private void processFieldData(
Element securityElem,
String field,
Map<String, ExternalIdBundle> bbgSecDomainMap,
Map<ExternalIdBundle, HistoricalTimeSeries> result) {
String secDes = securityElem.getElementAsString(BloombergConstants.SECURITY);
ExternalIdBundle identifiers = bbgSecDomainMap.get(secDes);
if (identifiers == null) {
String message =
"Found time series data for unrecognized security" + secDes + " " + bbgSecDomainMap;
throw new OpenGammaRuntimeException(message);
}
HistoricalTimeSeries hts = result.get(identifiers);
MapLocalDateDoubleTimeSeries timeSeries;
if (hts == null) {
timeSeries = new MapLocalDateDoubleTimeSeries();
hts = new SimpleHistoricalTimeSeries(UID_SUPPLIER.get(), timeSeries);
result.put(identifiers, hts);
} else {
timeSeries = (MapLocalDateDoubleTimeSeries) hts.getTimeSeries();
}
Element fieldDataArray = securityElem.getElement(FIELD_DATA);
int numValues = fieldDataArray.numValues();
for (int i = 0; i < numValues; i++) {
Element fieldData = fieldDataArray.getValueAsElement(i);
Datetime date = fieldData.getElementAsDate("date");
double lastPrice = fieldData.getElementAsFloat64(field);
int year = date.year();
int month = date.month();
int day = date.dayOfMonth();
timeSeries.putDataPoint(LocalDate.of(year, month, day), lastPrice);
}
}
/**
* Transforms a Bloomberg Element into the most specific Object (for example: Double, Float,
* Integer, DateTime, String etc.).<br>
* Complex types are returned in the form of collections ({@code List<Object>} for arrays and
* {@code Map<String, Object>} for sequences).
*/
public static Object getSpecificObjectOf(Element field) {
if (field.datatype() == Schema.Datatype.FLOAT64) {
// likeliest data type
return field.getValueAsFloat64();
} else if (field.datatype() == Schema.Datatype.FLOAT32) {
return field.getValueAsFloat32();
} else if (field.datatype() == Schema.Datatype.BOOL) {
return field.getValueAsBool();
} else if (field.datatype() == Schema.Datatype.CHAR) {
return field.getValueAsChar();
} else if (field.datatype() == Schema.Datatype.INT32) {
return field.getValueAsInt32();
} else if (field.datatype() == Schema.Datatype.INT64) {
return field.getValueAsInt64();
} else if (field.datatype() == Schema.Datatype.STRING) {
return field.getValueAsString();
} else if (field.datatype() == Schema.Datatype.DATE
|| field.datatype() == Schema.Datatype.DATETIME
|| field.datatype() == Schema.Datatype.TIME) {
return new DateTime(field.getValueAsDate().calendar());
} else if (field.isArray()) {
List<Object> list = new ArrayList<>(field.numValues());
for (int i = 0; i < field.numValues(); i++) {
list.add(getSpecificObjectOf(field.getValueAsElement(i)));
}
return list;
} else if (field.datatype() == Schema.Datatype.SEQUENCE
|| field.datatype()
== Schema.Datatype.CHOICE) { // has to be after array because arrays are sequences...
