/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.bbg.loader;
import static com.opengamma.bbg.BloombergConstants.BBG_WEEKLY_INDEX_OPTIONS_TYPE;
import static com.opengamma.bbg.BloombergConstants.BLOOMBERG_EQUITY_INDEX_TYPE;
import static com.opengamma.bbg.BloombergConstants.FIELD_CRNCY;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUTURES_CATEGORY;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_LAST_TRADE_DT;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_LONG_NAME;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_TRADING_HRS;
import static com.opengamma.bbg.BloombergConstants.FIELD_FUT_VAL_PT;
import static com.opengamma.bbg.BloombergConstants.FIELD_ID_BBG_UNIQUE;
import static com.opengamma.bbg.BloombergConstants.FIELD_ID_CUSIP;
import static com.opengamma.bbg.BloombergConstants.FIELD_ID_ISIN;
import static com.opengamma.bbg.BloombergConstants.FIELD_ID_MIC_PRIM_EXCH;
import static com.opengamma.bbg.BloombergConstants.FIELD_ID_SEDOL1;
import static com.opengamma.bbg.BloombergConstants.FIELD_MARKET_SECTOR_DES;
import static com.opengamma.bbg.BloombergConstants.FIELD_PARSEKYABLE_DES;
import static com.opengamma.bbg.BloombergConstants.FIELD_UNDL_SPOT_TICKER;
import static com.opengamma.bbg.util.BloombergDataUtils.isValidField;
import java.util.Collections;
import java.util.Set;
import org.fudgemsg.FudgeMsg;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Sets;
import com.opengamma.bbg.referencedata.ReferenceDataProvider;
import com.opengamma.bbg.util.BloombergDataUtils;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.financial.security.future.EquityFutureSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.master.security.ManageableSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.Expiry;
/** Creates EquityFutureSecurity from fields loaded from Bloomberg */
public class EquityFutureLoader extends SecurityLoader {
/** Logger. */
private static final Logger s_logger = LoggerFactory.getLogger(EquityFutureLoader.class);
/** The fields to load from Bloomberg */
private static final Set<String> BLOOMBERG_EQUITY_FUTURE_FIELDS = Collections.unmodifiableSet(Sets.newHashSet(
FIELD_FUT_LONG_NAME,
FIELD_FUT_LAST_TRADE_DT,
FIELD_FUT_TRADING_HRS,
FIELD_ID_MIC_PRIM_EXCH,
FIELD_CRNCY,
FIELD_MARKET_SECTOR_DES,
FIELD_PARSEKYABLE_DES,
FIELD_UNDL_SPOT_TICKER,
FIELD_ID_BBG_UNIQUE,
FIELD_ID_CUSIP,
FIELD_ID_ISIN,
FIELD_ID_SEDOL1,
FIELD_FUT_VAL_PT,
FIELD_FUTURES_CATEGORY));
/** The set of valid Bloomberg 'Futures Category Types' that will map to EquityFutureSecurity */
public static final Set<String> VALID_SECURITY_TYPES = ImmutableSet.of(
BLOOMBERG_EQUITY_INDEX_TYPE,
BBG_WEEKLY_INDEX_OPTIONS_TYPE); // THIS IS IFFY - 2EH3 INDEX, FOR EXAMPLE, HAS A FUTURE CATEGORY OF WEEKLY INDEX OPTIONS, THOUGH IT JUST AN ALIAS FOR ESH3 INDEX WHICH IS EQUITY INDEX);
//TODO: Answer this: Are Equity Index Futures EquityFutureSecurity or IndexFutureSecurity? - See EquityFutureLoader, too
/**
* Creates an instance.
* @param referenceDataProvider the provider, not null
*/
public EquityFutureLoader(ReferenceDataProvider referenceDataProvider) {
super(s_logger, referenceDataProvider, SecurityType.EQUITY_FUTURE);
}
//-------------------------------------------------------------------------
@Override
protected ManageableSecurity createSecurity(FudgeMsg fieldData) {
String expiryDate = fieldData.getString(FIELD_FUT_LAST_TRADE_DT);
String futureTradingHours = fieldData.getString(FIELD_FUT_TRADING_HRS);
String micExchangeCode = fieldData.getString(FIELD_ID_MIC_PRIM_EXCH);
String currencyStr = fieldData.getString(FIELD_CRNCY);
String underlyingTicker = fieldData.getString(FIELD_UNDL_SPOT_TICKER);
String name = BloombergDataUtils.removeDuplicateWhiteSpace(fieldData.getString(FIELD_FUT_LONG_NAME), " ");
String category = BloombergDataUtils.removeDuplicateWhiteSpace(fieldData.getString(FIELD_FUTURES_CATEGORY), " ");
String bbgUnique = fieldData.getString(FIELD_ID_BBG_UNIQUE);
String marketSector = fieldData.getString(FIELD_MARKET_SECTOR_DES);
String unitAmount = fieldData.getString(FIELD_FUT_VAL_PT);
if (!isValidField(bbgUnique)) {
s_logger.warn("bbgUnique is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(expiryDate)) {
s_logger.warn("expiry date is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(futureTradingHours)) {
s_logger.warn("futures trading hours is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(micExchangeCode)) {
s_logger.warn("settlement exchange is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(currencyStr)) {
s_logger.info("currency is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(category)) {
s_logger.info("category is null, cannot construct EquityFutureSecurity");
return null;
}
ExternalId underlying = null;
if (underlyingTicker != null) {
underlying = ExternalSchemes.bloombergTickerSecurityId(underlyingTicker + " " + marketSector);
}
Currency currency = Currency.parse(currencyStr);
Expiry expiry = decodeExpiry(expiryDate, futureTradingHours);
if (expiry == null) {
return null;
}
// FIXME: Case - treatment of Settlement Date
s_logger.warn("Creating EquityFutureSecurity - settlementDate set equal to expiryDate. Missing lag.");
ZonedDateTime settlementDate = expiry.getExpiry();
EquityFutureSecurity security = new EquityFutureSecurity(expiry, micExchangeCode, micExchangeCode, currency, Double.valueOf(unitAmount), settlementDate, underlying, category);
security.setName(name);
// set identifiers
parseIdentifiers(fieldData, security);
return security;
}
@Override
protected Set<String> getBloombergFields() {
return BLOOMBERG_EQUITY_FUTURE_FIELDS;
}
}