Package com.illumon.modelfarm.fitterfarm.futures

Class FuturesFitDataManager<DATATYPE extends FuturesFitData>

java.lang.Object

com.illumon.modelfarm.fitterfarm.futures.FuturesFitDataManager<DATATYPE>

Type Parameters:

DATATYPE - data type

All Implemented Interfaces:

RowDataManager<FitScope,DATATYPE>

public class FuturesFitDataManager<DATATYPE extends FuturesFitData>
extends Object
implements RowDataManager<FitScope,DATATYPE>

Utility for accessing and querying futures fit data contained in a dynamic table.

Nested Class Summary

Nested classes/interfaces inherited from interface com.illumon.modelfarm.RowDataManager

RowDataManager.LoadExtraColumns<DATATYPE>

Field Summary

Fields

Modifier and Type	Field	Description
protected ColumnSource	csFitGroup
protected ColumnSource	csFutureAskGaps
protected ColumnSource	csFutureAsks
protected ColumnSource	csFutureAskSizes
protected ColumnSource	csFutureBidGaps
protected ColumnSource	csFutureBids
protected ColumnSource	csFutureBidSizes
protected ColumnSource	csFutureExpirations
protected ColumnSource	csFutureIds
protected ColumnSource	csFutureLasts
protected ColumnSource	csFutureSyms
protected ColumnSource	csOptionExerciseTypes
protected ColumnSource	csOptionExpirations
protected ColumnSource	csOptionIds
protected ColumnSource	csOptionPayoffTypes
protected ColumnSource	csOptionRoots
protected ColumnSource	csOptionSettlementTypes
protected ColumnSource	csOptionStrikes
protected ColumnSource	csOptionSyms
protected ColumnSource	csTimestamp
protected ColumnSource	csUnderlyingFutureIds
protected ColumnSource	csUnderlyingId
protected ColumnSource	csUnderlyingSym
protected ColumnSource	csYieldCurveDates
protected ColumnSource	csYieldCurveRates

Constructor Summary

Constructors

Constructor	Description
FuturesFitDataManager(Supplier<DATATYPE> newFitData, RowDataManager.LoadExtraColumns<DATATYPE> loadFitDataExtraColumns, DynamicTable data)	Create a multithreaded resource to fit a derivative model's parameters for futures.

Method Summary

Modifier and Type	Method	Description
void	loadData(DATATYPE fitData, long index, boolean usePrev)	Populates a data object with data from a table row.
DATATYPE	newData()	Creates a new data instance.
DynamicTable	table()	Gets the source table.
FitScope	uniqueIdCurrent(long index)	Gets the current unique identifier value for a row.
FitScope	uniqueIdPrev(long index)	Gets the previous unique identifier value for a row.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Details

