コード例 #1
0
        //-------------------------------------------------------------------------
        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]);
        }
コード例 #2
0
        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'");
        }
コード例 #3
0
        //-------------------------------------------------------------------------
        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]);
        }