public BearSpread(Position Leg1, Position Leg2)
{
Legs.Add(Leg1);
Legs.Add(Leg2);
Strategy = ComboStrategy.BearSpread;
if (VaildateSameSymbol() && VaildateBearSpread())
{
IsVaildated = true;
}
else
{
IsVaildated = false;
}
}
private void AddNewLeg(LegType Type, Connection C, ref SolutionLeg LegPrev, ref SolutionLeg Leg, double Time)
{
if (C is RConnection)
{
Type = LegType.Foot;
}
else if (C is TConnection)
{
Type = LegType.Transport;
}
else if (C is CConnection)
{
Type = LegType.Carpool;
}
LegPrev = Leg;
Leg = new SolutionLeg(Time, Type);
Legs.Add(Leg);
}
public HedgedPut(Position LegPut, Position LegSpot)
{
PosPut = LegPut;
PosSpot = LegSpot;
Legs.Add(LegPut);
Legs.Add(LegSpot);
Put = (Option)PosPut.Asset;
this.LoseType = LoseType.LimitedLose;
this.ProfitType = ProfitType.UnLimitedProfit;
if (VaildateSameSymbol() && VaildateHedgedPut())
{
IsVaildated = true;
}
else
{
IsVaildated = false;
}
}
public void StateLocationUpdate(Location location, Action legCompletedAction = null)
{
if (Current == null)
{
Current = new Leg(Car, DrivePath);
}
else if (Current.Completed)
{
if (legCompletedAction != null)
{
legCompletedAction.Invoke();
}
var legPath = Current.Save();
Legs.Add(Current);
Current.Dispose();
Current = new Leg(Car, DrivePath);
service.Run(ObdPid.PendingTroubleCodes);
}
Current.UpdateLocation(location);
}
public BearCollar(Position LegSpot, Position LegHigherK, Position LegLowerK)
{
PosSpot = LegSpot;
PosLowerK = LegLowerK;
PosHigherK = LegHigherK;
Legs.Add(LegSpot);
Legs.Add(LegHigherK);
Legs.Add(LegLowerK);
this.LoseType = LoseType.LimitedLose;
this.ProfitType = ProfitType.LimitedProfit;
if (VaildateSameSymbol() && VaildateBearCollar())
{
IsVaildated = true;
}
else
{
IsVaildated = false;
}
}
private void CalculateTrip()
{
for (var i = 0; i < Coordinates.Count; i++)
{
Legs.Add(new List <DirectionSteps>());
Distances.Add(new List <double>());
Durations.Add(new List <double>());
for (var j = 0; j < Coordinates.Count; j++)
{
Legs[i].Add(new DirectionSteps());
Distances[i].Add(0);
Durations[i].Add(0);
}
}
GetDistTable(0, 0);
BestPath = new List <int>();
NextSet = new List <int>();
BestTrip = MaxTripSentry;
var numActive = Coordinates.Count;
var numCombos = 1 << Coordinates.Count;
var c = new List <List <double> >();
var parent = new List <List <int> >();
for (var i = 0; i < numCombos; i++)
{
c.Add(new List <double>());
parent.Add(new List <int>());
for (var j = 0; j < numActive; ++j)
{
c[i].Add(0.0);
parent[i].Add(0);
}
}
int index;
for (var k = 1; k < numActive; ++k)
{
index = 1 + (1 << k);
c[index][k] = Durations[0][k];
}
for (var s = 3; s <= numActive; ++s)
{
for (var i = 0; i < numActive; ++i)
{
NextSet.Add(0);
}
index = NextSetOf(s);
while (index >= 0)
{
for (var k = 1; k < numActive; ++k)
{
if (NextSet[k] != 0)
{
var previousIndex = index - (1 << k);
c[index][k] = MaxTripSentry;
for (var m = 1; m < numActive; ++m)
{
if (NextSet[m] != 0 && m != k)
{
if (c[previousIndex][m] + Durations[m][k] < c[index][k])
{
c[index][k] = c[previousIndex][m] + Durations[m][k];
parent[index][k] = m;
}
}
}
}
}
index = NextSetOf(s);
}
}
for (var i = 0; i < numActive; ++i)
{
BestPath.Add(0);
}
index = (1 << numActive) - 1;
