public void Create_Custom_Instrument()
{
// Create a definition for the instrument
var swapDefinition = new InstrumentDefinition(
name: "10mm 5Y Fixed",
// The set of identifiers used for identifying the instrument
// e.g. for uploading transactions
identifiers: new Dictionary <string, InstrumentIdValue>
{
["ClientInternal"] = new InstrumentIdValue(value: "SW-1")
},
// The details for valuing the instrument
definition: new ExoticInstrument(
// Identifies which valuation engine to use
instrumentFormat: new InstrumentDefinitionFormat("CustomSource", "CustomFormat", "0.1.2"),
content: "<customFormat>upload in custom xml or JSON format</customFormat>",
instrumentType: LusidInstrument.InstrumentTypeEnum.ExoticInstrument
));
// create the swap
var createSwapResponse = _instrumentsApi.UpsertInstruments(new Dictionary <string, InstrumentDefinition>
{
["correlationId"] = swapDefinition
});
Assert.That(createSwapResponse.Failed, Is.Empty);
}
public void Load_Otc_Instrument_Transaction()
{
var effectiveDate = new DateTimeOffset(2018, 1, 1, 0, 0, 0, TimeSpan.Zero);
// create the portfolio
var portfolioCode = _testDataUtilities.CreateTransactionPortfolio(TestDataUtilities.TutorialScope);
// swap definition, this is uploaded in a client custom format
var swapDefinition = new InstrumentDefinition(
name: "10mm 5Y Fixed",
identifiers: new Dictionary <string, InstrumentIdValue>
{
["ClientInternal"] = new InstrumentIdValue(value: "SW-1")
},
definition: new ExoticInstrument(
instrumentFormat: new InstrumentDefinitionFormat("CustomSource", "CustomFormat", "0.1.2"),
content: "<customFormat>the definition of the swap uploaded in custom Xml or Json format. One would expect that it should contain the full custom swap detail.</customFormat>",
instrumentType: LusidInstrument.InstrumentTypeEnum.ExoticInstrument
));
// create the swap
var createSwapResponse = _instrumentsApi.UpsertInstruments(new Dictionary <string, InstrumentDefinition>
{
["correlationId"] = swapDefinition
});
var swapId = createSwapResponse.Values.Values.Select(i => i.LusidInstrumentId).FirstOrDefault();
// create the transaction request
var transaction = new TransactionRequest(
// unique transaction id
transactionId: Guid.NewGuid().ToString(),
// instruments must already exist in LUSID and have a valid LUSID instrument id
instrumentIdentifiers: new Dictionary <string, string>
{
[TestDataUtilities.LusidInstrumentIdentifier] = swapId
},
type: "Buy",
totalConsideration: new CurrencyAndAmount(0.0M, "GBP"),
transactionPrice: new TransactionPrice(0.0M),
transactionDate: effectiveDate,
settlementDate: effectiveDate,
units: 1,
source: "Custodian");
// add the transaction
_transactionPortfoliosApi.UpsertTransactions(TestDataUtilities.TutorialScope, portfolioCode, new List <TransactionRequest> {
transaction
});
// get the transaction
var transactions = _transactionPortfoliosApi.GetTransactions(TestDataUtilities.TutorialScope, portfolioCode);
Assert.That(transactions.Values, Has.Count.EqualTo(1));
Assert.That(transactions.Values[0].TransactionId, Is.EqualTo(transaction.TransactionId));
Assert.That(transactions.Values[0].InstrumentUid, Is.EqualTo(swapId));
}
private void SendInstrumentDefinition(InstrumentDefinitionRequest request, Instrument[] insts)
{
try {
var data = QBHelper.FilterInstrument(request, insts);
var definition = new InstrumentDefinition();
definition.Instruments = data;
definition.ProviderId = Id;
definition.RequestId = request.Id;
definition.TotalNum = data.Length;
EmitInstrumentDefinition(definition);
EmitInstrumentDefinitionEnd(request.Id, RequestResult.Completed, string.Empty);
}
catch (Exception ex) {
CancelInstrumentRequest(request, ex.Message);
}
}
private void UpsertOtcToLusid(LusidInstrument instrument, string name, string idUniqueToInstrument)
{
// PACKAGE instrument for upsert
var instrumentDefinition = new InstrumentDefinition(
name: name,
identifiers: new Dictionary <string, InstrumentIdValue>
{
["ClientInternal"] = new InstrumentIdValue(value: idUniqueToInstrument)
},
definition: instrument
);
// put instrument into Lusid
var response = _instrumentsApi.UpsertInstruments(new Dictionary <string, InstrumentDefinition>
{
["someId1"] = instrumentDefinition
});
// Check the response succeeded and has no errors.
