public static UniqueId GetUniqueIdentifier(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer, string fieldName)
{
UniqueId portfolioIdentifier;
IFudgeField idField = ffc.GetByName(fieldName);
if (idField != null)
{
var value = idField.Value;
if (value is string)
{
portfolioIdentifier = UniqueId.Parse((string) value);
}
else if (value is IFudgeFieldContainer)
{
portfolioIdentifier = deserializer.FromField<UniqueId>(idField);
}
else
{
throw new ArgumentException(String.Format("Couldn't read UID {0}", value));
}
}
else
{
portfolioIdentifier = null;
}
return portfolioIdentifier;
}
/// <inheritdoc/>
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
IFudgeSerializable result = (IFudgeSerializable)constructor.Invoke(null);
deserializer.Register(msg, result);
result.Deserialize(msg, deserializer);
return result;
}
public static InterpolatedDoublesSurface FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var xData = ffc.GetValue<double[]>("x data");
var yData = ffc.GetValue<double[]>("y data");
var zData = ffc.GetValue<double[]>("z data");
return new InterpolatedDoublesSurface(xData, yData, zData);
}
public static YieldCurveDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
Currency currency = null;
string name = null;
string interpolatorName = null;
var strips = new List<FixedIncomeStrip>();
ExternalId region = null;
foreach (var fudgeField in ffc)
{
switch (fudgeField.Name)
{
case "currency":
currency = Currency.Create((string)fudgeField.Value);
break;
case "name":
name = (string)fudgeField.Value;
break;
case "interpolatorName":
interpolatorName = (string)fudgeField.Value;
break;
case "region":
region = ExternalId.Parse((string)fudgeField.Value);
break;
case "strip":
strips.Add(deserializer.FromField<FixedIncomeStrip>(fudgeField));
break;
}
}
var yieldCurveDefinition = new YieldCurveDefinition(currency, name, interpolatorName);
yieldCurveDefinition.Region = region;
yieldCurveDefinition.AddStrip(strips.ToArray());
return yieldCurveDefinition;
}
public static NodalDoublesCurve FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
string name = GetName(ffc);
var xData = ffc.GetValue<double[]>("x data");
var yData = ffc.GetValue<double[]>("y data");
return new NodalDoublesCurve(name, xData, yData);
}
public static ViewCycleExecutionOptions FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
IFudgeField mdsField = ffc.GetByName("marketDataSpecification");
var marketDataSpecification = mdsField == null ? null : deserializer.FromField<MarketDataSpecification>(mdsField);
var valuationValue = ffc.GetValue("valuation");
var valuation = (FudgeDateTime)(valuationValue == IndicatorType.Instance ? null : valuationValue);
return new ViewCycleExecutionOptions(valuation.ToDateTimeOffsetWithDefault(), marketDataSpecification);
}
public static VolatilityCubeDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new VolatilityCubeDefinition(
deserializer.FromField<List<string>>(ffc.GetByName("swapTenors")).Select(s => new Tenor(s)).ToList(),
deserializer.FromField<List<string>>(ffc.GetByName("optionExpiries")).Select(s => new Tenor(s)).ToList(),
ffc.GetMessage("relativeStrikes").Select(f => f.Value).Cast<double>().ToList()
);
}
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
var address = new Address(msg.GetString("line1"),
msg.GetString("line2"),
msg.GetString("zip"));
deserializer.Register(msg, address);
return address;
}
public static ArrayLocalDateDoubleTimeSeries FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var dateTimeConverterField = ffc.GetByOrdinal(1);
var fastTimeSeriesField = ffc.GetByOrdinal(2);
var dateTimeConverter = deserializer.FromField<LocalDateEpochDaysConverter>(dateTimeConverterField);
var fastTimeSeries = deserializer.FromField<FastArrayIntDoubleTimeSeries>(fastTimeSeriesField);
return new ArrayLocalDateDoubleTimeSeries(dateTimeConverter, fastTimeSeries);
}
public static InterpolatedYieldCurveSpecificationWithSecurities FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new InterpolatedYieldCurveSpecificationWithSecurities(
new DateTimeOffset(
((FudgeDate) ffc.GetValue("curveDate")).ToDateTime()),
