com.opengamma.strata.loader.csv.TradeCsvWriter Maven / Gradle / Ivy
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/*
* Copyright (C) 2019 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.loader.csv;
import static com.opengamma.strata.collect.Guavate.toImmutableList;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.BUY_SELL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.CCP_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.CONTRACT_SIZE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.CPTY_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.CPTY_SCHEME_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.CURRENCY_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.DATE_ADJ_CAL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.DATE_ADJ_CNV_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.DAY_COUNT_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.DESCRIPTION_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.DIRECTION_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.END_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.FIXED_RATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.FRA_DISCOUNTING_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.ID_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.ID_SCHEME_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.INDEX_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.INTERPOLATED_INDEX_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.NAME_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.NOTIONAL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PAYMENT_DATE_CAL_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PAYMENT_DATE_CNV_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PAYMENT_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.PRICE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.QUANTITY_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.SECURITY_ID_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.SECURITY_ID_SCHEME_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.SETTLEMENT_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.START_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.TICK_SIZE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.TICK_VALUE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.TRADE_DATE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.TRADE_TIME_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.TRADE_TYPE_FIELD;
import static com.opengamma.strata.loader.csv.CsvLoaderColumns.TRADE_ZONE_FIELD;
import static java.util.stream.Collectors.groupingBy;
import java.io.UncheckedIOException;
import java.util.Comparator;
import java.util.LinkedHashMap;
import java.util.LinkedHashSet;
import java.util.List;
import java.util.Map;
import java.util.Map.Entry;
import java.util.Set;
import java.util.stream.Collectors;
import com.google.common.collect.ImmutableList;
import com.google.common.collect.ImmutableMap;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.MapStream;
import com.opengamma.strata.collect.io.CsvOutput;
import com.opengamma.strata.collect.io.CsvOutput.CsvRowOutputWithHeaders;
import com.opengamma.strata.collect.named.ExtendedEnum;
import com.opengamma.strata.product.AttributeType;
import com.opengamma.strata.product.Trade;
import com.opengamma.strata.product.TradeInfo;
/**
* Writes trades to a CSV file.
*
* This takes a Strata {@link Trade} instance and creates a matching CSV file.
*/
public final class TradeCsvWriter {
/**
* The lookup of trade parsers.
*/
@SuppressWarnings({"unchecked", "rawtypes"})
static final ExtendedEnum> ENUM_LOOKUP =
ExtendedEnum.of((Class>) (Class) TradeCsvWriterPlugin.class);
/**
* The lookup of trade parsers.
*/
private static final ImmutableMap, TradeCsvWriterPlugin> PLUGINS =
MapStream.of(TradeCsvWriterPlugin.extendedEnum().lookupAllNormalized().values())
.flatMapKeys(plugin -> plugin.supportedTradeTypes().stream())
.toMap((a, b) -> {
System.err.println("Two plugins declare the same product type: " + a.supportedTradeTypes());
return a;
});
/**
* The header order.
* This sorts some of the columns (not all of them).
*/
private static final ImmutableList HEADER_ORDER = ImmutableList.of(
TRADE_TYPE_FIELD,
ID_SCHEME_FIELD,
ID_FIELD,
DESCRIPTION_FIELD,
NAME_FIELD,
CCP_FIELD,
CPTY_SCHEME_FIELD,
CPTY_FIELD,
TRADE_DATE_FIELD,
TRADE_TIME_FIELD,
TRADE_ZONE_FIELD,
SETTLEMENT_DATE_FIELD,
BUY_SELL_FIELD,
DIRECTION_FIELD,
QUANTITY_FIELD,
SECURITY_ID_SCHEME_FIELD,
SECURITY_ID_FIELD,
PRICE_FIELD,
TICK_SIZE_FIELD,
TICK_VALUE_FIELD,
CONTRACT_SIZE_FIELD,
CURRENCY_FIELD,
NOTIONAL_FIELD,
START_DATE_FIELD,
END_DATE_FIELD,
DAY_COUNT_FIELD,
FIXED_RATE_FIELD,
INDEX_FIELD,
INTERPOLATED_INDEX_FIELD,
FRA_DISCOUNTING_FIELD,
DATE_ADJ_CNV_FIELD,
DATE_ADJ_CAL_FIELD,
PAYMENT_DATE_FIELD,
PAYMENT_DATE_CNV_FIELD,
PAYMENT_DATE_CAL_FIELD);
/**
* The header comparator.
*/
private static final Comparator HEADER_COMPARATOR = (str1, str2) -> {
int index1 = HEADER_ORDER.indexOf(str1);
int index2 = HEADER_ORDER.indexOf(str2);
int i1 = index1 >= 0 ? index1 : HEADER_ORDER.size();
int i2 = index2 >= 0 ? index2 : HEADER_ORDER.size();
return i1 - i2;
};
/**
* The supplier, providing additional information.
*/
private final TradeCsvInfoSupplier supplier;
//-------------------------------------------------------------------------
/**
* Obtains an instance that uses the standard set of reference data.
*
* @return the loader
*/
public static TradeCsvWriter standard() {
return new TradeCsvWriter(TradeCsvInfoSupplier.standard());
}
/**
* Obtains an instance that uses the specified supplier for additional information.
