#!/usr/bin/perl

#######################################################
#
# Creates Arca NBBO dataset for analysis to test side
# inference method
#
# Dale W.R. Rosenthal
# $Id: CreateArcaNBBODataset.pl,v 1.1 2008/03/26 19:33:01 dale Exp $
#######################################################

use strict;
use Getopt::Long;

my($quote_file);
GetOptions("quotefile=s" => \$quote_file);
die("usage: $0 -quotefile file\n") if !defined $quote_file;

Log("Starting $0");

LogLineStart("Reading in Russell 3000 members for 2004H2-2005H1");
open(RUSSELLFILE, "R3000.2004.csv") or
    die "Cannot read in Russell 3000 names!";
my @r3000_names = <RUSSELLFILE>;
close RUSSELLFILE;
chomp @r3000_names;
my %r3000_map = ();
@r3000_map{@r3000_names} = (1) x @r3000_names;
LogLineEnd();

ReportOutputHeader();

# Require files to be sorted in time order
my @months = qw(JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC);
my @month_nums = 1..12;
my %mon2mm = ();
$mon2mm{@months} = @month_nums;
my @quote_fields = qw(symbol insd_bid_pr insd_bid_size insd_ask_pr
		      insd_ask_size sequence);
my @prev_quote_fields = qw(insd_bid_pr insd_bid_size insd_ask_pr
			   insd_ask_size sequence);
my $lastquote = {};
my $lastquote_timeinseconds = 0;

my @qtfieldnames = OpenQuoteFileAndReadHeader($quote_file);

# initialize same seconds quote queue
my @samesecond_quotes = ();
while (my $lyne = <QTFILE>) {
    chomp $lyne;
    my(@fieldz) = split /,/, $lyne;
    my $qt = {};
    @$qt{@qtfieldnames} = @fieldz;

    # enqueue same second quote for vetted symbol
    if (@samesecond_quotes > 0 and
	$qt->{symbol} eq $samesecond_quotes[0]->{symbol} and
	$qt->{q_date} eq $samesecond_quotes[0]->{q_date} and
	$qt->{q_time} eq $samesecond_quotes[0]->{q_time}) {
	push @samesecond_quotes, $qt;
	next;
    }

    # print out enqueued (same second) quotes
    my $num_ss_quotes = scalar(@samesecond_quotes);
    if ($num_ss_quotes > 0) {
	my $i = 0;
	my($dd, $mon, $ccyy) =
	    unpack("a2a3a4", $samesecond_quotes[0]->{q_date});
	my $ccyymmdd = sprintf("$ccyy%02d$dd", $mon2mm{$mon});
	my($hh, $mm, $ss) = split /:/, $samesecond_quotes[0]->{q_time};
	while (my $quote = shift @samesecond_quotes) {
	    if ($quote->{q_condition} eq "") {
		$i++;
		next;
	    }

	    my $time_in_seconds =
		($hh*60 + $mm)*60 + $ss + $i/$num_ss_quotes;
	    print(STDOUT "$ccyymmdd,$time_in_seconds,",
		  join(",", @$quote{@quote_fields}));
	    print(STDOUT ",$lastquote_timeinseconds,",
		  join(",", @$lastquote{@prev_quote_fields}), "\n");
	    $lastquote = $quote;
	    $lastquote_timeinseconds = $time_in_seconds;
	    $i++;
	}
    }

    if ($lastquote->{symbol} ne $qt->{symbol}) {
	LogLineEnd();
	if (exists $r3000_map{$qt->{symbol}}) {
	    LogLineStart("Processing $qt->{symbol}, $qt->{q_date}: ");
	} else {
	    LogLineStart("Skipping $qt->{symbol}, $qt->{q_date}: ");
	}
	$lastquote = $qt;
	my @fields2zero =
	    qw(insd_bid_pr insd_bid_size insd_ask_pr insd_ask_size);
	@$lastquote{@fields2zero} = (0) x @fields2zero;
	$lastquote_timeinseconds = 0;
    }

    next if !exists $r3000_map{$qt->{symbol}};
    push @samesecond_quotes, $qt;
}
close QTFILE;
LogLineEnd();


