private HistoricalTimeSeriesInfoDocument getOrLoadTimeSeries(
final ExternalId ticker, final ExternalIdBundle idBundle) {
final ExternalIdBundle searchBundle =
idBundle.withoutScheme(
ExternalSchemes
.ISIN); // For things which move country, e.g. ISIN(VALE5 BZ Equity) == ISIN(RIODF
// US Equity)
final HistoricalTimeSeriesInfoSearchRequest htsRequest =
new HistoricalTimeSeriesInfoSearchRequest(searchBundle);
htsRequest.setDataField("PX_LAST");
final HistoricalTimeSeriesInfoSearchResult htsSearch =
getToolContext().getHistoricalTimeSeriesMaster().search(htsRequest);
switch (htsSearch.getDocuments().size()) {
case 0:
return loadTimeSeries(idBundle);
case 1:
break;
default:
throw new OpenGammaRuntimeException("Multiple time series match " + htsSearch);
}
final HistoricalTimeSeriesInfoDocument timeSeriesInfo = htsSearch.getDocuments().get(0);
s_logger.debug("Loaded time series info {} for underlying {}", timeSeriesInfo, ticker);
return timeSeriesInfo;
}
public void getHistoricalTimeSeriesByExternalIdWithMetaData() throws Exception {
HistoricalTimeSeriesInfoSearchRequest request =
new HistoricalTimeSeriesInfoSearchRequest(IDENTIFIERS);
request.setValidityDate(LocalDate.now());
request.setDataSource(BBG_DATA_SOURCE);
request.setDataProvider(CMPL_DATA_PROVIDER);
request.setDataField(CLOSE_DATA_FIELD);
HistoricalTimeSeriesInfoSearchResult searchResult = new HistoricalTimeSeriesInfoSearchResult();
HistoricalTimeSeriesInfoDocument doc = new HistoricalTimeSeriesInfoDocument();
doc.setUniqueId(UID);
when(_mockResolver.resolve(
IDENTIFIERS,
LocalDate.now(),
BBG_DATA_SOURCE,
CMPL_DATA_PROVIDER,
CLOSE_DATA_FIELD,
null))
.thenReturn(new HistoricalTimeSeriesResolutionResult(doc.getInfo()));
doc.getInfo().setTimeSeriesObjectId(UID.getObjectId());
searchResult.getDocuments().add(doc);
when(_mockMaster.search(request)).thenReturn(searchResult);
ManageableHistoricalTimeSeries hts = new ManageableHistoricalTimeSeries();
hts.setUniqueId(UID);
hts.setTimeSeries(randomTimeSeries());
when(_mockMaster.getTimeSeries(
UID.getObjectId(),
VersionCorrection.LATEST,
HistoricalTimeSeriesGetFilter.ofRange(null, null)))
.thenReturn(hts);
HistoricalTimeSeries test =
_tsSource.getHistoricalTimeSeries(
IDENTIFIERS, BBG_DATA_SOURCE, CMPL_DATA_PROVIDER, CLOSE_DATA_FIELD);
verify(_mockMaster, times(1))
.getTimeSeries(
UID.getObjectId(),
VersionCorrection.LATEST,
HistoricalTimeSeriesGetFilter.ofRange(null, null));
assertEquals(UID, test.getUniqueId());
}
public void getHistoricalWithInclusiveExclusiveDates() throws Exception {
LocalDate end = DateUtils.previousWeekDay();
LocalDate start = end.minusDays(7);
HistoricalTimeSeriesInfoSearchRequest request =
new HistoricalTimeSeriesInfoSearchRequest(IDENTIFIERS);
request.setValidityDate(LocalDate.now());
request.setDataSource(BBG_DATA_SOURCE);
request.setDataProvider(CMPL_DATA_PROVIDER);
request.setDataField(CLOSE_DATA_FIELD);
LocalDateDoubleTimeSeries timeSeries = randomTimeSeries();
HistoricalTimeSeriesInfoSearchResult searchResult = new HistoricalTimeSeriesInfoSearchResult();
HistoricalTimeSeriesInfoDocument doc = new HistoricalTimeSeriesInfoDocument();
doc.setUniqueId(UID);
doc.getInfo().setTimeSeriesObjectId(UID.getObjectId());
searchResult.getDocuments().add(doc);
when(_mockResolver.resolve(
IDENTIFIERS,
LocalDate.now(),
BBG_DATA_SOURCE,
CMPL_DATA_PROVIDER,
CLOSE_DATA_FIELD,
null))
.thenReturn(new HistoricalTimeSeriesResolutionResult(doc.getInfo()));
for (boolean includeStart : new boolean[] {true, false}) {
for (boolean includeEnd : new boolean[] {true, false}) {
// Also test max points limit for various values
for (Integer maxPoints : new Integer[] {null, -10, -1, 1, 0, -2, 2, 10}) {
LocalDate startInput = start;
LocalDate endInput = end;
if (!includeStart) {
startInput = start.plusDays(1);
}
if (!includeEnd) {
endInput = end.minusDays(1);
}
ManageableHistoricalTimeSeries hts = new ManageableHistoricalTimeSeries();
LocalDateDoubleTimeSeries lddts =
(maxPoints == null)
|| (Math.abs(maxPoints)
>= timeSeries.subSeries(start, includeStart, end, includeEnd).size())
? timeSeries.subSeries(start, includeStart, end, includeEnd)
: (maxPoints >= 0)