(string) ffc.GetValue("name"),
ffc.GetValue<Currency>("currency"),
ffc.GetAllByName("resolvedStrips").Select(deserializer.FromField<FixedIncomeStripWithSecurity>).ToList()
);
}
public static ValueRequirement FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
ValueProperties constraints = deserializer.FromField<ValueProperties>(ffc.GetByName("constraints")) ?? ValueProperties.Create();
var computationTargetType = ffc.GetValue<string>("computationTargetType");
var computationTargetIdentifier = GetUniqueIdentifier(ffc, deserializer, "computationTargetIdentifier");
var targetSpec = new ComputationTargetSpecification(EnumBuilder<ComputationTargetType>.Parse(computationTargetType), computationTargetIdentifier);
var valueName = ffc.GetValue<string>("valueName");
return new ValueRequirement(valueName, targetSpec, constraints);
}
public static InterpolatedYieldCurveSpecification FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var curveDate = ffc.GetValue<DateTimeOffset>("curveDate");
string name = ffc.GetString("name");
var currency = ffc.GetValue<Currency>("currency");
var region = ExternalId.Parse(ffc.GetString("region"));
var resolvedStripFields = ffc.GetAllByName("resolvedStrips");
var resolvedStrips = resolvedStripFields.Select(deserializer.FromField<FixedIncomeStripWithIdentifier>)
.ToList();
return new InterpolatedYieldCurveSpecification(curveDate, name, currency, resolvedStrips, region);
}
public static SecurityDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField<UniqueId>(ffc.GetByName("uniqueId"));
var security = deserializer.FromField<ISecurity>(ffc.GetByName("security"));
return new SecurityDocument(uid, security, versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant);
}
public static MarketDataSnapshotDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField<UniqueId>(ffc.GetByName("uniqueId"));
var snapshot = deserializer.FromField<ManageableMarketDataSnapshot>(ffc.GetByName("snapshot"));
return new MarketDataSnapshotDocument(uid, snapshot, versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant);
}
public static YieldCurveDefinitionDocument FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
DateTimeOffset versionToInstant;
DateTimeOffset correctionFromInstant;
DateTimeOffset correctionToInstant;
DateTimeOffset versionFromInstant = GetDocumentValues(ffc, out versionToInstant, out correctionFromInstant, out correctionToInstant);
var uid = (ffc.GetString("uniqueId") != null) ? UniqueId.Parse(ffc.GetString("uniqueId")) : deserializer.FromField<UniqueId>(ffc.GetByName("uniqueId"));
var definition = deserializer.FromField<YieldCurveDefinition>(ffc.GetByName("yieldCurveDefinition"));
return new YieldCurveDefinitionDocument(versionFromInstant, versionToInstant, correctionFromInstant, correctionToInstant) { YieldCurveDefinition = definition, UniqueId = uid};
}
public static FixedIncomeStripWithSecurity FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var originalstrip = deserializer.FromField<FixedIncomeStrip>(ffc.GetByName("strip"));
var resolvedTenor = new Tenor(ffc.GetString("resolvedTenor"));
DateTimeOffset maturity = GetDateTime(ffc.GetByName("maturity"));
ExternalId securityIdentifier = ExternalId.Parse(ffc.GetString("identifier"));
var security = deserializer.FromField<ISecurity>(ffc.GetByName("security"));
return new FixedIncomeStripWithSecurity(originalstrip,
resolvedTenor,
maturity,
securityIdentifier,
security
);
}
public static ChangeEvent FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var changeType = EnumBuilder<ChangeType>.Parse(ffc.GetMessage("type").GetString(1));
var beforeField = ffc.GetString("beforeId");
var beforeId = beforeField == null ? null : UniqueId.Parse(beforeField);
var afterField = ffc.GetString("afterId");
var afterId = afterField == null ? null : UniqueId.Parse(afterField);
var versionField = ffc.GetByName("versionInstant");
var versionInstant = (FudgeDateTime) versionField.Value;
return new ChangeEvent(changeType,
beforeId,
afterId,
new Instant(versionInstant));
}
