package com.barchart.feed.ddf.instrument.provider;
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.GUID;
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_EXPIRE;
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 static com.barchart.feed.inst.InstrumentField.BOOK_DEPTH;
import static com.barchart.feed.inst.InstrumentField.BOOK_LIQUIDITY;
import static com.barchart.feed.inst.InstrumentField.BOOK_STRUCTURE;
import static com.barchart.feed.inst.InstrumentField.CFI_CODE;
import static com.barchart.feed.inst.InstrumentField.DESCRIPTION;
import static com.barchart.feed.inst.InstrumentField.DISPLAY_FRACTION;
import static com.barchart.feed.inst.InstrumentField.EXCHANGE;
import static com.barchart.feed.inst.InstrumentField.EXCHANGE_CODE;
import static com.barchart.feed.inst.InstrumentField.LIFETIME;
import static com.barchart.feed.inst.InstrumentField.MARKET_GUID;
import static com.barchart.feed.inst.InstrumentField.MARKET_HOURS;
import static com.barchart.feed.inst.InstrumentField.POINT_VALUE;
import static com.barchart.feed.inst.InstrumentField.SECURITY_TYPE;
import static com.barchart.feed.inst.InstrumentField.SYMBOL;
import static com.barchart.feed.inst.InstrumentField.TICK_SIZE;
import static com.barchart.feed.inst.InstrumentField.TIME_ZONE_NAME;
import static com.barchart.feed.inst.InstrumentField.TIME_ZONE_OFFSET;
import static com.barchart.feed.inst.InstrumentField.VENDOR;
import static com.barchart.util.values.provider.ValueBuilder.newPrice;
import static com.barchart.util.values.provider.ValueBuilder.newSize;
import static com.barchart.util.values.provider.ValueBuilder.newText;
import java.util.HashMap;
import java.util.Map;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.w3c.dom.Element;
import org.xml.sax.Attributes;
import com.barchart.feed.api.model.meta.Exchange;
import com.barchart.feed.api.model.meta.Instrument;
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.InstrumentField;
import com.barchart.feed.inst.provider.Exchanges;
import com.barchart.feed.inst.provider.InstrumentGUID;
import com.barchart.missive.api.Tag;
import com.barchart.missive.core.ObjectMapFactory;
import com.barchart.proto.buf.inst.BookLiquidity;
import com.barchart.proto.buf.inst.BookStructure;
import com.barchart.proto.buf.inst.Calendar;
import com.barchart.proto.buf.inst.Decimal;
import com.barchart.proto.buf.inst.InstrumentDefinition;
import com.barchart.proto.buf.inst.InstrumentType;
import com.barchart.proto.buf.inst.Interval;
import com.barchart.util.value.api.Factory;
import com.barchart.util.value.api.FactoryLoader;
import com.barchart.util.value.api.Fraction;
import com.barchart.util.value.api.Time;
import com.barchart.util.value.api.TimeInterval;
import com.barchart.util.values.api.PriceValue;
import com.barchart.util.values.api.TextValue;
import com.barchart.util.values.provider.ValueBuilder;
import com.barchart.util.values.provider.ValueConst;
public final class InstrumentXML {
private static final Factory factory = FactoryLoader.load();
@SuppressWarnings("unused")
private static final Logger log = LoggerFactory
.getLogger(InstrumentXML.class);
private InstrumentXML() {
}
public static InstrumentDDF decodeXML(final Element tag) throws Exception {
// lookup status
final String statusCode = xmlStringDecode(tag, STATUS, XML_STOP);
final StatusXML status = StatusXML.fromCode(statusCode);
if (!status.isFound()) {
final String lookup = xmlStringDecode(tag, LOOKUP, XML_STOP);
throw new SymbolNotFoundException(lookup);
}
// decode DOM
TextValue guid;
try {
guid = ValueBuilder.newText(xmlStringDecode(tag, GUID, XML_STOP));
} catch (Exception e) {
// TODO
//return (InstrumentDDF) Instrument.NULL;
return null;
}
final TextValue symbolReal = ValueBuilder.newText(xmlStringDecode(
tag, SYMBOL_REALTIME, XML_STOP));
final byte exchCode = xmlByteDecode(tag, EXCHANGE_DDF, XML_PASS);
final byte baseCode = xmlByteDecode(tag, BASE_CODE_DDF, XML_STOP);
final String codeCFI = xmlStringDecode(tag, SYMBOL_CODE_CFI, XML_PASS);
final String zoneCode = xmlStringDecode(tag, TIME_ZONE_DDF, XML_STOP);
final String symbolComment = xmlStringDecode(tag, SYMBOL_COMMENT,
XML_PASS);
final Time expire = xmlTimeDecode(tag, SYMBOL_EXPIRE, XML_PASS);
// month code for exp of futures contract
final DDF_TimeZone zone = DDF_TimeZone.fromCode(zoneCode);
final DDF_Exchange exchange = DDF_Exchange.fromCode(exchCode);
final DDF_Fraction frac = DDF_Fraction.fromBaseCode(baseCode);
final long priceStepMantissa = xmlDecimalDecode(frac, tag,
PRICE_TICK_INCREMENT, XML_STOP);
final String pricePointString = xmlStringDecode(tag, PRICE_POINT_VALUE,
XML_PASS);
PriceValue pricePoint = ValueBuilder.newPrice(0);
if (pricePointString != null) {
try {
pricePoint = ValueBuilder.newPrice(Double
.valueOf(pricePointString));
} catch (Exception e) {
}
}
final PriceValue priceStep = newPrice(priceStepMantissa,