Log("Stopping $0");
exit 0;


sub Log {
    my($message) = @_;
    my($ss, $mm, $hh, $dd, $mo, $yr) = localtime();
    my $timestamp = sprintf("%4d%02d%02d %02d:%02d:%02d", $yr+1900,
			    $mo+1, $dd, $hh, $mm, $ss);
    print(STDERR "$timestamp: $message\n");
}


sub LogLineStart {
    my($message) = @_;
    my($ss, $mm, $hh, $dd, $mo, $yr) = localtime();
    my $timestamp = sprintf("%4d%02d%02d %02d:%02d:%02d", $yr+1900,
			    $mo+1, $dd, $hh, $mm, $ss);
    print(STDERR "$timestamp: $message");
}
sub LogLineAppend {
    my($message) = @_;
    print(STDERR "$message");
}
sub LogLineEnd {
    print(STDERR "\n");
}


sub ReportOutputHeader {
  my $head = join(",",
		  qw(date timeseconds symbol bid bidsz ask asksz seqno
		     prev_timeseconds prev_bid prev_bidsz prev_ask
		     prev_asksz prev_seqno));
  print STDOUT "$head\n";
}


sub OpenQuoteFileAndReadHeader {
  my($quote_file) = @_;

  # Get header info from the quotes file
  if (!open(QTFILE, $quote_file)) {
    Log("Cannot open quote file '$quote_file'!");
    exit -1;
  }
  my $qtheader = <QTFILE>;
  chomp $qtheader;
  my @qtfieldnames = split /,/, $qtheader;

  return @qtfieldnames;
}


sub PrimaryExchange {
    my($symbol) = @_;

    my @amex_names = qw(AFP AVD AVN AX BCP BHL BIO BL BMI CAC
			CAS CHC COI CPD CTO CUB DAR DFC DHB DHC
			END FIZ GRC GSX GTE GW HH HT HTC IMA IVX
			KFX LB LGN LNG MIX MLP MSS MWP NBY NHC
			NHR NVR OHB OMR PDC PGC PRK PRZ PSB RIV
			SEB SJW STB TBV TDS TIV TKO TMP TPY TWW
			USM WFD WSC);
    my @nyse_multiclass = qw(BF.A BF.B CRD.A CRD.B FCE.A FCE.B FSL FSL.B
			     JW.A JW.B KV.A KV.B MOG.A MOG.B NWS NWSA VIA
			     VIA.B SQA.A SQA.B TRX TRX.B TRY TRY.B);

    my $primary_exchange;
    if (grep /^$symbol$/, @amex_names) {
	$primary_exchange = "A";
    } elsif (grep /^$symbol$/, @nyse_multiclass) {
	$primary_exchange = "N";
    } elsif (length($symbol) >= 4) {
	$primary_exchange = "T";
    } else {
	# only non-AMEX 1, 2, and 3-letter symbols left
	$primary_exchange = "N";
    }

    return $primary_exchange;
}


sub MarketOpen {
    my($date) = @_;
    # Currently, this is just a stub
    return "9:30:00";
}


sub MarketClose {
    my($date) = @_;
    # Currently, this is just a stub
    return "16:00:00";
}


sub Seconds2Time {
    my($seconds) = @_;
    my $hh = int($seconds / (60*60));
    $seconds -= $hh*60*60;
    my $mm = int($seconds / 60);
    $seconds -= $mm*60;
    return sprintf("$hh:%02d:%02.4f", $mm, $seconds);
}


sub min {
    my $min = $_[0];
    foreach my $val (@_) {
	$min = $val if $val < $min;
    }
    return $min;
}


sub max {
    my $max = $_[0];
    foreach my $val (@_) {
	$max = $val if $val > $max;
    }
    return $max;
}