public static VolatilityCubeData FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var dataPoints = MapBuilder.FromFudgeMsg(ffc.GetMessage("dataPoints"), deserializer.FromField<VolatilityPoint>, f => (double)f.Value);
var otherValues = deserializer.FromField<SnapshotDataBundle>(ffc.GetByName("otherData"));
Dictionary<Pair<Tenor, Tenor>, double> strikes = null;
var strikesField = ffc.GetMessage("strikes");
if (strikesField != null)
{
strikes = strikesField.Select(deserializer.FromField<StrikeEntry>).ToDictionary(s => new Pair<Tenor, Tenor>(new Tenor(s.SwapTenor), new Tenor(s.OptionExpiry)), s => s.Strike);
}
return new VolatilityCubeData(dataPoints, otherValues, strikes);
}
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer, Action<object, SerializationInfo, StreamingContext> deserializeMethod)
{
// Create without construction and register before we call the constructor in case there are any cycles
object result = FormatterServices.GetUninitializedObject(type);
deserializer.Register(msg, result);
var converter = new DeserializingFormatterConverter(deserializer);
var si = new SerializationInfo(this.type, converter);
PopulateSerializationInfo(si, msg);
beforeAfterMixin.CallBeforeDeserialize(result);
deserializeMethod(result, si, streamingContext);
beforeAfterMixin.CallAfterDeserialize(result);
return result;
}
public static PresentValueSensitivity FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var data = new Dictionary<string, List<Tuple<double, double>>>();
var curveNames = ffc.GetAllByName("curve name");
var sensitivities = ffc.GetAllByName("sensitivities");
int id = 0;
foreach (var tuple in curveNames.Zip(sensitivities, Tuple.Create))
{
string curveName = new StringBuilder("TODO ").Append(id++).ToString(); //I believe the java is broken
var listSensitivities = (IFudgeFieldContainer) tuple.Item2;
var pairsFields = listSensitivities.GetAllByName(null);
var tuples = pairsFields.Select(ReadPair).ToList();
data.Add(curveName, tuples);
}
return new PresentValueSensitivity(data);
}
/// <inheritdoc/>
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
// We create the new object without constructing it, so we can register it before trying
// to deserialize the parameters. This allows us to support cycles.
object result = FormatterServices.GetUninitializedObject(type);
deserializer.Register(msg, result);
var args = new object[constructorParams.Length];
foreach (var field in msg)
{
if (field.Name != null)
{
string name = field.Name.ToLower();
for (int i = 0; i < constructorParams.Length; i++)
{
var constructorParam = constructorParams[i];
if (constructorParam.LowerName == name)
{
switch (constructorParam.Kind)
{
case TypeData.TypeKind.FudgePrimitive:
args[i] = context.TypeHandler.ConvertType(field.Value, constructorParam.TypeData.Type); ;
break;
default:
args[i] = deserializer.FromField(field, constructorParam.TypeData.Type);
break;
}
break;
}
}
}
}
constructor.Invoke(result, args);
return result;
}
public static FixedIncomeStripWithSecurity FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var originalstrip = deserializer.FromField <FixedIncomeStrip>(ffc.GetByName("strip"));
var resolvedTenor = new Tenor(ffc.GetString("resolvedTenor"));
DateTimeOffset maturity = GetDateTime(ffc.GetByName("maturity"));
ExternalId securityIdentifier = ExternalId.Parse(ffc.GetString("identifier"));
var security = deserializer.FromField <ISecurity>(ffc.GetByName("security"));
return(new FixedIncomeStripWithSecurity(originalstrip,
resolvedTenor,
maturity,
securityIdentifier,
security
));
}
public void Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
Bid = msg.GetDouble("Bid") ?? 0.0;
Ask = msg.GetDouble("Ask") ?? 0.0;
BidVolume = msg.GetDouble("BidVolume") ?? 0.0;
AskVolume = msg.GetDouble("AskVolume") ?? 0.0;
Timestamp = msg.GetLong("Timestamp") ?? 0;
}
private void ObjectAdd(MorePropertyData prop, object obj, IFudgeField field, IFudgeDeserializer deserializer)
{
// Handles both reference and inline
object subObject = deserializer.FromField(field, prop.PropertyData.Type);
prop.PropertyData.Setter(obj, subObject);
}
