java.util.Collection; import java.util.HashMap; import java.util.Map; import java.util.Map.Entry; import java.util.Set; import java.util.function.Predicate; import com.google.common.collect.ImmutableMap; import com.google.common.collect.ImmutableMap.Builder; import com.google.common.io.CharSource; import com.opengamma.strata.basics.StandardId; import com.opengamma.strata.collect.Messages; import com.opengamma.strata.collect.io.CsvFile; import com.opengamma.strata.collect.io.CsvRow; import com.opengamma.strata.collect.io.ResourceLocator; import com.opengamma.strata.data.FieldName; import com.opengamma.strata.market.observable.QuoteId; /** * Loads a set of quotes into memory from CSV resources. * <p> * The quotes are expected to be in a CSV format, with the following header row:<br /> * {@code Valuation Date, Symbology, Ticker, Value}. * <ul> * <li>The 'Valuation Date' column provides the valuation date, allowing data from different * days to be stored in the same file * <li>The 'Symbology' column is the symbology scheme applicable to the ticker. * <li>The 'Ticker' column is the identifier within the symbology. * <li>The 'Field Name' column is the field name, defaulted to 'MarketValue', allowing * fields such as 'Bid' or 'Ask' to be specified. * <li>The 'Value' column is the value of the ticker. * </ul> * <p> * Each quotes file may contain entries for many different dates. * <p> * For example: * <pre> * Valuation Date, Symbology, Ticker, Field Name, Value * 2014-01-22, OG-Future, Eurex-FGBL-Mar14, MarketValue, 150.43 * 2014-01-22, OG-FutOpt, Eurex-OGBL-Mar14-C150, MarketValue, 1.5 * 2014-01-22, OG-Future, CME-ED-Mar14, MarketValue, 99.620 * </pre> * Note that Microsoft Excel prefers the CSV file to have no space after the comma. */ public final class QuotesCsvLoader { // CSV column headers private static final String DATE_FIELD = "Valuation Date"; private static final String SYMBOLOGY_FIELD = "Symbology"; private static final String TICKER_FIELD = "Ticker"; private static final String FIELD_NAME_FIELD = "Field Name"; private static final String VALUE_FIELD = "Value"; //------------------------------------------------------------------------- /** * Loads one or more CSV format quote files for a specific date. * <p> * Only those quotes that match the specified date will be loaded. * <p> * If the files contain a duplicate entry an exception will be thrown. * * @param marketDataDate the date to load * @param resources the CSV resources * @return the loaded quotes, mapped by {@linkplain QuoteId quote ID} * @throws IllegalArgumentException if the files contain a duplicate entry */ public static ImmutableMap<QuoteId, Double> load(LocalDate marketDataDate, ResourceLocator... resources) { return load(marketDataDate, Arrays.asList(resources)); } /** * Loads one or more CSV format quote files for a specific date. * <p> * Only those quotes that match the specified date will be loaded. * <p> * If the files contain a duplicate entry an exception will be thrown. * * @param marketDataDate the date to load * @param resources the CSV resources * @return the loaded quotes, mapped by {@linkplain QuoteId quote ID} * @throws IllegalArgumentException if the files contain a duplicate entry */ public static ImmutableMap<QuoteId, Double> load(LocalDate marketDataDate, Collection<ResourceLocator> resources) { Collection<CharSource> charSources = resources.stream().map(r -> r.getCharSource()).collect(toList()); return parse(d -> marketDataDate.equals(d), charSources).getOrDefault(marketDataDate, ImmutableMap.of()); } //------------------------------------------------------------------------- /** * Loads one or more CSV format quote files for a set of dates. * <p> * Only those quotes that match one of the specified dates will be loaded. * <p> * If the files contain a duplicate entry an exception will be thrown. * * @param marketDataDates the set of dates to load * @param resources the CSV resources * @return the loaded quotes, mapped by {@link LocalDate} and {@linkplain QuoteId quote ID} * @throws IllegalArgumentException if the files contain a duplicate entry */ public static ImmutableMap<LocalDate, ImmutableMap<QuoteId, Double>> load(Set<LocalDate> marketDataDates, ResourceLocator... resources) { return load(marketDataDates, Arrays.asList(resources)); } /** * Loads one or more CSV format quote files for a set of dates. * <p> * Only those quotes that match one of the specified dates will be