public virtual void test_withInfo()
{
BillSecurity @base = BillSecurity.builder().dayCount(DAY_COUNT).info(INFO).legalEntityId(LEGAL_ENTITY).notional(NOTIONAL).settlementDateOffset(SETTLE).yieldConvention(YIELD_CONVENTION).build();
SecurityInfo info = SecurityInfo.of(SECURITY_ID, SecurityPriceInfo.ofCurrencyMinorUnit(CCY));
BillSecurity expected = BillSecurity.builder().dayCount(DAY_COUNT).info(info).legalEntityId(LEGAL_ENTITY).notional(NOTIONAL).settlementDateOffset(SETTLE).yieldConvention(YIELD_CONVENTION).build();
assertEquals(@base.withInfo(info), expected);
}
public virtual void test_load_invalidNoQuantity()
{
EtdContractSpecId specId = EtdContractSpecId.of("OG-ETD", "F-ECAG-FGBL");
EtdContractSpec contract = EtdContractSpec.builder().id(specId).type(EtdType.FUTURE).exchangeId(ExchangeIds.ECAG).contractCode(FGBL).description("Dummy").priceInfo(SecurityPriceInfo.of(Currency.GBP, 100)).build();
ReferenceData refData = ImmutableReferenceData.of(specId, contract);
PositionCsvLoader test = PositionCsvLoader.of(refData);
ValueWithFailures <IList <Position> > trades = test.parse(ImmutableList.of(CharSource.wrap("Strata Position Type,Exchange,Contract Code,Expiry\nFUT,ECAG,FGBL,2017-06")));
assertEquals(trades.Failures.size(), 1);
FailureItem failure = trades.Failures.get(0);
assertEquals(failure.Reason, FailureReason.PARSING);
assertEquals(failure.Message, "CSV file position could not be parsed at line 2: " + "Security must contain a quantity column, either 'Quantity' or 'Long Quantity' and 'Short Quantity'");
}
//-------------------------------------------------------------------------
public virtual void test_parse_option()
{
EtdContractSpecId specId = EtdContractSpecId.of("OG-ETD", "O-ECAG-OGBL");
EtdContractSpec contract = EtdContractSpec.builder().id(specId).type(EtdType.OPTION).exchangeId(ExchangeIds.ECAG).contractCode(OGBL).description("Dummy").priceInfo(SecurityPriceInfo.of(Currency.GBP, 100)).build();
ReferenceData refData = ImmutableReferenceData.of(specId, contract);
PositionCsvLoader test = PositionCsvLoader.of(refData);
ValueWithFailures <IList <EtdOptionPosition> > trades = test.parse(ImmutableList.of(FILE.CharSource), typeof(EtdOptionPosition));
IList <EtdOptionPosition> filtered = trades.Value;
assertEquals(filtered.Count, 3);
EtdOptionPosition expected1 = EtdOptionPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123431")).build()).security(EtdOptionSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofMonthly(), 0, PutCall.PUT, 3d, YearMonth.of(2017, 9))).longQuantity(15d).shortQuantity(2d).build();
assertBeanEquals(expected1, filtered[0]);
EtdOptionPosition expected2 = EtdOptionPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123432")).build()).security(EtdOptionSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofFlexOption(13, EtdSettlementType.CASH, EtdOptionType.AMERICAN), 0, PutCall.CALL, 4d)).longQuantity(0d).shortQuantity(13d).build();
assertBeanEquals(expected2, filtered[1]);
EtdOptionPosition expected3 = EtdOptionPosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123433")).build()).security(EtdOptionSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofWeekly(2), 0, PutCall.PUT, 5.1d)).longQuantity(0d).shortQuantity(20d).build();
assertBeanEquals(expected3, filtered[2]);
}
//-------------------------------------------------------------------------
public virtual void test_parse_future()
{
EtdContractSpecId specId = EtdContractSpecId.of("OG-ETD", "F-ECAG-FGBL");
EtdContractSpec contract = EtdContractSpec.builder().id(specId).type(EtdType.FUTURE).exchangeId(ExchangeIds.ECAG).contractCode(FGBL).description("Dummy").priceInfo(SecurityPriceInfo.of(Currency.GBP, 100)).build();
ReferenceData refData = ImmutableReferenceData.of(specId, contract);