public override SimplePortfolioNode DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(new SimplePortfolioNode(
UniqueId.Parse(msg.GetString("identifier")), msg.GetString("name"),
deserializer.FromField <IList <PortfolioNode> >(msg.GetByName("subNodes")) ?? new List <PortfolioNode>(),
deserializer.FromField <IList <IPosition> >(msg.GetByName("positions")) ?? new List <IPosition>()));
}
public override PagingRequest DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(PagingRequest.OfIndex(msg.GetInt("first").Value, msg.GetInt("size").Value));
}
public override ValueProperties DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var withoutMessage = ffc.GetMessage("without");
if (withoutMessage != null)
{
if (withoutMessage.Any())
{
var without = withoutMessage.Select(f => f.Value).Cast <string>();
var withoutSet = SmallSet <string> .Create(without);
return(new NearlyInfiniteValueProperties(withoutSet));
}
else
{
return(InfiniteValueProperties.Instance);
}
}
var withMessage = ffc.GetMessage("with");
if (withMessage == null)
{
return(EmptyValueProperties.Instance);
}
var properties = new Dictionary <string, ISet <string> >(withMessage.GetNumFields());
HashSet <string> optional = null;
foreach (var field in withMessage)
{
var name = string.Intern(field.Name); // Should be a small static set
var fieldType = field.Type;
if (Equals(fieldType, StringFieldType.Instance))
{
var value = (string)field.Value;
properties.Add(name, SmallSet <string> .Create(value));
}
else if (Equals(fieldType, IndicatorFieldType.Instance))
{
//withAny
properties.Add(name, new HashSet <string>());
}
else if (Equals(fieldType, FudgeMsgFieldType.Instance))
{
var propMessage = (IFudgeFieldContainer)field.Value;
var hashSet = new HashSet <string>();
foreach (var fudgeField in propMessage)
{
if (fudgeField.Value == IndicatorType.Instance)
{
if (fudgeField.Name != "optional")
{
throw new ArgumentException();
}
optional = optional ?? new HashSet <string>();
optional.Add(name);
}
else
{
string value = (string)fudgeField.Value;
hashSet.Add(value);
}
}
if (hashSet.Any())
{
properties.Add(name, hashSet);
}
}
}
return(new FiniteValueProperties(properties, optional == null ? null : SmallSet <string> .Create(optional)));
}
public static SimpleResolutionRuleTransform FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new SimpleResolutionRuleTransform(ffc));
}
public static InterpolatedDoublesSurface FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var xData = ffc.GetValue <double[]>("x data");
var yData = ffc.GetValue <double[]>("y data");
var zData = ffc.GetValue <double[]>("z data");
return(new InterpolatedDoublesSurface(xData, yData, zData));
}
public static InterpolatedYieldCurveSpecification FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var curveDate = ffc.GetValue <DateTimeOffset>("curveDate");
string name = ffc.GetString("name");
var currency = ffc.GetValue <Currency>("currency");
var region = ExternalId.Parse(ffc.GetString("region"));
var resolvedStripFields = ffc.GetAllByName("resolvedStrips");
var resolvedStrips = resolvedStripFields.Select(deserializer.FromField <FixedIncomeStripWithIdentifier>)
.ToList();
return(new InterpolatedYieldCurveSpecification(curveDate, name, currency, resolvedStrips, region));
}
public static SnapshotDataBundle FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var map = MapBuilder.FromFudgeMsg(ffc.GetMessage("dataPoints"), f => UniqueId.Parse((string)f.Value), f => (double)f.Value);
return(new SnapshotDataBundle(map));
}
/// <inheritdoc/>
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(helper.CreateAndDeserialize(msg, deserializer));
}
public DeserializingFormatterConverter(IFudgeDeserializer deserializer)
{
this.deserializer = deserializer;
}
public void Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
// Skip message
Other = deserializer.FromField <ClassWithMessageIn>(msg.GetByName("other"));
}
public static NumberDeltaComparer FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new NumberDeltaComparer(ffc.GetInt("decimalPlaces").Value));
}
public static FastArrayIntDoubleTimeSeries FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var bits = FromFudgeMsgImpl(ffc, deserializer);
