protected static void PrintMarginCollateral(MarginCollateralDTO marginCollateral)
{
Console.WriteLine(string.Format(" Firm={0} Collateral={1} PendingCollateral={2} PriorIM={3} IMToday={4} IM Req.={5} VM Req.={6} Status={7}",
marginCollateral.Firm,
marginCollateral.Collateral.ToString("0.##"),
marginCollateral.PendingCollateral.HasValue ? marginCollateral.PendingCollateral.Value.ToString("0.##") : "-",
marginCollateral.PriorIM.ToString("0.##"),
marginCollateral.IMToday.HasValue ? marginCollateral.IMToday.Value.ToString("0.##") : "-",
marginCollateral.IMRequirement.HasValue ? marginCollateral.IMRequirement.Value.ToString("0.##") : "-",
marginCollateral.VMRequirement.HasValue ? marginCollateral.VMRequirement.Value.ToString("0.##") : "-",
marginCollateral.MarginCall));
}
static void Main(string[] args)
{
string positionsCSV = ConfigurationManager.AppSettings["PositionsFile"];
string tradesCSV = ConfigurationManager.AppSettings["TodayTrades"];
PositionsCSVDTO positionsDTO = PositionsLoader.GetPositions(positionsCSV);
List <TradeDTO> todayTrades = ExecutionsLoader.GetTrades(tradesCSV);
ILogSource Logger = new PerDayFileLogSource(Directory.GetCurrentDirectory() + "\\Log", Directory.GetCurrentDirectory() + "\\Log\\Backup")
{
FilePattern = "Log.{0:yyyy-MM-dd}.log",
DeleteDays = 20
};
MarginCollateralCalculator calc = new MarginCollateralCalculator(pSecurities: positionsDTO.GetSecurityMasterRecords(),
pTodayDSPs: positionsDTO.GetTodayDailySettlementPrice(),
pPrevDSPs: positionsDTO.GetYesterdayDailySettlementPrice(),
pConfig: GetConfig(),
pLogger: Logger);
Console.WriteLine("===================== MARGIN/COLLATERAL grid ===================== ");
foreach (string firm in positionsDTO.FirmPositions.Keys)
{
List <TradeDTO> firmTrades = todayTrades.Where(x => x.FirmId == firm).ToList();
MarginCollateralDTO marginCollateral = calc.CalculateMargin(firmId: firm, todayCollateral: 0, todayPositions: positionsDTO.FirmPositions[firm], todayTrades: firmTrades);
PrintMarginCollateral(marginCollateral);
}
Console.ReadKey();
}