var currentNode = -1;
BestPath.Add(0);
for (var i = 1; i < numActive; ++i)
{
if (c[index][i] + Durations[i][0] < BestTrip)
{
BestTrip = c[index][i] + Durations[i][0];
currentNode = i;
}
}
BestPath[numActive - 1] = currentNode;
for (var i = numActive - 1; i > 0; --i)
{
currentNode = parent[index][currentNode];
index -= 1 << BestPath[i];
BestPath[i - 1] = currentNode;
}
}
private void CalculateTrip()
{
for (int i = 0; i < Coordinates.Count; i++)
{
Legs.Add(new List <DirectionSteps>());
Distances.Add(new List <double>());
Durations.Add(new List <double>());
for (int j = 0; j < Coordinates.Count; j++)
{
Legs[i].Add(new DirectionSteps());
Distances[i].Add(0);
Durations[i].Add(0);
}
}
GetDistTable(0, 0);
BestPath = new List <int>();
double minDistance = -1;
for (int i = 1; i < Coordinates.Count; i++)
{
List <int> coordinatesIndex = new List <int>();
for (int j = 1; (j < Coordinates.Count); j++)
{
if (j == i)
{
continue;
}
coordinatesIndex.Add(j);
}
var coordinatesIndexPermutation = GetPermutations(coordinatesIndex, coordinatesIndex.Count);
List <List <int> > listCoordinatesIndexPermutationComplete = new List <List <int> >();
foreach (var coordinateIndexPermutation in coordinatesIndexPermutation)
{
var coordinateIndexPermutationTemp = new List <int> {
0
};
coordinateIndexPermutationTemp.AddRange(coordinateIndexPermutation);
coordinateIndexPermutationTemp.Add(i);
listCoordinatesIndexPermutationComplete.Add(coordinateIndexPermutationTemp);
}
// get min
foreach (var coordinatesIndexPermutationComplete in listCoordinatesIndexPermutationComplete)
{
double pathDistance = 0;
for (int j = 0; j < coordinatesIndexPermutationComplete.Count - 1; j++)
{
pathDistance += Distances[coordinatesIndexPermutationComplete[j]][coordinatesIndexPermutationComplete[j + 1]];
}
if (minDistance < 0 || pathDistance < minDistance)
{
BestPath = coordinatesIndexPermutationComplete;
minDistance = pathDistance;
}
}
}
// get min of results is best path
}
public SecurityDefinition(Security security) : base(MessageType.SecurityDefinition)
{
MatchEventIndicator = MatchEventIndicator.LastMessage;
TotNumReports = 1;
SecurityUpdateAction = SecurityUpdateAction.Add;
LastUpdateTime = DateTime.UtcNow;
//ChannelId = security.ChannelId;
MarketSegmentId = security.MarketSegmentId;
Contract = security.Contract;
Id = security.Id;
IdSource = security.IdSource;
MaturityMonth = security.MaturityMonth;
Product = security.Product;
Group = security.Group;
//SecurityType = security.Type;
//SecuritySubType = security.StrategyType;
CfiCode = security.CfiCode;
PutOrCall = security.PutOrCall;
UnderlyingAssetClass = security.AssetClass;
Exchange = security.Exchange;
MDSecurityTradingStatus = security.TradingStatus;
StrikePrice = security.StrikePrice;
//StrikeCurrency = security.StrikeCurrency;
//Currency = security.Currency;
//SettlementCurrency = security.SettlementCurrency;
MinCabPrice = security.MinCabPrice;
UserDefinedInstrument = security.UserDefinedInstrument;
foreach (var u in security.Underlyings)
{
Underlyings.Add(new SecurityDefinitionUnderlying()
{
Symbol = u.Symbol,
SecurityId = u.Id,
SecurityIdSource = u.IdSource,
});
}
foreach (var l in security.Legs)
{