loaded. * <p> * If the files contain a duplicate entry an exception will be thrown. * * @param marketDataDates the dates to load * @param resources the CSV resources * @return the loaded quotes, mapped by {@link LocalDate} and {@linkplain QuoteId quote ID} * @throws IllegalArgumentException if the files contain a duplicate entry */ public static ImmutableMap<LocalDate, ImmutableMap<QuoteId, Double>> load(Set<LocalDate> marketDataDates, Collection<ResourceLocator> resources) { Collection<CharSource> charSources = resources.stream().map(r -> r.getCharSource()).collect(toList()); return parse(d -> marketDataDates.contains(d), charSources); } //------------------------------------------------------------------------- /** * Loads one or more CSV format quote files. * <p> * All dates that are found will be returned. * <p> * If the files contain a duplicate entry an exception will be thrown. * * @param resources the CSV resources * @return the loaded quotes, mapped by {@link LocalDate} and {@linkplain QuoteId quote ID} * @throws IllegalArgumentException if the files contain a duplicate entry */ public static ImmutableMap<LocalDate, ImmutableMap<QuoteId, Double>> loadAllDates( ResourceLocator... resources) { return loadAllDates(Arrays.asList(resources)); } /** * Loads one or more CSV format quote files. * <p> * All dates that are found will be returned. * <p> * If the files contain a duplicate entry an exception will be thrown. * * @param resources the CSV resources * @return the loaded quotes, mapped by {@link LocalDate} and {@linkplain QuoteId quote ID} * @throws IllegalArgumentException if the files contain a duplicate entry */ public static ImmutableMap<LocalDate, ImmutableMap<QuoteId, Double>> loadAllDates( Collection<ResourceLocator> resources) { Collection<CharSource> charSources = resources.stream().map(r -> r.getCharSource()).collect(toList()); return parse(d -> true, charSources); } //------------------------------------------------------------------------- /** * Parses one or more CSV format quote files. * <p> * A predicate is specified that is used to filter the dates that are returned. * This could match a single date, a set of dates or all dates. * <p> * If the files contain a duplicate entry an exception will be thrown. * * @param datePredicate the predicate used to select the dates * @param charSources the CSV character sources * @return the loaded quotes, mapped by {@link LocalDate} and {@linkplain QuoteId quote ID} * @throws IllegalArgumentException if the files contain a duplicate entry */ public static ImmutableMap<LocalDate, ImmutableMap<QuoteId, Double>> parse(Predicate<LocalDate> datePredicate, Collection<CharSource> charSources) { // builder ensures keys can only be seen once Map<LocalDate, ImmutableMap.Builder<QuoteId, Double>> mutableMap = new HashMap<>(); for (CharSource charSource : charSources) { parseSingle(datePredicate, charSource, mutableMap); } ImmutableMap.Builder<LocalDate, ImmutableMap<QuoteId, Double>> builder = ImmutableMap.builder(); for (Entry<LocalDate, Builder<QuoteId, Double>> entry : mutableMap.entrySet()) { builder.put(entry.getKey(), entry.getValue().build()); } return builder.build(); } // loads a single CSV file, filtering by date private static void parseSingle(Predicate<LocalDate> datePredicate, CharSource resource, Map<LocalDate, ImmutableMap.Builder<QuoteId, Double>> mutableMap) { try { CsvFile csv = CsvFile.of(resource, true); for (CsvRow row : csv.rows()) { String dateText = row.getField(DATE_FIELD); LocalDate date = LocalDate.parse(dateText); if (datePredicate.test(date)) { String symbologyStr = row.getField(SYMBOLOGY_FIELD); String tickerStr = row.getField(TICKER_FIELD); String fieldNameStr = row.getField(FIELD_NAME_FIELD); String valueStr = row.getField(VALUE_FIELD); double value = Double.valueOf(valueStr); StandardId id = StandardId.of(symbologyStr, tickerStr); FieldName fieldName = fieldNameStr.isEmpty() ? FieldName.MARKET_VALUE : FieldName.of(fieldNameStr); ImmutableMap.Builder<QuoteId, Double> builderForDate = mutableMap.computeIfAbsent(date, k -> ImmutableMap.builder()); builderForDate.put(QuoteId.of(id, fieldName), value); } } } catch (RuntimeException ex) { throw new IllegalArgumentException( Messages.format("Error processing resource as CSV file: {}", resource), ex); } } //------------------------------------------------------------------------- /** * Restricted constructor. */ private QuotesCsvLoader() { } }