/// <summary>
/// Sends a batch of commands to the server and processes the results.
/// </summary>
private static void SendBatch()
{
// Create a new web client that will serve as the connection point to the server.
WebClient webClient = new WebClient();
webClient.Timeout = TableLoader.timeout;
// Call the web services to execute the command batch.
remoteBatch.Merge(webClient.Execute(remoteBatch));
// Any error during the batch will terminate the execution of the remaining records in the data file.
if (remoteBatch.HasExceptions)
{
// Display each error on the console.
foreach (RemoteException remoteException in remoteBatch.Exceptions)
{
Console.WriteLine(remoteException.Message);
}
// This will signal the error exit from this loader.
hasErrors = true;
}
// Clearing out the batch indicates that a new header should be created for the next set of commands.
remoteBatch = null;
remoteTransaction = null;
remoteAssembly = null;
remoteType = null;
}
public void PrintTransaction(RemoteTransaction transaction)
{
Console.WriteLine("CarId : " + transaction.CarId);
Console.WriteLine("GroupId : " + transaction.GroupId);
Console.WriteLine("CarType : " + transaction.CarType);
Console.WriteLine("Speed : " + transaction.Speed);
Console.WriteLine("Timestamp: " + transaction.Timestamp);
}
/// <summary>
/// Load and execute a command batch.
/// </summary>
/// <param name="rootNode">The root node of the Xml Data structure that contains the command.</param>
private static void LoadCommand(XmlNode rootNode)
{
// Read each of the transactions and send them to the server.
foreach (XmlNode transactionNode in rootNode.SelectNodes("transaction"))
{
// Ignore Comment Nodes.
if (transactionNode.NodeType == XmlNodeType.Comment)
{
continue;
}
// Each transaction in the batch is handled as a unit. That is, everything between the start and end <Transaction>
// tags will be executed or rolled back as a unit.
remoteBatch = new RemoteBatch();
remoteTransaction = remoteBatch.Transactions.Add();
remoteAssembly = null;
remoteType = null;
// The <Assembly> tag specifies the name of an assembly where the object and methods are found.
foreach (XmlNode assemblyNode in transactionNode.SelectNodes("assembly"))
{
LoadAssembly(assemblyNode, 0);
}
// Once the entire transaction has been loaded, send it off to the server.
SendBatch();
}
// If the batch file doesn't contain explicit transactions, then implicit ones are assumed and the processing of the file
// continues with the 'assembly' nodes.
XmlNodeList assemblyNodes = rootNode.SelectNodes("assembly");
if (assemblyNodes.Count != 0)
{
// This will tell the 'LoadAssembly' to determine the size of the batch from the number of records processed.
remoteBatch = null;
remoteTransaction = null;
remoteAssembly = null;
remoteType = null;
// If an assembly is included outside of a Transaction, then the transaction is implicit and the size of the
// transaction is the 'batchSize' parameter.
foreach (XmlNode assemblyNode in assemblyNodes)
{
// Load the assebly node ninto the batch.
LoadAssembly(assemblyNode, batchSize);
// There will be records in the batch when the above method returns (unless there are exactly as many records
// in the batch as the batch size). This will send the remaining records to the server.
if (remoteBatch != null)
{
SendBatch();
}
}
}
}
/// <summary>
/// Returns a set of orders that will achieve the targets specified by the model.
/// </summary>
/// <param name="accountRow">The account or parent account to be rebalanced.</param>
/// <param name="modelRow">The target percentages to use for rebalancing.</param>
/// <returns>A Dataset of new, updated and deleted orders.</returns>
public static RemoteBatch Rebalance(ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// The orders to insert, update and delete orders to achieve the target percentages will be put in this DataSet.
RemoteBatch remoteBatch = new RemoteBatch();
RemoteTransaction remoteTransaction = remoteBatch.Transactions.Add();
// Rebalance the parent account and all it's children.
SelectedSecurity.RecurseAccounts(remoteBatch, remoteTransaction, accountRow, modelRow);
// This is the sucessful result of rebalancing.
return(remoteBatch);
}
/// <summary>
/// Returns a set of orders that will achieve the targets specified by the model.
/// </summary>
/// <param name="accountRow">The account or parent account to be rebalanced.</param>
/// <param name="modelRow">The target percentages to use for rebalancing.</param>
/// <returns>A Dataset of new, updated and deleted orders.</returns>
public static RemoteBatch Rebalance(ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// Make sure the scheme still exists in the in-memory database. We need it to rebalance the appraisal.
ClientMarketData.SchemeRow schemeRow;
if ((schemeRow = ClientMarketData.Scheme.FindBySchemeId(modelRow.SchemeId)) == null)
{
throw new ArgumentException("Scheme doesn't exist in the ClientMarketData", modelRow.SchemeId.ToString());
}
// The final result of this method is a command batch that can be sent to the server.
RemoteBatch remoteBatch = new RemoteBatch();
RemoteTransaction remoteTransaction = remoteBatch.Transactions.Add();
// Rebalance the parent account and all it's children.
RecurseAccounts(remoteBatch, remoteTransaction, accountRow, modelRow, schemeRow);
// The sucessful result of rebalancing.
return(remoteBatch);
}
/// <summary>
/// Returns a set of orders that will achieve the targets specified by the model.
/// </summary>
/// <param name="accountRow">The account or parent account to be rebalanced.</param>
/// <param name="modelRow">The target percentages to use for rebalancing.</param>
/// <returns>A Dataset of new, updated and deleted orders.</returns>
public static RemoteBatch Rebalance(ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// The orders to insert, update and delete orders to achieve the target percentages will be put in this
// DataSet.
RemoteBatch remoteBatch = new RemoteBatch();
RemoteTransaction remoteTransaction = remoteBatch.Transactions.Add();
// The outline of the appraisal will be needed to make calculations based on a position, that is a security,
// account, position type combination. Note that we're also including all the model securities in the
// outline. This triggers a rebalance if a security exists in the model, but doesn't exist yet in the
// appraisal.
AppraisalSet appraisalSet = new Appraisal(accountRow, modelRow, true);
// Rebalance the parent account and all it's children.
Security.RecurseAccounts(remoteBatch, remoteTransaction, appraisalSet, accountRow, modelRow);
// This is the sucessful result of rebalancing.
return(remoteBatch);
}
public void Send(RemoteTransaction transaction, String group)
{
th = TrafficHandler.getInstance();
var factory = new ConnectionFactory();
factory.Uri = "amqp://*****:*****@rabbit.binna.eu/"; //Insert your own user and password
using (var connection = factory.CreateConnection())
using (var channel = connection.CreateModel())
{
var transactionString = JsonConvert.SerializeObject(transaction); //Awesome function
var properties = channel.CreateBasicProperties();
properties.Persistent = true;
channel.BasicPublish(exchange: "car.production", //Choose between bank.development and bank.production depending of the queue (e.g. 70 is production, 71 is development)
routingKey: group, //This relates to the queue name of the receiver bank
basicProperties: properties, //Set the properties to persistent, otherwise the messages will get lost if the server restarts
body: GetBytes(transactionString));
}
}
/// <summary>
/// Recursively creates instructions to delete proposed order of the given position.
/// </summary>
/// <param name="remoteBatch">The object type containing the method to delete the order relationship.</param>
/// <param name="remoteTransaction">Groups several commands into a unit for execution.</param>
/// <param name="accountRow">An account record, used to select proposed order records.</param>
private static void Delete(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
ClientMarketData.AccountRow accountRow, ClientMarketData.SecurityRow securityRow, int positionTypeCode)
{
// Run through each of the proposed orders in this account and create a record to have them deleted.
object[] key = new object[] { accountRow.AccountId, securityRow.SecurityId, positionTypeCode };
foreach (DataRowView dataRowView in
MarketData.ProposedOrder.UKProposedOrderAccountIdSecurityIdPositionTypeCode.FindRows(key))
{
// This is used to reference the current proposed order that matches the position criteria.
ClientMarketData.ProposedOrderRow proposedOrderRow = (ClientMarketData.ProposedOrderRow)dataRowView.Row;
// Child proposed orders aren't deleted directly, they can only be deleted when the parent is deleted. The best
// example of this is cash. An account can have both child cash (related to an equity trade) or parent cash (cash
// added directly to the account with no offsetting trade). If a reqest is made to delete cash, only the parent
// cash should be deleted. The account will appear to have a cash balance until the equity attached to the child
// cash is deleted.
if (!Relationship.IsChildProposedOrder(proposedOrderRow))
{
Delete(remoteBatch, remoteTransaction, proposedOrderRow);
}
}
}
/// <summary>
/// Creates a batch command to delete a proposed order and it's links.