Legs.Add(new SecurityDefinitionLeg()
{
LegSecurityID = l.Security.Id,
LegSide = l.Side,
LegRatioQty = l.Quantity,
LegPrice = l.Price,
//LegOptionDelta = l.OptionDelta,
});
}
foreach (var f in security.FeedTypes)
{
MdFeedTypes.Add(new SecurityDefinitionFeedTypes()
{
MDFeedType = f.IncludesImplieds ? "GBX" : "GBI",
MarketDepth = f.Depth,
});
}
if (security.ActivationTime.HasValue)
{
Events.Add(new SecurityDefinitionEvent()
{
EventType = EventType.Activation,
EventTime = security.ActivationTime.Value,
});
}
if (security.ExpiryTime.HasValue)
{
Events.Add(new SecurityDefinitionEvent()
{
EventType = EventType.LastEligibleTradeDate,
EventTime = security.ExpiryTime.Value,
});
}
MatchAlgorithm = security.MatchAlgorithm;
foreach (var ltr in security.LotTypeRules)
{
LotTypeRules.Add(new SecurityDefinitionLotTypeRule()
{
LotType = ltr.LotType,
MinLotSize = ltr.MinLotSize,
});
}
MinTradeVol = security.MinOrderQuantity;
MaxTradeVol = security.MaxOrderQuantity;
MinPriceIncrement = security.TickSize;
MinPriceIncrementAmount = security.TickValue;
DisplayFactor = security.DisplayFactor;
PriceRatio = security.PriceRatio;
TickRule = security.TickRule;
MainFraction = security.MainFraction;
SubFraction = security.SubFraction;
PriceDisplayFormat = security.PriceDisplayFormat;
foreach (var ia in security.InstrumentAttributes)
{
InstAttribs.Add(new SecurityDefinitionInstrumentAttribute()
{
InstAttribType = ia.Type,
InstAttribValue = ia.Value,
});
}
ContractMultiplierUnit = security.ContractMultiplierUnit;
FlowScheduleType = security.FlowScheduleType;
//ContractMultiplier = security.ContractMultiplier;
//UnitOfMeasure = security.UnitOfMeasure;
UnitOfMeasureQty = security.UnitOfMeasureQuantity;
DecayQty = security.DecayQty;
DecayStartDate = security.DecayStartDate;
OriginalContractSize = security.OriginalContractSize;
TradingReferencePrice = security.TradingReferencePrice;
SettlementPriceType = security.SettlementPriceType;
TradingReferenceDate = security.TradingReferenceDate;
OpenInterest = security.OpenInterest;
ClearedVolume = security.ClearedVolume;
HighLimitPrice = security.HighLimitPrice;
LowLimitPrice = security.LowLimitPrice;
MaxPriceVariation = security.MaxPriceVariation;
}
public TestCase AddLeg(Symbol symbol, int quantity)
{
Legs.Add(new OptionPosition(symbol, quantity));
return(this);
}
public void AddLeg(OptionDetailImpl optionLeg)
{
Legs.Add(optionLeg);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="paymentCalendar"> </param>
/// <param name="capFloorFpML"></param>
/// <param name="basePartyReference"></param>
/// <param name="forecastRateInterpolation"></param>
/// <param name="nameSpace"></param>
/// <param name="fixingCalendar"> </param>
public CapFloorPricer(ILogger logger, ICoreCache cache, String nameSpace,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
CapFloor capFloorFpML, string basePartyReference, Boolean forecastRateInterpolation)
{
if (capFloorFpML == null)
{
return;
}
//AnalyticsModel = new SimpleIRSwapInstrumentAnalytic();
BusinessCentersResolver.ResolveBusinessCenters(capFloorFpML);
ForecastRateInterpolation = forecastRateInterpolation;
//We make the assumption that the termination date is the same for all legs..