return(new FastArrayIntDoubleTimeSeries(bits.Item1, bits.Item2, bits.Item3));
}
public static DateTimeNumericEncoding FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
string value = ffc.GetString(1);
return(Build(value));
}
public static ManageableUnstructuredMarketDataSnapshot FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var dictionary = new Dictionary <MarketDataValueSpecification, IDictionary <string, ValueSnapshot> >();
foreach (var entryField in ffc.GetAllByOrdinal(1))
{
var entryMsg = (IFudgeFieldContainer)entryField.Value;
MarketDataValueSpecification valueSpec = null;
string valueName = null;
ValueSnapshot value = null;
foreach (var field in entryMsg)
{
switch (field.Name)
{
case "valueSpec":
valueSpec = deserializer.FromField <MarketDataValueSpecification>(field);
break;
case "valueName":
valueName = (string)field.Value;
break;
case "value":
value = deserializer.FromField <ValueSnapshot>(field);
break;
default:
throw new ArgumentOutOfRangeException();
}
}
IDictionary <string, ValueSnapshot> innerDict;
if (!dictionary.TryGetValue(valueSpec, out innerDict))
{
innerDict = new Dictionary <string, ValueSnapshot>();
dictionary.Add(valueSpec, innerDict);
}
innerDict.Add(valueName, value);
}
return(new ManageableUnstructuredMarketDataSnapshot(dictionary));
}
/// <inheritdoc/>
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return helper.Deserialize(msg, deserializer, (obj, si, sc) =>
{
var args = new object[] { si, sc };
constructor.Invoke(obj, args);
});
}
public static VolatilityCubeKey FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new VolatilityCubeKey(ffc.GetValue <Currency>("currency"), ffc.GetString("name")));
}
/// <inheritdoc/>
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return memberSerializer.Deserialize(msg, deserializer);
}
public static MissingMarketDataSentinel FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(Instance);
}
/// <inheritdoc/>
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return helper.CreateAndDeserialize(msg, deserializer);
}
public DeserializingFormatterConverter(IFudgeDeserializer deserializer)
{
this.deserializer = deserializer;
}
private void PrimitiveAdd(MorePropertyData prop, object obj, IFudgeField field, IFudgeDeserializer deserializer)
{
object val = context.TypeHandler.ConvertType(field.Value, prop.PropertyData.Type);
prop.PropertyData.Setter(obj, val);
}
public static ViewDefinitionCompilationFailedCall FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new ViewDefinitionCompilationFailedCall(ffc.GetValue<DateTimeOffset>("valuationTime"), deserializer.FromField<JavaException>(ffc.GetByName("exception")));
}
private void ListAppend <T>(MorePropertyData prop, object obj, IFudgeField field, IFudgeDeserializer deserializer) where T : class
{
IList <T> newList = deserializer.FromField <IList <T> >(field);
IList <T> currentList = (IList <T>)prop.PropertyData.Getter(obj);
foreach (T item in newList)
{
currentList.Add(item);
}
}
public static ViewCycleExecutionOptions FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
IFudgeField mdsField = ffc.GetByName("marketDataSpecification");
var marketDataSpecification = mdsField == null ? null : deserializer.FromField <MarketDataSpecification>(mdsField);
var valuationValue = ffc.GetValue("valuation");
var valuation = (FudgeDateTime)(valuationValue == IndicatorType.Instance ? null : valuationValue);
return(new ViewCycleExecutionOptions(valuation.ToDateTimeOffsetWithDefault(), marketDataSpecification));
}
protected override InMemoryViewComputationResultModel BuildObject(IFudgeFieldContainer msg, IFudgeDeserializer deserializer, Dictionary <string, ViewCalculationResultModel> configurationMap, UniqueId viewProcessId, UniqueId viewCycleId, DateTimeOffset inputDataTimestamp, DateTimeOffset resultTimestamp, TimeSpan calculationDuration)
{
var liveDataMsg = msg.GetMessage("liveData");
List <ComputedValue> liveData = liveDataMsg == null ? null : liveDataMsg.GetAllByOrdinal(1).Select(deserializer.FromField <ComputedValue>).ToList();
