Package com.opengamma.master.historicaltimeseries

Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesMaster

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  protected void doRun() throws Exception {
    CommandLine commandLine = getCommandLine();
    String findProvider = getCommandLineOption(commandLine, FIND_PROVIDER_OPTION);
    String replaceWithProvider = getCommandLineOption(commandLine, REPLACE_WITH_PROVIDER_OPTION);
   
    HistoricalTimeSeriesMaster htsMaster = getToolContext().getHistoricalTimeSeriesMaster();
    HistoricalTimeSeriesProvider htsProvider = getToolContext().getHistoricalTimeSeriesProvider();
   
    BloombergHistoricalTimeSeriesLoader loader = new BloombergHistoricalTimeSeriesLoader(htsMaster, htsProvider,
        new BloombergIdentifierProvider(getToolContext().getBloombergReferenceDataProvider()));
   
    for (HistoricalTimeSeriesInfoDocument infoDoc : HistoricalTimeSeriesInfoSearchIterator.iterable(htsMaster, getHistoricalSearchRequest(findProvider))) {
      ExternalIdBundle bundle = infoDoc.getInfo().getExternalIdBundle().toBundle();
      ExternalId buid = bundle.getExternalId(ExternalSchemes.BLOOMBERG_BUID);
      ExternalId ticker = bundle.getExternalId(ExternalSchemes.BLOOMBERG_TICKER);
      String dataField = infoDoc.getInfo().getDataField();
      if (buid != null) {
        s_logger.info("replacing {} {}", buid, ticker);
        try {
          LocalDateDoubleTimeSeries hts = htsProvider.getHistoricalTimeSeries(ExternalIdBundle.of(buid),
              BLOOMBERG_DATA_SOURCE_NAME, replaceWithProvider, dataField);
          if (hts != null) {
            Map<ExternalId, UniqueId> addedTS = loader.loadTimeSeries(Sets.newHashSet(buid), replaceWithProvider, dataField, null, null);
            if (addedTS.get(buid) != null) {
              htsMaster.remove(infoDoc.getUniqueId());
              s_logger.info("removed TS with buid={}, ticker={}, dataProvider={}, dataField={}", new Object[] {buid, ticker, findProvider, dataField});
            }
          }
        } catch (Exception ex) {
          s_logger.warn("Error trying to load TS for " + buid, ex);
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  }

  @Override
  protected void doRun() {
    try {
      final HistoricalTimeSeriesMaster htsMaster = getToolContext().getHistoricalTimeSeriesMaster();
      final HistoricalTimeSeriesGetFilter filter = new HistoricalTimeSeriesGetFilter();
      filter.setMaxPoints(-1);
      final LocalDate now = LocalDate.now();
      final Random rnd = new Random();
      int pointsAdded = 0;
      int timeSeriesUpdated = 0;
      _feedback.workRequired(_data.getFinishValues().size());
      for (Map.Entry<Pair<ExternalId, String>, Double> centreValue : _data.getFinishValues().entrySet()) {
        s_logger.debug("Updating TS points for {}/{}", centreValue.getKey().getFirst(), centreValue.getKey().getSecond());
        final HistoricalTimeSeriesInfoSearchRequest searchRequest = new HistoricalTimeSeriesInfoSearchRequest();
        searchRequest.addExternalId(centreValue.getKey().getFirst());
        searchRequest.setDataField(centreValue.getKey().getSecond());
        searchRequest.setDataProvider(SimulatedHistoricalData.OG_DATA_PROVIDER);
        searchRequest.setDataSource(SimulatedHistoricalData.OG_DATA_SOURCE);
        final HistoricalTimeSeriesInfoSearchResult searchResult = htsMaster.search(searchRequest);
        if (searchResult.getDocuments().isEmpty()) {
          s_logger.warn("No time series for {}/{}", centreValue.getKey().getFirst(), centreValue.getKey().getSecond());
        } else {
          for (HistoricalTimeSeriesInfoDocument infoDoc : searchResult.getDocuments()) {
            s_logger.debug("Updating {}", infoDoc.getUniqueId());
            final ManageableHistoricalTimeSeries hts = htsMaster.getTimeSeries(infoDoc.getUniqueId(), filter);
            final LocalDateDoubleTimeSeries ldts = hts.getTimeSeries();
            LocalDate pointDate = ldts.getLatestTime();
            if (pointDate.isBefore(now)) {
              final double centre = centreValue.getValue();
              double pointValue = ldts.getLatestValueFast();
              pointDate = DateUtils.nextWeekDay(pointDate);
              List<LocalDate> dates = new ArrayList<LocalDate>();
              List<Double> values = new ArrayList<Double>();
              while (pointDate.isBefore(now)) {
                pointValue = SimulatedHistoricalData.wiggleValue(rnd, pointValue, centre);
                dates.add(pointDate);
                values.add(pointValue);
                pointDate = DateUtils.nextWeekDay(pointDate);
              }
              if (!dates.isEmpty()) {
                s_logger.debug("Adding {} new points to {}", dates.size(), infoDoc.getUniqueId());
                htsMaster.updateTimeSeriesDataPoints(infoDoc, ImmutableLocalDateDoubleTimeSeries.of(dates, values));
                pointsAdded += dates.size();
                timeSeriesUpdated++;
                if ((timeSeriesUpdated % 100) == 0) {
                  GUIFeedback.say("Updated " + timeSeriesUpdated + " of " + _data.getFinishValues().size() + " time series");
                }
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      }
    });
  }
 