csFitGroup

protected final ColumnSource csFitGroup

csTimestamp

protected final ColumnSource csTimestamp

csUnderlyingId

protected final ColumnSource csUnderlyingId

csUnderlyingSym

protected final ColumnSource csUnderlyingSym

csFutureIds

protected final ColumnSource csFutureIds

csFutureSyms

protected final ColumnSource csFutureSyms

csFutureExpirations

protected final ColumnSource csFutureExpirations

csFutureBids

protected final ColumnSource csFutureBids

csFutureAsks

protected final ColumnSource csFutureAsks

csFutureLasts

protected final ColumnSource csFutureLasts

csFutureBidSizes

protected final ColumnSource csFutureBidSizes

csFutureAskSizes

protected final ColumnSource csFutureAskSizes

csFutureBidGaps

protected final ColumnSource csFutureBidGaps

csFutureAskGaps

protected final ColumnSource csFutureAskGaps

csUnderlyingFutureIds

protected final ColumnSource csUnderlyingFutureIds

csOptionIds

protected final ColumnSource csOptionIds

csOptionSyms

protected final ColumnSource csOptionSyms

csOptionRoots

protected final ColumnSource csOptionRoots

csOptionPayoffTypes

protected final ColumnSource csOptionPayoffTypes

csOptionExerciseTypes

protected final ColumnSource csOptionExerciseTypes

csOptionSettlementTypes

protected final ColumnSource csOptionSettlementTypes

csOptionExpirations

protected final ColumnSource csOptionExpirations

csOptionStrikes

protected final ColumnSource csOptionStrikes

csYieldCurveDates

protected final ColumnSource csYieldCurveDates

csYieldCurveRates

protected final ColumnSource csYieldCurveRates

Constructor Details

FuturesFitDataManager

public FuturesFitDataManager(Supplier<DATATYPE> newFitData, RowDataManager.LoadExtraColumns<DATATYPE> loadFitDataExtraColumns, DynamicTable data)

Create a multithreaded resource to fit a derivative model's parameters for futures.

The input table must have the following columns:

• Timestamp: DBDateTime
• FitGroup: String
• UnderlyingId: long
• UnderlyingSym: String
• FutureId: DbLongArray
• FutureSym: DbArray<String>
• FutureExpiration: DbArray<DBDateTime>
• FutureBid: DbDoubleArray
• FutureAsk: DbDoubleArray
• FutureLast: DbDoubleArray (optional)
• FutureBidSize: DbDoubleArray (optional)
• FutureAskSize: DbDoubleArray (optional)
• FutureBidGap: DbDoubleArray (optional)
• FutureAskGap: DbDoubleArray (optional)
• UnderlyingFutureId: DbLongArray
• OptionId: DbLongArray
• OptionSym: DbArray<String>
• OptionRoot: DbArray<String> (optional)
• OptionPayoffType: DbArray<String>
• OptionExerciseType: DbArray<String>
• OptionExpiration: DbArray<DBDateTime>
• OptionStrike: DbDoubleArray
• YieldCurveDate: DbArray<DBDateTime>
• YieldCurveRate: DbArray<DBDateTime>

Parameters:

newFitData - function to create a new FitData of the proper type.

loadFitDataExtraColumns - function to parse the data at a specific table index and load it into the FitData.

data - data for fitting the option model.

Method Details

table

public DynamicTable table()

Description copied from interface: RowDataManager

Gets the source table.

Specified by:

table in interface RowDataManager<FitScope,DATATYPE extends FuturesFitData>

Returns:

source table.

newData

public DATATYPE newData()

Description copied from interface: RowDataManager

Creates a new data instance.

Specified by:

newData in interface RowDataManager<FitScope,DATATYPE extends FuturesFitData>

Returns:

new data instance.

uniqueIdCurrent

public FitScope uniqueIdCurrent(long index)

Description copied from interface: RowDataManager

Gets the current unique identifier value for a row.

This function should only be called during an update loop or while holding the LTM lock.

Specified by:

uniqueIdCurrent in interface RowDataManager<FitScope,DATATYPE extends FuturesFitData>

Parameters:

index - table row index.

Returns:

current unique identifier for a row.

uniqueIdPrev

public FitScope uniqueIdPrev(long index)

Description copied from interface: RowDataManager

Gets the previous unique identifier value for a row. One column of each table is designated as a unique identifier for data rows.

This function should only be called during an update loop or while holding the LTM lock.

Specified by:

uniqueIdPrev in interface RowDataManager<FitScope,DATATYPE extends FuturesFitData>

Parameters:

index - table row index.

Returns:

previous underlying id.

loadData

public void loadData(DATATYPE fitData, long index, boolean usePrev)

Description copied from interface: RowDataManager

Populates a data object with data from a table row.

This method should be called while the LTM lock is held. This can occur either during the update loop or the LTM lock can be acquired outside the update loop. If the LTM lock is not held, the loaded data can be inconsistent or corrupt.

Specified by:

loadData in interface RowDataManager<FitScope,DATATYPE extends FuturesFitData>

Parameters:

fitData - data structure to populate

index - table index of the row to load data from

usePrev - use data from the previous table update