public async Task <IReadOnlyList <OvernightSwapRate> > GetOvernightSwapRatesAsync(IList <string> assetPairIds = null)
{
var products = (await _productsRepository.GetByProductsIdsAsync(assetPairIds)).ToDictionary(x => x.ProductId, v => v);
//If filter is empty we should get all products(asset pairs)
if (assetPairIds == null || !assetPairIds.Any())
{
assetPairIds = products.Keys.ToList();
}
var productTradingCurrencyMap = products.ToDictionary(x => x.Key, v => v.Value.TradingCurrency);
var tradingCurrencies =
(await _currenciesRepository.GetByIdsAsync(productTradingCurrencyMap.Values)).ToDictionary(x => x.Id, v => v);
var underlyings = products.Select(x => x.Value.UnderlyingMdsCode).Distinct()
.Select(_underlyingsCache.GetByMdsCode)
.ToDictionary(x => x.MdsCode, v => v);
var baseCurrenciesIds = underlyings.Values.Where(x => !string.IsNullOrEmpty(x.BaseCurrency))
.Select(x => x.BaseCurrency).Distinct();
var baseCurrencies =
(await _currenciesRepository.GetByIdsAsync(baseCurrenciesIds)).ToDictionary(x => x.Id, v => v);
var result = new List <OvernightSwapRate>();
foreach (var assetPairId in assetPairIds)
{
products.TryGetValue(assetPairId, out var product);
if (product == null)
{
_log.WriteWarning(nameof(RateSettingsService), nameof(GetOvernightSwapRatesAsync),
$"Missing product with id: {assetPairId} , default values will be used to create OvernightSwapRate");
result.Add(OvernightSwapRate.FromDefault(_defaultRateSettings.DefaultOvernightSwapSettings, assetPairId));
continue;
}
var productId = product.ProductId;
underlyings.TryGetValue(product.UnderlyingMdsCode, out var underlying);
var baseCurrencyId = underlying?.BaseCurrency;
var baseCurrency = string.IsNullOrEmpty(baseCurrencyId) ? null :
baseCurrencies.ContainsKey(baseCurrencyId) ? baseCurrencies[baseCurrencyId] : null;
var tradingCurrencyId = productTradingCurrencyMap[productId];
var tradingCurrency = tradingCurrencies[tradingCurrencyId];
var rate = new OvernightSwapRate
{
AssetPairId = productId,
VariableRateQuote = tradingCurrency.InterestRateMdsCode,
RepoSurchargePercent = underlying?.RepoSurchargePercent ?? _defaultRateSettings.DefaultOvernightSwapSettings.RepoSurchargePercent,
VariableRateBase = baseCurrency?.InterestRateMdsCode,
};
result.Add(rate);
}
return(result);
}
public async Task <List <Asset> > GetLegacyAssets(IEnumerable <string> productIds = null)
{
var products =
(await _productsRepository.GetByProductsIdsAsync(productIds))
.Where(x => x.IsStarted)
.ToDictionary(x => x.ProductId, v => v);
var brokerSettingsResponse = await _brokerSettingsApi.GetByIdAsync(_brokerId);
if (brokerSettingsResponse.ErrorCode != BrokerSettingsErrorCodesContract.None)
{
throw new InvalidOperationException($"Unexpected error code {brokerSettingsResponse.ErrorCode}, " +
$"while retrieving settings for broker id {_brokerId}");
}
var productTradingCurrencyMap = products.ToDictionary(x => x.Key, v => v.Value.TradingCurrency);
var productMarketSettingsMap = products.ToDictionary(x => x.Key, v => v.Value.Market);
var productTickFormulaMap = products.ToDictionary(x => x.Key, v => v.Value.TickFormula);
var productToCategoryMap = products.ToDictionary(x => x.Key, v => v.Value.Category);