*
* @param supplier the supplier used to extract additional information to output
* @return the loader
*/
public static TradeCsvWriter of(TradeCsvInfoSupplier supplier) {
return new TradeCsvWriter(supplier);
}
// restricted constructor
private TradeCsvWriter(TradeCsvInfoSupplier supplier) {
this.supplier = ArgChecker.notNull(supplier, "supplier");
}
//-------------------------------------------------------------------------
/**
* Write trades to an appendable in the applicable full details trade format.
*
* The output is written in full details trade format.
*
* @param trades the trades to write
* @param output the appendable to write to
* @throws IllegalArgumentException if the metadata does not contain tenors
* @throws UncheckedIOException if an IO error occurs
*/
@SuppressWarnings({"rawtypes", "unchecked"})
public void write(List trades, Appendable output) {
List headers = headers(trades);
CsvRowOutputWithHeaders csv = CsvOutput.standard(output, "\n").withHeaders(headers, false);
for (Trade trade : trades) {
TradeInfo info = trade.getInfo();
info.getId().ifPresent(id -> csv.writeCell(ID_SCHEME_FIELD, id.getScheme()));
info.getId().ifPresent(id -> csv.writeCell(ID_FIELD, id.getValue()));
info.findAttribute(AttributeType.DESCRIPTION).ifPresent(str -> csv.writeCell(DESCRIPTION_FIELD, str));
info.findAttribute(AttributeType.NAME).ifPresent(str -> csv.writeCell(NAME_FIELD, str));
info.findAttribute(AttributeType.CCP).ifPresent(str -> csv.writeCell(CCP_FIELD, str));
info.getCounterparty().ifPresent(cpty -> csv.writeCell(CPTY_SCHEME_FIELD, cpty.getScheme()));
info.getCounterparty().ifPresent(cpty -> csv.writeCell(CPTY_FIELD, cpty.getValue()));
info.getTradeDate().ifPresent(date -> csv.writeCell(TRADE_DATE_FIELD, date.toString()));
info.getTradeTime().ifPresent(time -> csv.writeCell(TRADE_TIME_FIELD, time.toString()));
info.getZone().ifPresent(zone -> csv.writeCell(TRADE_ZONE_FIELD, zone.toString()));
info.getSettlementDate().ifPresent(date -> csv.writeCell(SETTLEMENT_DATE_FIELD, date.toString()));
csv.writeCells(supplier.values(headers, trade));
TradeCsvWriterPlugin detailsWriter = PLUGINS.get(trade.getClass());
if (detailsWriter == null) {
throw new IllegalArgumentException("Unable to write trade to CSV: " + trade.getClass().getSimpleName());
}
detailsWriter.writeCsv(csv, trade);
}
}
// collect the set of headers that are needed
@SuppressWarnings({"rawtypes", "unchecked"})
private List headers(List trades) {
Set headers = new LinkedHashSet<>();
// common headers
headers.add(TRADE_TYPE_FIELD);
if (trades.stream().anyMatch(trade -> trade.getInfo().getId().isPresent())) {
headers.add(ID_SCHEME_FIELD);
headers.add(ID_FIELD);
}
if (trades.stream().anyMatch(trade -> trade.getInfo().findAttribute(AttributeType.DESCRIPTION).isPresent())) {
headers.add(DESCRIPTION_FIELD);
}
if (trades.stream().anyMatch(trade -> trade.getInfo().findAttribute(AttributeType.NAME).isPresent())) {
headers.add(NAME_FIELD);
}
if (trades.stream().anyMatch(trade -> trade.getInfo().findAttribute(AttributeType.CCP).isPresent())) {
headers.add(CCP_FIELD);
}
if (trades.stream().anyMatch(trade -> trade.getInfo().getCounterparty().isPresent())) {
headers.add(CPTY_SCHEME_FIELD);
headers.add(CPTY_FIELD);
}
if (trades.stream().anyMatch(trade -> trade.getInfo().getTradeDate().isPresent())) {
headers.add(TRADE_DATE_FIELD);
}
if (trades.stream().anyMatch(trade -> trade.getInfo().getTradeTime().isPresent())) {
headers.add(TRADE_TIME_FIELD);
}
if (trades.stream().anyMatch(trade -> trade.getInfo().getZone().isPresent())) {
headers.add(TRADE_ZONE_FIELD);
}
if (trades.stream().anyMatch(trade -> trade.getInfo().getSettlementDate().isPresent())) {
headers.add(SETTLEMENT_DATE_FIELD);
}
// additional headers
headers.addAll(trades.stream()
.flatMap(trade -> supplier.headers(trade).stream())
.collect(toImmutableList()));
// types
Map, List> splitByType = trades.stream().collect(groupingBy(
Object::getClass,
LinkedHashMap, List>::new,
Collectors.toList()));
for (Entry, List> entry : splitByType.entrySet()) {
TradeCsvWriterPlugin detailsWriter = PLUGINS.get(entry.getKey());
if (detailsWriter == null) {
throw new IllegalArgumentException(
"Unable to write trade type to CSV: " + entry.getKey().getSimpleName());
}
headers.addAll(detailsWriter.headers(entry.getValue()));
}
return headers.stream().sorted(HEADER_COMPARATOR).collect(toImmutableList());
}
}