package com.barchart.feed.ddf.instrument.provider;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.ALT_SYMBOL;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.BASE_CODE_DDF;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.EXCHANGE_DDF;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.ID;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.LOOKUP;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.PRICE_POINT_VALUE;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.PRICE_TICK_INCREMENT;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.STATUS;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.SYMBOL_CODE_CFI;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.SYMBOL_COMMENT;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.SYMBOL_DDF_REAL;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.SYMBOL_EXPIRE;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.SYMBOL_HIST;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.SYMBOL_REALTIME;
import static com.barchart.feed.ddf.instrument.provider.XmlTagExtras.TIME_ZONE_DDF;
import static com.barchart.feed.ddf.util.HelperXML.XML_PASS;
import static com.barchart.feed.ddf.util.HelperXML.XML_STOP;
import static com.barchart.feed.ddf.util.HelperXML.xmlByteDecode;
import static com.barchart.feed.ddf.util.HelperXML.xmlDecimalDecode;
import static com.barchart.feed.ddf.util.HelperXML.xmlStringDecode;
import static com.barchart.feed.ddf.util.HelperXML.xmlTimeDecode;
import org.openfeed.proto.inst.BookLiquidity;
import org.openfeed.proto.inst.BookStructure;
import org.openfeed.proto.inst.Calendar;
import org.openfeed.proto.inst.Decimal;
import org.openfeed.proto.inst.InstrumentDefinition;
import org.openfeed.proto.inst.InstrumentType;
import org.openfeed.proto.inst.Interval;
import org.openfeed.proto.inst.Symbol;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.xml.sax.Attributes;
import com.barchart.feed.api.model.meta.id.VendorID;
import com.barchart.feed.base.values.api.PriceValue;
import com.barchart.feed.base.values.provider.ValueBuilder;
import com.barchart.feed.ddf.symbol.enums.DDF_Exchange;
import com.barchart.feed.ddf.symbol.enums.DDF_TimeZone;
import com.barchart.feed.ddf.util.enums.DDF_Fraction;
import com.barchart.feed.inst.provider.Exchanges;
import com.barchart.util.value.ValueFactoryImpl;
import com.barchart.util.value.api.Time;
import com.barchart.util.value.api.ValueFactory;
public final class InstrumentXML {
@SuppressWarnings("unused")
private static final ValueFactory factory = new ValueFactoryImpl();
@SuppressWarnings("unused")
private static final Logger log = LoggerFactory
.getLogger(InstrumentXML.class);
private InstrumentXML() {
}
public static InstrumentDefinition decodeSAX(final Attributes ats)
throws Exception {
final InstrumentDefinition.Builder builder =
InstrumentDefinition.newBuilder();
try {
// lookup status
final String statusCode = xmlStringDecode(ats, STATUS, XML_STOP);
final StatusXML status = StatusXML.fromCode(statusCode);
if (!status.isFound()) {
final String lookup = xmlStringDecode(ats, LOOKUP, XML_STOP);
throw new SymbolNotFoundException(lookup);
}
/* market identifier; must be globally unique; */
builder.setMarketId(Long.parseLong(xmlStringDecode(ats, ID,
XML_STOP)));
/* type of security, Forex, Equity, etc. */
builder.setInstrumentType(InstrumentType.NO_INSTRUMENT);
/* liquidy type, default / implied / combined */
builder.setBookLiquidity(BookLiquidity.NO_BOOK_LIQUIDITY);
/* structure of book */
builder.setBookStructure(BookStructure.NO_BOOK_STRUCTURE);
/* book depth - NOT AVAIL */
/* vendor */
builder.setVendorId("Barchart"); // Seems like this should be VendorID.BARCHART.toString()
/* market symbol; can be non unique; */
builder.setSymbol(xmlStringDecode(ats, SYMBOL_REALTIME, XML_STOP));
/* Barchart symbol, only used for options */
final String bar = xmlStringDecode(ats, SYMBOL_DDF_REAL, XML_PASS);
if (bar != null) {
final Symbol.Builder b = Symbol.newBuilder();
b.setVendor(VendorID.BARCHART.toString());
b.setSymbol(bar);
final Symbol symbol = b.build();
builder.addSymbols(symbol);
}
/* Barchart historical symbol, used for historical data queries */
final String hist = xmlStringDecode(ats, SYMBOL_HIST, XML_PASS);
if (hist != null) {
final Symbol.Builder b = Symbol.newBuilder();
b.setVendor(VendorID.BARCHART_HISTORICAL.toString());
b.setSymbol(hist);
final Symbol symbol = b.build();
builder.addSymbols(symbol);
}
// NOTE: Hard coded for CQG
final String cqg = xmlStringDecode(ats, ALT_SYMBOL, XML_PASS);
if (cqg != null) {
final Symbol.Builder b = Symbol.newBuilder();
b.setVendor(DDF_RxInstrumentProvider.CQG_VENDOR_ID.toString());
b.setSymbol(cqg);
final Symbol symbol = b.build();
builder.addSymbols(symbol);
}