/// </summary>
/// <param name="remoteBatch"></param>
/// <param name="remoteTransaction"></param>
/// <param name="parentProposedOrder"></param>
public static void Delete(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
ClientMarketData.ProposedOrderRow parentProposedOrder)
{
// These define the assembly and the types within those assemblies that will be used to create the proposed orders on
// the middle tier.
RemoteAssembly remoteAssembly = remoteBatch.Assemblies.Add("Service.Core");
RemoteType proposedOrderType = remoteAssembly.Types.Add("Shadows.WebService.Core.ProposedOrder");
RemoteType proposedOrderTreeType = remoteAssembly.Types.Add("Shadows.WebService.Core.ProposedOrderTree");
// Proposed orders have a hierarchy. For example, orders for equities will be linked to
foreach (ClientMarketData.ProposedOrderTreeRow proposedOrderTree in
parentProposedOrder.GetProposedOrderTreeRowsByFKProposedOrderProposedOrderTreeParentId())
{
// Create a command to delete the relationship between the parent and child.
RemoteMethod deleteRelation = proposedOrderTreeType.Methods.Add("Delete");
deleteRelation.Transaction = remoteTransaction;
deleteRelation.Parameters.Add("rowVersion", proposedOrderTree.RowVersion);
deleteRelation.Parameters.Add("parentId", proposedOrderTree.ParentId);
deleteRelation.Parameters.Add("childId", proposedOrderTree.ChildId);
// This relatioship will give us access to the child proposed order.
ClientMarketData.ProposedOrderRow childProposedOrder =
proposedOrderTree.ProposedOrderRowByFKProposedOrderProposedOrderTreeChildId;
// Create a command to delete the child proposed order.
RemoteMethod deleteChild = proposedOrderType.Methods.Add("Delete");
deleteChild.Transaction = remoteTransaction;
deleteChild.Parameters.Add("rowVersion", childProposedOrder.RowVersion);
deleteChild.Parameters.Add("proposedOrderId", childProposedOrder.ProposedOrderId);
}
// Create a command to delete the parent proposed order.
RemoteMethod deleteParent = proposedOrderType.Methods.Add("Delete");
deleteParent.Transaction = remoteTransaction;
deleteParent.Parameters.Add("rowVersion", parentProposedOrder.RowVersion);
deleteParent.Parameters.Add("proposedOrderId", parentProposedOrder.ProposedOrderId);
}
/// <summary>
/// Load up an assembly section of a batch.
/// </summary>
/// <param name="assemblyNode"></param>
private static void LoadAssembly(XmlNode assemblyNode, int batchSize)
{
// Ignore Comment Nodes.
if (assemblyNode.NodeType == XmlNodeType.Comment)
{
return;
}
// Add an Assembly specifier to the batch. This essentially describes the DLL where the methods are found.
string assemblyName = assemblyNode.Attributes["name"].Value;
// Each assembly can have one or more Objects (or Types) which can be instantiated. The batch command
// processing can call static methods belonging to the instantiated object.
foreach (XmlNode typeNode in assemblyNode.SelectNodes("type"))
{
// Ignore Comment Nodes.
if (typeNode.NodeType == XmlNodeType.Comment)
{
continue;
}
// Loading the database involves creating a batch of commands and sending them off as a transaction.
// This gives the server a chance to pipeline a large chunk of processing, without completely locking
// up the server for the entire set of data. This will construct a header for the command batch which
// gives information about which assembly contains the class that is used to load the data.
string typeName = typeNode.Attributes["name"].Value;
// Attach each method and it's parameters to the command batch.
foreach (XmlNode methodNode in typeNode.SelectNodes("method"))
{
// Ignore Comment Nodes.
if (methodNode.NodeType == XmlNodeType.Comment)
{
continue;
}
// The 'remoteBatch' will be cleared after it is sent to the server. Make sure a batch exists before adding
// methods and parameters to it.
if (remoteBatch == null)
{
// Loading the database involves creating a batch of commands and sending them off as a transaction. This
// gives the server a chance to pipeline a large chunk of processing, without completely locking up the
// server for the entire set of data. This will create a batch for the next bunch of commands.
remoteBatch = new RemoteBatch();
remoteTransaction = remoteBatch.Transactions.Add();
// This counts the number of records placed in the batch.
batchCounter = 0;
}
if (remoteAssembly == null || remoteAssembly.Name != assemblyName)
{
remoteAssembly = remoteBatch.Assemblies.Add(assemblyName);
}
if (remoteType == null || remoteType.Name != typeName)
{
remoteType = remoteAssembly.Types.Add(typeName);
}
// Each method is part of the transaction defined by the tagged outline structure of the input
// file.
RemoteMethod remoteMethod = remoteType.Methods.Add(methodNode.Attributes["name"].Value);
remoteMethod.Transaction = remoteTransaction;
// Load each of the parameters into the method structure.
foreach (XmlNode parameterNode in methodNode.ChildNodes)
{
// Ignore Comment Nodes.
if (parameterNode.NodeType == XmlNodeType.Comment)
{
continue;
}
// Add the next parameter to the method.
remoteMethod.Parameters.Add(parameterNode.Name, parameterNode.InnerText);
}
// One more record for the grand total, one more record for the number in the current batch.
recordCounter++;
batchCounter++;
// This will check to see if it's time to send the batch. A batch is sent when the 'batchSize' has been
// reached, or if the last record has just been converted into a command.
if (batchSize != 0 && recordCounter % batchSize == 0)
{
SendBatch();
}
}
}
}
private void DragDropHandler(params object[] arguments)
{
ObjectNode toNode = (ObjectNode)arguments[0];
ObjectNode fromNode = (ObjectNode)arguments[1];
ObjectNode childNode = (ObjectNode)arguments[2];
// Make sure the user has selected a valid source and destination for the operation. It's illegal to move the node
// 1. To the root of the tree
// 2. From the root of the tree
if (toNode == null || fromNode == null)
{
return;
}
// Don't allow for circular references.
try
{
// Lock the tables needed for this operation.
Debug.Assert(!ClientMarketData.AreLocksHeld);
ClientMarketData.ObjectLock.AcquireReaderLock(CommonTimeout.LockWait);
// It's critical that circular references aren't created, either by accident or design. First, find the object
// record associated with the destination node.
ClientMarketData.ObjectRow parentRow = ClientMarketData.Object.FindByObjectId(toNode.ObjectId);
if (parentRow == null)
{
throw new Exception("This object has been deleted");
}
// This is the object that is being dragged. Find the row
ClientMarketData.ObjectRow childRow = ClientMarketData.Object.FindByObjectId(childNode.ObjectId);
if (childRow == null)
{
throw new Exception("This object has been deleted");
}
if (Shadows.Quasar.Common.Relationship.IsChildObject(childRow, parentRow))
{
MessageBox.Show(this.TopLevelControl, "This would create a circular references.", "Quasar Error", MessageBoxButtons.OK, MessageBoxIcon.Error);
return;
}
}
catch (Exception exception)
{
// Write the error and stack trace out to the debug listener
Debug.WriteLine(String.Format("{0}, {1}", exception.Message, exception.StackTrace));
}
finally
{
// Release table locks.
if (ClientMarketData.ObjectLock.IsReaderLockHeld)
{
ClientMarketData.ObjectLock.ReleaseReaderLock();
}
Debug.Assert(!ClientMarketData.AreLocksHeld);
}
// Any commands created below will be constructed in this object and sent to the server for execution.
RemoteBatch remoteBatch = new RemoteBatch();
// Change the default model of an account. When the destination is an account group, account or sub account and the
// source is a model, a command will be constructed to change the default model.
if (toNode.ObjectTypeCode == ObjectType.Account && dragNode.ObjectTypeCode == ObjectType.Model)
{
try
{
// Lock the tables needed for this operation.
Debug.Assert(!ClientMarketData.AreLocksHeld);
ClientMarketData.AccountLock.AcquireReaderLock(CommonTimeout.LockWait);
// Find the account used, throw an error if it's been deleted.
ClientMarketData.AccountRow accountRow;
if ((accountRow = ClientMarketData.Account.FindByAccountId(toNode.ObjectId)) == null)
{
throw new Exception("This account has been deleted");
}
// Construct a command to change the default model associated with the account.