  private <D> D apply(String scheme, Try<D> tryObject) {
    HistoricalTimeSeriesMaster master = getMasterByScheme(scheme);
    if (master != null) {
      return tryObject.tryMaster(master);
    }
    return tryObject.each(scheme);
  }
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  //-------------------------------------------------------------------------
  @Override
  public void init(ComponentRepository repo, LinkedHashMap<String, String> historicalTimeSeriesuration) {

    HistoricalTimeSeriesMaster master = new EHCachingHistoricalTimeSeriesMaster(getClassifier(),
                                                      getUnderlying(),
                                                      getCacheManager());

    // register
    ComponentInfo info = new ComponentInfo(HistoricalTimeSeriesMaster.class, getClassifier());
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    new MasterHistoricalTimeSeriesSource(null, mock);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void constructorWith2ArgNull() throws Exception {
    HistoricalTimeSeriesMaster mock = mock(HistoricalTimeSeriesMaster.class);
    new MasterHistoricalTimeSeriesSource(mock, null);
  }
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    LocalDateDoubleTimeSeries existingDataPoints = ImmutableLocalDateDoubleTimeSeries.of(existingDates, existingValues);

    LocalDate[] newDates = {LocalDate.of(2010,2,1), LocalDate.of(2011,2,1)};
    double[] newValues = {1.5, 2.5};
    LocalDateDoubleTimeSeries newDataPoints = ImmutableLocalDateDoubleTimeSeries.of(newDates, newValues);
    HistoricalTimeSeriesMaster htsMaster = buildHistoricalTimeSeriesMaster(existingDataPoints);

    // Write the new data points to an existing hts
    TimeSeriesWriter writer = new MasterTimeSeriesWriter(htsMaster);
    writer.writeDataPoints(EXISTING_HTSINFO_EXTERNALID, DATA_SOURCE, DATA_PROVIDER, DATA_FIELD, OBSERVATION_TIME,
        newDataPoints);
   
    // Retrieve the hts contents from the master
    HistoricalTimeSeriesInfoSearchRequest request = new HistoricalTimeSeriesInfoSearchRequest();
    request.setExternalIdSearch(new ExternalIdSearch(EXISTING_HTSINFO_EXTERNALID));
    HistoricalTimeSeriesInfoSearchResult result = htsMaster.search(request);
    LocalDateDoubleTimeSeries retrievedDataPoints = null;
    if (result != null && result.getFirstInfo() != null) {
      retrievedDataPoints = htsMaster.getTimeSeries(
          htsMaster.get(result.getFirstInfo().getUniqueId()).getInfo().getTimeSeriesObjectId().atLatestVersion()).getTimeSeries();
    }
   
