static GenericSecurity sut() { return GenericSecurity.of(INFO); }
static GenericSecurity sut2() { return GenericSecurity.of(INFO2); }
static Position parseNonEtdPosition(CsvRow row, PositionInfo info, PositionCsvInfoResolver resolver) { SecurityPosition base = parseSecurityPosition(row, info, resolver); Optional<Double> tickSizeOpt = row.findValue(TICK_SIZE).map(str -> LoaderUtils.parseDouble(str)); Optional<Currency> currencyOpt = row.findValue(CURRENCY).map(str -> Currency.of(str)); Optional<Double> tickValueOpt = row.findValue(TICK_VALUE).map(str -> LoaderUtils.parseDouble(str)); double contractSize = row.findValue(CONTRACT_SIZE).map(str -> LoaderUtils.parseDouble(str)).orElse(1d); if (tickSizeOpt.isPresent() && currencyOpt.isPresent() && tickValueOpt.isPresent()) { SecurityPriceInfo priceInfo = SecurityPriceInfo.of(tickSizeOpt.get(), CurrencyAmount.of(currencyOpt.get(), tickValueOpt.get()), contractSize); GenericSecurity sec = GenericSecurity.of(SecurityInfo.of(base.getSecurityId(), priceInfo)); return GenericSecurityPosition.ofLongShort(base.getInfo(), sec, base.getLongQuantity(), base.getShortQuantity()); } return base; }
static SecurityQuantityTrade parseTrade(CsvRow row, TradeInfo info, TradeCsvInfoResolver resolver) { SecurityTrade trade = parseSecurityTrade(row, info, resolver); SecurityTrade base = resolver.completeTrade(row, trade); Optional<Double> tickSizeOpt = row.findValue(TICK_SIZE).map(str -> LoaderUtils.parseDouble(str)); Optional<Currency> currencyOpt = row.findValue(CURRENCY).map(str -> Currency.of(str)); Optional<Double> tickValueOpt = row.findValue(TICK_VALUE).map(str -> LoaderUtils.parseDouble(str)); double contractSize = row.findValue(CONTRACT_SIZE).map(str -> LoaderUtils.parseDouble(str)).orElse(1d); if (tickSizeOpt.isPresent() && currencyOpt.isPresent() && tickValueOpt.isPresent()) { SecurityPriceInfo priceInfo = SecurityPriceInfo.of(tickSizeOpt.get(), CurrencyAmount.of(currencyOpt.get(), tickValueOpt.get()), contractSize); GenericSecurity sec = GenericSecurity.of(SecurityInfo.of(base.getSecurityId(), priceInfo)); return GenericSecurityTrade.of(base.getInfo(), sec, base.getQuantity(), base.getPrice()); } return base; }
private static Security security() { SecurityInfo info = SecurityInfo.of(ID, 20, CurrencyAmount.of(USD, 10)); return GenericSecurity.of(info); }
public void test_resolveTarget() { SecurityPosition position = sut(); GenericSecurity resolvedSecurity = GenericSecurity.of(SecurityInfo.of(SECURITY_ID, 1, CurrencyAmount.of(USD, 0.01))); ImmutableReferenceData refData = ImmutableReferenceData.of(SECURITY_ID, resolvedSecurity); GenericSecurityPosition expected = GenericSecurityPosition.ofLongShort(POSITION_INFO, resolvedSecurity, LONG_QUANTITY, SHORT_QUANTITY); assertEquals(position.resolveTarget(refData), expected); }
public void test_of() { GenericSecurity test = sut(); assertEquals(test.getInfo(), INFO); assertEquals(test.getSecurityId(), INFO.getId()); assertEquals(test.getCurrency(), INFO.getPriceInfo().getCurrency()); assertEquals(test.getUnderlyingIds(), ImmutableSet.of()); assertEquals(test, GenericSecurity.of(INFO)); assertEquals(test.createProduct(ReferenceData.empty()), test); assertEquals( test.createTrade(TradeInfo.empty(), 1, 2, ReferenceData.empty()), GenericSecurityTrade.of(TradeInfo.empty(), GenericSecurity.of(INFO), 1, 2)); assertEquals( test.createPosition(PositionInfo.empty(), 1, ReferenceData.empty()), GenericSecurityPosition.ofNet(PositionInfo.empty(), GenericSecurity.of(INFO), 1)); assertEquals( test.createPosition(PositionInfo.empty(), 1, 2, ReferenceData.empty()), GenericSecurityPosition.ofLongShort(PositionInfo.empty(), GenericSecurity.of(INFO), 1, 2)); }
