SaveTicksCsv.java

package org.cryptocoinpartners.module;

import java.io.FileWriter;
import java.io.IOException;
import java.text.SimpleDateFormat;
import java.util.ArrayList;
import java.util.Arrays;
import java.util.List;

import javax.inject.Inject;
import javax.inject.Singleton;

import org.apache.commons.configuration.Configuration;
import org.apache.commons.lang.StringUtils;
import org.cryptocoinpartners.esper.annotation.When;
import org.cryptocoinpartners.schema.Asset;
import org.cryptocoinpartners.schema.Book;
import org.cryptocoinpartners.schema.Market;
import org.cryptocoinpartners.schema.Offer;
import org.cryptocoinpartners.schema.Tick;
import org.slf4j.Logger;

import au.com.bytecode.opencsv.CSVWriter;

@SuppressWarnings("UnusedDeclaration")
@Singleton
public class SaveTicksCsv {

    public static List<String> headers = new ArrayList<>(Arrays.asList(new String[] { "listing", "exchange", "base", "quote", "time", "last", "vol" }));

    @Inject
    public SaveTicksCsv(Context context, Configuration config) {
        final String filename = config.getString("savetickscsv.filename");
        if (!StringUtils.isNotBlank(filename))
            throw new ConfigurationError("You must set the property savetickscsv.filename");
        allowNa = config.getBoolean("savetickscsv.na", false);
        String timeFormatStr = config.getString("savetickscsv.timeFormat", "yyMMddHHmmss");
        try {
            timeFormat = new SimpleDateFormat(timeFormatStr);
        } catch (NullPointerException e) {
            throw new ConfigurationError("The output date format must be specified in the property savetickscsv.timeFormat");
        } catch (IllegalArgumentException e) {
            throw new ConfigurationError("The format is invalid: savetickscsv.timeFormat=" + timeFormatStr + "\n" + e.getMessage());
        }
        bookDepth = config.getInt("savetickscsv.bookDepth", 100);
        for (int i = 0; i < bookDepth; i++) {
            int num = i + 1;
            headers.add("bidprice" + num);
            headers.add("bidvol" + num);
            headers.add("askprice" + num);
            headers.add("askvol" + num);
        }
        try {
            writer = new CSVWriter(new FileWriter(filename));
            String[] row = new String[headers.size()];
            writer.writeNext(headers.toArray(row));
            writer.flush();
        } catch (IOException e) {
            throw new ConfigurationError("Could not write file " + filename);
        }
    }

    @SuppressWarnings("ConstantConditions")
    @When("select * from Tick")
    public void saveTick(Tick t) {
        if (!allowNa) {
            if (t.getLastBook() == null)
                return;
        }

        final Market listing = t.getMarket();
        final String exchange = listing.getExchange().getSymbol();
        final Asset base = listing.getBase();
        final Asset quote = listing.getQuote();
        final String timeStr = timeFormat.format(t.getTime().toDate());
        if (t.getPriceCount() != null) {
            ArrayList<String> row = new ArrayList<>(Arrays.asList(listing.toString(), exchange, base.getSymbol(), quote.getSymbol(), timeStr,
                    String.valueOf(t.getPriceAsDouble()), String.valueOf(t.getVolumeAsDouble())));
            addBookToRow(t, row);
            writer.writeNext(row.toArray(new String[row.size()]));
            try {
                writer.flush();
            } catch (IOException e) {
                log.warn(e.getMessage(), e);
            }
        }
    }

    private void addBookToRow(Tick t, ArrayList<String> row) {
        Book book = t.getLastBook();
        List<Offer> bids = book.getBids();
        List<Offer> asks = book.getAsks();
        for (int i = 0; i < bookDepth; i++) {
            if (bids.size() > i) {
                Offer bid = bids.get(i);
                row.add(String.valueOf(bid.getPriceAsDouble()));
                row.add(String.valueOf(bid.getVolumeAsDouble()));
            } else {
                row.add("");
                row.add("");
            }
            if (asks.size() > i) {
                Offer ask = asks.get(i);
                row.add(String.valueOf(ask.getPriceAsDouble()));
                row.add(String.valueOf(ask.getVolumeAsDouble()));
            } else {
                row.add("");
                row.add("");
            }
        }
    }

    @Inject
    public Logger log;
    private final int bookDepth;
    private SimpleDateFormat timeFormat;
    private CSVWriter writer;
    private final boolean allowNa;
}