ElementIterator it = field.elementIterator();
Map<String, Object> map = new LinkedHashMap<>(field.numElements(), 1.0f);
while (it.hasNext()) {
Element e = it.next();
map.put(e.name().toString(), getSpecificObjectOf(e));
}
return map;
} else {
return field.toString(); // always works
}
}
protected void processFieldData(
final Element fieldDataArray,
String field,
final List<LocalDate> dates,
final List<Double> values) {
int numValues = fieldDataArray.numValues();
for (int i = 0; i < numValues; i++) {
Element fieldData = fieldDataArray.getValueAsElement(i);
Datetime date = fieldData.getElementAsDate("date");
double fieldValue = fieldData.getElementAsFloat64(field);
dates.add(LocalDate.of(date.year(), date.month(), date.dayOfMonth()));
values.add(fieldValue);
}
}
@Override
public void processMessage(Message msg) {
final Element arraySecurityData = msg.getElement("securityData");
final int numItems = arraySecurityData.numValues();
for (int i = 0; i < numItems; ++i) {
final Element securityData = arraySecurityData.getValueAsElement(i);
final String security = securityData.getElementAsString("security");
Map<String, Map<String, String>> pv;
if (answer.containsKey(security)) {
pv = answer.get(security);
} else {
pv = new HashMap<>();
answer.put(security, pv);
}
final Map<String, String> values = new HashMap<>();
pv.put(period, values);
if (securityData.hasElement("securityError")) {
final String value = securityData.getElementAsString("securityError");
log.error("SecurityError:" + value);
values.put("securityError", value);
continue;
}
final Element fieldData = securityData.getElement("fieldData");
for (String field : fields) {
if (fieldData.hasElement(field)) {
try {
String value = fieldData.getElementAsString(field);
values.put(field, value);
} catch (Exception e) {
log.error(e);
}
}
}
}
}
private LocalDateDoubleTimeSeries processRequest(
String identifier, Request request, String field) {
CorrelationID cid = submitBloombergRequest(request);
BlockingQueue<Element> resultElements = getResultElement(cid);
if (resultElements == null || resultElements.isEmpty()) {
s_logger.info("Unable to get HistoricalTimeSeries for {}", identifier);
return null;
}
List<LocalDate> dates = new ArrayList<LocalDate>();
List<Double> values = new ArrayList<Double>();
for (Element resultElem : resultElements) {
if (resultElem.hasElement(RESPONSE_ERROR)) {
s_logger.warn("Response error");
processError(resultElem.getElement(RESPONSE_ERROR));
}
Element securityElem = resultElem.getElement(SECURITY_DATA);
if (securityElem.hasElement(SECURITY_ERROR)) {
processError(securityElem.getElement(SECURITY_ERROR));
return null;
}
if (securityElem.hasElement(FIELD_EXCEPTIONS)) {
Element fieldExceptions = securityElem.getElement(FIELD_EXCEPTIONS);
for (int i = 0; i < fieldExceptions.numValues(); i++) {
Element fieldException = fieldExceptions.getValueAsElement(i);
String fieldId = fieldException.getElementAsString(FIELD_ID);
s_logger.warn("Field error on {}", fieldId);
Element errorInfo = fieldException.getElement(ERROR_INFO);
processError(errorInfo);
}
}
if (securityElem.hasElement(FIELD_DATA)) {
processFieldData(securityElem.getElement(FIELD_DATA), field, dates, values);
}
}
return new ArrayLocalDateDoubleTimeSeries(dates, values);
}
@Override
public void processMessage(Message message) {
Element ReferenceDataResponse = message.asElement();
Element securityDataArray = ReferenceDataResponse.getElement("securityData");
for (int i = 0; i < securityDataArray.numValues(); ++i) {
final Element securityData = securityDataArray.getValueAsElement(i);
final String security = securityData.getElementAsString("security");
if (securityData.hasElement("securityError")) {
log.error("SecurityError:" + securityData.getElement("securityError"));
continue;
}
final Element fieldData = securityData.getElement("fieldData");
for (String p : fields) {
if (p.equals("BEST_ANALYST_RECS_BULK")) {
final List<BEST_ANALYST_RECS_BULK> values = new ArrayList<>();
bestAnalyst.put(security, values);
final Element best_anal_recs_bulk = fieldData.getElement("BEST_ANALYST_RECS_BULK");
for (int m = 0; m < best_anal_recs_bulk.numValues(); m++) {
final Element e = best_anal_recs_bulk.getValueAsElement(m);
values.add(new BEST_ANALYST_RECS_BULK(e));
}
}
if (p.equals("EARN_ANN_DT_TIME_HIST_WITH_EPS")) {
final List<EARN_ANN_DT_TIME_HIST_WITH_EPS> values = new ArrayList<>();
earnHistWithEps.put(security, values);
final Element element = fieldData.getElement("EARN_ANN_DT_TIME_HIST_WITH_EPS");
for (int t = 0; t < element.numValues(); t++) {
final Element e = element.getValueAsElement(t);
