public RatesObj(RatesObj ratesObj, Decimal newValue)
{
Created = DateTime.Now;
Publisher = ratesObj.Publisher;
InstrumentId = ratesObj.InstrumentId;
Instrument = ratesObj.Instrument;
Currency = ratesObj.Currency;
Term = ratesObj.Term;
Rate1 = ratesObj.Rate1 + newValue;
Rate1Measure = ratesObj.Rate1Measure;
Rate1Quotes = ratesObj.Rate1Quotes;
if (ratesObj.Rate2 != null)
{
Rate2 = ratesObj.Rate2;
Rate2Measure = ratesObj.Rate2Measure;
Rate2Quotes = ratesObj.Rate2Quotes;
}
}
private void ProcessItem(Market market)
{
if (market?.Items1?[0] is YieldCurveValuation psv && psv.inputs != null)
{
int index = 0;
foreach (var asset in psv.inputs.instrumentSet.Items)
{
var item = new RatesObj(asset, psv.inputs.assetQuote[index]);
_qasBaseView.Add(new RatesObj(item, 0.0m));
_qasDefView.UpdateData(new ViewChangeNotification <RatesObj>
{
OldData = item,
NewData = item
});
index++;
}
}
}
private void OnTimedEvent(object source, EventArgs e)
{
var newValue = _rand.Next(-100, 101);
//1. Update the rates with a random adjustment
//
var value = Convert.ToDecimal(newValue) / 100000.0m;
var rateChangeList = new List <RatesObj>();
foreach (var asset in _qasBaseView)
{
var item = new RatesObj(asset, value);
rateChangeList.Add(item);
_qasDefView.UpdateData(new ViewChangeNotification <RatesObj>
{
OldData = item,
NewData = item
});
}
_loggerRef.Target.LogDebug("Update market data shifted by: {0} %", value * 100.0m);
//2. Publish the QuotedAssetSet to the cache.
//
var qasProperties = _curveProperties.Clone();
var curveName = qasProperties.GetValue <String>(CurveProp.CurveName);
var curveType = qasProperties.GetValue <String>(CurveProp.PricingStructureType);
var market = qasProperties.GetValue <String>(CurveProp.Market);//Use Market for real time.
var nameSpace = qasProperties.GetValue <String>(EnvironmentProp.NameSpace);
var itemName = FunctionProp.QuotedAssetSet + "." + market + "." + curveType + "." + curveName;
qasProperties.Set(EnvironmentProp.DataGroup, nameSpace + "." + FunctionProp.QuotedAssetSet);
qasProperties.Set(EnvironmentProp.Function, FunctionProp.QuotedAssetSet.ToString());
qasProperties.Set(CurveProp.BuildDateTime, DateTime.Now);
qasProperties.Set(CurveProp.UniqueIdentifier, itemName);
var assetIdentifiers = new List <String>();
foreach (var asset in rateChangeList)
{
assetIdentifiers.AddRange(asset.GetAssetIds());
}
var values = new List <Decimal>();
foreach (var asset in rateChangeList)
{
values.AddRange(asset.GetValues());
}
var measureTypes = new List <String>();
foreach (var asset in rateChangeList)
{
measureTypes.AddRange(asset.GetMeasureTypes());
}
var priceQuoteUnits = new List <String>();
foreach (var asset in rateChangeList)
{
priceQuoteUnits.AddRange(asset.GetPriceQuoteUnits());
}
var liveQAS = AssetHelper.Parse(assetIdentifiers.ToArray(), values.ToArray(), measureTypes.ToArray(), priceQuoteUnits.ToArray());
//TODO Populate the market data set.
_cache.SaveObject(liveQAS, nameSpace + "." + itemName, qasProperties, false, TimeSpan.FromDays(7));
_loggerRef.Target.LogDebug("Publish new market data at:{0}", DateTime.Now);
}
