private HistoricalTimeSeries doGetHistoricalTimeSeries(
ExternalIdBundle identifiers,
String dataSource,
String dataProvider,
String field,
LocalDate startDate,
LocalDate endDate,
Integer maxPoints) {
ArgumentChecker.notNull(identifiers, "identifiers");
ArgumentChecker.notNull(field, "field");
ArgumentChecker.notNull(startDate, "startDate");
ArgumentChecker.notNull(endDate, "endDate");
Validate.isTrue(
ObjectUtils.equals(dataSource, BLOOMBERG_DATA_SOURCE_NAME),
getClass().getName() + "cannot support " + dataSource);
if (maxPoints != null && maxPoints > 0) {
throw new UnsupportedOperationException(
"Fetching a bounded number of points from the start of a Bloomberg time-series is unsupported");
}
s_logger.info("Getting HistoricalTimeSeries for security {}", identifiers);
ensureStarted();
if (endDate.isBefore(startDate)) {
throw new IllegalArgumentException("endDate must be after startDate");
}
ExternalId dsid = BloombergDomainIdentifierResolver.resolvePreferredIdentifier(identifiers);
String bbgKey =
BloombergDomainIdentifierResolver.toBloombergKeyWithDataProvider(dsid, dataProvider);
Request request =
composeRequest(bbgKey, dataSource, dataProvider, field, startDate, endDate, maxPoints);
_statistics.gotFields(Collections.singleton(bbgKey), Collections.singleton(field));
LocalDateDoubleTimeSeries timeSeries = processRequest(bbgKey, request, field);
return new SimpleHistoricalTimeSeries(UID_SUPPLIER.get(), timeSeries);
}
// -------------------------------------------------------------------------
@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;
}