return(new InMemoryViewComputationResultModel(viewProcessId, viewCycleId, inputDataTimestamp, resultTimestamp, configurationMap, liveData, calculationDuration));
}
public static SimpleResolutionRuleTransform FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new SimpleResolutionRuleTransform(ffc);
}
public override UserMarketDataSpecification DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(new UserMarketDataSpecification(deserializer.FromField <UniqueId>(msg.GetByName("userSnapshotId"))));
}
public static LocalDateEpochDaysConverter FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return new LocalDateEpochDaysConverter(ffc.GetString(1));
}
public static MarketDataValueSpecification FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
var marketDataValueType = EnumBuilder <MarketDataValueType> .Parse(ffc.GetString("type"));
return(new MarketDataValueSpecification(
marketDataValueType,
UniqueId.Parse(ffc.GetString("uniqueId"))
));
}
public override ExecutionOptions DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
throw new NotImplementedException();
}
/// <inheritdoc/>
public object Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(deserializerDelegate(msg, deserializer));
}
public override TMatrix DeserializeImpl(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
string labelsTitle = ffc.GetString("labelsTitle");
string valuesTitle = ffc.GetString("valuesTitle");
var msg = ffc.GetMessage(MatrixField);
var labelTypes = new Queue <string>();
var labelValues = new Queue <IFudgeField>();
IList <TKey> keys = new List <TKey>();
IList <object> labels = new List <object>();
IList <double> values = new List <double>();
foreach (IFudgeField field in msg)
{
switch (field.Ordinal)
{
case LabelTypeOrdinal:
labelTypes.Enqueue((string)field.Value);
break;
case KeyOrdinal:
TKey key = GetKey(field);
keys.Add(key);
break;
case LabelOrdinal:
labelValues.Enqueue(field);
break;
case ValueOrdinal:
values.Add((double)field.Value);
break;
}
if (labelTypes.Count != 0 && labelValues.Count != 0)
{
// Have a type and a value, which can be consumed
string labelTypeName = labelTypes.Dequeue();
IFudgeField labelValue = labelValues.Dequeue();
switch (labelTypeName)
{
case "java.lang.String":
var value = (string)labelValue.Value;
labels.Add(value);
break;
case "com.opengamma.util.time.Tenor":
//TODO DOTNET-14 this is serialized as a string here
string period = (string)labelValue.Value;
labels.Add(new Tenor(period));
break;
case "com.opengamma.util.money.Currency":
string iso = (string)labelValue.Value;
labels.Add(Currency.Create(iso));
break;
case "com.opengamma.id.ExternalId":
string str = (string)labelValue.Value;
labels.Add(ExternalId.Parse(str));
break;
default:
//TODO work out whether this is right (and fast enough) in the general case
var typeMapper =
(IFudgeTypeMappingStrategy)
Context.GetProperty(ContextProperties.TypeMappingStrategyProperty);
Type labelType = typeMapper.GetType(labelTypeName);
object label = deserializer.FromField(labelValue, labelType);
labels.Add(label);
break;
}
}
}
var constructorInfo = typeof(TMatrix).GetConstructor(new[]
{
typeof(IList <TKey>),
typeof(IList <object>), //TODO type up this (if the java side does)
typeof(IList <double>),
typeof(string),
typeof(string),
});
return((TMatrix)constructorInfo.Invoke(new object[] { keys, labels, values, labelsTitle, valuesTitle }));
}
public override IPortfolio DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(new SimplePortfolio(deserializer.FromField <PortfolioNode>(msg.GetByName("root")), UniqueId.Parse(msg.GetString("identifier")), msg.GetString("name")));
}
public static LocalDateEpochDaysConverter FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer)
{
return(new LocalDateEpochDaysConverter(ffc.GetString(1)));
}
public void Deserialize(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
// Skip message
Other = deserializer.FromField<ClassWithMessageIn>(msg.GetByName("other"));
}
public override object DeserializeImpl(IFudgeFieldContainer msg, IFudgeDeserializer deserializer)
{
return(Parse(msg.GetString(1)));
}