RemoteAssembly remoteAssembly = remoteBatch.Assemblies.Add("Service.Core");
RemoteType remoteType = remoteAssembly.Types.Add("Shadows.WebService.Core.Account");
RemoteMethod remoteMethod = remoteType.Methods.Add("Update");
remoteMethod.Parameters.Add("rowVersion", accountRow.RowVersion);
remoteMethod.Parameters.Add("accountId", accountRow.AccountId);
remoteMethod.Parameters.Add("modelId", dragNode.ObjectId);
}
catch (Exception exception)
{
// Write the error and stack trace out to the debug listener
Debug.WriteLine(String.Format("{0}, {1}", exception.Message, exception.StackTrace));
}
finally
{
// Release table locks.
if (ClientMarketData.AccountLock.IsReaderLockHeld)
{
ClientMarketData.AccountLock.ReleaseReaderLock();
}
Debug.Assert(!ClientMarketData.AreLocksHeld);
}
}
else
{
// If we made it here, the drag-and-drop is interpreted as a command to move a child from one parent to another.
try
{
// Lock the tables needed for this operation.
Debug.Assert(!ClientMarketData.AreLocksHeld);
ClientMarketData.ObjectTreeLock.AcquireReaderLock(CommonTimeout.LockWait);
// Extract the primary identifiers from the user interface nodes.
int fromId = fromNode.ObjectId;
int toId = toNode.ObjectId;
int childId = dragNode.ObjectId;
// Find the object in the data model and make sure it still exists.
ClientMarketData.ObjectTreeRow objectTreeRow = ClientMarketData.ObjectTree.FindByParentIdChildId(fromNode.ObjectId, dragNode.ObjectId);
if (objectTreeRow == null)
{
throw new Exception("This relationship has been deleted by someone else.");
}
// Moving a child object from one parent to another must be accomplished as a transaction. Otherwise, an
// orhpan object will be created if the operation fails midway through.
RemoteTransaction remoteTransaction = remoteBatch.Transactions.Add();
RemoteAssembly remoteAssembly = remoteBatch.Assemblies.Add("Service.Core");
RemoteType remoteType = remoteAssembly.Types.Add("Shadows.WebService.Core.ObjectTree");
// Construct a command delete the old parent relation.
RemoteMethod deleteObjectTree = remoteType.Methods.Add("Delete");
deleteObjectTree.Transaction = remoteTransaction;
deleteObjectTree.Parameters.Add("rowVersion", objectTreeRow.RowVersion);
deleteObjectTree.Parameters.Add("parentId", fromId);
deleteObjectTree.Parameters.Add("childId", childId);
// Construct a command insert a new parent relation.
RemoteMethod insertObjectTree = remoteType.Methods.Add("Insert");
insertObjectTree.Transaction = remoteTransaction;
insertObjectTree.Parameters.Add("parentId", toId);
insertObjectTree.Parameters.Add("childId", childId);
}
catch (Exception exception)
{
// Write the error and stack trace out to the debug listener
Debug.WriteLine(String.Format("{0}, {1}", exception.Message, exception.StackTrace));
}
finally
{
// Release table locks.
if (ClientMarketData.ObjectTreeLock.IsReaderLockHeld)
{
ClientMarketData.ObjectTreeLock.ReleaseReaderLock();
}
Debug.Assert(!ClientMarketData.AreLocksHeld);
}
}
// If the command batch was built successfully, then execute it.
if (remoteBatch != null)
{
try
{
// Call the web server to rename the object on the database. Note that this method must be called when there are
// no locks to prevent deadlocking. That is why it appears in it's own 'try/catch' block.
ClientMarketData.Execute(remoteBatch);
}
catch (BatchException batchException)
{
// Display each error in the batch.
foreach (RemoteException remoteException in batchException.Exceptions)
{
MessageBox.Show(remoteException.Message, "Quasar Error");
}
}
}
}
private static void Update(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
ClientMarketData.ProposedOrderRow parentProposedOrder, decimal quantityInstruction)
{
// These define the assembly and the types within those assemblies that will be used to create the proposed orders on
// the middle tier.
RemoteAssembly remoteAssembly = remoteBatch.Assemblies.Add("Service.Core");
RemoteType proposedOrderType = remoteAssembly.Types.Add("Shadows.WebService.Core.ProposedOrder");
ClientMarketData.AccountRow accountRow = parentProposedOrder.AccountRow;
ClientMarketData.SecurityRow securityRow = parentProposedOrder.SecurityRowByFKSecurityProposedOrderSecurityId;
// This will turn the signed quantity into an absolute quantity and a transaction code (e.g. -1000 is turned into a
// SELL of 1000 shares).
decimal parentQuantity = Math.Abs(quantityInstruction);
int parentTransactionTypeCode = TransactionType.Calculate(securityRow.SecurityTypeCode,
parentProposedOrder.PositionTypeCode, quantityInstruction);
// The time in force first comes from the user preferences, next, account settings and finally defaults to a day
// orders.
int timeInForceCode = !ClientPreferences.IsTimeInForceCodeNull() ? ClientPreferences.TimeInForceCode :
!accountRow.IsTimeInForceCodeNull() ? accountRow.TimeInForceCode : TimeInForce.DAY;
// The destination blotter comes first from the user preferences, second from the account preferences, and finally uses
// the auto-routing logic.
int blotterId = !ClientPreferences.IsBlotterIdNull() ? ClientPreferences.BlotterId :
!accountRow.IsBlotterIdNull() ? accountRow.BlotterId :
TradingSupport.AutoRoute(securityRow, parentQuantity);
// Create a command to update the proposed order.
RemoteMethod updateParent = proposedOrderType.Methods.Add("Update");
updateParent.Transaction = remoteTransaction;
updateParent.Parameters.Add("rowVersion", parentProposedOrder.RowVersion);
updateParent.Parameters.Add("proposedOrderId", parentProposedOrder.ProposedOrderId);
updateParent.Parameters.Add("accountId", parentProposedOrder.AccountId);
updateParent.Parameters.Add("securityId", parentProposedOrder.SecurityId);
updateParent.Parameters.Add("settlementId", parentProposedOrder.SettlementId);
updateParent.Parameters.Add("blotterId", blotterId);
updateParent.Parameters.Add("positionTypeCode", parentProposedOrder.PositionTypeCode);
updateParent.Parameters.Add("transactionTypeCode", parentTransactionTypeCode);
updateParent.Parameters.Add("timeInForceCode", timeInForceCode);
updateParent.Parameters.Add("orderTypeCode", OrderType.Market);
updateParent.Parameters.Add("quantity", parentQuantity);
foreach (ClientMarketData.ProposedOrderTreeRow proposedOrderTree in
parentProposedOrder.GetProposedOrderTreeRowsByFKProposedOrderProposedOrderTreeParentId())
{
ClientMarketData.ProposedOrderRow childProposedOrder =
proposedOrderTree.ProposedOrderRowByFKProposedOrderProposedOrderTreeChildId;
// If this is the settlement part of the order, then adjust the quantity.
if (childProposedOrder.SecurityId == parentProposedOrder.SettlementId)
{
// The settlement security is needed for the calculation of the cash impact of this trade.
ClientMarketData.CurrencyRow currencyRow =
MarketData.Currency.FindByCurrencyId(childProposedOrder.SettlementId);
decimal marketValue = parentQuantity * securityRow.QuantityFactor *
Price.Security(currencyRow, securityRow) * securityRow.PriceFactor *
TransactionType.GetCashSign(parentTransactionTypeCode);
decimal childQuantity = Math.Abs(marketValue);
int childTransactionTypeCode = TransactionType.Calculate(securityRow.SecurityTypeCode,
parentProposedOrder.PositionTypeCode, marketValue);
// Create a command to update the proposed order.
RemoteMethod updateChild = proposedOrderType.Methods.Add("Update");
updateChild.Transaction = remoteTransaction;
updateChild.Parameters.Add("rowVersion", childProposedOrder.RowVersion);
updateChild.Parameters.Add("proposedOrderId", childProposedOrder.ProposedOrderId);
updateChild.Parameters.Add("accountId", childProposedOrder.AccountId);
updateChild.Parameters.Add("securityId", childProposedOrder.SecurityId);
updateChild.Parameters.Add("settlementId", childProposedOrder.SettlementId);
updateChild.Parameters.Add("blotterId", blotterId);
updateChild.Parameters.Add("positionTypeCode", parentProposedOrder.PositionTypeCode);
updateChild.Parameters.Add("transactionTypeCode", childTransactionTypeCode);
updateChild.Parameters.Add("timeInForceCode", timeInForceCode);
updateChild.Parameters.Add("orderTypeCode", OrderType.Market);
updateChild.Parameters.Add("quantity", childQuantity);
}
}
}
/// <summary>
/// Recursively rebalances an account and all it's children.