? timeSeries.subSeries(start, includeStart, end, includeEnd).head(maxPoints)
: timeSeries.subSeries(start, includeStart, end, includeEnd).tail(-maxPoints);
hts.setUniqueId(UID);
hts.setTimeSeries(lddts);
when(_mockMaster.getTimeSeries(
UID.getObjectId(),
VersionCorrection.LATEST,
HistoricalTimeSeriesGetFilter.ofRange(startInput, endInput, maxPoints)))
.thenReturn(hts);
when(_mockMaster.search(request)).thenReturn(searchResult);
HistoricalTimeSeries test =
(maxPoints == null)
? _tsSource.getHistoricalTimeSeries(
IDENTIFIERS,
BBG_DATA_SOURCE,
CMPL_DATA_PROVIDER,
CLOSE_DATA_FIELD,
start,
includeStart,
end,
includeEnd)
: _tsSource.getHistoricalTimeSeries(
IDENTIFIERS,
BBG_DATA_SOURCE,
CMPL_DATA_PROVIDER,
CLOSE_DATA_FIELD,
start,
includeStart,
end,
includeEnd,
maxPoints);
assertEquals(UID, test.getUniqueId());
assertEquals(hts.getTimeSeries(), test.getTimeSeries());
}
}
}
}
/**
* Adds or updates a time-series in the master. Can be a sub-set of the data points present and
* will not 'erase' points that are missing, only supplement them.
*
* @param description a description of the time-series for display purposes, not null
* @param dataSource the data source, not null
* @param dataProvider the data provider, not null
* @param dataField the data field, not null
* @param observationTime the descriptive observation time key, e.g. LONDON_CLOSE, not null
* @param externalIdBundle the external identifiers with which the time-series is associated, not
* null
* @param externalIdSearchType the external identifier search type for matching an existing
* time-series, null to use the default
* @param timeSeries the time-series, not null
* @return the unique identifier of the time-series
*/
public UniqueId writeTimeSeries(
String description,
String dataSource,
String dataProvider,
String dataField,
String observationTime,
ExternalIdBundle externalIdBundle,
ExternalIdSearchType externalIdSearchType,
LocalDateDoubleTimeSeries timeSeries) {
ArgumentChecker.notNull(description, "description");
ArgumentChecker.notNull(dataSource, "dataSource");
ArgumentChecker.notNull(dataProvider, "dataProvider");
ArgumentChecker.notNull(dataField, "dataField");
ArgumentChecker.notNull(observationTime, "observationTime");
ArgumentChecker.notNull(externalIdBundle, "externalIdBundle");
ArgumentChecker.notNull(timeSeries, "timeSeries");
HistoricalTimeSeriesInfoSearchRequest htsSearchReq =
new HistoricalTimeSeriesInfoSearchRequest();
ExternalIdSearch idSearch = ExternalIdSearch.of(externalIdBundle);
if (externalIdSearchType != null) {
idSearch = idSearch.withSearchType(externalIdSearchType);
}
htsSearchReq.setExternalIdSearch(idSearch);
htsSearchReq.setDataSource(dataSource);
htsSearchReq.setDataProvider(dataProvider);
htsSearchReq.setDataField(dataField);
htsSearchReq.setObservationTime(observationTime);
HistoricalTimeSeriesInfoSearchResult searchResult = _htsMaster.search(htsSearchReq);
if (searchResult.getDocuments().size() > 0) {
if (searchResult.getDocuments().size() > 1) {
s_logger.warn(
"Found multiple time-series matching search. Will only update the first. Search {} returned {}",
htsSearchReq,
searchResult.getInfoList());
}
// update existing time series
HistoricalTimeSeriesInfoDocument existingTsDoc = searchResult.getFirstDocument();
return writeTimeSeries(
description,
dataSource,
dataProvider,
dataField,
observationTime,
existingTsDoc.getObjectId(),
timeSeries);
} else {
// add new time series
ManageableHistoricalTimeSeriesInfo info = new ManageableHistoricalTimeSeriesInfo();
info.setDataField(dataField);
info.setDataSource(dataSource);
info.setDataProvider(dataProvider);
info.setObservationTime(observationTime);
info.setExternalIdBundle(ExternalIdBundleWithDates.of(externalIdBundle));
info.setName(description);
HistoricalTimeSeriesInfoDocument htsInfoDoc = new HistoricalTimeSeriesInfoDocument();
htsInfoDoc.setInfo(info);
HistoricalTimeSeriesInfoDocument addedInfoDoc = _htsMaster.add(htsInfoDoc);
s_logger.debug(
"Adding time series "
+ externalIdBundle
+ " from "
+ timeSeries.getEarliestTime()
+ " to "
+ timeSeries.getLatestTime());
return _htsMaster.updateTimeSeriesDataPoints(
addedInfoDoc.getInfo().getTimeSeriesObjectId(), timeSeries);
}
}
