ref_data.hpp

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#ifndef ISIMUD_EXCHANGES_MIT_COMMON_REF_DATA_HPP
#define ISIMUD_EXCHANGES_MIT_COMMON_REF_DATA_HPP
 
/******************************************************************************
** Copyright © 2016 by J.M.McGuiness, isimud@hussar.me.uk
**
** This library is free software; you can redistribute it and/or
** modify it under the terms of the GNU Lesser General Public
** License as published by the Free Software Foundation; either
** version 2.1 of the License, or (at your option) any later version.
**
** This library is distributed in the hope that it will be useful,
** but WITHOUT ANY WARRANTY; without even the implied warranty of
** MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
** Lesser General Public License for more details.
**
** You should have received a copy of the GNU Lesser General Public
** License along with this library; if not, write to the Free Software
** Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
*/
 
#include "types.hpp"
 
#include "../../common/isin.hpp"
 
#include "core/csv_iterator.hpp"
#include "core/line_iterator.hpp"
#include "core/ttypes.hpp"
 
#include <boost/lexical_cast.hpp>
#include <boost/mpl/assert.hpp>
 
#include <functional>
#include <sstream>
#include <unordered_map>
 
namespace isimud { namespace ISIMUD_VER_NAMESPACE { namespace exchanges { namespace MIT { namespace common {
 
/// Structures for encapsulating the MIT reference-data details.
/**
   From Section 2.3 "Reference Data" of <a href="https://www.londonstockexchange.com/products-and-services/millennium-exchange/millennium-exchange-migration/mit301issue10.pdf">"London Stock Exchange - MIT301 - Guide to Market Data Services - Issue 10.14 February 2015"</a>.
*/
class ref_data {
private:
   struct MF_Record;
 
public:
   /**
      From Section 2.2 "Instrument Identification"
   */
   struct security_id_key {
      using element_type=exchanges::common::ISIN_t;
 
      const element_type isin_;
 
      explicit constexpr security_id_key(element_type const &isin) noexcept(true);
      explicit security_id_key(MF_Record const &) noexcept(true);
 
      bool operator==(security_id_key const &sik) const noexcept(true);
      bool operator<(security_id_key const &sik) const noexcept(true);
 
      std::string to_string() const noexcept(false);
   };
 
private:
   struct hash_security_id_key {
      using element_type=std::uint64_t;
 
      BOOST_MPL_ASSERT_RELATION(sizeof(security_id_key::element_type)/2, <=, sizeof(element_type));
 
      /**
         \todo Need to check the quality of this hash operator.
      */
      element_type operator()(security_id_key const sik) const noexcept/* (true) - Bug in clang, so comment out. */;
   };
 
public:
   /// Convert from a security_id_key to a common::SecurityID_t.
   using lookup_instrument_id_t=std::unordered_map<security_id_key, exchanges::MIT::common::SecurityID_t, hash_security_id_key>;
   /// Convert from a common::SecurityID_t to a security_id_key.
   using lookup_isin_t=std::unordered_map<common::SecurityID_t, security_id_key>;
   enum : std::size_t {
      instrument_id_field=0,
      isin_field=5
   };
   BOOST_MPL_ASSERT_RELATION(instrument_id_field, <, isin_field);
 
   /// Read the reference data from the input stream.
   /**
      The reference data should be in the format specified in <a href="http://www.londonstockexchange.com/products-and-services/millennium-exchange/millennium-exchange-migration/mit401.pdf">MIT401 - MILLENNIUM EXCHANGE - Guide to Reference Data Services - Issue 11.3 - 24 September 2013</a>.
 
      \param   is The input std::istream that contains the reference data that should be in a restricted CSV format, with no comments, no internal white space, not escaping nor escaped commas.
   */
   explicit ref_data(std::istream &is) noexcept(false);
 
   /**
      \return  Const-accessor to the contained collection of security_id_key to common::SecurityID_t. Intra-day updates are not allowed via this method.
   */
   /**
      \return  Const-accessor to the contained collection of common::SecurityID_t to security_id_key. Intra-day updates are not allowed via this method.
   */
   lookup_instrument_id_t const &lookup_instrument_id() const noexcept(true) {
      return lookup_instrument_id_;
   }
   lookup_isin_t const &lookup_isin() const noexcept(true) {
      return lookup_isin_;
   }
 
   std::string to_string() const noexcept(false);
 
private:
   /**
      From section 2.3 "Reference Data".
   */
   struct MF_Record {
      common::SecurityID_t instrument;
      exchanges::common::ISIN_t isin;
   };
 
   lookup_instrument_id_t lookup_instrument_id_;
   lookup_isin_t lookup_isin_;
};
 
std::ostream &
operator<<(std::ostream &is, ref_data::security_id_key const &sik) noexcept(false);
std::ostream &
operator<<(std::ostream &is, ref_data const &rd) noexcept(false);
 
} } } } }
 
#include "ref_data_impl.hpp"
 
#endif