var productAssetTypeIdMap = products.ToDictionary(x => x.Key, v => v.Value.AssetType);
var tradingCurrencies =
(await _currenciesRepository.GetByIdsAsync(productTradingCurrencyMap.Values.Distinct())).ToDictionary(x => x.Id, v => v);
var availableClientProfileSettingsDict =
(await _clientProfileSettingsRepository.GetAllAsync(string.Empty, productAssetTypeIdMap.Values.Distinct(), true))
.GroupBy(x => x.AssetTypeId)
.ToDictionary(x => x.Key, v => v.AsEnumerable());
var underlyings = products.Select(x => x.Value.UnderlyingMdsCode).Distinct()
.Select(_underlyingsCache.GetByMdsCode)
.ToDictionary(x => x.MdsCode, v => v);
var baseCurrenciesIds = underlyings.Values.Where(x => !string.IsNullOrEmpty(x.BaseCurrency))
.Select(x => x.BaseCurrency).Distinct();
var baseCurrencies =
(await _currenciesRepository.GetByIdsAsync(baseCurrenciesIds)).ToDictionary(x => x.Id, v => v);
var productCategories =
(await _productCategoriesRepository.GetByIdsAsync(productToCategoryMap.Values.Distinct())).ToDictionary(x => x.Id, v => v);
var productMarketSettings =
(await _marketSettingsRepository.GetByIdsAsync(productMarketSettingsMap.Values.Distinct())).ToDictionary(x => x.Id, v => v);
var productTickFormulas =
(await _tickFormulaRepository.GetByIdsAsync(productTickFormulaMap.Values.Distinct())).ToDictionary(x => x.Id, v => v);
var assetTypes = (await _assetTypesRepository.GetAllAsync()).ToDictionary(x => x.Id, v => v);
var result = new List <Asset>();
foreach (var product in products.Values)
{
var id = product.ProductId;
var asset = CreateEmptyAsset();
underlyings.TryGetValue(product.UnderlyingMdsCode, out var underlying);
var baseCurrencyId = underlying?.BaseCurrency;
var baseCurrency = string.IsNullOrEmpty(baseCurrencyId) ? null :
baseCurrencies.ContainsKey(baseCurrencyId) ? baseCurrencies[baseCurrencyId] : null;
if (underlying != null)
{
asset.SetAssetFieldsFromUnderlying(underlying);
}
else
{
_log.WriteWarning(nameof(LegacyAssetsService), nameof(GetLegacyAssets),
$"Missing underlying in cache for product with mdsCode:{product.UnderlyingMdsCode}");
}
asset.SetAssetFieldsFromProduct(product);
if (baseCurrency != null)
{
asset.SetAssetFieldsFromBaseCurrency(baseCurrency, _assetTypesWithZeroInterestRate);
}
asset.SetAssetFieldsFromTradingCurrency(tradingCurrencies[productTradingCurrencyMap[id]], _assetTypesWithZeroInterestRate);
if (availableClientProfileSettingsDict.TryGetValue(asset.Underlying.AssetType, out var clientProfileSettingsList))
{
var availableClientProfileSettingsForAssetType = clientProfileSettingsList.Select(x =>
x.ToClientProfileWithRate(product.GetMarginRate(x.Margin)));
asset.Underlying.AvailableClientProfiles.AddRange(availableClientProfileSettingsForAssetType);
}
asset.SetAssetFieldsFromCategory(productCategories[productToCategoryMap[id]]);
asset.SetAssetFieldsFromMarketSettings(productMarketSettings[productMarketSettingsMap[id]]);
asset.SetAssetFieldsFromTickFormula(productTickFormulas[productTickFormulaMap[id]]);
asset.SetAssetFieldsFromAssetType(assetTypes[productAssetTypeIdMap[id]]);
asset.SetDividendFactorFields(productMarketSettings[productMarketSettingsMap[id]],
brokerSettingsResponse.BrokerSettings,
product);
result.Add(asset);
}
return(result);
}