values.add(new EARN_ANN_DT_TIME_HIST_WITH_EPS(e));
}
}
if (p.equals("ERN_ANN_DT_AND_PER")) {
final List<ERN_ANN_DT_AND_PER> values = new ArrayList<>();
ernAnnDTandPer.put(security, values);
final Element element = fieldData.getElement("ERN_ANN_DT_AND_PER");
final int ernItems = element.numValues();
for (int j = 0; j < ernItems; ++j) {
final Element e = element.getValueAsElement(j);
values.add(new ERN_ANN_DT_AND_PER(e));
}
}
if (p.equals("BLOOMBERG_PEERS")) {
final List<String> values = new ArrayList<String>();
peerTicker.put(security, values);
final Element blm_peers = fieldData.getElement("BLOOMBERG_PEERS");
for (int j = 0; j < blm_peers.numValues(); ++j) {
final Element e = blm_peers.getValueAsElement(j);
final String peer = e.getElementAsString("Peer Ticker");
values.add(peer);
peers.add(peer);
}
}
}
}
}
// -------------------------------------------------------------------------
@Override
public Map<ExternalIdBundle, HistoricalTimeSeries> getHistoricalTimeSeries(
Set<ExternalIdBundle> identifierSet,
String dataSource,
String dataProvider,
String dataField,
LocalDate start,
boolean includeStart,
LocalDate end,
boolean includeEnd) {
ArgumentChecker.notNull(identifierSet, "identifierSet");
ArgumentChecker.notNull(dataField, "dataField");
ArgumentChecker.notNull(start, "start");
ArgumentChecker.notNull(end, "end");
Validate.isTrue(
ObjectUtils.equals(dataSource, BLOOMBERG_DATA_SOURCE_NAME),
getClass().getName() + "cannot support " + dataSource);
if (end.isBefore(start)) {
throw new IllegalArgumentException("end must be after start");
}
ensureStarted();
s_logger.debug("Getting historical data for {}", identifierSet);
if (identifierSet.isEmpty()) {
s_logger.info("Historical data request for empty identifier set");
return Collections.emptyMap();
}
Map<String, ExternalIdBundle> bbgSecDomainMap = new HashMap<String, ExternalIdBundle>();
Request request = getRefDataService().createRequest(BLOOMBERG_HISTORICAL_DATA_REQUEST);
Element securitiesElem = request.getElement(BLOOMBERG_SECURITIES_REQUEST);
for (ExternalIdBundle identifiers : identifierSet) {
ExternalId preferredIdentifier =
BloombergDomainIdentifierResolver.resolvePreferredIdentifier(identifiers);
s_logger.debug(
"Resolved preferred identifier {} from identifier bundle {}",
preferredIdentifier,
identifiers);
String bbgKey =
BloombergDomainIdentifierResolver.toBloombergKeyWithDataProvider(
preferredIdentifier, dataProvider);
securitiesElem.appendValue(bbgKey);
bbgSecDomainMap.put(bbgKey, identifiers);
}
Element fieldElem = request.getElement(BLOOMBERG_FIELDS_REQUEST);
fieldElem.appendValue(dataField);
// TODO: inclusive start / exclusive end
request.set("periodicityAdjustment", "ACTUAL");
request.set("periodicitySelection", "DAILY");
request.set("startDate", printYYYYMMDD(start));
request.set("endDate", printYYYYMMDD(end));
request.set("adjustmentSplit", true);
_statistics.gotFields(bbgSecDomainMap.keySet(), Collections.singleton(dataField));
CorrelationID cid = submitBloombergRequest(request);
BlockingQueue<Element> resultElements = getResultElement(cid);
if (resultElements == null || resultElements.isEmpty()) {
s_logger.warn("Unable to get historical data for {}", identifierSet);
return null;
}
// REVIEW simon 2011/11/01: should this be deduped with the single case?
Map<ExternalIdBundle, HistoricalTimeSeries> result =
new HashMap<ExternalIdBundle, HistoricalTimeSeries>();
for (Element resultElem : resultElements) {
if (resultElem.hasElement(RESPONSE_ERROR)) {
s_logger.warn("Response error");
processError(resultElem.getElement(RESPONSE_ERROR));
continue;
}
Element securityElem = resultElem.getElement(SECURITY_DATA);
if (securityElem.hasElement(SECURITY_ERROR)) {
processError(securityElem.getElement(SECURITY_ERROR));
}
if (securityElem.hasElement(FIELD_EXCEPTIONS)) {
Element fieldExceptions = securityElem.getElement(FIELD_EXCEPTIONS);
for (int i = 0; i < fieldExceptions.numValues(); i++) {
Element fieldException = fieldExceptions.getValueAsElement(i);
String fieldId = fieldException.getElementAsString(FIELD_ID);
s_logger.warn("Field error on {}", fieldId);
Element errorInfo = fieldException.getElement(ERROR_INFO);
processError(errorInfo);
}
}
if (securityElem.hasElement(FIELD_DATA)) {
processFieldData(securityElem, dataField, bbgSecDomainMap, result);
}
}
if (identifierSet.size() != result.size()) {
s_logger.warn(
"Failed to get time series results for ({}/{}) {}",
new Object[] {
identifierSet.size() - result.size(),
identifierSet.size(),
Sets.difference(identifierSet, result.keySet())
});
}
return result;
}