@Test
public void testGetBulkSecuritiesByUniqueId() {
final FudgeMsgEnvelope fme =
getSecuritySourceResource()
.getSecurities(Lists.newArrayList(_uid1.toString(), _uid2.toString()));
assertNotNull(fme);
final FudgeMsg msg = fme.getMessage();
assertNotNull(msg);
FudgeMsgFormatter.outputToSystemOut(msg);
final Collection<FudgeField> securities = msg.getAllByName(SECURITYSOURCE_SECURITY);
assertNotNull(securities);
assertEquals(2, securities.size());
FudgeDeserializer deserializer =
new FudgeDeserializer(getSecuritySourceResource().getFudgeContext());
for (FudgeField fudgeField : securities) {
assertNotNull(fudgeField);
ObjectsPair<UniqueId, Security> objectsPair =
ObjectsPairFudgeBuilder.buildObject(
deserializer, (FudgeMsg) fudgeField.getValue(), UniqueId.class, Security.class);
assertNotNull(objectsPair);
UniqueId uniqueId = objectsPair.getKey();
assertNotNull(uniqueId);
Security security = objectsPair.getValue();
assertNotNull(security);
}
}
public static SecurityEntryData decodeSecurityEntryData(RawSecurity rawSecurity) {
FudgeMsgEnvelope msg =
OpenGammaFudgeContext.getInstance().deserialize(rawSecurity.getRawData());
SecurityEntryData securityEntryData =
OpenGammaFudgeContext.getInstance().fromFudgeMsg(SecurityEntryData.class, msg.getMessage());
return securityEntryData;
}
/**
* Inserts a new document.
*
* @param document the document, not null
* @return the new document, not null
*/
@Override
protected MarketDataSnapshotDocument insert(final MarketDataSnapshotDocument document) {
ArgumentChecker.notNull(document.getSnapshot(), "document.snapshot");
ArgumentChecker.notNull(document.getName(), "document.name");
final ManageableMarketDataSnapshot marketDataSnaphshot = document.getSnapshot();
final long docId = nextId("snp_snapshot_seq");
final long docOid =
(document.getUniqueId() != null ? extractOid(document.getUniqueId()) : docId);
// set the uniqueId (needs to go in Fudge message)
final UniqueId uniqueId = createUniqueId(docOid, docId);
marketDataSnaphshot.setUniqueId(uniqueId);
document.setUniqueId(uniqueId);
// the arguments for inserting into the marketDataSnaphshot table
FudgeMsgEnvelope env = FUDGE_CONTEXT.toFudgeMsg(marketDataSnaphshot);
byte[] bytes = FUDGE_CONTEXT.toByteArray(env.getMessage());
final DbMapSqlParameterSource marketDataSnaphshotArgs =
new DbMapSqlParameterSource()
.addValue("doc_id", docId)
.addValue("doc_oid", docOid)
.addTimestamp("ver_from_instant", document.getVersionFromInstant())
.addTimestampNullFuture("ver_to_instant", document.getVersionToInstant())
.addTimestamp("corr_from_instant", document.getCorrectionFromInstant())
.addTimestampNullFuture("corr_to_instant", document.getCorrectionToInstant())
.addValue("name", document.getName())
.addValue("detail", new SqlLobValue(bytes, getDialect().getLobHandler()), Types.BLOB);
final String sql = getElSqlBundle().getSql("Insert", marketDataSnaphshotArgs);
getJdbcTemplate().update(sql, marketDataSnaphshotArgs);
return document;
}
@Test
public void testGetAllBondsOfIssuerType() {
final FudgeMsgEnvelope fme =
getSecuritySourceResource().getBondsWithIssuerName("US TREASURY N/B");
assertNotNull(fme);
final FudgeMsg msg = fme.getMessage();
assertNotNull(msg);
FudgeMsgFormatter.outputToSystemOut(msg);
final Collection<FudgeField> securities = msg.getAllByName(SECURITYSOURCE_SECURITY);
assertNotNull(securities);
assertEquals(1, securities.size());
}
@Override
public SecurityHistoryResult history(SecurityHistoryRequest request) {
// POST is wrong; but is easy to write if we have a "request" document
final FudgeMsg payload = getFudgeSerializer().objectToFudgeMsg(request);
s_logger.debug("history-post {} to {}", payload, _targetHistoric);
