R/TickStore.R

In alejandro-sotolongo/InvTools:

#' @import R6
#' @import readxl
#' @import dplyr
#' @export
TickStore <- R6::R6Class(
  classname = 'TickStore',
  public = list(
    data_lib = 'DATACENTRAL',  # data library, DataCentral is default
    meta = NULL,          # data.frame containing metadata, default is to read DataCentral xlsx
    data_store_path = NULL,    # path to read data time-series, default assumes txt files in Data Dump Files

    initialize = function(
      data_lib = 'DATACENTRAL',
      meta = NULL,
      data_store_path = NULL) {
      if (data_lib == 'DATACENTRAL') {
        if (is.null(meta)) {
          sht_vec <- readxl::excel_sheets(
            path = 'Q:/TEST/Data Source Excel File/Forefront Data Central.xlsx'
          )
          meta <- lapply(
            X = sht_vec,
            FUN = readxl::read_excel,
            path = 'Q:/TEST/Data Source Excel File/Forefront Data Central.xlsx'
          ) %>%
            do.call(what = 'bind_rows') %>%
            rename(
              'name' = 'Name',
              'forefront_id' = 'ForefrontID',
              'provider_id' = 'ProviderID',
              'data_provider' = 'DataProvider',
              'asset_type' = 'AssetType',
              'asset_class' = 'AssetClass',
              'country' = 'Country',
              'currency' = 'Currency',
              'maturity' = 'Maturity',
              'duration' = 'Duration',
              'benchmark' = 'Benchmark',
              'cme_asset' = 'CMEAsset',
              'mult' = 'Multiplier',
              'rf_net' = 'RiskFreeNet',
              'auto_correl' = 'Smooth',
              'data_type' = 'DataType',
              'freq' = 'Frequency',
              'constr_fnc' = 'ConstructFunction',
              'ext_meth' = 'ExtendMethod',
              'state' = 'State',
              'mgr_name' = 'ManagerName',
              'notice_period' = 'NoticePeriod',
              'liq' = 'Liquidity',
              'lock_up' = 'LockUp',
              'mgmt_fee' = 'ManagementFee',
              'perf_fee' = 'PerformanceFee',
              'main_strat' = 'MainStrategy',
              'sub_strat' = 'SubStrategy',
              'off_bench' = 'OfficialBenchmark',
              'aum' = 'AUM',
              'aum_date' = 'AUMDate',
              'contact_name' = 'ContactName',
              'contact_num' = 'ContactNumber',
              'contact_email' = 'ContactEmail',
              'mgr_address' = 'ManagerAddress',
              'auditor' = 'Auditor',
              'admin' = 'Administrator',
              'custodian' = 'Custodian',
              'pb' = 'PrimeBroker',
              'legal' = 'LegalConsultant'
            )
        }
        if (is.null(data_store_path)) {
          date_vec <- list.files('Q:/TEST/Data Dump Files') %>%
            sub(pattern = 'Data Files_', replacement = '') %>%
            as.Date(format = '%Y%m%d') %>%
            sort(decreasing = TRUE)
          data_store_path <- paste0(
            'Q:/TEST/Data Dump Files/Data Files_',
            format(date_vec[1], '%Y%m%d'),
            '/'
          )
        }
      }
      # next data library type goes here
      self$meta <- meta
      self$data_store_path <- data_store_path
    },

    getItem = function(key_id) {
      if (is.null(self$data_lib)) {
        stop('must set data_lib')
      }
      if (is.null(self$meta)) {
        stop('must set meta')
      }
      if (is.null(self$data_store_path)) {
        stop('must set data_store_path')
      }

      if (toupper(self$data_lib) == 'DATACENTRAL') {
        meta_datum <- self$meta %>%
          filter(toupper(provider_id) == toupper(key_id)) %>%
          filter(!is.na(provider_id))
        if (nrow(meta_datum) == 0) {
          stop(paste0(key_id, ' not found.'))
        }
        if (nrow(meta_datum) > 1) {
          warning('Multiple instances of ', key_id, ' found. Attempting to
          retrieve data for first instance.')
        }
        file_name <- paste0(
          self$data_store_path,
          meta_datum$forefront_id[1],
          '.txt'
        )
        time_series <- read.table(file_name)
        colnames(time_series) <- c('date', 'value')
        time_series$date <- as.Date(time_series$date, origin = '0000-01-01') - 1
      }
      # next library type goes here
      item <- list()
      item$meta <- meta_datum
      item$time_series <- time_series
      return(item)
    },

    genAsset = function(key_id, check_meta = TRUE, check_ts = TRUE) {
      item <- self$getItem(key_id)
      if (check_ts) {
        item <- self$checkTimeSeriesGap(item)
      }
      asset <- Asset$new(
        meta = item$meta,
        time_series = item$time_series,
        check_meta = check_meta
      )
      return(asset)
    },

    checkTimeSeriesGap = function(item) {
      gap <- switch(toupper(item$meta$freq),
                     D = 10,
                     W = 15,
                     M = 36,
                     Q = 108)
      date_delta <- item$time_series$date - lag(item$time_series$date, 1)
      gap_exists <- date_delta > gap
      gap_exists[1] <- FALSE
      if (sum(gap_exists) > 0) {
        first_gap <- max(gap_exists * 1:length(date_delta))
        item$time_series <- item$time_series[first_gap:nrow(item$time_series), ]
      }
      return(item)
    }
  )
)