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(capFloorFpML.capFloorStream.calculationPeriodDates);
if (paymentCalendar == null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableTerminationDate.dateAdjustments.businessCenters, nameSpace);
}
RiskMaturityDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableTerminationDate);
ProductType = ProductTypeSimpleEnum.CapFloor;
PaymentCurrencies = new List <string>();
//Resolve the payer
if (capFloorFpML.capFloorStream == null)
{
return;
}
var calculation = capFloorFpML.capFloorStream.calculationPeriodAmount.Item as Calculation;
var floatingRatecalculation = calculation?.Items[0] as FloatingRateCalculation;
if (floatingRatecalculation == null)
{
return;
}
if (floatingRatecalculation.capRateSchedule != null)
{
var schedule = floatingRatecalculation.capRateSchedule[0];
var buyerPartyReference = schedule.buyer.Value;
if (buyerPartyReference == PayerReceiverEnum.Receiver)
{
BuyerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
}
else
{
BuyerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
}
}
if (floatingRatecalculation.capRateSchedule == null && floatingRatecalculation.floorRateSchedule != null)
{
var schedule = floatingRatecalculation.floorRateSchedule[0];
var buyerPartyReference = schedule.buyer.Value;
if (buyerPartyReference == PayerReceiverEnum.Receiver)
{
BuyerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
}
else
{
BuyerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
}
}
BasePartyBuyer = basePartyReference == BuyerPartyReference;//TODO add in the calendar functionality.
//Set the id of the first stream. THe generator requires the flag: BasePartyPayer.
var capFloorLeg = new PriceableCapFloorStream(logger, cache, nameSpace, !BasePartyBuyer, capFloorFpML.capFloorStream, ForecastRateInterpolation, fixingCalendar, paymentCalendar);
Legs.Add(capFloorLeg);
//Add the currencies for the trade pricer.
if (!PaymentCurrencies.Contains(capFloorLeg.Currency.Value))
{
PaymentCurrencies.Add(capFloorLeg.Currency.Value);
}
if (capFloorFpML.additionalPayment != null)
{
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, capFloorFpML.additionalPayment, null);
foreach (var payment in capFloorFpML.additionalPayment)
{
if (!PaymentCurrencies.Contains(payment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(payment.paymentAmount.currency.Value);
}
}
}
}
private void ConstructLegs()
{
double Time = this.StartTime;
Connection C = null;
Connection C_prev = null;
LegType Type = LegType.Foot;
if (Modes == TravelMode.Car)
{
Type = LegType.Car;
}
SolutionLeg Leg = new SolutionLeg(StartTime, Type);
SolutionLeg LegPrev = Leg;
Legs.Add(Leg);
for (int i = 0; i < Connections.Count; ++i)
{
C = Connections[i];
if ((C is LConnection) && (i < Connections.Count - 1))
{
AddNewLeg(Type, Connections[i + 1], ref LegPrev, ref Leg, Time);
}
else if (Modes == TravelMode.Carpool)
{
double TTime;
TTime = C.GetTravelTime(Date, Time, Modes);
Leg.AddConnection(C, TTime, C.GetWaitingTime());
Time += TTime;
}
else
{
double TTime, TTimeWithWaitings;
TTime = C.GetTravelTime(Date, Time, Modes);
TTimeWithWaitings = TTime;
/* Remove waiting times from the single legs */
TTime -= C.GetWaitingTime();
if (TTime < 0)
{
//TODO in rare cases TTime is negative, unfortunately this is not deterministic. Instead to make the RP crash set to 0 the TTime for this connection.
TTime = 0;
//throw new Exception("negative time value");
}
Leg.AddConnection(C, TTime, C.GetWaitingTime());
//Leg.AddConnection(C, TTime);
TTime = TTimeWithWaitings;
Time += TTime;
/* If there are 2 adjacent TConnections, split them */
if ((i < Connections.Count - 1) && (Connections[i + 1] is TConnection))
{
//if (String.Compare(C.GetRouteId(), Connections[i + 1].GetRouteId()) != 0)
if ((String.Compare(C.GetRouteShortName(), Connections[i + 1].GetRouteShortName()) != 0) ||
(String.Compare(C.GetRouteLongName(), Connections[i + 1].GetRouteLongName()) != 0))
{
AddNewLeg(Type, Connections[i + 1], ref LegPrev, ref Leg, Time);
}
}
}
C_prev = C;
}
}
public void AddLeg(Leg leg)
{
leg.Request = this;
Legs.Add(leg);
}