    // Assert that the retrieved contents is as expected (combined existing and new dates/values)
    LocalDate[] combinedDates = {LocalDate.of(2010,1,1), LocalDate.of(2010,2,1), LocalDate.of(2011,1,1), LocalDate.of(2011,2,1)};
    double[] combinedValues = {1.0, 1.5, 2.0, 2.5};
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    // Build a mock master with an existing hts
    LocalDate[] dates = {LocalDate.of(2010,1,1), LocalDate.of(2011,1,1)};
    double[] values = {1.0, 2.0};
    LocalDateDoubleTimeSeries dataPoints = ImmutableLocalDateDoubleTimeSeries.of(dates, values);
    HistoricalTimeSeriesMaster htsMaster = buildHistoricalTimeSeriesMaster(dataPoints);
    // Write the new data points to an existing hts
    TimeSeriesWriter writer = new MasterTimeSeriesWriter(htsMaster);
    writer.writeDataPoints(NEW_HTSINFO_EXTERNALID, DATA_SOURCE, DATA_PROVIDER, DATA_FIELD, OBSERVATION_TIME,
        dataPoints);
   
    // Retrieve and check the hts master contents
    HistoricalTimeSeriesInfoSearchRequest request = new HistoricalTimeSeriesInfoSearchRequest();
    request.setExternalIdSearch(new ExternalIdSearch(NEW_HTSINFO_EXTERNALID));
    HistoricalTimeSeriesInfoSearchResult result = htsMaster.search(request);
    LocalDateDoubleTimeSeries retrievedDataPoints = null;
    if (result != null && result.getFirstInfo() != null) {
      retrievedDataPoints = htsMaster.getTimeSeries(
          htsMaster.get(result.getFirstInfo().getUniqueId()).getInfo().getTimeSeriesObjectId().atLatestVersion()).getTimeSeries();
    }
    assert(dataPoints.equals(retrievedDataPoints));
  }
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    // Set up the reader to read from file and the writer to write to the in-memory master, and do the import
    InputStream fileStream = new BufferedInputStream(new FileInputStream(FILENAME));
    TimeSeriesReader reader = new SingleSheetMultiTimeSeriesReader(
        SheetFormat.of(FILENAME), fileStream, DATA_SOURCE, DATA_PROVIDER, DATA_FIELD, OBSERVATION_TIME, ID_SCHEME, DATE_FORMAT);
    HistoricalTimeSeriesMaster htsMaster = buildHistoricalTimeSeriesMaster(existingDataPoints);
    TimeSeriesWriter writer = new MasterTimeSeriesWriter(htsMaster);
    reader.writeTo(writer);
   
    // Retrieve hts master contents
    HistoricalTimeSeriesInfoSearchRequest request = new HistoricalTimeSeriesInfoSearchRequest();
    request.setExternalIdSearch(new ExternalIdSearch(ExternalId.of(ID_SCHEME, readId)));
    HistoricalTimeSeriesInfoSearchResult result = htsMaster.search(request);
    LocalDateDoubleTimeSeries retrievedDataPoints = null;
    if (result != null && result.getFirstInfo() != null) {
      retrievedDataPoints = htsMaster.getTimeSeries(
          htsMaster.get(result.getFirstInfo().getUniqueId()).getInfo().getTimeSeriesObjectId().atLatestVersion()).getTimeSeries();
    }
   
    assert(compareDataPoints.equals(retrievedDataPoints));
  }
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    mHtsInfo.setExternalIdBundle(ExternalIdBundleWithDates.of(EXISTING_HTSINFO_EXTERNALID.toBundle()));
    mHtsInfo.setName("Test HTS");
    HistoricalTimeSeriesInfoDocument htsInfoDoc = new HistoricalTimeSeriesInfoDocument(mHtsInfo);

    // Create in memory HTS master and add HTS info/doc
    HistoricalTimeSeriesMaster htsMaster = new InMemoryHistoricalTimeSeriesMaster();
    htsInfoDoc = htsMaster.add(htsInfoDoc);

    // Create the actual time series and add to HTS master
    htsMaster.updateTimeSeriesDataPoints(htsInfoDoc.getInfo().getTimeSeriesObjectId(), lddts);
    return htsMaster;
  }
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Related Classes of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesMaster

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