/// </summary>
/// <param name="accountRow">The parent account to be rebalanced.</param>
private static void RecurseAccounts(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
AppraisalSet appraisalSet, ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// The base currency of the account is used to cacluate market values.
ClientMarketData.CurrencyRow currencyRow = ClientMarketData.Currency.FindByCurrencyId(accountRow.CurrencyId);
// Calculate the total market value for the appraisal. This will be the denominator in all calculations involving
// portfolio percentages.
decimal accountMarketValue = MarketValue.Calculate(currencyRow, accountRow, MarketValueFlags.EntirePosition);
// Cycle through all the positions of the appraisal using the current account and calculate the size and direction of
// the trade needed to bring it to the model's target percent.
foreach (AppraisalSet.SecurityRow driverSecurity in appraisalSet.Security)
{
// We need to reference the security row in the ClientMarketData to price this item.
ClientMarketData.SecurityRow securityRow = ClientMarketData.Security.FindBySecurityId(driverSecurity.SecurityId);
// In this rebalancing operation, the cash balance is dependant on the securities bought and sold. The assumption
// is made that we won't implicitly add or remove cash to accomplish the reblancing operation. When stocks are
// bought or sold below, they will impact the underlying currency. A cash target can be reached by setting all the
// other percentages up properly. As long as the total percentage in a model is 100%, the proper cash target will
// be calculated. We don't have to do anything with this asset type.
if (securityRow.SecurityTypeCode == SecurityType.Currency)
{
continue;
}
// This section will calculate the difference in between the actual and target market values for each
// position and create orders that will bring the account to the targeted percentages.
foreach (AppraisalSet.PositionRow driverPosition in driverSecurity.GetPositionRows())
{
// Calculate the proposed quantity needed to bring this asset/account combination to the percentage given by
// the model. First, find the target percent. If it's not there, we assume a target of zero (meaning sell all
// holdings).
ClientMarketData.PositionTargetRow positionTargetRow =
ClientMarketData.PositionTarget.FindByModelIdSecurityIdPositionTypeCode(modelRow.ModelId,
securityRow.SecurityId, driverPosition.PositionTypeCode);
decimal targetPositionPercent = positionTargetRow == null ? 0.0M : positionTargetRow.Percent;
// The market value of this trade will be the target market value less the current market value of
// this position (without including the existing proposed orders in the current market value
// calculation).
decimal targetPositionMarketValue = targetPositionPercent * accountMarketValue;
decimal actualPositionMarketValue = MarketValue.Calculate(currencyRow, accountRow, securityRow,
driverPosition.PositionTypeCode, MarketValueFlags.ExcludeProposedOrder);
decimal proposedMarketValue = targetPositionMarketValue - actualPositionMarketValue;
// Calculate the quantity needed to hit the target market value and round it according to the model. Note that
// the market values and prices are all denominated in the currency of the parent account. Also note the
// quantityFactor is needed for the proper quantity calculation.
decimal price = Price.Security(currencyRow, securityRow);
decimal proposedQuantity = price == 0.0M ? 0.0M : proposedMarketValue / (price * securityRow.QuantityFactor);
// If we have an equity, round to the model's lot size. Common values are 100 and 1.
if (securityRow.SecurityTypeCode == SecurityType.Equity)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.EquityRounding, 0) * modelRow.EquityRounding;
}
// A debt generally needs to be rounded to face.
if (securityRow.SecurityTypeCode == SecurityType.Debt)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.DebtRounding, 0) * modelRow.DebtRounding;
}
// Have the Order Form Builder object construct an order based on the new proposed quantity. This method will
// fill in the defaults needed for a complete Proposed Order. It will also create an deposit or widthdrawal
// from an account to cover the transaction.
ProposedOrder.Create(remoteBatch, remoteTransaction, accountRow, securityRow, driverPosition.PositionTypeCode,
proposedQuantity);
}
}
// Now that we've rebalanced the parent account, cycle through all the children accounts and rebalance them.
foreach (ClientMarketData.ObjectTreeRow objectTreeRow in
accountRow.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (ClientMarketData.AccountRow childAccount in
objectTreeRow.ObjectRowByFKObjectObjectTreeChildId.GetAccountRows())
{
Security.RecurseAccounts(remoteBatch, remoteTransaction, appraisalSet, childAccount, modelRow);
}
}
}
/// <summary>
/// Creates a temporary model based on the current sector level targets.
/// </summary>
/// <param name="accountRow">An account used as a basis for the targets.</param>
/// <param name="schemeRow">The scheme used to select sector targets.</param>
/// <returns>A batch of commands that will create a model containing the current sector weights of the account.</returns>
private static ModelBatch CreateSectorSelfModel(ClientMarketData.AccountRow accountRow, ClientMarketData.SchemeRow schemeRow)
{
// This command batch will create a temporary model and populate it with the current position level percentages as the
// target values.
ModelBatch modelBatch = new ModelBatch();
RemoteTransaction remoteTransaction = modelBatch.Transactions.Add();
RemoteAssembly remoteAssembly = modelBatch.Assemblies.Add("Service.Core");
RemoteType remoteType = remoteAssembly.Types.Add("Shadows.WebService.Core.Model");
// Create the temporary model.
RemoteMethod insertModel = remoteType.Methods.Add("Insert");
insertModel.Parameters.Add("modelId", DataType.Int, Direction.ReturnValue);
insertModel.Parameters.Add("rowVersion", DataType.Long, Direction.Output);
insertModel.Parameters.Add("modelTypeCode", ModelType.Sector);
insertModel.Parameters.Add("name", "Untitled");
insertModel.Parameters.Add("schemeId", schemeRow.SchemeId);
insertModel.Parameters.Add("algorithmId", Algorithm.SectorMergeRebalancer);
insertModel.Parameters.Add("temporary", true);
// The 'Self Sector' uses the market value of all the account and sub-account.
decimal accountMarketValue = MarketValue.Calculate(accountRow.CurrencyRow, accountRow,
MarketValueFlags.EntirePosition | MarketValueFlags.IncludeChildAccounts);
// No need to construct a model if the account market value is zero.
if (accountMarketValue != 0.0M)
{
// Create a new outline for the model to follow. This will collect the tax lots, proposed orders, orders
// and allocations into industry classification sectors.
Common.Appraisal appraisal = new Common.Appraisal(accountRow, schemeRow, true);
// The object Type for this operation.
RemoteType sectorTargetType = remoteAssembly.Types.Add("Shadows.WebService.Core.SectorTarget");
// Now that we have an outline to follow, we are going to run through each of the sectors, calculate the market
// value, and create an entry in the temporary model for that sector and it's current weight of the overall market
// value.
foreach (AppraisalSet.SchemeRow driverScheme in appraisal.Scheme)
{
foreach (AppraisalSet.ObjectTreeRow driverTree in
driverScheme.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (AppraisalSet.SectorRow driverSector in
driverTree.ObjectRowByFKObjectObjectTreeChildId.GetSectorRows())
{
// This sector is the destination for the market value calculation.
ClientMarketData.SectorRow sectorRow = ClientMarketData.Sector.FindBySectorId(driverSector.SectorId);
// Calculate the market value of all the securities held by all the accounts in the current sector.
decimal sectorMarketValue = MarketValue.Calculate(accountRow.CurrencyRow, accountRow, sectorRow,
MarketValueFlags.EntirePosition | MarketValueFlags.IncludeChildAccounts);
// Add the position level target to the model.