PositionCsvLoader test = PositionCsvLoader.of(refData);
ValueWithFailures <IList <EtdFuturePosition> > trades = test.parse(ImmutableList.of(FILE.CharSource), typeof(EtdFuturePosition));
IList <EtdFuturePosition> filtered = trades.Value;
assertEquals(filtered.Count, 4);
EtdFuturePosition expected1 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123421")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofMonthly())).longQuantity(15d).shortQuantity(2d).build();
assertBeanEquals(expected1, filtered[0]);
EtdFuturePosition expected2 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123422")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofFlexFuture(13, EtdSettlementType.CASH))).longQuantity(0d).shortQuantity(13d).build();
assertBeanEquals(expected2, filtered[1]);
EtdFuturePosition expected3 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123423")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofWeekly(2))).longQuantity(0d).shortQuantity(20d).build();
assertBeanEquals(expected3, filtered[2]);
EtdFuturePosition expected4 = EtdFuturePosition.builder().info(PositionInfo.builder().id(StandardId.of("OG", "123424")).build()).security(EtdFutureSecurity.of(contract, YearMonth.of(2017, 6), EtdVariant.ofDaily(3))).longQuantity(30d).shortQuantity(0d).build();
assertBeanEquals(expected4, filtered[3]);
}
internal static EtdContractSpec sut2()
{
return(EtdContractSpec.builder().type(EtdType.OPTION).exchangeId(ExchangeIds.IFEN).contractCode(EtdContractCode.of("BAR")).description("A test option template").priceInfo(SecurityPriceInfo.of(Currency.EUR, 10)).addAttribute(AttributeType.NAME, "NAME").build());
}
//-------------------------------------------------------------------------
internal static EtdContractSpec sut()
{
return(EtdContractSpec.builder().id(EtdContractSpecId.of("test", "123")).type(EtdType.FUTURE).exchangeId(ExchangeIds.ECAG).contractCode(EtdContractCode.of("FOO")).description("A test future template").priceInfo(SecurityPriceInfo.of(Currency.GBP, 100)).build());
}
internal static EtdOptionSecurity sut2()
{
return(EtdOptionSecurity.builder().info(SecurityInfo.of(SecurityId.of("B", "C"), SecurityPriceInfo.of(Currency.EUR, 10))).contractSpecId(EtdContractSpecId.of("test", "234")).expiry(YearMonth.of(2017, 9)).variant(EtdVariant.ofWeekly(2)).version(4).putCall(PutCall.CALL).strikePrice(3).underlyingExpiryMonth(YearMonth.of(2017, 12)).build());
}
//-------------------------------------------------------------------------
internal static EtdOptionSecurity sut()
{
return(EtdOptionSecurity.builder().info(SecurityInfo.of(SecurityId.of("A", "B"), SecurityPriceInfo.of(Currency.GBP, 100))).contractSpecId(EtdContractSpecId.of("test", "123")).expiry(YearMonth.of(2017, 6)).putCall(PutCall.PUT).strikePrice(2).build());
}
internal static EtdFutureSecurity sut2()
{
return(EtdFutureSecurity.builder().info(SecurityInfo.of(SecurityId.of("B", "C"), SecurityPriceInfo.of(Currency.EUR, 10))).contractSpecId(EtdContractSpecId.of("test", "234")).expiry(YearMonth.of(2017, 9)).variant(EtdVariant.ofWeekly(2)).build());
}
//-------------------------------------------------------------------------
internal static EtdFutureSecurity sut()
{
return(EtdFutureSecurity.builder().info(SecurityInfo.of(SecurityId.of("A", "B"), SecurityPriceInfo.of(Currency.GBP, 100))).contractSpecId(EtdContractSpecId.of("test", "123")).expiry(YearMonth.of(2017, 6)).build());
}
/// <summary>
/// Sets the information about the security price - currency, tick size, tick value, contract size.
/// </summary>
/// <param name="priceInfo"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public EtdContractSpecBuilder priceInfo(SecurityPriceInfo priceInfo)
{
JodaBeanUtils.notNull(priceInfo, "priceInfo");
this.priceInfo_Renamed = priceInfo;
return(this);
}