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Added additional flexibility to CSVFeed
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Peter Dekkers
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May 23, 2023
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147 changes: 147 additions & 0 deletions
147
roboquant/src/main/kotlin/org/roboquant/feeds/csv/PriceParser.kt
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,147 @@ | ||
| /* | ||
| * Copyright 2020-2023 Neural Layer | ||
| * | ||
| * Licensed under the Apache License, Version 2.0 (the "License"); | ||
| * you may not use this file except in compliance with the License. | ||
| * You may obtain a copy of the License at | ||
| * | ||
| * https://www.apache.org/licenses/LICENSE-2.0 | ||
| * | ||
| * Unless required by applicable law or agreed to in writing, software | ||
| * distributed under the License is distributed on an "AS IS" BASIS, | ||
| * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. | ||
| * See the License for the specific language governing permissions and | ||
| * limitations under the License. | ||
| */ | ||
|
|
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| package org.roboquant.feeds.csv | ||
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| import org.roboquant.common.Asset | ||
| import org.roboquant.feeds.PriceAction | ||
| import org.roboquant.feeds.PriceBar | ||
| import org.roboquant.feeds.PriceQuote | ||
| import java.time.Instant | ||
|
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| /** | ||
| * Interface for time parsers that can use a config to support parsing logic | ||
| */ | ||
| fun interface PriceParser { | ||
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| fun init(header: List<String>, config: CSVConfig) {} | ||
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| /** | ||
| * Return an [Instant] given the provided [line] of strings and [asset] | ||
| */ | ||
| fun parse(line: List<String>, asset: Asset): PriceAction | ||
|
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| } | ||
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| /** | ||
| * Parse lines and create PriceBar | ||
| */ | ||
| class PriceBarParser(private var priceAdjust: Boolean = false) : PriceParser { | ||
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| private var open: Int = -1 | ||
| private var high: Int = -1 | ||
| private var low: Int = -1 | ||
| private var close: Int = -1 | ||
| private var volume: Int = -1 | ||
| private var adjustedClose: Int = -1 | ||
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| private fun validate() { | ||
| require(open != -1) { "No open-prices column" } | ||
| require(low != -1) { "No low-prices column found" } | ||
| require(high != -1) { "No high-prices column found" } | ||
| require(close != -1) { "No close-prices column found" } | ||
| if (priceAdjust) require(adjustedClose != -1) { | ||
| "No adjusted close prices column found" | ||
| } | ||
| } | ||
|
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| override fun init(header: List<String>, config: CSVConfig) { | ||
| this.priceAdjust = config.priceAdjust | ||
| val notCapital = Regex("[^A-Z]") | ||
| header.forEachIndexed { index, column -> | ||
| when (column.uppercase().replace(notCapital, "")) { | ||
| "OPEN" -> open = index | ||
| "HIGH" -> high = index | ||
| "LOW" -> low = index | ||
| "CLOSE" -> close = index | ||
| "ADJCLOSE" -> adjustedClose = index | ||
| "ADJUSTEDCLOSE" -> adjustedClose = index | ||
| "VOLUME" -> volume = index | ||
| } | ||
| } | ||
| validate() | ||
| } | ||
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| /** | ||
| * Return an [Instant] given the provided [line] of strings and [asset] | ||
| */ | ||
| override fun parse(line: List<String>, asset: Asset): PriceBar { | ||
| val volume = if (volume != -1) { | ||
| val str = line[volume] | ||
| if (str.isBlank()) Double.NaN else str.toDouble() | ||
| } else Double.NaN | ||
| val action = PriceBar( | ||
| asset, | ||
| line[open].toDouble(), | ||
| line[high].toDouble(), | ||
| line[low].toDouble(), | ||
| line[close].toDouble(), | ||
| volume | ||
| ) | ||
| if (priceAdjust) action.adjustClose(line[adjustedClose].toDouble()) | ||
| return action | ||
| } | ||
|
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| } | ||
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| /** | ||
| * Parse lines and create PriceBar | ||
| */ | ||
| class PriceQuoteParser : PriceParser { | ||
|
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| private var ask: Int = -1 | ||
| private var bid: Int = -1 | ||
| private var bidVolume: Int = -1 | ||
| private var askVolume: Int = -1 | ||
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| private fun validate() { | ||
| require(ask != -1) { "No ask-prices column" } | ||
| require(bid != -1) { "No bid-prices column found" } | ||
| } | ||
|
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| override fun init(header: List<String>, config: CSVConfig) { | ||
| val notCapital = Regex("[^A-Z]") | ||
| header.forEachIndexed { index, column -> | ||
| when (column.uppercase().replace(notCapital, "")) { | ||
| "ASK" -> ask = index | ||
| "BID" -> bid = index | ||
| "ASKVOLUME" -> askVolume = index | ||
| "BIDVOLUME" -> bidVolume = index | ||
| "ASKSIZE" -> askVolume = index | ||
| "BIDSIZE" -> bidVolume = index | ||
| } | ||
| } | ||
| validate() | ||
| } | ||
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| /** | ||
| * Return an [Instant] given the provided [line] of strings and [asset] | ||
| */ | ||
| override fun parse(line: List<String>, asset: Asset): PriceQuote { | ||
| val volume1 = if (askVolume != -1) line[askVolume].toDouble() else Double.NaN | ||
| val volume2 = if (bidVolume != -1) line[bidVolume].toDouble() else Double.NaN | ||
| return PriceQuote( | ||
| asset, | ||
| line[ask].toDouble(), | ||
| line[bid].toDouble(), | ||
| volume1, | ||
| volume2 | ||
| ) | ||
| } | ||
|
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||
| } | ||
|
|
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