RemoteMethod insertSector = sectorTargetType.Methods.Add("Insert");
insertSector.Parameters.Add("modelId", insertModel.Parameters["modelId"]);
insertSector.Parameters.Add("sectorId", sectorRow.SectorId);
insertSector.Parameters.Add("percent", sectorMarketValue / accountMarketValue);
}
}
}
}
// Save the reference to the 'modelId' return parameter.
modelBatch.ModelIdParameter = insertModel.Parameters["modelId"];
// This batch will create a temporary model based on the sector totals of the original account.
return(modelBatch);
}
static int Main(string[] args)
{
// If this flag is set during the processing of the file, the program will exit with an error code.
bool hasErrors = false;
try
{
// Defaults
batchSize = 100;
assemblyName = "Service.External";
nameSpaceName = "Shadows.WebService.External";
// The command line parser is driven by different states that are triggered by the flags read. Unless a flag has been
// read, the command line parser assumes that it's reading the file name from the command line.
argumentState = ArgumentState.FileName;
// Parse the command line for arguments.
foreach (string argument in args)
{
// Decode the current argument into a state change (or some other action).
if (argument == "-a")
{
argumentState = ArgumentState.Assembly; continue;
}
if (argument == "-b")
{
argumentState = ArgumentState.BatchSize; continue;
}
if (argument == "-n")
{
argumentState = ArgumentState.NameSpace; continue;
}
if (argument == "-i")
{
argumentState = ArgumentState.FileName; continue;
}
// The parsing state will determine which variable is read next.
switch (argumentState)
{
case ArgumentState.Assembly: assemblyName = argument; break;
case ArgumentState.BatchSize: batchSize = Convert.ToInt32(argument); break;
case ArgumentState.FileName: fileName = argument; break;
case ArgumentState.NameSpace: nameSpaceName = argument; break;
}
// The default state is to look for the input file name on the command line.
argumentState = ArgumentState.FileName;
}
// Throw a usage message back at the user if no file name was given.
if (fileName == null)
{
throw new Exception("Usage: Loader.Algorithm -i <FileName>");
}
// Open up the file containing all the broker.
BrokerReader brokerReader = new BrokerReader(fileName);
// Create a new web client that will serve as the connection point to the server.
WebClient webClient = new WebClient();
// Loading the database involves creating a batch of commands and sending them off as a transaction. This gives
// the server a chance to pipeline a large chunk of processing, without completely locking up the server for the
// entire set of data. This will construct a header for the command batch which gives information about which
// assembly contains the class that is used to load the data.
RemoteBatch remoteBatch = new RemoteBatch();
RemoteTransaction remoteTransaction = remoteBatch.Transactions.Add();
RemoteAssembly remoteAssembly = remoteBatch.Assemblies.Add(assemblyName);
RemoteType remoteType = remoteAssembly.Types.Add(string.Format("{0}.{1}", nameSpaceName, "Broker"));
// Read the file until an EOF is reached.
while (true)
{
// This counter keeps track of the number of records sent. When the batch is full, it's sent to the server to be
// executed as a single transaction.
int batchCounter = 0;
// Read the next broker from the input stream. A 'null' is returned when we've read past the end of file.
Broker broker = brokerReader.ReadBroker();
if (broker != null)
{
// Construct a call to the 'Load' method to populate the broker record.
RemoteMethod remoteMethod = remoteType.Methods.Add("Load");
remoteMethod.Transaction = remoteTransaction;
remoteMethod.Parameters.Add("brokerId", broker.Symbol);
remoteMethod.Parameters.Add("name", broker.Name);
remoteMethod.Parameters.Add("symbol", broker.Symbol);
}
// This will check to see if it's time to send the batch. A batch is sent when the 'batchSize' has been
// reached, or if the last record has just been converted into a command.
if (++batchCounter % batchSize == 0 || broker == null)
{
// Call the web services to execute the command batch.
remoteBatch.Merge(webClient.Execute(remoteBatch));
// Any error during the batch will terminate the execution of the remaining records in the data file.
if (remoteBatch.HasExceptions)
{
// Display each error on the console.
foreach (RemoteMethod remoteMethod in remoteBatch.Methods)
{
foreach (RemoteException remoteException in remoteMethod.Exceptions)
{
Console.WriteLine(String.Format("{0}: {1}", remoteMethod.Parameters["brokerId"].Value,
remoteException.Message));
}
}
// This will signal the error exit from this loader.
hasErrors = true;
}
// If the end of file was reached, break out of the loop and exit the application.
if (broker == null)
{
break;
}
// After each batch has been send, check to see if there are additional records to be send. If so,
// regenerate the remote batch and set up the header.
remoteBatch = new RemoteBatch();
remoteTransaction = remoteBatch.Transactions.Add();
remoteAssembly = remoteBatch.Assemblies.Add(assemblyName);
remoteType = remoteAssembly.Types.Add(string.Format("{0}.{1}", nameSpaceName, "Broker"));
}
}
}
catch (Exception exception)
{
// Show the system error and exit with an error.
Console.WriteLine(exception.Message);
hasErrors = true;
}
// Any errors will cause an abnormal exit.
if (hasErrors)
{
return(1);
}
// Write a status message when a the file is loaded successfully.
Console.WriteLine(String.Format("{0} Data: Brokers, Loaded", DateTime.Now.ToString("u")));
// If we reached here, the file was imported without issue.
return(0);
}
/// <summary>
/// Fills the OrderForm table with instructions to create, delete or update proposed orders.
/// </summary>
/// <param name="accountId">Identifiers the destination account of the proposed order.</param>
/// <param name="securityId">Identifies the security being trade.</param>
/// <param name="positionTypeCode">Identifies the long or short position of the trade.</param>
/// <param name="settlementId"></param>
/// <param name="proposedQuantity">The signed (relative) quantity of the trade.</param>
public static void Create(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
ClientMarketData.AccountRow accountRow, ClientMarketData.SecurityRow securityRow, int positionTypeCode,
decimal proposedQuantity)
{
// If the proposed quantity is to be zero, we'll delete all proposed orders for this position in the parent and
// descendant accounts. Otherwise, a command batch will be created to clear any child proposed orders and create or
// update a proposed order for the parent account.
if (proposedQuantity == 0.0M)
{
ProposedOrder.Delete(remoteBatch, remoteTransaction, accountRow, securityRow, positionTypeCode);
}
else
{
// The strategy here is to cycle through all the existing proposed orders looking for any that match the account
// id, security id and position type of the new order. If none is found, we create a new order. If one is found,
// we modify it for the new quantity. Any additional proposed orders are deleted. This flag lets us know if any
// existing proposed orders match the position attributes.
bool firstTime = true;
// Cycle through each of the proposed orders in the given account looking for a matching position.
object[] key = new object[] { accountRow.AccountId, securityRow.SecurityId, positionTypeCode };
foreach (DataRowView dataRowView in ClientMarketData.ProposedOrder.UKProposedOrderAccountIdSecurityIdPositionTypeCode.FindRows(key))
{
// This is used to reference the current proposed order that matches the position criteria.
ClientMarketData.ProposedOrderRow parentProposedOrderRow = (ClientMarketData.ProposedOrderRow)dataRowView.Row;
// This check is provided for currency-like assets. There may be many proposed orders for currency
// transactions that are used to settle other trades. The user can also enter currency orders directly into
// the appraisal. Any manual deposits or withdrawls should not impact settlement orders. This check will skip
// any trade that is linked to another order.
if (Shadows.Quasar.Common.Relationship.IsChildProposedOrder(parentProposedOrderRow))
{
continue;
}
// Recycle the first proposed order that matches the position criteria. Any additional proposed orders for the
// same account, security, position type will be deleted.
if (firstTime)
{
// Any proposed orders found after this one will be deleted. This variable will also indicate that an
// existing proposed order was recycled. After the loop is run on this position, a new order will be
// created if an existing order couldn't be recycled.
firstTime = false;
// Create the command to update this proposed order.
Update(remoteBatch, remoteTransaction, parentProposedOrderRow, proposedQuantity);
}
else
{
// Any order that isn't recycled is considered to be redundant. That is, this order has been superceded by
// the recycled order. Clearing any redundant orders makes the operation more intuitive: the user knows
// that the only order on the books is the one they entered. They don't have to worry about artifacts from
// other operations.
Delete(remoteBatch, remoteTransaction, parentProposedOrderRow);
}
}
// This will create a new proposed order if an existing one couldn't be found above for recycling.
if (firstTime == true)
{
Insert(remoteBatch, remoteTransaction, accountRow, securityRow, positionTypeCode, proposedQuantity);
}
}
}
/// <summary>
/// Creates a temporary model based on the current position level targets.
/// </summary>
/// <param name="accountRow">An account used as a basis for the targets.</param>
/// <param name="schemeRow">The scheme used to select sector targets.</param>
/// <returns>A batch of commands that will create a model containing the current position weights of the account.</returns>
private static ModelBatch CreatePositionSelfModel(ClientMarketData.AccountRow accountRow, ClientMarketData.SchemeRow schemeRow)
{
// Create the batch and fill it in with the assembly and type needed for this function.
ModelBatch modelBatch = new ModelBatch();
RemoteTransaction remoteTransaction = modelBatch.Transactions.Add();
RemoteAssembly remoteAssembly = modelBatch.Assemblies.Add("Service.Core");
RemoteType remoteType = remoteAssembly.Types.Add("Shadows.WebService.Core.Model");
// Create the temporary, position model based on the scheme used by the original account.