final FudgeMsgEnvelope env = getRestClient().post(_targetHistoric, payload);
if (env == null) {
s_logger.debug("history-recv NULL");
return null;
}
s_logger.debug("history-recv {}", env.getMessage());
return getFudgeDeserializer().fudgeMsgToObject(SecurityHistoryResult.class, env.getMessage());
}
@Override
public SecurityDocument correct(SecurityDocument document) {
final FudgeMsg payload = getFudgeSerializer().objectToFudgeMsg(document);
final RestTarget target = _targetSecurity.resolve(document.getUniqueId().toString());
s_logger.debug("correct-put {} to {}", payload, target);
final FudgeMsgEnvelope env = getRestClient().put(target, payload);
if (env == null) {
s_logger.debug("correct-recv NULL");
return null;
}
s_logger.debug("correct-recv {}", env.getMessage());
return document;
}
@Override
public SecurityDocument update(SecurityDocument document) {
final FudgeMsg payload = getFudgeSerializer().objectToFudgeMsg(document);
final RestTarget target = _targetSecurity.resolve(document.getUniqueId().toString());
s_logger.debug("update-post {} to {}", payload, target);
final FudgeMsgEnvelope env = getRestClient().post(target, payload);
if (env == null) {
s_logger.debug("update-recv NULL");
return null;
}
s_logger.debug("update-recv {}", env.getMessage());
document.setUniqueId(getFudgeDeserializer().fudgeMsgToObject(UniqueId.class, env.getMessage()));
return document;
}
private void checkSecuritiesMessage(final FudgeMsgEnvelope fme) {
assertNotNull(fme);
final FudgeMsg msg = fme.getMessage();
assertNotNull(msg);
FudgeMsgFormatter.outputToSystemOut(msg);
final Collection<FudgeField> securities = msg.getAllByName(SECURITYSOURCE_SECURITY);
assertNotNull(securities);
assertEquals(2, securities.size());
}
private void checkSecurityMessage(final FudgeMsgEnvelope fme) {
assertNotNull(fme);
final FudgeMsg msg = fme.getMessage();
assertNotNull(msg);
FudgeMsgFormatter.outputToSystemOut(msg);
final FudgeMsg security =
msg.getFieldValue(FudgeMsg.class, msg.getByName(SECURITYSOURCE_SECURITY));
assertNotNull(security);
}
@Override
public SecurityDocument add(final SecurityDocument document) {
final FudgeMsg payload = getFudgeSerializer().objectToFudgeMsg(document);
s_logger.debug("add-post {} to {}", payload, _targetSecurity);
final FudgeMsgEnvelope env = getRestClient().post(_targetSecurity, payload);
if (env == null) {
s_logger.debug("add-recv NULL");
return null;
}
s_logger.debug("add-recv {}", env.getMessage());
final UniqueId uid = getFudgeDeserializer().fudgeMsgToObject(UniqueId.class, env.getMessage());
if (uid == null) {
return null;
}
document.setUniqueId(uid);
IdUtils.setInto(document.getSecurity(), uid);
return document;
}
public static List<FactorExposureData> decodeFactorExposureData(
SecuritySource secSource, RawSecurity rawSecurity) {
FudgeMsgEnvelope msg =
OpenGammaFudgeContext.getInstance().deserialize(rawSecurity.getRawData());
SecurityEntryData securityEntryData =
OpenGammaFudgeContext.getInstance().fromFudgeMsg(SecurityEntryData.class, msg.getMessage());
RawSecurity underlyingRawSecurity =
(RawSecurity) secSource.getSingle(securityEntryData.getFactorSetId().toBundle());
if (underlyingRawSecurity != null) {
FudgeMsgEnvelope factorIdMsg =
OpenGammaFudgeContext.getInstance().deserialize(underlyingRawSecurity.getRawData());
@SuppressWarnings("unchecked")
List<FactorExposureData> factorExposureDataList =
OpenGammaFudgeContext.getInstance().fromFudgeMsg(List.class, factorIdMsg.getMessage());
return factorExposureDataList;
} else {
throw new OpenGammaRuntimeException(
"Couldn't find factor list security " + securityEntryData.getFactorSetId());
}
}
/**
* Receives a message from Fudge.