public void test_resolveTarget() { EtdFuturePosition position = sut(); GenericSecurity resolvedSecurity = GenericSecurity.of(SECURITY.getInfo()); ImmutableReferenceData refData = ImmutableReferenceData.of(SECURITY.getSecurityId(), resolvedSecurity); GenericSecurityPosition expected = GenericSecurityPosition.ofLongShort(POSITION_INFO, resolvedSecurity, LONG_QUANTITY, SHORT_QUANTITY); assertEquals(position.resolveTarget(refData), expected); }
public void test_resolveTarget() { GenericSecurity security = GenericSecurity.of(SECURITY.getInfo()); Trade test = sut().resolveTarget(ImmutableReferenceData.of(SECURITY.getSecurityId(), security)); GenericSecurityTrade expected = GenericSecurityTrade.of(TRADE_INFO, security, 3000, 20); assertEquals(test, expected); }
public void test_resolveTarget() { EtdOptionPosition position = sut(); GenericSecurity resolvedSecurity = GenericSecurity.of(SECURITY.getInfo()); ImmutableReferenceData refData = ImmutableReferenceData.of(SECURITY.getSecurityId(), resolvedSecurity); GenericSecurityPosition expected = GenericSecurityPosition.ofLongShort(POSITION_INFO, resolvedSecurity, LONG_QUANTITY, SHORT_QUANTITY); assertEquals(position.resolveTarget(refData), expected); }
public void test_createProduct_wrongType() { BondFutureSecurity test = sut(); ImmutableList<FixedCouponBond> basket = PRODUCT.getDeliveryBasket(); SecurityId secId = basket.get(0).getSecurityId(); GenericSecurity sec = GenericSecurity.of(INFO); ReferenceData refData = ImmutableReferenceData.of(secId, sec); assertThrows(() -> test.createProduct(refData), ClassCastException.class); }
public void test_resolveTarget() { GenericSecurity security = GenericSecurity.of(SECURITY.getInfo()); Trade test = sut().resolveTarget(ImmutableReferenceData.of(SECURITY.getSecurityId(), security)); GenericSecurityTrade expected = GenericSecurityTrade.of(TRADE_INFO, security, 3000, 20); assertEquals(test, expected); }
public void test_createProduct_wrongType() { IborFutureOptionSecurity test = sut(); IborFuture future = OPTION.getUnderlyingFuture(); SecurityId secId = future.getSecurityId(); GenericSecurity sec = GenericSecurity.of(INFO); ReferenceData refData = ImmutableReferenceData.of(secId, sec); assertThrows(() -> test.createProduct(refData), ClassCastException.class); }
public void test_createProduct_wrongType() { BondFutureOptionSecurity test = sut(); BondFuture future = PRODUCT.getUnderlyingFuture(); SecurityId secId = future.getSecurityId(); GenericSecurity sec = GenericSecurity.of(INFO); ReferenceData refData = ImmutableReferenceData.of(secId, sec); assertThrows(() -> test.createProduct(refData), ClassCastException.class); }
public void test_load_genericSecurity() { TradeCsvLoader test = TradeCsvLoader.standard(); ValueWithFailures<List<Trade>> trades = test.load(FILE); List<GenericSecurityTrade> filtered = trades.getValue().stream() .flatMap(filtering(GenericSecurityTrade.class)) .collect(toImmutableList()); assertEquals(filtered.size(), 1); GenericSecurityTrade expected1 = GenericSecurityTrade.builder() .info(TradeInfo.builder() .id(StandardId.of("OG", "123433")) .tradeDate(date(2017, 6, 1)) .settlementDate(date(2017, 6, 3)) .build()) .security( GenericSecurity.of( SecurityInfo.of( SecurityId.of("OG-Security", "AAPL"), SecurityPriceInfo.of(5, CurrencyAmount.of(USD, 0.01), 10)))) .quantity(12) .price(14.5) .build(); assertBeanEquals(expected1, filtered.get(0)); }
private static Trade trade() { SecurityInfo info = SecurityInfo.of(SecurityId.of("OG-Test", "1"), 20, CurrencyAmount.of(USD, 10)); GenericSecurity security = GenericSecurity.of(info); TradeInfo tradeInfo = TradeInfo.builder() .counterparty(StandardId.of("cpty", "a")) .build(); return GenericSecurityTrade.builder() .info(tradeInfo) .security(security) .quantity(123) .price(456) .build(); }