Assert.That(response.Failed.Count, Is.EqualTo(0));
Assert.That(response.Values.Count, Is.EqualTo(1));
}
private void OnInstrumentDefinition(object sender, InstrumentDefinitionEventArgs args)
{
InstrumentDefinition definition = args.Definition;
if (definition.RequestId != this.requestId)
{
return;
}
this.instruments.AddRange((IEnumerable <Instrument>)definition.Instruments);
Gtk.Application.Invoke(delegate
{
if (definition.TotalNum <= 0)
{
return;
}
double num = (double)this.instruments.Count / (double)definition.TotalNum * 100.0;
if (num > 100.0)
{
num = 100.0;
}
// this.tsiProgress.Value = (int)num;
});
}
private void Dispatcher_InstrumentDefinition(object sender, InstrumentDefinitionEventArgs args)
{
InstrumentDefinition definition = args.Definition;
if (definition.RequestId != this.requestId)
{
return;
}
this.instruments.AddRange((IEnumerable <Instrument>)definition.Instruments);
this.InvokeAction((Action)(() =>
{
if (definition.TotalNum <= 0)
{
return;
}
double num = (double)this.instruments.Count / (double)definition.TotalNum * 100.0;
if (num > 100.0)
{
num = 100.0;
}
this.tsiProgress.Value = (int)num;
}));
}
private void ReturnInstrumentDefinition(InstrumentDefinitionRequest request)
{
Dictionary <string, List <string> > dict = new Dictionary <string, List <string> >();
List <Instrument> instruments = new List <Instrument>();
// 不知道这样能不能解决死锁的问题
List <InstrumentField> _instruments = new List <InstrumentField>(_dictInstruments.Values);
foreach (InstrumentField contract in _instruments)
{
SmartQuant.InstrumentType instrumentType = (SmartQuant.InstrumentType)contract.Type;
// filter by type
if (request.FilterType != null &&
request.FilterType != instrumentType)
{
continue;
}
// filter by exchange
if (request.FilterExchange != null && !contract.ExchangeID.StartsWith(request.FilterExchange, StringComparison.CurrentCultureIgnoreCase))
{
continue;
}
// filter by symbol
if (request.FilterSymbol != null &&
!contract.Symbol.StartsWith(request.FilterSymbol, StringComparison.CurrentCultureIgnoreCase))
{
continue;
}
Instrument instrument = null;
//if (UpdateInstrument)
//{
// instrument = framework.InstrumentManager.Get(contract.Symbol);
// //if (instrument != null)
// //{
// // AltId ai = instrument.AltId.Get(this.id);
// // if (ai != null)
// // {
// // instrument.AltId.Remove(ai);
// // }
// //}
//}
if (instrument == null)
{
instrument = new Instrument(instrumentType, contract.Symbol);
}
instrument.AltId.Add(new AltId(this.id, contract.InstrumentID, contract.ExchangeID));
instrument.PutCall = (SmartQuant.PutCall)contract.OptionsType;
instrument.Strike = contract.StrikePrice;
instrument.Exchange = contract.ExchangeID;
instrument.CurrencyId = CurrencyId.CNY;
instrument.TickSize = contract.PriceTick;
instrument.Factor = contract.VolumeMultiple;
double x = instrument.TickSize;
if (x > 0.000001)
{
int i = 0;
for (; x - (int)x != 0; ++i)
{
x = x * 10;
}
instrument.PriceFormat = string.Format("F{0}", i);
}
var description = new InstrumentJson();
description.InstrumentName = contract.InstrumentName();
description.ProductID = contract.ProductID;
description.Underlying = contract.UnderlyingInstrID;
instrument.Description = JsonConvert.SerializeObject(description, description.GetType(), null);
if (!string.IsNullOrWhiteSpace(contract.UnderlyingInstrID))
{
// 要求先导入标的合约，再导入期权，如果在这里生成会丢失合约信息
Instrument UnderlyingInstrID = framework.InstrumentManager.Get(contract.UnderlyingInstrID);
if (UnderlyingInstrID == null)
{
//xlog.Warn("合约:{0},存在标的物字段，请先导入标的物合约{1},导入后放在Parent属性中", contract.Symbol, contract.UnderlyingInstrID);
List <string> list = null;
if (!dict.TryGetValue(contract.UnderlyingInstrID, out list))
{
list = new List <string>();
dict.Add(contract.UnderlyingInstrID, list);
}
list.Add(contract.Symbol);
}
else
{
instrument.Legs.Add(new Leg(UnderlyingInstrID));
//= framework.InstrumentManager.Get(contract.UnderlyingInstrID);
}
}
if (contract.ExpireDate > 0)
{
int yyyy = contract.ExpireDate / 10000;
int MM = contract.ExpireDate % 10000 / 100;
int dd = contract.ExpireDate % 100;
// 居然有期权传回来的到期时间没有日
dd = Math.Max(dd, 1);
instrument.Maturity = new DateTime(yyyy, MM, dd);
}
//if (UpdateInstrument)
//{
// framework.InstrumentManager.Save(instrument);
//}
instruments.Add(instrument);
}
if (dict.Count > 0)
{
xlog.Warn("标的物合约必须先导入,然后再Request,衍生品合约的Legs才会有一条记录指向标的物");
foreach (var kv in dict)
{
xlog.Warn("错过的标的物合约:{0},错过的衍生品合约数量{1}", kv.Key, kv.Value.Count);
}
xlog.Warn("请将以上合约先导入");
xlog.Warn("如果在Request后列表中没有标的物合约，则需要手工添加");
}
instruments.Sort(SortInstrument);
//
InstrumentDefinition definition = new InstrumentDefinition();
definition.RequestId = request.Id;
definition.ProviderId = this.id;
definition.Instruments = instruments.ToArray();
definition.TotalNum = instruments.Count;
EmitInstrumentDefinition(definition);
//
InstrumentDefinitionEnd end = new InstrumentDefinitionEnd();
end.RequestId = request.Id;
end.Result = RequestResult.Completed;
end.Text = string.Format("{0:n0} instrument(s) found.", instruments.Count);
EmitInstrumentDefinitionEnd(end);
}
public OnInstrumentDefinition(InstrumentDefinition definition)
{
InstrumentDefinition = definition;
}
public OnInstrumentDefinition(InstrumentDefinition definition)
{
this.Definition = definition;
}
protected internal void EmitInstrumentDefinition(InstrumentDefinition definition)
{
OpenInstrumentQueue();
this.instrumentQueue.Enqueue(new OnInstrumentDefinition(definition));
}
public void OnInstrumentDefinition(InstrumentDefinition definition) => OnEvent(new OnInstrumentDefinition(definition));
public void OnInstrumentDefinition(InstrumentDefinition definition) => OnEvent(new OnInstrumentDefinition(definition));