RemoteMethod insertModel = remoteType.Methods.Add("Insert");
insertModel.Parameters.Add("modelId", DataType.Int, Direction.ReturnValue);
insertModel.Parameters.Add("rowVersion", DataType.Long, Direction.Output);
insertModel.Parameters.Add("modelTypeCode", ModelType.Security);
insertModel.Parameters.Add("name", "Untitled");
insertModel.Parameters.Add("schemeId", schemeRow.SchemeId);
insertModel.Parameters.Add("algorithmId", Algorithm.SecurityRebalancer);
insertModel.Parameters.Add("temporary", true);
// The 'Self Security' model uses the market value of all the positions, regardless of account or sub-account, when
// calculating the denominator for the percentages.
decimal accountMarketValue = MarketValue.Calculate(accountRow.CurrencyRow, accountRow,
MarketValueFlags.EntirePosition | MarketValueFlags.IncludeChildAccounts);
// If the account market value is zero, we can't do much more to create a model.
if (accountMarketValue != 0.0M)
{
// Create a new outline for the model to follow. This will collect the tax lots, proposed orders orders and
// allocations into positions that can be used for calculating percentages.
Common.Appraisal appraisal = new Common.Appraisal(accountRow, true);
// Run through each of the positions, starting with the security.
foreach (AppraisalSet.SecurityRow driverSecurity in appraisal.Security)
{
// This is a position is the destination for the market value calculation.
ClientMarketData.SecurityRow securityRow =
ClientMarketData.Security.FindBySecurityId(driverSecurity.SecurityId);
// The object Type for this operation.
RemoteType positionTargetType = remoteAssembly.Types.Add("Shadows.WebService.Core.PositionTarget");
// Run through each of the positions in the appraisal calculating the market value of each position. The ratio
// of this market value to the account's market value is the model percentage.
foreach (AppraisalSet.PositionRow positionRow in driverSecurity.GetPositionRows())
{
// Calculate the market value of the given position.
decimal securityMarketValue = MarketValue.Calculate(accountRow.CurrencyRow, accountRow,
securityRow, positionRow.PositionTypeCode,
MarketValueFlags.EntirePosition | MarketValueFlags.EntirePosition);
// Add the position level target to the model.
RemoteMethod insertPosition = positionTargetType.Methods.Add("Insert");
insertPosition.Parameters.Add("modelId", insertModel.Parameters["modelId"]);
insertPosition.Parameters.Add("securityId", securityRow.SecurityId);
insertPosition.Parameters.Add("positionTypeCode", positionRow.PositionTypeCode);
insertPosition.Parameters.Add("percent", securityMarketValue / accountMarketValue);
}
}
}
// Save the reference to the 'modelId' return parameter.
modelBatch.ModelIdParameter = insertModel.Parameters["modelId"];
// This batch will create a temporary model based on the position totals of the original account.
return(modelBatch);
}
/// <summary>
/// Rebalances an AppraisalModelSet to sector targets. The model is applied to the aggregate market value of the
/// account and it's children.
/// </summary>
/// <param name="accountId">The parent account to be rebalanced.</param>
/// <param name="modelId">The sector model to be used.</param>
/// <returns>A set of proposed orders.</returns>
public static RemoteBatch Rebalance(ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow)
{
// Make sure the scheme still exists in the in-memory database. We need it to rebalance to calculate
// sector totals.
ClientMarketData.SchemeRow schemeRow;
if ((schemeRow = ClientMarketData.Scheme.FindBySchemeId(modelRow.SchemeId)) == null)
{
throw new ArgumentException("Scheme doesn't exist in the ClientMarketData", modelRow.SchemeId.ToString());
}
// All the market values need to be normalized to a single currency so the sectors can be aggregated. This
// value is made available to all methods through a member rather than passed on the stack.
ClientMarketData.CurrencyRow currencyRow = accountRow.CurrencyRow;
// The final result of this method is a command batch that can be sent to the server.
RemoteBatch remoteBatch = new RemoteBatch();
RemoteTransaction remoteTransaction = remoteBatch.Transactions.Add();
// Calculate the total market value for the appraisal and all the sub-accounts. This will be the denominator
// in all calculations involving sector percentages. This feature makes a 'Merge' rebalancer different from a
// 'Wrap' rebalance. The 'Wrap' uses the sub-account's market value as the denominator when calculating
// sector market values.
decimal accountMarketValue = MarketValue.Calculate(accountRow.CurrencyRow, accountRow,
MarketValueFlags.EntirePosition | MarketValueFlags.IncludeChildAccounts);
// The outline of the appraisal will be needed to make calculations based on a position, that is a security,
// account, position type combination grouped by a security classification scheme.
AppraisalSet appraisalSet = new Appraisal(accountRow, schemeRow, true);
// By cycling through all the immediate children of the scheme record, we'll have covered the top-level
// sectors in this appraisal.
foreach (AppraisalSet.SchemeRow driverScheme in appraisalSet.Scheme)
{
foreach (AppraisalSet.ObjectTreeRow driverTree in driverScheme.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (AppraisalSet.SectorRow driverSector in driverTree.ObjectRowByFKObjectObjectTreeChildId.GetSectorRows())
{
// The appraisal set collects the ids of the records used. We need to look up the actual sector
// record from the ClientMarketData in order to search through it and aggregate sub-sectors and
// securities.
ClientMarketData.SectorRow sectorRow = ClientMarketData.Sector.FindBySectorId(driverSector.SectorId);
// Get the market value of the top-level sector, including all subaccounts and all positions.
decimal actualSectorMarketValue = MarketValue.Calculate(currencyRow, accountRow,
sectorRow, MarketValueFlags.EntirePosition | MarketValueFlags.IncludeChildAccounts);
// This will find the model percentage of the current top-level sector. If the sector wasn't
// specified in the model, assume a value of zero, which would indicate that we're to sell the
// entire sector.
ClientMarketData.SectorTargetRow sectorTargetRow =
ClientMarketData.SectorTarget.FindByModelIdSectorId(modelRow.ModelId, driverSector.SectorId);
decimal targetPercent = sectorTargetRow == null ? 0.0M : sectorTargetRow.Percent;
// The target market value is calculated from the model percentage and the actual aggregate
// account market value.
decimal targetSectorMarketValue = accountMarketValue * targetPercent;
// Now that we have a target to shoot for, recursively descend into the structure calculating
// propsed orders.
RecurseSectors(remoteBatch, remoteTransaction, currencyRow, modelRow, driverSector.ObjectRow,
actualSectorMarketValue, targetSectorMarketValue);
}
}
}
// This object holds a complete set of proposed orders to achieve the sector targets in the model.
return(remoteBatch);
}
/// <summary>
/// Rebalances an account to the sector targets, then recursively rebalances the children accounts.
/// </summary>
/// <param name="orderFormBuilder">A collection of orders.</param>
/// <param name="accountRow">The parent account to be rebalanced.</param>
/// <param name="modelRow">The model containing the sector targets.</param>
/// <param name="schemeRow">The outline scheme used to define the sector contents.</param>
private static void RecurseAccounts(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
ClientMarketData.AccountRow accountRow, ClientMarketData.ModelRow modelRow, ClientMarketData.SchemeRow schemeRow)
{
// All the market values of all the securities in this account are normalized to a single currency so they can
// be aggregated.
ClientMarketData.CurrencyRow currencyRow = ClientMarketData.Currency.FindByCurrencyId(accountRow.CurrencyId);
// Calculate the total market value for the appraisal without including child accounts. This is a 'Wrap'
// rebalancing, so we're only concerned with what's in this account. The account's market value will be the
// denominator in all calculations involving sector percentages.
decimal accountMarketValue = MarketValue.Calculate(currencyRow, accountRow,
MarketValueFlags.EntirePosition);
// The outline of the appraisal will be needed to make market value calculations based on a sector. Note that
// we're not including the child accounts in the outline. Wrap rebalancing works only on a single account at
// a time.
AppraisalSet appraisalSet = new Appraisal(accountRow, schemeRow, false);
// By cycling through all the immediate children of the scheme record, we'll have covered the top-level
// sectors in this appraisal.
foreach (AppraisalSet.SchemeRow driverScheme in appraisalSet.Scheme)
{
foreach (AppraisalSet.ObjectTreeRow driverTree in
driverScheme.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (AppraisalSet.SectorRow driverSector in
driverTree.ObjectRowByFKObjectObjectTreeChildId.GetSectorRows())
{
// Find the sectors row record that corresponds to the current sector in the appraisal set.