frac.decimalExponent);
/* Build Lifetime, currently only have last month/year of instrument from ddf.extras */
TimeInterval lifetime;
if(expire == null || expire == Time.NULL) { // Was isNull()
lifetime = TimeInterval.NULL;
} else {
lifetime = factory.newTimeInterval(0, expire.millisecond());
}
Fraction f = factory.newFraction(1, (int) frac.decimalDenominator);
return build(guid, symbolReal, symbolComment, codeCFI,
exchange, priceStep, pricePoint, f, lifetime, zone);
}
public static InstrumentDDF decodeSAX(final Attributes ats) throws Exception {
// 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);
}
// decode SAX
final TextValue guid = ValueBuilder.newText(xmlStringDecode(ats, GUID, XML_STOP));
final TextValue symbolReal = ValueBuilder.newText(
xmlStringDecode(ats, SYMBOL_REALTIME, XML_STOP));
final byte exchCode = xmlByteDecode(ats, EXCHANGE_DDF, XML_PASS);
final byte baseCode = xmlByteDecode(ats, BASE_CODE_DDF, XML_STOP);
final String codeCFI = xmlStringDecode(ats, SYMBOL_CODE_CFI, XML_PASS);
final String zoneCode = xmlStringDecode(ats, TIME_ZONE_DDF, XML_STOP);
final String symbolComment = xmlStringDecode(ats, SYMBOL_COMMENT,
XML_PASS);
final Time expire = xmlTimeDecode(ats, SYMBOL_EXPIRE, XML_PASS);
//
final DDF_TimeZone zone = DDF_TimeZone.fromCode(zoneCode);
final DDF_Exchange exchange = DDF_Exchange.fromCode(exchCode);
final DDF_Fraction frac = DDF_Fraction.fromBaseCode(baseCode);
final long priceStepMantissa = xmlDecimalDecode(frac, ats,
PRICE_TICK_INCREMENT, XML_STOP);
final String pricePointString = xmlStringDecode(ats, PRICE_POINT_VALUE,
XML_PASS);
PriceValue pricePoint = ValueBuilder.newPrice(0);
if (pricePointString != null) {
try {
pricePoint = ValueBuilder.newPrice(Double
.valueOf(pricePointString));
} catch (Exception e) {
}
}
final PriceValue priceStep = newPrice(priceStepMantissa,
frac.decimalExponent);
/* Build Lifetime, currently only have last month/year of instrument from ddf.extras */
TimeInterval lifetime;
if(expire == null || expire == com.barchart.util.value.impl.ValueConst.NULL_TIME) { // Was isNull()
lifetime = com.barchart.util.value.impl.ValueConst.NULL_TIME_INTERVAL;
} else {
lifetime = factory.newTimeInterval(0, expire.millisecond());
}
Fraction f = factory.newFraction(1, (int) frac.decimalDenominator);
return build(guid, symbolReal, symbolComment, codeCFI,
exchange, priceStep, pricePoint, f, lifetime, zone);
}
@SuppressWarnings("rawtypes")
private static final InstrumentDDF build(final TextValue guid,
final TextValue symbolReal, final String symbolComment,
final String codeCFI, final DDF_Exchange exchange,
final PriceValue priceStep, final PriceValue pricePoint,
final Fraction fraction, final TimeInterval lifetime,
final DDF_TimeZone zone) {
final Map<Tag, Object> map = new HashMap<Tag, Object>();
map.put(InstrumentField.GUID, new InstrumentGUID(guid));
map.put(MARKET_GUID, guid);
map.put(SECURITY_TYPE, Instrument.SecurityType.NULL_TYPE);
map.put(BOOK_LIQUIDITY, Instrument.BookLiquidityType.NONE);
map.put(BOOK_STRUCTURE, Instrument.BookStructureType.NONE);
map.put(BOOK_DEPTH, ValueConst.NULL_SIZE);
map.put(VENDOR, newText("Barchart"));
map.put(SYMBOL, symbolReal);
map.put(DESCRIPTION, newText(symbolComment));
map.put(CFI_CODE, newText(codeCFI));
map.put(EXCHANGE, exchange.asExchange());
map.put(EXCHANGE_CODE, newText(new byte[]{(exchange.code)}));
map.put(TICK_SIZE, priceStep);
map.put(POINT_VALUE, pricePoint);
map.put(DISPLAY_FRACTION, fraction);
map.put(LIFETIME, lifetime);
map.put(MARKET_HOURS, factory.newSchedule(new TimeInterval[0]));
map.put(TIME_ZONE_OFFSET, newSize(zone.getUTCOffset()));
map.put(TIME_ZONE_NAME, newText(zone.name()));
return ObjectMapFactory.build(InstrumentDDF.class, map);
}
public static InstrumentDefinition decodeSAXProto(final Attributes ats) throws Exception {
InstrumentDefinition.Builder builder = InstrumentDefinition.newBuilder();
// 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; */
try {
builder.setMarketId(Long.parseLong(xmlStringDecode(ats, GUID, XML_STOP)));
} catch(Exception e) {
return InstrumentDefinition.getDefaultInstance();
}
/* type of security, Forex, Equity, etc. */
builder.setInstrumentType(InstrumentType.NO_TYPE_INST);
/* liquidy type, default / implied / combined */
builder.setBookLiquidity(BookLiquidity.NO_BOOK_LIQUIDITY);
/* structure of book */
builder.setBookStructure(BookStructure.NO_BOOK_STRUCTURE);
/* book depth */
builder.setBookDepth(0);
/* vendor */
builder.setVendorId("Barchart");
/* market symbol; can be non unique; */
builder.setSymbol(xmlStringDecode(ats, SYMBOL_REALTIME, XML_STOP));
/* 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 (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 {
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.name());
return builder.build();
}
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>*/
}