*
* @param fudgeContext the Fudge context, not null
* @param msgEnvelope the message, not null
*/
@Override
public void messageReceived(FudgeContext fudgeContext, FudgeMsgEnvelope msgEnvelope) {
final FudgeMsg reply = msgEnvelope.getMessage();
final Long correlationId = getCorrelationIdFromReply(reply);
if (correlationId == null) {
final FudgeMessageReceiver receiver = getAsynchronousMessageReceiver();
if (receiver == null) {
s_logger.info("Unhandled asynchronous message {}", msgEnvelope);
} else {
receiver.messageReceived(fudgeContext, msgEnvelope);
}
return;
}
final ClientRequestHolder requestHolder = _pendingRequests.remove(correlationId);
if (requestHolder == null) {
s_logger.warn("Got a response on non-pending correlation Id {}", correlationId);
return;
}
requestHolder.resultValue = reply;
requestHolder.latch.countDown();
}
protected void addSecuritySpecificMetaData(ManageableSecurity security, FlexiBean out) {
if (security.getSecurityType().equals(SwapSecurity.SECURITY_TYPE)) {
SwapSecurity swapSecurity = (SwapSecurity) security;
out.put("payLegType", swapSecurity.getPayLeg().accept(new SwapLegClassifierVisitor()));
out.put(
"receiveLegType", swapSecurity.getReceiveLeg().accept(new SwapLegClassifierVisitor()));
}
if (security.getSecurityType().equals(FutureSecurity.SECURITY_TYPE)) {
FutureSecurity futureSecurity = (FutureSecurity) security;
out.put("futureSecurityType", futureSecurity.accept(new FutureSecurityTypeVisitor()));
out.put("basket", getBondFutureBasket(security));
Security underlyingSecurity = getUnderlyingFutureSecurity(futureSecurity);
if (underlyingSecurity != null) {
out.put("underlyingSecurity", underlyingSecurity);
}
}
if (security.getSecurityType().equals(EquityOptionSecurity.SECURITY_TYPE)) {
EquityOptionSecurity equityOption = (EquityOptionSecurity) security;
addUnderlyingSecurity(out, equityOption.getUnderlyingId());
}
if (security.getSecurityType().equals(IRFutureOptionSecurity.SECURITY_TYPE)) {
IRFutureOptionSecurity irFutureOption = (IRFutureOptionSecurity) security;
addUnderlyingSecurity(out, irFutureOption.getUnderlyingId());
}
if (security.getSecurityType().equals(SwaptionSecurity.SECURITY_TYPE)) {
SwaptionSecurity swaptionSecurity = (SwaptionSecurity) security;
addUnderlyingSecurity(out, swaptionSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(EquityBarrierOptionSecurity.SECURITY_TYPE)) {
EquityBarrierOptionSecurity equityBarrierOptionSecurity =
(EquityBarrierOptionSecurity) security;
addUnderlyingSecurity(out, equityBarrierOptionSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(CapFloorSecurity.SECURITY_TYPE)) {
CapFloorSecurity capFloorSecurity = (CapFloorSecurity) security;
addUnderlyingSecurity(out, capFloorSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(CapFloorCMSSpreadSecurity.SECURITY_TYPE)) {
CapFloorCMSSpreadSecurity capFloorCMSSpreadSecurity = (CapFloorCMSSpreadSecurity) security;
Security shortUnderlying = getSecurity(capFloorCMSSpreadSecurity.getShortId());
Security longUnderlying = getSecurity(capFloorCMSSpreadSecurity.getLongId());
if (shortUnderlying != null) {
out.put("shortSecurity", shortUnderlying);
}
if (longUnderlying != null) {
out.put("longSecurity", longUnderlying);
}
}
if (security.getSecurityType().equals(EquityIndexOptionSecurity.SECURITY_TYPE)) {
EquityIndexOptionSecurity equityIndxOption = (EquityIndexOptionSecurity) security;
addUnderlyingSecurity(out, equityIndxOption.getUnderlyingId());
}
if (security.getSecurityType().equals(FRASecurity.SECURITY_TYPE)) {
FRASecurity fraSecurity = (FRASecurity) security;
addUnderlyingSecurity(out, fraSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(SecurityEntryData.EXTERNAL_SENSITIVITIES_SECURITY_TYPE)) {
RawSecurity rawSecurity = (RawSecurity) security;
FudgeMsgEnvelope msg =
OpenGammaFudgeContext.getInstance().deserialize(rawSecurity.getRawData());
SecurityEntryData securityEntryData =
OpenGammaFudgeContext.getInstance()
.fromFudgeMsg(SecurityEntryData.class, msg.getMessage());
out.put("securityEntryData", securityEntryData);
out.put("securityAttributes", security.getAttributes());
RawSecurity underlyingRawSecurity =
(RawSecurity) getSecurity(securityEntryData.getFactorSetId());
if (underlyingRawSecurity != null) {
FudgeMsgEnvelope factorIdMsg =
OpenGammaFudgeContext.getInstance().deserialize(underlyingRawSecurity.getRawData());
@SuppressWarnings("unchecked")
List<FactorExposureData> factorExposureDataList =
OpenGammaFudgeContext.getInstance().fromFudgeMsg(List.class, factorIdMsg.getMessage());
s_logger.error(factorExposureDataList.toString());
List<FactorExposure> factorExposuresList = convertToFactorExposure(factorExposureDataList);
out.put("factorExposuresList", factorExposuresList);
} else {
s_logger.error("Couldn't find security");
}
}
if (security
.getSecurityType()
.equals(FactorExposureData.EXTERNAL_SENSITIVITIES_RISK_FACTORS_SECURITY_TYPE)) {
RawSecurity rawSecurity = (RawSecurity) security;
FudgeMsgEnvelope msg =
OpenGammaFudgeContext.getInstance().deserialize(rawSecurity.getRawData());
@SuppressWarnings("unchecked")
List<FactorExposureData> factorExposureDataList =
OpenGammaFudgeContext.getInstance().fromFudgeMsg(List.class, msg.getMessage());
List<FactorExposure> factorExposuresList = convertToFactorExposure(factorExposureDataList);
out.put("factorExposuresList", factorExposuresList);
}
}