ClientMarketData.SectorRow sectorRow = ClientMarketData.Sector.FindBySectorId(driverSector.SectorId);
// Get the market value of the top-level sector, including all sub-sectors and all positions
// belonging to only the current account.
decimal actualSectorMarketValue = MarketValue.Calculate(currencyRow, accountRow, sectorRow,
MarketValueFlags.EntirePosition);
// This will find the model percentage of the current top-level sector. If the sector wasn't
// specified in the model, assume a value of zero, which would indicate that we're to sell the
// entire sector.
ClientMarketData.SectorTargetRow sectorTargetRow =
ClientMarketData.SectorTarget.FindByModelIdSectorId(modelRow.ModelId, driverSector.SectorId);
decimal targetPercent = (sectorTargetRow == null) ? 0.0M : sectorTargetRow.Percent;
// The sector's target market value is calculated from the model percentage and the current
// account market value. This is placed in a member variable so it's available to the methods
// when we recurse.
decimal targetSectorMarketValue = accountMarketValue * targetPercent;
// Now that we have a sector target to shoot for, recursively descend into the structure
// calculating proposed orders.
SectorWrap.RecurseSectors(remoteBatch, remoteTransaction, modelRow, driverSector, actualSectorMarketValue,
targetSectorMarketValue);
}
}
}
// Now that we've rebalanced the parent account, cycle through all the children accounts and rebalance them.
foreach (ClientMarketData.ObjectTreeRow objectTreeRow in
accountRow.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
foreach (ClientMarketData.AccountRow childAccount in
objectTreeRow.ObjectRowByFKObjectObjectTreeChildId.GetAccountRows())
{
SectorWrap.RecurseAccounts(remoteBatch, remoteTransaction, childAccount, modelRow, schemeRow);
}
}
}
/// <summary>
/// Recursively calculates proposed orders for a sector.
/// </summary>
/// <param name="sector">Gives the current sector (sector) for the calculation.</param>
private static void RecurseSectors(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
ClientMarketData.CurrencyRow currencyRow, ClientMarketData.ModelRow modelRow, AppraisalSet.ObjectRow driverObject,
decimal actualSectorMarketValue, decimal targetSectorMarketValue)
{
// Run through each of the positions in the sector and calculate the current percentage of the position within
// the sector. We're going to keep this percentage as we rebalance to the new sector market value.
foreach (AppraisalSet.SecurityRow driverSecurity in driverObject.GetSecurityRows())
{
foreach (AppraisalSet.PositionRow driverPosition in driverSecurity.GetPositionRows())
{
// We need to know what kind of security we're dealing with when calculating market values and quantities
// below.
ClientMarketData.SecurityRow securityRow =
ClientMarketData.Security.FindBySecurityId(driverSecurity.SecurityId);
// In this rebalancing operation, the cash balance is dependant on the securities bought and sold. When
// stocks are bought or sold below, they will impact the underlying currency. We can not balance to a
// currency target directly.
if (securityRow.SecurityTypeCode == SecurityType.Currency)
{
continue;
}
// Calculate the proposed orders for each account. The fraction of the security within the sector will
// stay the same, even though the sector may increase or decrease with respect to the total market value.
foreach (AppraisalSet.AccountRow driverAccount in driverPosition.GetAccountRows())
{
// The underlying currency is needed for the market value calculations.
ClientMarketData.AccountRow accountRow = ClientMarketData.Account.FindByAccountId(driverAccount.AccountId);
// Sector rebalancing keeps the percentage of a security within the sector constant. Only the overall
// percentage of the sector with respect to the NAV changes. To accomplish this, we first calculate
// the percentage of the security within the sector before we rebalance the sector.
decimal actualPositionMarketValue = MarketValue.Calculate(currencyRow,
accountRow, securityRow, driverPosition.PositionTypeCode,
MarketValueFlags.EntirePosition);
// Calculate the target market value as a percentage of the entire sector (use zero if the sector has
// no market value to prevent divide by zero errors).
decimal targetPositionMarketValue = (actualSectorMarketValue == 0) ? 0.0M :
actualPositionMarketValue * targetSectorMarketValue / actualSectorMarketValue;
// The target proposed orders market value keeps the percentage of the position constant while
// changing the overall sector percentage.
decimal proposedMarketValue = targetPositionMarketValue - MarketValue.Calculate(currencyRow,
accountRow, securityRow, driverPosition.PositionTypeCode,
MarketValueFlags.ExcludeProposedOrder);
// Calculate the quantity needed to hit the target market value and round it according to the
// model. Note that the market values and prices are all denominated in the currency of the
// parent account. Also note the quantityFactor is needed for the proper quantity calculation.
decimal proposedQuantity = proposedMarketValue / (Price.Security(currencyRow, securityRow) *
securityRow.PriceFactor * securityRow.QuantityFactor);
// If we have an equity, round to the model's lot size.
if (securityRow.SecurityTypeCode == SecurityType.Equity)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.EquityRounding, 0) *
modelRow.EquityRounding;
}
// A debt generally needs to be rounded to face.
if (securityRow.SecurityTypeCode == SecurityType.Debt)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.DebtRounding, 0) *
modelRow.DebtRounding;
}
// Have the Order Form Builder object construct an order based on the quantity we've calcuated from
// the market value. This method will fill in the defaults needed for a complete proposed order.
ProposedOrder.Create(remoteBatch, remoteTransaction, accountRow, securityRow,
driverAccount.PositionTypeCode, proposedQuantity);
}
}
}
// Recurse into each of the sub-sectors. This allows us to rebalance with any number of levels to the
// hierarchy. Eventually, we will run across a sector with security positions in it and end up doing some
// real work.
foreach (AppraisalSet.ObjectTreeRow driverTree in
driverObject.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
SectorMerge.RecurseSectors(remoteBatch, remoteTransaction, currencyRow, modelRow,
driverTree.ObjectRowByFKObjectObjectTreeChildId, actualSectorMarketValue,
targetSectorMarketValue);
}
}
/// <summary>
/// Recursively calculates proposed orders for a sector.
/// </summary>
/// <param name="sector">Gives the current sector (sector) for the calculation.</param>
private static void RecurseSectors(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction, ClientMarketData.ModelRow modelRow,
AppraisalSet.SectorRow driverSector, decimal actualSectorMarketValue, decimal targetSectorMarketValue)
{
// The main idea here is to keep the ratio of the security to the sector constant, while changing the market
// value of the sector. Scan each of the securities belonging to this sector.
foreach (AppraisalSet.ObjectTreeRow objectTreeRow in
driverSector.ObjectRow.GetObjectTreeRowsByFKObjectObjectTreeParentId())
{
// Cycle through each of the securities in the sector. We're going to keep the ratio of the security the
// same as we target a different sector total.
foreach (AppraisalSet.SecurityRow driverSecurity in
objectTreeRow.ObjectRowByFKObjectObjectTreeChildId.GetSecurityRows())
{
foreach (AppraisalSet.PositionRow driverPosition in driverSecurity.GetPositionRows())
{
// We need to reference the security record for calculating proposed orders and the market value
// of the trade.
ClientMarketData.SecurityRow securityRow =
ClientMarketData.Security.FindBySecurityId(driverSecurity.SecurityId);
// In this rebalancing operation, the cash balance is dependant on the securities bought and
// sold. When stocks are bought or sold below, they will impact the underlying currency. A cash
// target can be reached by setting all the other percentages up properly. As long as the total
// percentage in a model is 100%, the proper cash target will be calculated. We don't have to do
// anything with this asset type.
if (securityRow.SecurityTypeCode == SecurityType.Currency)
{
continue;
}
// The ratio of the security within the sector will stay constant, even though the sector may
// increase or decrease with the target in the model. Note that there's only one account in the
// 'Accounts' table of the driver because this is a 'Wrap' operation.
foreach (AppraisalSet.AccountRow driverAccount in driverPosition.GetAccountRows())
{
// Find the account associated with the driver record.
ClientMarketData.AccountRow accountRow =
ClientMarketData.Account.FindByAccountId(driverAccount.AccountId);
// The market value of all the securities are normalized to the base currency of the account
// so they can be aggregated.
