ArchiveStreamToMarketDataIterator.java

package com.activequant.backtesting;

import java.util.Map;

import com.activequant.archive.MultiValueTimeSeriesIterator;
import com.activequant.domainmodel.TimeStamp;
import com.activequant.domainmodel.Tuple;
import com.activequant.domainmodel.streaming.MarketDataEvent;
import com.activequant.domainmodel.streaming.MarketDataSnapshot;
import com.activequant.domainmodel.streaming.StreamEventIterator;
import com.activequant.interfaces.archive.IArchiveReader;

/**
 * 
 * @author GhostRider
 * 
 */
public class ArchiveStreamToMarketDataIterator extends
		StreamEventIterator<MarketDataEvent> {

	private String mdiId, tdiId;
	private MultiValueTimeSeriesIterator streamIterator;
	private double[] bid, ask, bidQ, askQ;
	private double quantityOverride = 0.0;
	private String bidQuantityKey = "BIDQUANTITY";
	private String askQuantityKey = "ASKQUANTITY";
	MarketDataSnapshot mds = new MarketDataSnapshot();

	public ArchiveStreamToMarketDataIterator(String mdiId, TimeStamp startTime,
			TimeStamp endTime, IArchiveReader archiveReader) throws Exception {
		this.mdiId = mdiId;
		this.tdiId = mdiId;
		this.streamIterator = archiveReader.getMultiValueStream(mdiId,
				startTime, endTime);
		bid = new double[1];
		ask = new double[1];
		bidQ = new double[1];
		askQ = new double[1];
	}

	public ArchiveStreamToMarketDataIterator(String mdiId, String tdiId,
			TimeStamp startTime, TimeStamp endTime, IArchiveReader archiveReader)
			throws Exception {
		this.mdiId = mdiId;
		this.streamIterator = archiveReader.getMultiValueStream(mdiId,
				startTime, endTime);
		bid = new double[1];
		ask = new double[1];
		bidQ = new double[1];
		askQ = new double[1];
		this.tdiId = tdiId;
	}

	@Override
	public boolean hasNext() {
		return streamIterator.hasNext();
	}

	@Override
	public MarketDataEvent next() {
		Tuple<TimeStamp, Map<String, Double>> valueMap = streamIterator.next();
		if (valueMap.getB().containsKey("BID")) bid[0] = valueMap.getB().get("BID");
		if (valueMap.getB().containsKey("ASK")) ask[0] = valueMap.getB().get("ASK");
		if (valueMap.getB().containsKey(bidQuantityKey)) bidQ[0] = valueMap.getB().get(bidQuantityKey);
		if (valueMap.getB().containsKey(askQuantityKey)) askQ[0] = valueMap.getB().get(askQuantityKey);

		//
		if (quantityOverride != 0.0) {
			bidQ[0] = askQ[0] = quantityOverride;
		}

		mds.setMdiId(this.mdiId);
		mds.setTdiId(this.tdiId);
		mds.setAskPrices(ask);
		mds.setBidPrices(bid);
		mds.setAskSizes(askQ);
		mds.setBidSizes(bidQ);
		mds.setTimeStamp(valueMap.getA());
		return mds;

	}

	public double getQuantityOverride() {
		return quantityOverride;
	}

	public void setQuantityOverride(double quantityOverride) {
		this.quantityOverride = quantityOverride;
	}

	public String getBidQuantityKey() {
		return bidQuantityKey;
	}

	public void setBidQuantityKey(String bidQuantityKey) {
		this.bidQuantityKey = bidQuantityKey;
	}

	public String getAskQuantityKey() {
		return askQuantityKey;
	}

	public void setAskQuantityKey(String askQuantityKey) {
		this.askQuantityKey = askQuantityKey;
	}
}