/* market free style description; can be used in full text search */
builder.setDescription(String.valueOf(xmlStringDecode(ats,
SYMBOL_COMMENT, XML_PASS)));
/* stock vs future vs etc. */
builder.setCfiCode(xmlStringDecode(ats, SYMBOL_CODE_CFI, XML_PASS));
/* price currency */
builder.setCurrencyCode("USD");
/* market originating exchange identifier */
final DDF_Exchange exchange =
DDF_Exchange.fromCode(xmlByteDecode(ats, EXCHANGE_DDF,
XML_PASS));
String eCode = new String(new byte[] {
exchange.code
});
if (eCode == null || eCode.isEmpty()) {
eCode = Exchanges.NULL_CODE;
}
builder.setExchangeCode(eCode);
final DDF_Fraction frac =
DDF_Fraction.fromBaseCode(xmlByteDecode(ats, BASE_CODE_DDF,
XML_STOP));
/* price step / increment size / tick size */
try {
final long priceStepMantissa =
xmlDecimalDecode(frac, ats, PRICE_TICK_INCREMENT,
XML_STOP);
builder.setMinimumPriceIncrement(buildDecimal(
priceStepMantissa, frac.decimalExponent));
} catch (final Exception e) {
builder.setMinimumPriceIncrement(buildDecimal(0, 0));
}
/* value of a future contract / stock share */
final String pricePointString =
xmlStringDecode(ats, PRICE_POINT_VALUE, XML_PASS);
if (pricePointString == null || pricePointString.isEmpty()) {
builder.setContractPointValue(buildDecimal(0, 0));
} else {
final PriceValue pricePoint =
ValueBuilder.newPrice(Double.valueOf(pricePointString));
builder.setContractPointValue(buildDecimal(
pricePoint.mantissa(), pricePoint.exponent()));
}
/* display fraction base : decimal(10) vs binary(2), etc. */
builder.setDisplayBase((int) frac.fraction.base());
builder.setDisplayExponent(frac.fraction.exponent());
/* Calendar */
final Time expire = xmlTimeDecode(ats, SYMBOL_EXPIRE, XML_PASS);
final Calendar.Builder calBuilder = Calendar.newBuilder();
final Interval.Builder intBuilder = Interval.newBuilder();
intBuilder.setTimeStart(0);
if (expire == null) {
intBuilder.setTimeFinish(0);
} else {
intBuilder.setTimeFinish(expire.millisecond());
}
calBuilder.setLifeTime(intBuilder.build());
builder.setCalendar(calBuilder.build());
//
final DDF_TimeZone zone =
DDF_TimeZone.fromCode(xmlStringDecode(ats, TIME_ZONE_DDF,
XML_STOP));
// /* timezone represented as offset in minutes from utc */
// builder.setTimeZoneOffset(zone.getUTCOffset());
/* time zone name as text */
builder.setTimeZoneName(zone.code());
return builder.build();
} catch (final Exception e) {
final String lookup = xmlStringDecode(ats, LOOKUP, XML_STOP);
throw new SymbolNotFoundException(lookup);
}
}
public static Decimal buildDecimal(final long mantissa, final int exponent) {
final Decimal.Builder builder = Decimal.newBuilder();
builder.setMantissa(mantissa);
builder.setExponent(exponent);
return builder.build();
}
// OLD
// final String symbolHist = xmlStringDecode(ats, SYMBOL_HIST, XML_STOP);
// final String symbolDDFReal = xmlStringDecode(ats, SYMBOL_DDF_REAL,
// XML_STOP);
// final String exchangeComment = xmlStringDecode(ats, EXCHANGE_COMMENT,
// XML_PASS);
// final String ddf_expire_month = xmlStringDecode(ats,
// SYMBOL_DDF_EXPIRE_MONTH, XML_PASS);
// final String ddf_expire_year = xmlStringDecode(ats,
// SYMBOL_DDF_EXPIRE_YEAR, XML_PASS);
/*
* <instruments status="200" count="1"> <instrument lookup="IBM"
* status="200" guid="IBM" id="1298146" symbol_realtime="IBM"
* symbol_ddf="IBM" symbol_historical="IBM"
* symbol_description="International Business Machines Corp."
* symbol_cfi="EXXXXX" exchange="XNYS" exchange_channel="NYSE"
* exchange_description="New York Stock Exchange" exchange_ddf="N"
* time_zone_ddf="America/New_York" tick_increment="1" unit_code="2"
* base_code="A" point_value="1"/> </instruments>
*/
/*
* <instruments status="200" count="1"> <instrument lookup="ESM3"
* status="200" guid="ESM2013" id="94112573" symbol_realtime="ESM2013"
* symbol_ddf="ESM3" symbol_historical="ESM13"
* symbol_description="E-Mini S&P 500"
* symbol_expire="2013-06-21T23:59:59-05:00" symbol_ddf_expire_month="M"
* symbol_ddf_expire_year="3" symbol_cfi="FXXXXX" exchange="XCME"
* exchange_channel="GBLX" exchange_description="CMEGroup CME (Globex Mini)"
* exchange_ddf="M" time_zone_ddf="America/Chicago" tick_increment="25"
* base_code="A" unit_code="2" point_value="50"/> </instruments>
*/
/*
* <instruments status="200" count="1"> <instrument lookup="_S_FX_A6H2_A6Z1"
* status="200" guid="_S_FX_A6H2_A6Z1" id="1819728"
* symbol_realtime="_S_FX_A6H2_A6Z1" symbol_ddf="_S_FX_A6H2_A6Z1"
* symbol_historical="_S_FX_A6H2_A6Z1"
* symbol_description="Australian Dollar Futures Foreign Exchange Spread"
* symbol_cfi="FMXXXX" exchange="XIMM" exchange_channel="IMM"
* exchange_description="CMEGroup CME" exchange_ddf="M"
* time_zone_ddf="America/New_York" tick_increment="1" unit_code="5"
* base_code="D" point_value="1"/> </instruments>
*/
}