ClientMarketData.CurrencyRow currencyRow =
ClientMarketData.Currency.FindByCurrencyId(accountRow.CurrencyId);
// Sector rebalancing keeps the percentage of a security within the sector constant. Only the
// overall percentage of the sector with respect to the NAV changes. The first step in this
// rebalancing operation is to calculate the market value of the given position.
decimal actualPositionMarketValue = MarketValue.Calculate(currencyRow, accountRow,
securityRow, driverPosition.PositionTypeCode, MarketValueFlags.EntirePosition);
// The target market value operation keeps the percentage of the position constant while
// changing the overall sector percentage.
decimal targetPositionMarketValue = (actualSectorMarketValue == 0) ? 0.0M :
actualPositionMarketValue * targetSectorMarketValue / actualSectorMarketValue;
// Calculate the market value of an order that will achieve the target. Note that we're not
// including the existing proposed orders in the market value, but we did include them when
// calculating the account's market value. This allows us to put in what-if orders that will
// impact the market value before we do the rebalancing.
decimal proposedMarketValue = targetPositionMarketValue - MarketValue.Calculate(currencyRow,
accountRow, securityRow, driverPosition.PositionTypeCode,
MarketValueFlags.ExcludeProposedOrder);
// Calculate the quantity needed to hit the target market value and round it according to the
// model. Note that the market values and prices are all denominated in the currency of the
// parent account. Also note the quantityFactor is needed for the proper quantity
// calculation.
decimal proposedQuantity = proposedMarketValue /
(Price.Security(currencyRow, securityRow) * securityRow.QuantityFactor);
// If we have an equity, round to the model's lot size.
if (securityRow.SecurityTypeCode == SecurityType.Equity)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.EquityRounding, 0) *
modelRow.EquityRounding;
}
// A debt generally needs to be rounded to face.
if (securityRow.SecurityTypeCode == SecurityType.Debt)
{
proposedQuantity = Math.Round(proposedQuantity / modelRow.DebtRounding, 0) *
modelRow.DebtRounding;
}
// Have the OrderForm object construct an order based on the quantity we've calcuated
// from the market value. This will fill in the defaults for the order and translate the
// signed quantities into transaction codes.
ProposedOrder.Create(remoteBatch, remoteTransaction, accountRow, securityRow,
driverAccount.PositionTypeCode, proposedQuantity);
}
}
}
// Recurse into each of the sub-sectors. This allows us to rebalance with any number of levels to the
// hierarchy. Eventually, we will run across a sector with security positions in it and end up doing some
// real work.
foreach (AppraisalSet.SectorRow childSector in objectTreeRow.ObjectRowByFKObjectObjectTreeChildId.GetSectorRows())
{
SectorWrap.RecurseSectors(remoteBatch, remoteTransaction, modelRow, childSector, actualSectorMarketValue, targetSectorMarketValue);
}
}
}
/// <summary>
/// Creates a command in a RemoteBatch structure to insert a proposed order.
/// </summary>
/// <param name="remoteBatch"></param>
/// <param name="remoteTransaction"></param>
/// <param name="accountRow"></param>
/// <param name="securityRow"></param>
/// <param name="positionTypeCode"></param>
/// <param name="quantityInstruction"></param>
private static void Insert(RemoteBatch remoteBatch, RemoteTransaction remoteTransaction,
ClientMarketData.AccountRow accountRow, ClientMarketData.SecurityRow securityRow, int positionTypeCode,
decimal quantityInstruction)
{
// These define the assembly and the types within those assemblies that will be used to create the proposed orders on
// the middle tier.
RemoteAssembly remoteAssembly = remoteBatch.Assemblies.Add("Service.Core");
RemoteType proposedOrderType = remoteAssembly.Types.Add("Shadows.WebService.Core.ProposedOrder");
RemoteType proposedOrderTreeType = remoteAssembly.Types.Add("Shadows.WebService.Core.ProposedOrderTree");
// Find the default settlement for this order.
int settlementId = Shadows.Quasar.Common.Security.GetDefaultSettlementId(securityRow);
// As a convention between the rebalancing section and the order generation, the parentQuantity passed into this method
// is a signed value where the negative values are treated as 'Sell' instructions and the positive values meaning
// 'Buy'. This will adjust the parentQuantity so the trading methods can deal with an unsigned value, which is more
// natural for trading.
decimal parentQuantity = Math.Abs(quantityInstruction);
// This will turn the signed parentQuantity into an absolute parentQuantity and a transaction code (e.g. -1000 is
// turned into a SELL of 1000 shares).
int parentTransactionTypeCode = TransactionType.Calculate(securityRow.SecurityTypeCode, positionTypeCode, quantityInstruction);
// The time in force first comes from the user preferences, next, account settings and finally defaults to a day
// orders.
int timeInForceCode = !ClientPreferences.IsTimeInForceCodeNull() ?
ClientPreferences.TimeInForceCode : !accountRow.IsTimeInForceCodeNull() ? accountRow.TimeInForceCode :
TimeInForce.DAY;
// The destination blotter comes first from the user preferences, second from the account preferences, and finally uses
// the auto-routing logic.
int parentBlotterId = ClientPreferences.IsBlotterIdNull() ? (accountRow.IsBlotterIdNull() ?
TradingSupport.AutoRoute(securityRow, parentQuantity) : accountRow.BlotterId) : ClientPreferences.BlotterId;
// Create a command to delete the relationship between the parent and child.
RemoteMethod insertParent = proposedOrderType.Methods.Add("Insert");
insertParent.Transaction = remoteTransaction;
insertParent.Parameters.Add("proposedOrderId", DataType.Int, Direction.ReturnValue);
insertParent.Parameters.Add("blotterId", parentBlotterId);
insertParent.Parameters.Add("accountId", accountRow.AccountId);
insertParent.Parameters.Add("securityId", securityRow.SecurityId);
insertParent.Parameters.Add("settlementId", settlementId);
insertParent.Parameters.Add("positionTypeCode", positionTypeCode);
insertParent.Parameters.Add("transactionTypeCode", parentTransactionTypeCode);
insertParent.Parameters.Add("timeInForceCode", timeInForceCode);
insertParent.Parameters.Add("orderTypeCode", OrderType.Market);
insertParent.Parameters.Add("quantity", parentQuantity);
// Now it's time to create an order for the settlement currency.
if (securityRow.SecurityTypeCode == SecurityType.Equity || securityRow.SecurityTypeCode == SecurityType.Debt)
{
// The underlying currency is needed for the market value calculations.
ClientMarketData.CurrencyRow currencyRow = MarketData.Currency.FindByCurrencyId(settlementId);
decimal marketValue = parentQuantity * securityRow.QuantityFactor * Price.Security(currencyRow, securityRow)
* securityRow.PriceFactor * TransactionType.GetCashSign(parentTransactionTypeCode);
// The stragegy for handling the settlement currency changes is to calculate the old market value, calculate the
// new market value, and add the difference to the running total for the settlement currency of this security. The
// new market value is the impact of the trade that was just entered.
int childTransactionTypeCode = TransactionType.Calculate(securityRow.SecurityTypeCode, positionTypeCode,
marketValue);
decimal childQuantity = Math.Abs(marketValue);
// The destination blotter comes first from the user preferences, second from the account preferences, and finally
// uses the auto-routing logic.
int childBlotterId = ClientPreferences.IsBlotterIdNull() ? (accountRow.IsBlotterIdNull() ?
TradingSupport.AutoRoute(currencyRow.SecurityRow, childQuantity) : accountRow.BlotterId) :
ClientPreferences.BlotterId;
// Fill in the rest of the fields and the defaulted fields for this order. Create a command to delete the
// relationship between the parent and child.
RemoteMethod insertChild = proposedOrderType.Methods.Add("Insert");
insertChild.Transaction = remoteTransaction;
insertChild.Parameters.Add("proposedOrderId", DataType.Int, Direction.ReturnValue);
insertChild.Parameters.Add("blotterId", childBlotterId);
insertChild.Parameters.Add("accountId", accountRow.AccountId);
insertChild.Parameters.Add("securityId", settlementId);
insertChild.Parameters.Add("settlementId", settlementId);
insertChild.Parameters.Add("transactionTypeCode", childTransactionTypeCode);
insertChild.Parameters.Add("positionTypeCode", positionTypeCode);
insertChild.Parameters.Add("timeInForceCode", timeInForceCode);
insertChild.Parameters.Add("orderTypeCode", OrderType.Market);
insertChild.Parameters.Add("quantity", childQuantity);
RemoteMethod insertRelation = proposedOrderTreeType.Methods.Add("Insert");
insertRelation.Transaction = remoteTransaction;
insertRelation.Parameters.Add("parentId", insertParent.Parameters["proposedOrderId"]);
insertRelation.Parameters.Add("childId", insertChild.Parameters["proposedOrderId"]);
}
}
