Initial framework for IB to BBG code conversion

cetusfinance · Mar 18, 2021 · 791c818 · 791c818
1 parent be49651
commit 791c818
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Showing 11 changed files with 12,852 additions and 40 deletions.
diff --git a/clients/Qwack.Excel/futuresettings.json b/clients/Qwack.Excel/futuresettings.json
diff --git a/data/futuresettings.json b/data/futuresettings.json
diff --git a/src/Qwack.Futures/CodeConversion.cs b/src/Qwack.Futures/CodeConversion.cs
@@ -0,0 +1,67 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+
+namespace Qwack.Futures
+{
+    public static class CodeConversion
+    {
+        public static string ConvertBbgToIB(this string bbg, IFutureSettingsProvider provider)
+        {
+            switch (bbg.ToLower().Right(6))
+            {
+                case "comdty":
+                    if(bbg.Length<13) //its not an option
+                    {
+                        if(bbg.Length==11 && bbg.Substring(4,1)==" ") // ccMY Comdty format
+                        {
+                            var bbgCode = bbg.Left(2);
+                            if (provider.TryGet(bbgCode, "BBG", out var fs))
+                            {
+                                var monthYear = bbg.Substring(2, 2);
+                                var qCode = fs.CodeConversions["BBG"].Where(x => x.Value == bbgCode.ToUpper()).First().Key;
+                                var ibCode = fs.CodeConversions["IB"][qCode];
+                                return $"{ibCode}{monthYear}";
+                            }
+                        }
+                        else if (bbg.Length == 12 && bbg.Substring(5, 1) == " ") // ccMY Comdty format
+                        {
+                            var bbgCode = bbg.Left(3);
+                            if (provider.TryGet(bbgCode, "BBG", out var fs))
+                            {
+                                var monthYear = bbg.Substring(3, 2);
+                                var qCode = fs.CodeConversions["BBG"].Where(x => x.Value == bbgCode.ToUpper()).First().Key;
+                                var ibCode = fs.CodeConversions["IB"][qCode];
+                                return $"{ibCode}{monthYear}";
+                            }
+                        }
+                    }
+                    else //its an option
+                    {
+
+                    }
+                    break;
+                case "curncy":
+                    break;
+                case "equity":
+                    break;
+                case " index":
+                    break;
+
+            }
+
+            return null;
+        }
+
+        public static string Right(this string str, int n)
+        {
+            return str.Substring(str.Length - n, n);
+        }
+
+        public static string Left(this string str, int n)
+        {
+            return str.Substring(0, n);
+        }
+    }
+}
diff --git a/src/Qwack.Futures/FutureSettings.cs b/src/Qwack.Futures/FutureSettings.cs
@@ -30,6 +30,8 @@ public class FutureSettings
         public List<MarketShutRuleSet> MarketShutRules { get; set; }
         public List<DateTime> MarketShutRulesValidUntil { get; set; }
 
+        public Dictionary<string,Dictionary<string,string>> CodeConversions { get; set; }
+
         public double LotSize { get; set; }
         public double PriceMultiplier { get; set; }
         public double TickSize { get; set; }

diff --git a/src/Qwack.Futures/IFutureSettingsProvider.cs b/src/Qwack.Futures/IFutureSettingsProvider.cs
@@ -8,5 +8,7 @@ public interface IFutureSettingsProvider
     {
         FutureSettings this[string futureName] { get; }
         bool TryGet(string futureName, out FutureSettings futureSettings);
+
+        bool TryGet(string code, string codeProvider, out FutureSettings futureSettings);
     }
 }
diff --git a/src/Qwack.Providers/Json/FutureSettingsFromJson.cs b/src/Qwack.Providers/Json/FutureSettingsFromJson.cs
@@ -42,7 +42,7 @@ public FutureSettingsFromJson(ICalendarProvider calendarProvider, string fileNam
                     }
                 }
             }
-            catch(Exception ex)
+            catch (Exception ex)
             {
                 _logger.LogError(ex, "Error loading future settings from json");
             }
@@ -51,5 +51,15 @@ public FutureSettingsFromJson(ICalendarProvider calendarProvider, string fileNam
         public FutureSettings this[string futureName] => _allSettingsByName[futureName];
 
         public bool TryGet(string futureName, out FutureSettings futureSettings) => _allSettingsByName.TryGetValue(futureName, out futureSettings);
+
+        public bool TryGet(string code, string codeProvider, out FutureSettings futureSettings)
+        {
+            futureSettings = _allFutureSettings.FirstOrDefault(
+                x => x.CodeConversions != null &&
+                x.CodeConversions.TryGetValue(codeProvider, out var result) &&
+                result.Values.Contains(code));
+
+            return futureSettings != null; 
+        }
     }
 }
diff --git a/test/Qwack.Core.Tests/Qwack.Core.Tests.csproj b/test/Qwack.Core.Tests/Qwack.Core.Tests.csproj
@@ -14,17 +14,11 @@
     <DefineConstants>DEBUG;TRACE;RELEASE;NETCOREAPP;NETCOREAPP2_1</DefineConstants>
     <Optimize>false</Optimize>
   </PropertyGroup>
-  <ItemGroup>
-    <None Remove="futuresettings.json" />
-  </ItemGroup>
 
   <ItemGroup>
     <Content Include="..\..\data\Calendars.json">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
-    <Content Include="futuresettings.json">
-      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
-    </Content>
   </ItemGroup>
 
   <ItemGroup>
@@ -59,6 +53,9 @@
     <None Update="Currencies.json">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </None>
+    <None Update="futuresettings.json">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </None>
     <None Update="xunit.runner.json">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </None>